Slide 1: Fourth Quarter 2014 Earnings Presentation
Fourth Quarter 2014 Earnings Presentation
Slide 2: Forward Looking Statements
Forward Looking Statements 2 When used in this press release or other written or oral communications, statements which are not historical in nature, including those containing words such as “will,” “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may” or simila
Slide 3: Executive Summary
Executive Summary In this low interest rate environment, we continue to identify and acquire attractive credit sensitive residential mortgage assets. In the fourth quarter we generated EPS and dividend per share of $0.20. We remain positioned for a more flexible monetary policy by the Federal Reserv
Slide 4: Fourth Quarter Investment Update
Fourth Quarter Investment Update 4 We approximately doubled our holdings of MBS backed by re-performing/non-performing loans (RPL/NPL MBS) to $2.0 billion. (1) Our credit sensitive residential whole loan holdings, acquired through our interests in consolidated trusts, grew to $351.4 million. MFA’s p
Slide 5: MFA's Yields and Spreads Remain Attractive
MFA’s Yields and Spreads Remain Attractive 5 GAAP Non-GAAP (1) Third Quarter 2014 Fourth Quarter 2014 Third Quarter 2014 Fourth Quarter 2014 Yield on Interest Earning Assets 4.12% 4.24% 4.11% 4.15% Net Interest Rate Spread 2.30% 2.41% 2.30% 2.36% Debt Equity Ratio 2.7x 2.8x 3.0x 3.3x The Information
Slide 6: Book Value Declined Less Than 2% in the Fourth Quarter
Book Value Declined Less Than 2% in the Fourth Quarter 6 Book value per common share as of 9/30/14 $ 8.28 Net income available to common shareholders 0.20 Common dividend declared during the quarter (0.20) Net change attributable to Agency MBS 0.05 Net change attributable to Non-Agency MBS(1) (0.15)
Slide 7: MFA's Interest Rate Sensitivity Remains Below 1.0, as Measured by Net Duration
MFA’s Interest Rate Sensitivity Remains Below 1.0, as Measured by Net Duration 7 Assets Market Value* Average Coupon Duration Non-Agency ARMs (12 months or less MTR) $2,758 2.65% 0.5 Non-Agency Hybrid (13-48 MTR) $538 5.08% 1.0 NPL/RPL Securities $2,008 3.55% 0.6 Non-Agency Fixed Rate $1,472 5.81% 3
Slide 8: Discount Accretion is Now More than Double Agency MBS Premium Amortization
Legacy Non-Agency MBS Discount Accretion is Now More than Double Agency MBS Premium Amortization 9 MFA's Agency MBS Premium Amortization and Legacy Non-Agency MBS Discount Accretion by quarter Millions ($)
Slide 9: Doubled Holdings of RPL/NPL MBS in the Fourth Quarter
Doubled Holdings of RPL/NPL MBS in the Fourth Quarter 10 Low Duration Deal structures contain a coupon step-up of 300 basis points after 36 months. Issuer can call bonds after 12 months. We expect that the securities will be redeemed prior to the step-up date. Low Credit Risk Average credit enhancem
Slide 10: Credit Fundamentals on MFA's Non-Agency MBS Continue to Improve
Credit Fundamentals on MFA’s Legacy Non-Agency MBS Continue to Improve Home price appreciation and mortgage amortization continue to decrease the LTV ratio for many of the mortgages underlying MFA’s Legacy Non-Agency MBS portfolio. As a result, we have lowered our estimate of future losses within MF
Slide 11: LTV Breakdown of Non-Delinquent Mortgage Loans Underlying MFA's Non-Agency MBS
LTV Breakdown of Non-Delinquent Mortgage Loans Underlying MFA’s Legacy Non-Agency MBS 12 These loans are up to date on all required mortgage payments. Underlying loans are nine years seasoned on average. Source: CoreLogic $ In Millions LTV
Slide 12: Credit Reserve of $916 Million on a Current Face of $5.23 Billion
13 Credit Reserve of $916 Million on a Current Face of $5.23 Billion Future estimated losses are due to: Realized losses from liquidations of defaulted loans. Principal losses from the use of principal to pay interest on fixed rate bonds collateralized by loans receiving rate reduction modifications
Slide 13: Credit Sensitive Residential Whole Loans: Growing Asset Class for MFA
Credit Sensitive Residential Whole Loans: Growing Asset Class for MFA Utilizes the same residential mortgage credit expertise we have employed in Legacy Non-Agency MBS since 2008 Ability to oversee servicing decisions (loan modifications, short sales, etc.) to produce better NPV outcomes Residential
Slide 14: Credit Sensitive Residential Whole Loans: Growing Asset Class for MFA
Credit Sensitive Residential Whole Loans: Growing Asset Class for MFA 15 At today’s market prices, re-performing and non-performing residential mortgage loans generate higher yields than residential mortgage-backed securities. MFA has opportunistically acquired over 2,300 whole loans -- across 10 tr