Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (October 2014)
11 slides from Armour Residential Reit's corporate update, Oct 15, 2014
Slide 1: ARMOUR Residential REIT Company Update October 14, 2014
ARMOUR RESIDENTIAL REIT, Inc. Company Update October 14, 2014
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
Slide 3: ARMOUR Portfolio & Hedge Update
ARMOUR Portfolio & Hedge Update 3 As described in our September 17, 2014 Monthly Company Update, ARMOUR sold approximately $3 billion of 15yr MBS securities in the first ten days of September. These transactions will settle in November and December 2014. Therefore, these assets have been removed fro
Slide 4: 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. • Hedge positions are marked-to-market daily (GAAP/Tax differences). • Non-Execut
Slide 5: Balance Sheet Targets
ARMOUR Balance Sheet Targets ARMOUR invests in Agency mortgage securities. Net balance sheet weighted average duration target of 1.5 or less. • 3.70 gross asset duration. • -4.01 hedge duration. • -0.31 net balance sheet duration. Hedge a minimum of 40% of assets and funding rate risk. • $11.1 billi
Slide 6: Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 6 Diversify Broadly • Diversification limits idiosyncratic pool risk. • Over 1300 cusips. Highly Liquid Assets • Purchase those Agency securities that are highly liquid (easily traded and priced). • ARMOUR purchases “pass-through” securities.
Slide 7: Portfolio and Derivatives Overview
ARMOUR Portfolio and Derivatives Overview 7 Duration estimates are derived from third-party software. Actual realized yields, durations and net durations described herein will depend on a number of factors that cannot be predicted with certainty. If rates decline, the value of our derivatives will t
Slide 8: Hedge Detail
ARMOUR Hedge Detail 8 Information as of 10/10/2014. Some totals may not foot due to rounding. Derivative Type Remaining Term Weighted Average Remaining Term (Months) Notional Amount (millions) Weighted Average Rate Interest Rate Swap 0-12 Months 8 905.0$ 1.12 Interest Rate Swap 13-24 Months 18 2,925
Slide 9: Constant Prepayment Rates (CPR)
ARMOUR Portfolio Constant Prepayment Rates (“CPR”) 9 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 twelve
Slide 10: REPO Composition
ARMOUR REPO Composition 10 (1) ARMOUR has signed MRAs with 37 counterparties. Information as of 10/10/2014. Some totals may not foot due to rounding. 1 J.P. Morgan Securities LLC 1,177.8$ 7.6% 189 32 115 2 Merrill Lynch, Pierce, Fenner & Smith Inc. 1,086.4$ 7.0% 88 22 46 3 Wells Fargo Bank, N.A. 999
Slide 11: ARMOUR Residential REIT, Inc. contact details
11 www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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