UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
______________
FORM 8-K
______________
CURRENT REPORT PURSUANT
TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported): March 22, 2010
ARMOUR Residential REIT, Inc.
(Exact Name of Registrant as Specified in Its Charter)
Maryland | 001-33736 | 26-1908763 |
(State or Other Jurisdiction of Incorporation) | (Commission File Number) | (I.R.S. Employer Identification No.) |
956 Beachland Blvd., Suite 11 Vero Beach, Florida | 32963 |
(Address of Principal Executive Offices) | (Zip Code) |
(772) 617-4340
(Registrant’s Telephone Number, Including Area Code)
n/a
(Former Name or Former Address, if Changed Since Last Report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below):
[_]
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
[_]
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17CFR 240.14a-12)
[_]
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
[_]
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Item 7.01.
Regulation FD Disclosure.
Commencing on March 22, 2010, ARMOUR Residential REIT, Inc. ("ARMOUR") will be making presentations to certain investors. Attached as Exhibit 99.1 to this report is the form of investor presentation to be used by ARMOUR in its presentations.
The investor presentation attached to this report as Exhibit 99.1 is furnished pursuant to this Item 7.01 and shall not be deemed filed in this or any other filing of ARMOUR under the Securities Exchange Act of 1934, as amended, unless expressly incorporated by specific reference in any such filing.
Item 9.01.
Financial Statements and Exhibits.
(c) Exhibits
Exhibit No. | Description |
|
|
99.1 | Investor Presentation |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Dated: March 22, 2010
ARMOUR RESIDENTIAL REIT, INC.
By: /s/ Jeffrey J. Zimmer
Name: Jeffrey J. Zimmer
Title: Co-Chief Executive Officer, President and Vice Chairman
Exhibit Index
Exhibit No. | Description |
|
|
99.1 | Investor Presentation |
Exhibit 99.1
ARMOUR RESIDENTIAL REIT, Inc. |
PLEASE READ: Important Regulatory and Yield Estimate Risk Disclosures |
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-looking statements made within the meaning of Section 21E of the Securities Exchange Act of 1934. Any statements that are not statements of historical fact (including statements containing the words “believes,” “plans,” “anticipates,” “expects,” “estimates” and similar expressions) should also be considered forward-looking statements. Forward-looking statements include but are not limited to statements regarding the projections for the ARMOUR business, and plans for future growth and operational improvements. A number of important factors could cause actual results or events to differ materially from those indicated by such forwardlooking statements ARMOUR assumes no obligation to update the information looking statements. in this communication, except as otherwise required by law. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date hereof.
This material is for information purposes only and does not constitute an offer to sell, a solicitation of an offer to buy, or a recommendation for any securities, financial instruments, or common or privately issued stock. The statements, information and estimates contained herein are based on information that the presenter believes to be reliable as of today's date, but cannot be represented that such statements, information or estimates are complete or accurate.
Actual realized yields, durations and net durations described herein will depend on a number of factors that cannot be predicted with certainly. Estimated yields do not reflect any of the costs of operation of ARMOUR.
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ARMOUR Portfolio and Balance Sheet Highlights |
• Portfolio and Balance Sheet Highlights
— ARMOUR was 100% invested as of January 26, 2010.
— ARMOUR has an Agency mortgage portfolio valued at $180.37 million (1).
• Highly diversified assets in over 100 different securities (cusips).
— Gross asset duration is currently estimated at 2.03.
— Net balance sheet duration is currently estimated at 1.13.
— REPO borrowings total $167.42 million.
— Debt to equity ratio (2) = 7.79x.
— Eurodollar Futures to replicate swaps total $61.0 million (38.1% of non‐true ARMS).
— Cash on hand & short term principal & interest receivables: $11.57 million.
• Dividend and Earnings Update
— On March 5, 2010, ARMOUR declared a dividend of $0.40 per share payable in the last week of
April 2010. Approximately $0.37 is estimated Q1 2010 ‘core’ earnings and approximately $0.03 is
estimated from gain on sale.
— The $0.40 of taxable earnings represents an annualized return on equity of 17.2% based on an
estimated 12/31/2009 book value per share of $9.32.
(1) Based on third party pricing.
(2) Based on estimated book value of $21,491,096 (or $9.32 per share).
