Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (May 2015)
12 slides from Armour Residential Reit's corporate update, May 8, 2015
Slide 1: ARMOUR Residential REIT, Inc. Company Update
ARMOUR RESIDENTIAL REIT, Inc. Company Update May 8, 2015
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 Commentary
Monthly Commentary 3 Since our earnings conference call on April 30th, ARMOUR reinvested anticipated monthly pay downs by purchasing “DUS” Bonds – FNMA Delegated Underwriting and Servicing Bonds. These assets have attractive convexity because principal payments are effectively limited to scheduled a
Slide 4: Monthly Metrics
ARMOUR Monthly Metrics 4 (1) Some of the data may be based on information preceding the date of the report (i.e., closing prices). (2) Leverage does not include TBA dollar rolls and is based on the most recent audited financial statements available in the 10Q/10K at the time of the report. Quarter A
Slide 5: 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.(1) • Hedge positions are marked-to-market daily (GAAP/Tax differences). • Non-Exe
Slide 6: 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. • 4.37 gross asset duration. • -3.69 hedge duration. • 0.68 net balance sheet duration. Hedge a minimum of 40% of assets and funding rate risk. • $12.4 billio
Slide 7: Portfolio Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 7 Diversify Broadly • Diversification limits idiosyncratic pool risk. • Over 1300 cusips. Highly Liquid Assets • Purchase those Agency securities that are highly liquid (easily traded and priced). • ARMOUR purchases “pass-through” securities.
Slide 8: Portfolio and Derivatives Overview
ARMOUR Portfolio and Derivatives Overview 8 Duration estimates are derived from third-party software. Actual realized yields, durations and net durations described herein will depend on a number of factors that cannot be predicted with certainty. If rates decline, the value of our derivatives will t
Slide 9: Hedge Portfolio
ARMOUR Hedge Portfolio 9 Information as of 5/7/2015. Some totals may not foot due to rounding. Current Paying Remaining Term Weighted Average Remaining Term (Months) Notional Amount (millions) Weighted Average Rate Interest Rate Swap 0-12 Months 8 2,675.0$ 1.12 Interest Rate Swap 13-24 Months 14 850
Slide 10: Portfolio Constant Prepayment Rates (CPR)
ARMOUR Portfolio Constant Prepayment Rates (“CPR”) 10 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 twelv
Slide 11: REPO Composition
ARMOUR REPO Composition 11 (1) ARMOUR has signed MRAs with 41 counterparties. Information as of 5/7/2015. Some totals may not foot due to rounding. 1 BNP Paribas Securities Corp. 1,097.1$ 7.9% 145 92 175 2 Merrill Lynch, Pierce, Fenner & Smith Inc. 1,033.7$ 7.5% 83 22 43 3 Mitsubishi UFJ Securities
Slide 12: ARMOUR Residential REIT, Inc. contact details
12 www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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