Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (January 2016)
11 slides from Armour Residential Reit's corporate update, Jan 26, 2016
Slide 1: Company Update January 26, 2016
ARMOUR RESIDENTIAL REIT, Inc. Company Update January 26, 2016
Slide 2: Important Regulatory and Yield Estimate Risk Disclosures
PLEASE READ: Important Regulatory and Yield Estimate Risk Disclosures 2 Certain statements made in this presentation regarding ARMOUR Residential REIT, Inc. (“ARMOUR” or the “Company”), and any other statements regarding ARMOUR’s future expectations, beliefs, goals or prospects constitute forward-lo
Slide 3: Monthly Metrics
ARMOUR Monthly Metrics 3 (1) Some of the data may be based on information preceding the date of the report (i.e., closing prices). (2) A portion of the dividend payable has been subtracted from the book value range based on accrual throughout the month. (3) Leverage does not include TBA dollar rolls
Slide 4: Capitalization, Dividend Policy, Transparency and Manager
ARMOUR Capitalization, Dividend Policy, Transparency and Manager • Portfolio and liability details are updated monthly at www.armourreit.com. • Premium amortization is expensed monthly as it occurs. No yield smoothing.(2) • Hedge positions are marked-to-market daily (GAAP/Tax differences). • Non-Exe
Slide 5: Balance Sheet Targets
ARMOUR Balance Sheet Targets ARMOUR invests in Agency mortgage securities. Net balance sheet weighted average duration target of 1.5 or less. • 4.34 gross asset duration. • -4.46 hedge duration. • -0.12 net balance sheet duration. Hedge a minimum of 40% of assets and funding rate risk. • $8.8 billio
Slide 6: Portfolio Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 6 Diversify Broadly • Diversification limits idiosyncratic pool risk. • Over 1300 cusips. Highly Liquid Assets • Purchase those Agency securities that are highly liquid (easily traded and priced). • ARMOUR purchases “pass-through” securities.
Slide 7: Portfolio and Derivatives Overview
ARMOUR Portfolio and Derivatives Overview 7 Duration estimates are derived from third-party software. Actual realized yields, durations and net durations described herein will depend on a number of factors that cannot be predicted with certainty. If rates decline, the value of our derivatives will t
Slide 8: Hedge Portfolio
ARMOUR Hedge Portfolio 8 Information as of 1/22/2016. Some totals may not foot due to rounding. Forward Starting Weighted Average Months to Start Weighted Average Underlying Term (Months) Notional Amount (millions) Weighted Average Rate Interest Rate Swap 3 24 400.0$ 1.29 Interest Rate Swap 2 72 900
Slide 9: Portfolio Constant Prepayment Rates (CPR)
ARMOUR Portfolio Constant Prepayment Rates (“CPR”) 9 ARMOUR expenses premium amortization monthly as it occurs. Constant Prepayment Rate (“CPR”) is the annualized equivalent of single monthly mortality (“SMM”). CPR attempts to predict the percentage of principal that will prepay over the next twelve
Slide 10: REPO Composition
ARMOUR REPO Composition 10 (1) ARMOUR has 39 lending counterparties. Information as of 1/22/2016. Some totals may not foot due to rounding. Weighted Average Repo Rate 0.63% Weighted Average Haircut 4.80% Debt to Q3 2015 Shareholders' Equity Ratio 8.2 1 Mitsubishi UFJ Securities (USA), Inc. 960.6$ 8.
Slide 11: ARMOUR Residential REIT, Inc. contact details
11 www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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