Armour Residential Reit, Inc. · NYSE:ARR

Armour Residential Reit — Investor Presentation (August 2011)

19 slides from Armour Residential Reit's investor presentation, Aug 9, 2011

  1. Slide 1: ARMOUR Residential REIT

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  2. Slide 2: PLEASE READ: Important Regulatory and Yield Estimate Risk Disclosures

    PLEASE READ: Important Regulatory and Yield Estimate Risk Disclosures 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-look

  3. Slide 3: Capitalization as of August 2011

    ARMOUR Capitalization as of August 011 * Market Capitalization and Additional Paid-In Capital — Closing price per share $7.40. — 75,722,743 shares of common stock outstanding (NYSE: ARR”). — Market capitalization of $560.3 million. — Additional paid-in capital estimate: $7.14 per share or $541.1 mil

  4. Slide 4: Portfolio and Balance Sheet

    ARMOUR Portfo and Balance Sheet Agency mortgage portfolio valued at $5.20 billion), — 743 separate CUSIPs. — Average market value per CUSIP: $7.0 million. Median market value per CUSIP: $2.9 million. Gross asset duration estimate of 2.67. Net balance sheet duration estimate of 0.64 (excluding uninve

  5. Slide 5: Dividends

    ARMOUR Dividend: * ARMOUR declares dividends based on estimates of future taxable REIT income. * Q3 2011 Monthly Dividends - ARMOUR is paying third quarter 2011 monthly dividends of $0.12 per month. ~ The shareholder record date is the 15th of each month, payable on the second to last business day o

  6. Slide 6: Targets, Strategy and Governance Review

    ARMOUR Targets, Strategy and Governance Review Investment Methodology Portfolio Composition Interest Rate Swap and Eurodollar Futures Detail Portfolio Valuation and Duration Detail Hedge Detail Portfolio and Liability Duration Detail Portfolio Constant Prepayment Rates (“CPR”) REPO Composition

  7. Slide 7: Targets, Strategy and Governance Review

    ARMOUR — Targets, Strategy and Governance Review Balance Sheet [ig Targets Portfolio ‘ Strategy : Transparency and Governance ASSETS * ARMOUR invests in Agency assets. DURATION * Net balance sheet weighted average duration target of 1.5 or less. HEDGING * Hedge asset and funding rate risk on approxi

  8. Slide 8: Investment Methodology

    ARMOUR Investment Methodology Management has a very focused and disciplined approach to evaluating assets for inclusion in the ARMOUR portfolio. ARMOUR employs a ‘buy and hold’ strategy rather than a ‘trading’ strategy. + Agency Securities ~ ARMOUR invests in Agency Securities. + Low Duration Assets

  9. Slide 9: ARMOUR Agency Asset Class Composition

    ARMs 2.6% 15 Year & Seasoned Pass- Throughs 45.8% Hybrids 49.3% LowLoan Balance 15 caciltread 10Year Pass- Throughs Throughs 19% 0.9% Information as of 8/5/2012. ARMOUR Agency Asset Class Composition ‘current ‘Agency Asset Class ‘Value (enfors) ARMS (0-18Wortnsto Rert i) $19 Hybrids :0 worms ane Lon

  10. Slide 10: Agency Type Composition

    ARMOUR Agency Type Compos ARM & Hybrid Composition Fixed Composition Fraga Mae Boe 710% Current Value antage of macys nt Percentage of Total (millions) Portfolio Fannie Mae S$ 3,485.0 67.0% Freddie Mac S$ 11603 22.35% Ginnie Mae S$ 556.6 10.7% Total $ 5,201.9 100.0% Information as of 8/5/2012. ARMOU

  11. Slide 11: ARM and Hybrid Months to Reset

    ARMOUR ARM 85-120MTR 0-18MTR 6.2% 4.9% 19-36 MTR 5.3% 37-48 MTR 19.3% 61-84 MTR | 46.8% 7 49-60 MTR 17.5% ‘Months to Reset, 048 19:36 3748 49-60 61-84 85-120 Total Current Value (millions) $ 129 $ 18 $ si9a $ a6 $1,2615 $ 168.1 $2,696. formation asof@/5/2011. Percentages are based on the total marke

  12. Slide 12: Interest Rate Swap and Eurodollar Futures Detail

    ARMOUR Interest Rate Swap and Eurodollar Futures Detail Wei Notional Interest Rate Swaps nang nal Weighted Remaining Term caren ‘Amount average Rate ‘Active Swap Counterparties ee Remaining Term (millions) es Citibank, NA. 0-12Months n $ 10000 04s LP Morgan Chase, NA. 13-24 Months vs 200 053 [Nomura

  13. Slide 13: Portfolio Valuation and Duration Detail

    ARMOUR Portfoli ‘curentValue — Weishted Weighted Weighted Estimated Effective Agency Asset Class ae ‘Average Average Current Average -—=—=—Duration Using Purchase Price Market Price Coupon Current Values ARMs $129 104.7% 105.3% 34 095 Hybrids 3 2564 103.7% 104.8% 3.70 2.88 410 Year Pass-Throughs $48

  14. Slide 14: Hedge Detail

    ARMOUR Hedge Det ae ed Sa (citions) ‘Eurodollar Futures (Core) $ 1340 Interest Rate Swaps (Core) $ 1,890 Interest Rate Swaps (Volatility) $ 1,000.0 Total $3000 ‘Amount Core Volatility Total (millions) Hedge% Hedge% Hedge % Non-ARM Assets $ 5,069.0 39.9% = 19.7% 59.7% Repo Balance $-4,9513 409% 20.2%

  15. Slide 15: Portfolio and Liability Duration Detail

    ARMOUR Portfoli Core Hedges Estimated Balance Sheet ‘Amount Duration effecton [Weighted Average Weighted Average Duration (mittions) Balance Sheet Hedge Rate Hedge Duration ‘Agency Assets S$ 52019 267 of n/a Eurodollar Futures (Core) $ 1340 “3.19 1.80 319 Interest Rate Swaps (Core) $§_——1,890.0 “3.8

  16. Slide 16: Portfolio Constant Prepayment Rates

    ARMOUR Portfo Constant Prepayment Rates (“CPR”) Monthly Portfolio August 2011 ConstantPrepayment Rate ‘Agency Asset Class CPR ni : | 2 BE Wee + ARMOUR expenses premium amortization monthly asit occurs. + Constant Prepayment Rate ("CPR") is the annualized equivalent of single monthly mortality ("SMM"

  17. Slide 17: Constant Prepayment Rates by Agency

    ARMOUR Portfo ey 16 Constant Pr ‘August 2011 Constant Prepayment Rates ARMs & Hybrids Fixed Rates yment Rates (“CPR” 455 a 2 a4 10 + ae ray S FanoieMae Freddie Mat Ginnie Mae Fannie Mae Freeaie Mae Ginie Mae “ARMOUR expenses premium amortization monthly ‘as itoccurs. * Constant Prepayment Rat ("CPR"

  18. Slide 18: REPO Composition

    ARMOUR REPO Compo: Principal Weighted Longest ‘REPO Counter-Party Borrowed Percentage Average Maturityin (millions) of REPO. Maturityin. Days: UBS Securities UC [BNP Paribas Securities Corp. [Nomura Securities Intemational, Inc Goldman, Sachs & Co. South Street Securities LLC Cantor Fitzgerald & Co.

  19. Slide 19: ARMOUR Residential REIT contact

    ARMOUR RESIDENTIAL REIT www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340

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