Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (February 2011)
16 slides from Armour Residential Reit's corporate update, Feb 9, 2011
Slide 1: ARMOUR Residential REIT Company Update
ARMOUR RESIDENTIAL REIT, Inc. Company Update February 9, 2011 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 exp
Slide 2: Capitalization as of February 8, 2011
ARMOUR REIT Capitalization as of February 8, 2011 * 32,254,054 shares of common stock outstanding (NYSE/Amex: “ARR”). * Market Cap — $248.36 million. * Book Value — Historic Book Value estimate: $7.12 per share or $229.83 million. — Current Book Value estimate: $6.82 per share or $219.97 million, =
Slide 3: Portfolio and Balance Sheet Highlights
ARMOUR REIT Portfolio and Balance Sheet Highlights * ARMOUR REIT has invested approximately 30% of the equity capital raised on February 8, 2011. * Agency mortgage portfolio valued at $1.94 billion, — 448 separate CUSIPs. — Weighted average market value per CUSIP: $4.3 million — Median market value
Slide 4: 2010 Dividends
ARMOUR REIT Dividend: ‘ARMOUR 2010 Dividends + ARMOUR pays dividends monthly. ‘annuaies co + ARMOUR estimates that 100% of Pw8 haan bead dividends paid in 2010 were azo 37s aD DO generated from 2010 taxable REIT PGA EY x OA snyao wr DH SK earnings. e120 Rava RTA BT * Q12011 Monthly Dividends eta en
Slide 5: Investment Strategy Review
ARMOUR REIT. Investment Strategy Review Investment Methodology Review Portfolio Composition Portfolio & Liability Valuation and Duration Detail Portfolio Constant Prepayment Rates (CPR) REPO Composition
Slide 6: Balance Sheet Targets, Portfolio Strategy, Transparency and Governance
ARMOUR Re: Balance Sheet Targets Portfolio Strategy Transparency and Governance ets, Strategy, and Govern: By charter, ARMOUR only invests in Agency assets. Gross asset weighted average duration target of 2.5 of less. Net balance sheet weighted average duration target of 1.5 or less. Hedge asset and
Slide 7: Investment Methodology
ARMOUR Investment Methodology Management has a very focused and disciplined approach to evaluating assets for inclusion in the ARMOUR portfolio. + Agency Only Securities * Loan analysis ~ By Charter the fund can only invest in Agency = Original loan balance size. Securities. i = Year of origination.
Slide 8: Agency Asset Class Composition
ARMOUR REIT Agency Asset Class Composition ‘Agency Asset Class ‘current Value $608,227 asyear & Hybrids (19 ton an tone S157448 405, suacenctl pice! 15 Year & Seasoned Pass-Throughs (3 $ S6oa1.45, Tice lowLoan Balance 15YearPass-Throughs (@ $1030, 886 29.1% Total $1,942,753,983 (1) The weighted aver
Slide 9: ARM and Hybrid Composition
RMIOUR REIT ARM and H 85-120MTR 0-18 MTR 3.4% 9.1% 19:36 MTR 7.8% ‘Weighted Average Months toReset Current Value “Washi Avera 61-84MTR 36.1% 18 $ 116,085,227 7 1935 $98,957,941 2 7-60 $ 555,881,172 51 e184 $ 459,622,110 7 5.120 $42,987,201 113 Total $1,273,533,652 57 37-60 MTR 43.6% Mote: Percentage
Slide 10: Agency Type Composition
MOUR REIT Agency Type Composition ARM & Hybrid Composition Fixed Composition Gre ee oad aries pads 195% Freddie Mac 115% Fannie Mae 65.8% Fannie Mae 204% Percentage of Total ‘Agency Type current Value pacts Fannie Mae $ 1,376,517,625 70.9% Freddie Mac $ 277,27,285 14.2% Ginnie Mae $29,109,073 14.9%
Slide 11: Portfolio and Liability Valuation and Duration Detail
ARMOUR REIT Portfolio and Liability Valuation and Duration Detail Agency Asset Class ARMS Hybrids 415 Year & Seasoned Pass-Throughs Low Loan Balance 15 Year Pass-Throughs Estimated Balance sheet Duration Agency Assets Eurodollar Futures Interest Rate Swaps ‘Weighted Average Weighted average Weighted
Slide 12: Eurodollar Futures Detail
ARMOUR REIT Eurodollar Futures Detai Eurodollar Futures to Fey ‘Weighted a Replicate Swaps ‘Average Rate 2Year swap $ 28,000,000 0.85% 475 3Year Swap $ 107,000,000 130% 270 4Year swap $ 73,000,000 1.86% 3.60 5 Year Swap $ 35,000,000 2AM 475 Total or Weighted Average $ 249,000,000 155% a7 ARM: U RESI
Slide 13: Interest Rate Swap Detail
ARMOUR REIT Interest Rate Swap Detail TradeDate Counterparty Term Notional start End Fixed Rate Flowingleg ay2sjaud ces meuoe) asad y/a/2013 asin UsDOOR NN wismo News eR BASIN 2/iS/213 12R5 UB earara Notional Aisa US yeas “Se0em sia 2013 12H UsEOOSHN party RAT cy BYews NNO BAY Laem Low EOLA aici Bea
Slide 14: Portfolio Constant Prepayment Rates (CPR)
ARMOUR REIT Portfolio Constant Prepayment Rates (CPR) Monthly Portfolio February2010 ConstantPrepayment Rate ‘Agency Asset Class CPR “See Sore ‘ARMOUR expenses premium amortization as it occurs. + Constant Prepayment Rate (CPR) isthe annualized equivalent of single monthly mortality (SMM). CPR attem
Slide 15: REPO Composition
ARMOUR REIT REPO Composition REPO Counter-Party Principal Borrowed porcereaes of Aero, Weighted Average Longest Maturity ‘Maturityin Days in Days IMF Global ine. $ 203,576,000 39 as Cantor Fitzgerald & Co. ine 3 184.08 00 u ” Guggenheim Securities, $ 166,848,000 2B 38 Nomurasecuitiesitemationd Ine.
Slide 16: 3001 Ocean Drive
www.armourreit.com 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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