Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Barclays Global Financial Services Conference 2014
11 slides from Armour Residential Reit's conference presentation, Sep 5, 2014
Slide 1: Barclays Global Financial Services Conference September 8, 2014
ARMOUR RESIDENTIAL REIT, Inc. Barclays Global Financial Services Conference September 8, 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: 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 4: 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. • 3.71 gross asset duration. • -3.24 hedge duration. • 0.47 net balance sheet duration. Hedge a minimum of 40% of assets and funding rate risk. • $16.1 billio
Slide 5: Strategy and Investment Methodology
ARMOUR Portfolio Strategy and Investment Methodology 5 Diversify Broadly • Diversification limits idiosyncratic pool risk. • Over 1350 cusips. Highly Liquid Assets • Purchase those Agency securities that are highly liquid (easily traded and priced). • ARMOUR purchases “pass-through” securities.
Slide 6: Composition
ARMOUR Portfolio Composition 6 Information as of 8/29/2014. Portfolio value is based on independent third-party pricing. Portfolio information includes all forward settling trades. Some totals may not foot due to rounding. Agency Multifamily Ballooning in 120 Months or Less 722.9$ 4.3% 3.39/4.71 Fix
Slide 7: Constant Prepayment Rates (CPR)
ARMOUR Portfolio Constant Prepayment Rates (“CPR”) 7 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 8: Assets and Derivatives Duration Detail
ARMOUR Portfolio and Derivatives Duration Detail 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
Slide 9: Hedge Detail
ARMOUR Hedge Detail 9 Information as of 8/29/2014. 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 9 830.0$ 1.17 Interest Rate Swap 13-24 Months 19 3,000.
Slide 10: REPO Composition
ARMOUR REPO Composition 10 (1) ARMOUR has signed MRAs with 37 counterparties. Information as of 8/29/2014. Some totals may not foot due to rounding. 1 J.P. Morgan Securities LLC 1,214.7$ 7.9% 196 65 157 2 Merrill Lynch, Pierce, Fenner & Smith Inc. 1,195.8$ 7.7% 106 53 82 3 Wells Fargo Bank, N.A. 1,0
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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