Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (September 2017)
11 slides from Armour Residential Reit's corporate update, Sep 14, 2017
Slide 1: Company Update 9/14/2017
ARMOUR RESIDENTIAL REIT, Inc. Company Update 9/14/2017
Slide 2: 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
Slide 3: NIM Breakdown and ARMOUR Key Metrics
NIM Breakdown 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 1Q 14 2Q 14 3Q 14 4Q 14 1Q 15 2Q 15 3Q 15 4Q 15 1Q 16 2Q 16 3Q 16 4Q 16 1Q 17 2Q 17 ARMOUR Key Metrics Market Date 6/30/17 7/31/17 8/31/17 Common Stock Price $25.0 $25.26 $26.41 Estimated Book Value $26.40 $26.71 $26.56 Common Shares Outstanding(1) 41,256,
Slide 4: Overview, Governance, Dividend Policy and Capitalization
ARMOUR Overview Transparency and Governance ARMOUR REIT Manager Common Stock Dividend Policy Capitalization Information as of 8/31/2017. • Total Capitalization of $1,291.6 million composed of: ◦ Estimated book value of common stock of $1,095.8 million. ◦ Preferred stock par value of $195.8 million.
Slide 5: Balance Sheet Metrics
ARMOUR Balance Sheet Metrics ARMOUR invests in mortgage securities. Current allocation of equity in repo is: • 59.7% in Agency securities. • 40.3% in Non-Agency securities. 0.78 net balance sheet duration. • 3.61 gross asset duration. • (2.83) hedge duration. $5.1 billion in hedges (interest rate sw
Slide 6: Portfolio Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 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 Information as of 8/31/2017. 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 % ofPortfolio Current Value (milli
Slide 8: Hedge Portfolio
ARMOUR Hedge Portfolio Information as of 8/31/2017. 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 5 $ 100.0 0.73 Interest Rate Swap 13-24 Months — $ — 0
Slide 9: REPO Composition
ARMOUR REPO Composition (1) ARMOUR has 45 lending counterparties. Information as of 8/31/2017. 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 Ter
Slide 10: Monthly Portfolio CPR
10 Monthly Portfolio CPR 14 13 12 11 10 9 8 7 6 5 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 De ce mb er 20 16 Jan ua ry 20 17 Fe br ua ry 20 17 M arc h 2 01 7 Ap ril 20 17 M
Slide 11: www.armourreit.com
www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
ARMOUR Residential REIT — Corporate Update (September 2017) on 6ix