Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (August 2017)
11 slides from Armour Residential Reit's corporate update, Aug 15, 2017
Slide 1: ARMOUR Residential REIT Company Update 8/15/2017
ARMOUR RESIDENTIAL REIT, Inc. Company Update 8/15/2017
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: 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 ARMOUR Key Metrics 3 Market Date 5/31/17 6/30/17 7/31/17 Common Stock Price $25.99 $25.00 $25.26 Estimated Book Value $26.90 $26.40 $26.71 Common Shares Outstanding(1) 36,7
Slide 4: Overview, Transparency and Governance, Dividend Policy, Capitalization
ARMOUR Overview Transparency and Governance 4 ARMOUR REIT Manager Common Stock Dividend Policy Capitalization Information as of 7/31/2017. • Total Capitalization of $1,297.8 million composed of: ◦ Estimated book value of common stock of $1,102.0 million. ◦ Preferred stock par value of $195.8 million
Slide 5: Balance Sheet Metrics
ARMOUR Balance Sheet Metrics ARMOUR invests in mortgage securities. Current allocation of equity in repo is: • 58.3% in Agency securities. • 41.7% in Non-Agency securities. 0.93 net balance sheet duration. • 3.63 gross asset duration. • (2.70) hedge duration. $5.1 billion in hedges (interest rate sw
Slide 6: Portfolio Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 6 Non-Agency Structure Analysis • Seniority, subordination model. • Model completeness and accuracy. • Litigation and policy risks. Agency & Non-Agency Class Analysis • Prepayment history. • Prepayment expectations. • Premium/discount. • Liquidity
Slide 7: Agency & Non-Agency Portfolio
ARMOUR Agency & Non-Agency Portfolio 7 Information as of 7/31/2017. 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 Current Value (mil
Slide 8: Hedge Portfolio
ARMOUR Hedge Portfolio 8 Information as of 7/31/2017. 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 6 $ 100.0 0.73 Interest Rate Swap 13-24 Months — $ —
Slide 9: REPO Composition
ARMOUR REPO Composition 9 (1) ARMOUR has 45 lending counterparties. Information as of 7/31/2017. 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 T
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, Inc. 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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