Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (November 2016)
12 slides from Armour Residential Reit's corporate update, Nov 28, 2016
Slide 1: ARMOUR Residential REIT, Inc. Company Update 11/28/2016
ARMOUR RESIDENTIAL REIT, Inc. Company Update 11/28/2016
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: ARMOUR Monthly Metrics
ARMOUR Monthly Metrics 3 Market Date 9/20/16 10/14/16 11/18/16 Common Stock Price $22.04 $22.02 $22.18 Estimated Book Value(1) $27.50 $27.75 $25.13 Common Shares Outstanding 36,758,291 36,756,835 36,756,835 Preferred A Shares Outstanding 2,180,572 2,180,572 2,180,572 Preferred B Shares Outstanding 5
Slide 4: Capitalization, Dividend Policy, Transparency and Manager Transparency and Governance
ARMOUR Capitalization, Dividend Policy, Transparency and Manager Transparency and Governance 4 ARMOUR REIT Manager Common Stock Dividend Policy Capitalization Information as of 11/18/2016. • 36,756,835 shares of common stock outstanding (NYSE: “ARR”). (1) • 2,180,572 shares of Series A Preferred Sto
Slide 5: Balance Sheet Metrics
ARMOUR Balance Sheet Metrics ARMOUR invests in mortgage securities. Current allocation of equity in repo is: • 59.3% in Agency securities. • 40.7% in Non-Agency securities. 1.99 net balance sheet duration. • 4.15 gross asset duration. • (2.16) hedge duration. $4.9 billion in hedges (interest rate sw
Slide 6: Portfolio Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 6 Non-Agency Structure Analysis ◦ Seniority, subordination model. ◦ Model completeness and accuracy. ◦ Litigation and policy risks. Agency & Non-Agency Class Analysis ◦ Prepayment history. ◦ Prepayment expectations. ◦ Premium/discount. ◦ Liquidity
Slide 7: Agency & Non-Agency Portfolio
ARMOUR Agency & Non-Agency Portfolio 7 Information as of 11/18/2016. Portfolio value is based on independent third-party pricing. Information includes estimates of the effect of forward settling trades. Some totals may not foot due to rounding. Total Agency Securities % of Portfolio Current Value (m
Slide 8: ARMOUR Balance Sheet Hedge Metrics
8 ARMOUR Balance Sheet Hedge Metrics Amount (millions) Total Hedge % Agency Fixed Rate Assets2 $9,036.9 54.3% Agency Fixed Rate Asset Repo Balance2 $6,781.8 72.4% Total Duration Contributionto Balance Sheet (1) Agency Assets 4.20 Non-Agency Assets (0.05) Interest Rate Swaps (2.16) Net Balance Sheet
Slide 9: Hedge Portfolio
ARMOUR Hedge Portfolio 9 Information as of 11/18/2016. Some totals may not foot due to rounding. Derivative Type Remaining Term Weighted Average Remaining Term (Months) Notional Amount (millions) Weighted Average Rate Interest Rate Swap 0-12 Months 9 $ 200.0 0.54 Interest Rate Swap 13-24 Months 18 $
Slide 10: Monthly Portfolio Constant Prepayment Rate
10 Monthly Portfolio Constant Prepayment Rate 14 13 12 11 10 9 8 7 6 Jan ua ry 20 16 Fe br ua ry 20 16 M arc h 2 01 6 Ap ril 20 16 M ay 20 16 Ju ne 20 16 Ju ly 20 16 Au gu st 20 16 Se pt em be r 2 01 6 Oc to be r 2 01 6 No ve mb er 20 16 8.2 6.5 7.2 10.0 9.6 9.9 10.6 9.6 12.6 12.4 10.6 November 2016
Slide 11: REPO Composition
ARMOUR REPO Composition 11 (1) ARMOUR has 42 lending counterparties. Information as of 11/18/2016. Some totals may not foot due to rounding. REPO Counter-Party(1) Principal Borrowed (millions) Percentage of REPO Positions with ARMOUR Weighted Average Original Term in Days Weighted Average Remaining
Slide 12: ARMOUR Residential REIT, Inc. contact details
www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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