Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (November 2010)
12 slides from Armour Residential Reit's corporate update, Nov 23, 2010
Slide 1: ARMOUR Residential REIT Company Update
ARMOUR RESIDENTIAL REIT, Inc. Company Update November 23, 2010 PLEASE READ: Important Regulatory and Yield Estimate Risk Disclosures www.armourreit.com Certain statements made in this presentation regarding ARMOUR Residential REIT, Inc. (“ARMOUR” or the “Company“), and any other statements regarding
Slide 2: Balance Sheet Targets, Portfolio Strategy, Transparency and Governance
ARMOUR Re: Balance Sheet Targets Portfolio Strategy Transparency and Governance @ARMOY By charter, ARMOUR only invests in Agency assets. Gross asset weighted average duration target of 2.5 or less. Net balance sheet weighted average duration target of 1.5 or less. Hedge asset and fundingrate risk on
Slide 3: Investment Methodology
ARMOUR Investment Methodology Management has a very focused and disciplined approach to evaluating assets for inclusion in the ARMOUR portfolio. + Agency Only Securities ~ By charter, ARMOUR can only invest in Agency Securities. + Low Duration Assets ~ Target a weighted average gross asset duration
Slide 4: Portfolio and Balance Sheet Highlights
ARMOUR REIT Portfolio and Balance Sheet Highlights * Agency mortgage portfolio valued at $845 million, * Gross asset duration estimate of 2.60. * Net balance sheet duration estimate of 1.33. * REPO borrowings of $787 million. * Swaps and Eurodollar futures to replicate swaps total $255 million. * Tr
Slide 5: Current Portfolio and Liability Information
ARMOUR REIT Current Portfolio and Liability Information ARMOUR REIT Portfolio Composition ARMOUR REIT Portfolio & Liability Valuation and Duration Detail ARMOUR REIT Portfolio Constant Prepayment Rates ARMOUR REIT REPO Composition
Slide 6: ARMOUR REIT Agency Asset Class Composition
IMOUR REIT Agency Asset Class Composition ‘Agency Asset Class Current Value ARMs (0-18 Months to Reset) i) $47,581,584 Hybrids 19 onths and Longer to Reset) 2) $$ 536,505,694 15 Year & Seasoned Pass-Throughs (3) $14,936,800 Low Loan Balance 15 Year Pass-Throughs (4) $ 106,237,772 Total $.845,261,850
Slide 7: Months to Reset Composition
Months toReset Current Value Wel8hted Average ‘Months to Reset O18 $47,581,584 6 1938, $ 18,843,988, 2 37-60 $.197,306,339 2 61-84 $.273,887,800 a 85.120 $46,467,667 115 Total 584,087,278, 6s Mote: Percentages ae based on the total market value of both ARMs and hybrids, The above amounts do not incl
Slide 8: Agency Type Composition
ARMOUR REIT Agency Type Compo: Ginnie Mae 13% Freddie Mac 27.3% Fannie Mae The above amounts do not indude $1.5M due to settle December 16%, ARMOUR RESIDENTIAL REIT ‘Agency Type Fannie Mae Freddie Mac Ginnie Mae Total Current Value $ 553,082,998, $ 230,527,390 $61,651,462 $ 845,261,850
Slide 9: Portfolio and Liability Valuation and Duration Detail
ARMOUR REIT Portfolio and Liability Valuation and Duration Detai Weighted Average Weighted Average Weighted Average Estimated Effective Aesocy Asset nse Purchase Price Current Market Price Coupon patents ARMs 108.3% 108.4% 3.59 092 Hybrids 108.4% 104.9% 4.03 235 435 Year & Seasoned Pass-Throughs 105
Slide 10: Portfolio Constant Prepayment Rates (CPR)
ARMOUR REIT Portfolio Constant Prepayment Rates (CPR) November 2010 Agency Asset Class CPR AFLP POPPIES ES ~ Er + ARMOUR expenses amortization asit occurs. + Constant Prepayment Rate (CPR) isthe annualized equivalent of single monthly mortality (SMM). CPR attempts to predict the percentage of prindp
Slide 11: Investment Management Team
ARMOUR REIT Investment Management Team Mark R. Gruber , CFA is Head of Portfolio Management of ARRM, the manager of ARMOUR REIT. From April 2008 until joining ARRM, the manager of ARMOUR REIT, Mr. Gruber managed a $1.1 billion mortgage portfolio for Penn Mutual Life Insurance. From June 2005 to Marc
Slide 12: 3001 Ocean Drive
3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340 www.armourreit.com
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