Armour Residential Reit, Inc. · NYSE:ARR

Armour Residential Reit — Corporate Update (April 2016)

13 slides from Armour Residential Reit's corporate update, Apr 20, 2016

  1. Slide 1: Company Update April 20, 2016

    ARMOUR RESIDENTIAL REIT, Inc. Company Update April 20, 2016

  2. 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

  3. Slide 3: Commentary

    Commentary 3 Based on ARMOUR’s interest in acquiring JAVELIN Mortgage Investment Corp., ARMOUR elected not to publish the Monthly Company Update during February and March 2016. ARMOUR’s acquisition of JAVELIN was completed on April 6, 2016. With today’s Monthly Company Update, ARMOUR resumes its cus

  4. 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

  5. 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

  6. Slide 6: Balance Sheet Targets

    ARMOUR Balance Sheet Targets ARMOUR invests in mortgage securities. Current equity allocation is: • 80% of equity in Agency securities. • 20% of equity in Non-Agency securities. Net balance sheet weighted average duration target of 1.5 or less. • 3.64 gross asset duration. • -3.09 hedge duration. •

  7. Slide 7: Portfolio Strategy and Investment Methodology

    ARMOUR Portfolio Strategy and Investment Methodology 7 Management has a focused and disciplined approach to evaluating assets for inclusion in the ARMOUR portfolio. ARMOUR employs a strong bias toward a ‘buy and hold’ strategy rather than a ‘trading’ strategy. ARMOUR will strategically sell assets w

  8. Slide 8: Agency & Non-Agency Portfolio

    ARMOUR Agency & Non-Agency Portfolio 8 Information as of 4/19/2016. 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. ARMs & Hybrids 0.84% 96.0$ 104.7% 104.1% 2.52/3.09 0.98

  9. Slide 9: Balance Sheet Hedge Metrics

    ARMOUR Balance Sheet Hedge Metrics 9 (1) The duration contribution to the balance sheet is based on effective duration and market value. Information and pricing as of 4/19/16. Some totals may not foot due to rounding. Agency Assets 3.63 Non-Agency Legacy Assets 0.01 Interest Rate Swaps -3.09 Net Bal

  10. Slide 10: Hedge Portfolio

    ARMOUR Hedge Portfolio 10 Information as of 4/19/2016. Some totals may not foot due to rounding. Current Pay Remaining Term Weighted Average Remaining Term (Months) Notional Amount (millions) Weighted Average Rate Interest Rate Swap 0-12 Months 0 -$ 0.00 Interest Rate Swap 13-24 Months 19 700.0$ 0.7

  11. Slide 11: Portfolio Constant Prepayment Rates (CPR)

    ARMOUR Portfolio Constant Prepayment Rates (“CPR”) 11 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

  12. Slide 12: REPO Composition

    ARMOUR REPO Composition 12 (1) ARMOUR has 38 lending counterparties. Information as of 4/19/2016. Some totals may not foot due to rounding. Weighted Average Repo Rate 0.74% Weighted Averag Haircut 5.97 1 Mitsubishi UFJ Securities (USA), Inc. 1,045.5$ 10.4% 52 27 59 2 Wells Fargo Securities 722.9$ 7.

  13. Slide 13: ARMOUR Residential REIT, Inc. contact details

    13 www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340

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