Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (November 2017)
11 slides from Armour Residential Reit's corporate update, Nov 15, 2017
Slide 1: ARMOUR Residential REIT Company Update
ARMOUR RESIDENTIAL REIT, Inc. Company Update 11/14/2017
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 3Q 17 ARMOUR Key Metrics Market Date 8/31/17 9/29/17 10/31/17 Common Stock Price $26.41 $26.90 $25.05 Estimated Book Value $26.56 $26.68 $26.65 Common Shares Outstanding(1)
Slide 4: Overview, Transparency and Governance, Dividend Policy, Capitalization
ARMOUR Overview Transparency and Governance ARMOUR REIT Manager Common Stock Dividend Policy Capitalization Information as of 10/31/2017. • Total Capitalization of $1,321 million composed of: ◦ Estimated book value of common stock of $1,116.0 million. ◦ Preferred stock par value of $205.0 million. •
Slide 5: Balance Sheet Metrics
ARMOUR Balance Sheet Metrics ARMOUR invests in mortgage securities. Month-end allocation of equity in repo is: • 60.9% in Agency securities. • 39.1% in Credit Risk and Non-Agency securities. 1.00 net balance sheet duration. • 3.71 gross asset duration. • (2.71) hedge duration. $5.0 billion in hedges
Slide 6: Portfolio Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology Credit Risk and Non-Agency Structure Analysis • Seniority, subordination model. • Model completeness and accuracy. • Litigation and policy risks. Agency & Credit Risk and Non-Agency Class Analysis • Prepayment history. • Prepayment expectations. •
Slide 7: Agency & Credit Risk and Non-Agency Portfolio
ARMOUR Agency & Credit Risk and Non-Agency Portfolio Information as of 10/31/2017. 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 Cur
Slide 8: Hedge Portfolio
ARMOUR Hedge Portfolio Information as of 10/31/2017. 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 7 $ 50.0 0.92 Interest Rate Swap 13-24 Months — $ — —
Slide 9: Repo Composition
ARMOUR Repo Composition (1) ARMOUR has 46 lending counterparties. Information as of 10/31/2017. 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 Te
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: ARMOUR Residential REIT contact details
www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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