Javelin Mortgage Investment Corp

Javelin Mortgage Investment — Corporate Update (October 2015)

14 slides from Javelin Mortgage Investment's corporate update, Oct 21, 2015

  1. Slide 1: JAVELIN Mortgage Investment Corp. Company Update

    JAVELIN Mortgage Investment Corp. Company Update October 21, 2015

  2. Slide 2: Important Regulatory and Yield Risk Disclosures

    PLEASE READ: Important Regulatory and Yield Risk Disclosures Certain statements made in this presentation regarding JAVELIN Mortgage Investment Corporation (“JAVELIN” or the “Company”), and any other statements regarding JAVELIN’s future expectations, beliefs, goals or prospects constitute forward-l

  3. Slide 3: Commentary

    Commentary During the third quarter, Agency MBS continued to widen on an OAS basis (chart below) and payer swap spread yields traded inside of U.S. Treasury ten year notes. It is quite unusual for these events to occur at once, but in these times of central bank intervention, many unusual events hav

  4. Slide 4: Monthly Metrics

    JAVELIN Monthly Metrics 4 (1) Some of the data may be based on information preceding the date of the report (i.e., closing prices). (2) Portion of the dividend payable has been subtracted from the book value range based on accrual throughout the month. (3) Leverage does not include TBA dollar rolls

  5. Slide 5: Capitalization, Dividend Policy, Transparency and Manager

    JAVELIN Capitalization, Dividend Policy, Transparency and Manager • Portfolio and liability details are updated monthly at www.javelinreit.com. • Agency premium amortization is expensed monthly as it occurs.(1) • Hedge positions are marked-to-market daily (GAAP/Tax differences). • Non-Executive Boar

  6. Slide 6: Balance Sheet Targets

    JAVELIN Balance Sheet Targets JAVELIN invests in Agency and Non-Agency mortgage securities. Balance sheet target of 1.5 or less. • 3.89 gross asset duration of Agency and Non-Agency securities. • -3.87 hedge duration. • 0.02 net balance sheet duration. Hedge a minimum of 40% of fixed rate assets and

  7. Slide 7: Investment Equity Allocation

    JAVELIN Investment Equity Allocation 7 Estimates as of 10/16/2015 and does not include forward settling trades. Equity allocation is based on market value of unlevered securities plus haircut on repurchase agreements. Allocation does not include equity invested in cash and hedges.

  8. Slide 8: Portfolio Strategy and Investment Methodology

    JAVELIN Portfolio Strategy and Investment Methodology  JAVELIN will utilize ACM’s proprietary analytical approach as well as Intex, Bloomberg, BlackRock Solutions and other third- party systems to analyze mortgage investment opportunities both for Agency and Non-Agency mortgage securities.  Strong

  9. Slide 9: Agency & Non-Agency Portfolio

    JAVELIN Agency & Non-Agency Portfolio Duration 9 Information and pricing as of 10/16/2015. Some totals may not foot due to rounding. Agency Multifamily Ballooning in 120 Months or Less 16.6% 158.4$ 102.2% 104.7% 3.19/4.38 7.26 Fixed Rates Maturing Between 0 and 120 Months 0.2% 2.2$ 105.5% 107.0% 3.5

  10. Slide 10: Hedge Portfolio

    JAVELIN Hedge Portfolio 10 Information and pricing as of 10/16/2015. Some totals may not foot due to rounding. Current Paying Remaining Term Weighted Average Remaining Term (Months) Notional Amount (millions) Weighted Average Rate Interest Rate Swap 0-12 Months 0 -$ 0.00 Interest Rate Swap 13-24 Mon

  11. Slide 11: Balance Sheet Hedge Metrics

    JAVELIN Balance Sheet Hedge Metrics 11 (1) The duration contribution to the balance sheet is based on effective duration and market value. Information and pricing as of 10/16/2015. Some totals may not foot due to rounding. Agency Assets 3.69 Non-Agency Legacy Assets 0.02 Non-Agency New Issue Assets

  12. Slide 12: Agency Portfolio Constant Prepayment Rates (CPR)

    JAVELIN Agency Portfolio Constant Prepayment Rates (“CPR”) 12 JAVELIN 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 n

  13. Slide 13: Agency & Non-Agency Repo Composition

    JAVELIN Agency & Non-Agency Repo Composition 13 (1) JAVELIN has 29 lending counterparties. Information as of 10/16/2015. Some totals may not foot due to rounding. Wells Fargo Securities 117.6$ 13.6% 30 12 12 ICBC Financial Services LLC 95.7$ 11.1% 54 37 88 Mitsubishi UFJ Securities (USA), Inc. 94.4$

  14. Slide 14: 3001 Ocean Drive Suite Vero Beach, FL 32963 772-617-4340 14

    3001 Ocean Drive Suite 201 Vero Beach, FL 32963 772-617-4340 14

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