Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (October 2015)
12 slides from Armour Residential Reit's corporate update, Oct 20, 2015
Slide 1: ARMOUR Residential REIT, Inc. Company Update
ARMOUR RESIDENTIAL REIT, Inc. Company Update October 20, 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: Q3 book value decline and share repurchases
PLEASE READ: Important Regulatory and Yield Estimate Risk Disclosures 3 During the third quarter, Agency MBS continued to widen on an OAS basis (chart below) and payer swap spread yields traded inside of U.S. Treasury ten year notes. It is quite unusual for these events to occur at once, but in thes
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) 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 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.(2) • 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. • 4.35 gross asset duration. • -4.02 hedge duration. • 0.33 net balance sheet duration. Hedge a minimum of 40% of assets and funding rate risk. • $9.4 billion
Slide 7: Portfolio Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 7 Diversify Broadly • Diversification limits idiosyncratic pool risk. • Over 1300 cusips. Highly Liquid Assets • Purchase those Agency securities that are highly liquid (easily traded and priced). • ARMOUR purchases “pass-through” securities.
Slide 8: Portfolio and Derivatives Overview
ARMOUR Portfolio and Derivatives Overview 8 Duration estimates are derived from third-party software. Actual realized yields, durations and net durations described herein will depend on a number of factors that cannot be predicted with certainty. If rates decline, the value of our derivatives will t
Slide 9: Hedge Portfolio
ARMOUR Hedge Portfolio 9 The forward pay swaps that begin in late October 2015 have been moved to the current pay table. Information as of 10/16/2015. Some totals may not foot due to rounding. Current Pay Remaining Term Weighted Average Remaining Term (Months) Notional Amount (millions) Weighted Ave
Slide 10: Portfolio Constant Prepayment Rates (CPR)
ARMOUR Portfolio Constant Prepayment Rates (“CPR”) 10 ARMOUR expenses premium amortization monthly as it occurs. Constant Prepayment Rate (“CPR”) is the annualized equivalent of single monthly mortality (“SMM”). CPR attempts to predict the percentage of principal that will prepay over the next twelv
Slide 11: REPO Composition
ARMOUR REPO Composition 11 (1) ARMOUR has 38 lending counterparties. Information as of 10/16/2015. Some totals may not foot due to rounding. Weighted Average Repo Rate 0.48% Weighted Average Haircut 4.85% Debt to Q2 2015 Shareholders' Equity Ratio 8.2 1 Mitsubishi UFJ Securities (USA), Inc. 995.5$ 7
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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