Armour Residential Reit, Inc. · NYSE:ARR
Armour Residential Reit — Corporate Update (August 2016)
12 slides from Armour Residential Reit's corporate update, Aug 16, 2016
Slide 1: ARMOUR Residential REIT Company Update August 16, 2016
ARMOUR RESIDENTIAL REIT, Inc. Company Update August 16, 2016
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 Monthly Metrics
ARMOUR Monthly Metrics 3 Report Date(1) 6/21/2016 7/20/16 8/16/2016 Common Stock Price $19.33 $20.47 $22.35 Estimated Book Value(2) $25.12 $26.23 $27.17 Common Shares Outstanding 36,759,245 36,758,291 36,758,291 Preferred A Shares Outstanding 2,180,572 2,180,572 2,180,572 Preferred B Shares Outstand
Slide 4: Capitalization, Dividend Policy, Transparency and Manager Transparency and Governance
ARMOUR Capitalization, Dividend Policy, Transparency and Manager Transparency and Governance 4 ARMOUR REIT Manager Common Stock Dividend Policy Capitalization Information as of 08/12/16. • 36,758,291 shares of common stock outstanding (NYSE: “ARR”). (1) • 2,180,572 shares of Series A Preferred Stock
Slide 5: Balance Sheet Metrics
ARMOUR Balance Sheet Metrics ARMOUR invests in mortgage securities. Current allocation of equity in repo is: • 59.6% in Agency securities. • 40.4% in Non-Agency securities. 0.76 net balance sheet duration. • 3.08 gross asset duration. • (2.32) hedge duration. $5.4 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 08/12/16. 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 % of Portfolio Current Value (mil
Slide 8: ARMOUR Balance Sheet Hedge Metrics
8 ARMOUR Balance Sheet Hedge Metrics Repo Amount (millions) Total Hedge % Agency Fixed Rate Assets2 $9,830.3 55.0% Agency Fixed Rate Asset Repo Balance2 $6,986.0 77.4% Total Duration Contributionto Balance Sheet (1) Agency Assets 3.03 Non-Agency Assets 0.05 Interest Rate Swaps -2.32 Net Balance Shee
Slide 9: Hedge Portfolio
ARMOUR Hedge Portfolio 9 Information as of 08/12/16. Some totals may not foot due to rounding. Current Pay Remaining Term Weighted Average Remaining Term (Months) Notional Amount (millions) Weighted Average Rate Interest Rate Swap 0-12 Months 11 $ 150.0 0.54 Interest Rate Swap 13-24 Months 16 $ 600.
Slide 10: Monthly Portfolio Constant Prepayment Rate
10 Monthly Portfolio Constant Prepayment Rate 12 11 10 9 8 7 6 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 8.2 6.5 7.2 10.0 9.6 9.9 10.6 9.6 August 2016 Agency Asset CPR 25 20 15 10 5 0 AR Ms & Hy bri ds 10 Ye ar Pa ss- Th rou gh s
Slide 11: REPO Composition
ARMOUR REPO Composition 11 (1) ARMOUR has 41 lending counterparties. Information as of 08/12/16. 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 Te
Slide 12: 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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