Mfa Financial, Inc. · NYSE:MFA
Mfa Financial — Investor Presentation (February 2012)
18 slides from Mfa Financial's investor presentation, Feb 2, 2012
Slide 1: MFA Financial, Inc. February 2012
February 2012 FINANCIAL, INC
Slide 2: Forward-looking statements
2 When used in this presentation or other written or oral communications, statements that are not historical in nature, including those containing words such as “will,” “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “could,” “would,” “may” or similar expressio
Slide 3: MFA is an internally managed REIT investing in Agency and Non-Agency Residential MBS
3 MFA is an internally managed REIT positioned to benefit from investment in both Agency and Non-Agency Residential MBS
Slide 4: Investment opportunities exist in RMBS, particularly Non-Agency
4 Investment opportunities exist in RMBS, particularly in the Non-Agency sector. Agency MBS investment returns continue to benefit from a steep yield curve. Despite governmental actions, refinancing rates are not spiking. In this period of economic uncertainty, our goal remains to generate double-di
Slide 5: Total Return
[LOGO] Total Return* 500 400 300 200 100 0 -100 Dec-99 Dec-00 Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 MFA S&P 500 Financials S&P 500 Source: Bloomberg *Through December 31, 2011. Includes reinvestment of dividends.
Slide 6: MFA Asset Allocation Strategy
6 MFA Asset Allocation Strategy Information presented with respect to Non-Agency MBS, related repurchase agreement borrowings and resulting totals are presented on a Non-GAAP basis. For a GAAP reconciliation of such items, see Annex 1. Represents borrowings under repurchase agreements, securitized d
Slide 7: MFA Strategy – Agency MBS
7 Low premium exposure: Portfolio average amortized cost basis is 102.6%. MFA’s Agency MBS portfolio has limited exposure to HARP 2.0: The majority of MFA’s securities that could be affected have underlying mortgages that are currently in their interest-only period (limiting the incentive to refinan
Slide 8: MFA Strategy – Non-Agency MBS
8 MFA owned $4.1 billion market value of Non-Agency MBS with an average amortized cost of 73% of par. In the third quarter of 2011, these assets generated a loss adjusted yield of 7.29% on an unlevered basis. These assets are less sensitive to changes in the yield curve and interest rates. Returns o
Slide 9: Example of Loss-Adjusted Yield
9 Example of Loss-Adjusted Yield In general, MFA’s yields are based on estimated future cash flows utilizing credit assumptions similar to those used in the slow speed, loss-adjusted illustration. MFA Strategy – Non-Agency MBS For Illustrative Purposes Only Prepay Scenario Price Coupon Defaults Seve
Slide 10: MFA Strategy – Non-Agency MBS: Credit Reserve Estimates
10 MFA Strategy – Non-Agency MBS While Housing Fundamentals Remain Weak, We Have Factored This Into Our Credit Reserve Estimates* Credit enhancement: Average credit enhancement of 5.7% absorbs realized losses before the securities owned by MFA are impacted. Discounted purchase price: On average, cap
Slide 11: Deeply Discounted Purchase Price, Substantial Credit Reserve and Credit Enhancement
11 MFA Strategy – Non-Agency MBS Deeply Discounted Purchase Price, Substantial Credit Reserve and 5.7% Credit Enhancement mitigate Credit Risk * Information regarding Non-Agency MBS is presented on a non-GAAP basis. For a GAAP reconciliation of such items, see Annex 1. Non-Agency Portfolio As of Sep
Slide 12: Non-Agency MBS – Largest Positions
12 Non-Agency MBS – 20 Largest Positions * * Data as of September 30, 2011. FICO scores as of deal origination date. Projections Assume Continued Housing Market Weakness with Defaults Well in Excess of Currently Delinquent Mortgages % of Total Portfolio Collateral Type FICO WALA Credit Support (%) 6
Slide 13: Non-Agency Portfolio Financed with Repo, Equity and Securitized Debt
13 Non-Agency Portfolio Financed with Repo, Equity and Securitized Debt * Non-Agency MBS Equity and Securitized Debt is permanent financing No mark-to-market No margin calls * All amounts presented as of September 30, 2011 Market Value of Non-Agency MBS $4.1 Billion Financing Repo $1.8 Billion Equit
Slide 14: Adding Financing Structures that Reduce Reliance on Short-Term Repo
14 Non-Agency MBS We are Adding Financing Structures that Reduce our Reliance on Short-Term Non-Agency MBS Repurchase Arrangements In the Fourth Quarter of 2011, we entered into a three-year collateralized financing arrangement that effectively provided $300 million of financing for Non-Agency MBS.
Slide 15: MFA Financial, Inc. summary
15 MFA Financial, Inc. Internally managed. Goal is to generate double-digit returns on equity. 14.5% annual return since 2000 (including reinvestment of dividends). While housing fundamentals do remain weak, we believe this has been appropriately factored into our cash flow projections and credit re
Slide 16: MFA Financial, Inc.
MFA FINANCIAL, INC
Slide 17: Annex 1 – Reconciliations of Non-GAAP Financial Measures
The table below reconciles MFA’s Non-Agency MBS and related repurchase agreement borrowings and securitized debt on a GAAP basis to reflect on a combined basis its Non-Agency MBS and related repurchase agreements underlying its Linked Transactions, which is a Non-GAAP financial measure. Based on thi
Slide 18: MFA Financial, Inc.
MFA FINANCIAL, INC
MFA Financial — Investor Presentation (February 2012) on 6ix