Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (April 2015)
12 slides from Armour Residential Reit's corporate update, Apr 16, 2015
Slide 1: ARMOUR Residential REIT Company Update
ARMOUR RESIDENTIAL REIT, Inc. Company Update April 15, 2015
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: Monthly Commentary
Monthly Commentary 3 In our March 24th Monthly Company Update we addressed our outlook for Core earnings and our hedging strategy. We estimated that we were not quite earning $0.03 a month during Q1, as we maintained our relatively large and expensive swap position. We believe our early estimates wi
Slide 4: Monthly Commentary
Monthly Commentary 4 Today, 88.0% of the Company’s REPO balance is covered by swaps and 74.2% of the Company’s assets are covered by swaps. However, not all of the swaps pay immediately - forward starting swaps represent 28.9% of the Company’s entire swap position. The forward starting swaps begin t
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.(1) • Hedge positions are marked-to-market daily (GAAP/Tax differences). • Non-Exe
Slide 6: 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. • 3.90 gross asset duration. • -3.78 hedge duration. • 0.11 net balance sheet duration. Hedge a minimum of 40% of assets and funding rate risk. • $12.0 billio
Slide 7: Portfolio Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 7 Diversify Broadly • Diversification limits idiosyncratic pool risk. • Over 1300 cusips. Highly Liquid Assets • Purchase those Agency securities that are highly liquid (easily traded and priced). • ARMOUR purchases “pass-through” securities.
Slide 8: Portfolio and Derivatives Overview
ARMOUR Portfolio and Derivatives Overview 8 Duration estimates are derived from third-party software. Actual realized yields, durations and net durations described herein will depend on a number of factors that cannot be predicted with certainty. If rates decline, the value of our derivatives will t
Slide 9: Hedge Detail
ARMOUR Hedge Detail 9 Information as of 4/14/2015. Some totals may not foot due to rounding. Derivative Type Remaining Term Weighted Average Remaining Term (Months) Notional Amount (millions) Weighted Average Rate Interest Rate Swap 0-12 Months 9 2,625.0$ 1.10 Interest Rate Swap 13-24 Months 15 900.
Slide 10: Portfolio Constant Prepayment Rates (CPR)
ARMOUR Portfolio Constant Prepayment Rates (“CPR”) 10 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
Slide 11: REPO Composition
ARMOUR REPO Composition 11 (1) ARMOUR has signed MRAs with 41 counterparties. Information as of 4/14/2015. Some totals may not foot due to rounding. 1 BNP Paribas Securities Corp. 1,097.1$ 7.9% 145 115 198 2 Merrill Lynch, Pierce, Fenner & Smith Inc. 1,043.3$ 7.5% 88 43 63 3 J.P. Morgan Securities L
Slide 12: ARMOUR Residential REIT, Inc. contact details
12 www.armourreit.com ARMOUR Residential REIT, Inc. 3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340
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