Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Mitsubishi UFJ Securities Mortgage REIT Day 2011
13 slides from Armour Residential Reit's conference presentation, Sep 6, 2011
Slide 1: ARMOUR Residential REIT - Mitsubishi UFJ Securities Mortgage REIT Day
ARMOUR RESIDENTIAL REIT ARMOUR RESIDENTIAL REIT, Inc. Mitsubishi UFJ Securities Mortgage REIT Day September 8, 2011
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’ future expectations, beliefs, goals or prospects constitute forward-looki
Slide 3: Capitalization and Dividend Policy
ARMOUR Capitalization and Dividend Policy * Market Capitalization and Additional Paid-In Capital — Closing price per share $7.49. — 79,541,691 shares of common stock outstanding (NYSE: “ARR”)") — Market capitalization of $595.8 million. — Additional paid-in capital! estimate: $7.15 per share or $568
Slide 4: Targets, Strategy and Governance Review
ARMOUR — Targets, Si Balance Sheet [i Targets Portfolio é Strategy . Transparency and Governance tegy and Governance Review ASSETS * ARMOUR invests in Agency Securities. DURATION + Net balance sheet weighted average duration target of 1.5 or less. HEDGING * Hedge asset and funding rate risk on a min
Slide 5: Balance Sheet Highlights
ARMOUR Balance Sheet Highlights ‘Agency Mortgage Portfolio (billions) $5.52. 773 Separate CUSIPS Net REPO Borrowings (billions) $5.17 9.09x debt to additional paid-in capital ratio Interest Rate Hedges (billions) $2.82 52.4% of non-true ARMs hedged 54.6% of REPO borrowing hedged Gross Asset Duration
Slide 6: Investment Methodology
ARMOUR Investment Methodology Management has a focused and disciplined approach to evaluating assets for inclusion in the ARMOUR portfolio. ARMOUR employs a ‘buy and hold’ strategy rather than a ‘trading’ strategy. + Agency Securities * Loan Analysis — ARMOUR invests in Agency Securities. = ‘iavellb
Slide 7: Agency Asset Class Composition
ARMOUR Agency Asset Class Composition ; Curent vas ‘Agency Asset Class Value 24% (citions) ARMs (0-18 Months to Reset) $ 133.0 Hybrids is nonths and Longer to Reset $2487 10 Year & 15 Year Pass-Throughs $ 2,900.4 Total $ 5,520.6 10 Year & 15. Year Pass- Throughs see 52.5% Current Value Percentage of
Slide 8: ARM and Hybrid Months to Reset
ARMOUR ARM and Hyb 85-120 MTR OBR 11.2% 5.1% 19-36MTR 5.5% 37-48 MTR 19.8% e-g4anmr 43.0% 49-60 MTR 15.4% ‘Months to Reset 018 19:36 3748 49-60 61-84 86-120 Total Current value (millions) $ 120 $ 180 $ sm2 $4089 $1,1269 $ 222 $2,620.41, formation as of#/31/2011. Percentages are basedon the total mar
Slide 9: Portfolio and Interest Rate Hedges Duration Detail
ARMOUR Portfolio and Interest Rate Hedges Duration Detail a Weighted Weighted leis Estimated Effective moe: |= Ge TE pete GS Sars Purchase Price ‘Market Price a ‘Current Values ea remcetag $ momma os Hybrids (19 Months and Longerto Reset) $ 2,487.1 103.8% 105.3% 3.73/4.18 195 10 Year & 15 Year Pass-
Slide 10: Interest Rate Swap and Eurodollar Futures Detail
ARMOUR Interest Rate Swap and Eurodollar Futures Detail Weighted Average Notional Hedge Type Remaining Term —Remainingerm Amount, WEES (Months) (miltionsy_ “Y°"°8 Interest Rate Swap 0-12 Months ° gow 0.00 Interest Rate Swap 13-24 Months 16 $ 20.0 0.53 Interest Rate Swap 25.36 Months 29 $2900 1.09 In
Slide 11: Portfolio Constant Prepayment Rates
ARMOUR Portfo Constant Prepayment Rates (“CPR”) Monthly Portfolio August 2011 Constant Prepayment Rate ‘Agency Asset Class CPR LOECOEO YL A STEP COETE iu 19 agg oe tener + ARMOUR expenses premium amortization monthly asit occurs. + Constant Prepayment Rate ("CPR") is the annualized equivalent of sin
Slide 12: REPO Composition
ARMOUR REPO Composition REPO Counter-Party UBS Securities ke NP Paribas Securities orp, MFGlobal ne Goldman, Sachs & Co. South street Securities LC Guggenheim Securties, LIC “Merriliynch, Perce, Fenner & Smith Inc. Cantor Fitzgerald & Co. Inc. Nomura Secures international, nc. Barclays Capital nc. C
Slide 13: ARMOUR Residential REIT contact details
ARMOUR RESIDENTIAL REIT www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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