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|
ARMOUR REIT Portfolio Information as of 3/15/2010 (1) ARMOUR REIT Portfolio Composition (2) ARMOUR REIT Interest Rate Hedges Composition (3) ARMOUR REIT REPO Composition (4) Listing of ARMOUR REIT Counter‐Parties to Date |
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ARMOUR REIT Agency Only Portfolio Composition |
Agency Asset Class |
| Current Value |
| Percentage of Total Portfolio |
|
|
|
|
|
True ARMS (0-18 Months to Reset) | $ | 20,111,053 |
| 11.1% |
Hybrids (19 Months and Longer to Reset) | $ | 118,124,757 |
| 65.5% |
Seasoned 15 & 20 Year Pass-Throughs | $ | 17,891,274 |
| 9.9% |
Low Loan Balance 15 Year Pass-Throughs | $ | 24,249,559 |
| 13.4% |
Total | $ | 180,376,643 |
| 100.0% |
March Forward Settlement Trades, Included in Information Presented Above | $ | 7,781,027 |
|
|
Agency Type |
| Current Value |
| Percentage of Total Portfolio |
|
|
|
|
|
Freddie Mac | $ | 78,829,578 |
| 43.7% |
Fannie Mae | $ | 87,735,236 |
| 48.6% |
Ginnie Mae | $ | 13,811,829 |
| 7.7% |
Total | $ | 180,376,643 |
| 100.0% |
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ARMOUR REIT Hybrid and True ARM Class Composition |
Hybrid Index |
Current Value | Percentage of Hybrid | |
|
|
| |
1 Year CMT |
$ |
30,059,221 | 25.4% |
12 Month Libor |
$ |
82,924,538 | 70.2% |
6 Month Libor |
$ |
2,942,515 | 2.5% |
10 Yr CMT |
$ |
2,198,483 | 1.9% |
|
|
| |
Total |
$ |
118,124,757 | 100.0% |
Weighted Average Months to Reset |
57.1 |
|
True ARM Type |
Current Value | Percentage of True | |
|
|
| |
MTA |
$ |
4,704,908 | 23.4% |
6 Month Treasury Bills |
$ |
1,500,460 | 7.5% |
1 Year CMT |
$ |
3,272,295 | 16.3% |
6 Month Libor |
$ |
1,144,483 | 5.7% |
12 Month Libor |
$ |
9,101,529 | 45.3% |
COFI |
$ |
387,378 | 1.9% |
|
|
| |
Total |
$ |
20,111,053 | 100.0% |
Weighted Average Months to Reset |
7.6 |
|
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ARMOUR REIT Portfolio Coupons, Yields, Duration and Market Prices |
Agency Asset Class | Weighted | Estimated | Estimated | Weighted |
|
|
|
|
|
True ARMS (0-18 Months to Reset) | 4.59% |
2.00% | 0.31 | 103.45% |
Hybrids (19 Months and Longer to Reset) | 4.64% |
3.00% | 2.08 | 104.23% |
Seasoned 15 & 20 Year Pass-Throughs | 4.92% |
3.50% | 2.34 | 104.71% |
Low Loan Balance 15 Year Pass-Throughs | 4.82% |
3.20% | 2.97 | 105.63% |
Totals | 4.69% |
2.96% | 2.03 | 104.38% |
Yield and Duration estimates are derived from functions available from Bloomberg Finance L.P.
Yield and Duration estimates are derived using the asset current price.
Actual realized yields, durations and net durations described herein will depend on a number of factors that cannot
be predicted with certainly. Estimated yields do not reflect any of the costs of operation of ARMOUR.
Market prices for our securities are obtained from independent third party sources.
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ARMOUR REIT Portfolio Constant Prepayment Rates (CPR) |
|
Portfolio Prepayment Information (1) | |
|
|
Month | Weighted Average Annualized Constant Prepayment Rate |
|
|
December 2009 | 8.6% |
January 2010 | 12.9% |
February 2010 | 10.0% |
March 2010 | 20.7% |
| |
NOTE: ARMOUR expenses amortization p as it occurs. | |
| |
(1) 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 months based on historical principal paydowns. | |
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ARMOUR REIT Eurodollar Hedge Composition (used to replicate swaps) |
Eurodollar Futures to |
| Notional Amount | Weighted Average Rate | Duration | Longest Maturity in Months |
|
|
|
|
|
|
March 2012 | $ | 21,000,000 | 1.186% | 1.75 | 24 |
March 2013 | $ | 21,000,000 | 1.809% | 2.70 | 36 |
March 2014 | $ | 19,000,000 | 2.439% | 3.60 | 48 |
Total or Weighted Average | $ | 61,000,000 | 1.791% | 2.65 | 35.6 |
Balance Sheet Duration |
| Amount | Estimated | Duration Effect on Balance Sheet |
|
|
|
|
|
Agency Assets | $ | 180,376,643 | 2.03 | 2.03 |
Eurodollar Bundles | $ | 61,000,000 | 2.65 | -2.65 |
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|
Estimated Balance Sheet Duration | 1.13 | |||
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NOTE: As rates go down the value of the Eurodollar Bundles will decline. Inversely, as rates go up, the value of the Eurodollar Bundles will increase. | ||||
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ARMOUR REIT REPO |
REPO Counter‐Party |
| Principal Borrowed | Percentage of REPO Positions with ARMOUR | Weighted Average Rate |
Hair Cut |
Longest Maturity in Days |
|
|
|
|
|
| |
Goldman Sachs | $ | 54,348,000 | 32.5% | 0.230% |
5% |
14 |
MF Global | $ | 54,099,000 | 32.3% | 0.280% |
5% |
66 |
Nomura | $ | 26,733,197 | 16.0% | 0.230% |
5% |
11 |
State Street Securities | $ | 25,957,000 | 15.5% | 0.300% |
6% |
88 |
Jefferies & Company | $ | 6,286,000 | 3.8% | 0.400% |
5% |
39 |
Total or Weighted Average | $ | 167,423,197 | 100.0% | 0.263% |
5.16% |
43 |
ARMOUR currently has eight counter-party signed Master
Repurchase Agreements, with more close to being finalized.
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www.armourreit.com |
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