Slide 1: Third Quarter 2014 Earnings Presentation
Third 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 investments within our targeted residential mortgage credit universe. In the third quarter we generated EPS and dividend per share of $0.20. We remain positioned for a more flexible monetary polic
Slide 4: Third Quarter Investment Update
Third Quarter Investment Update 4 We substantially grew our holdings of MBS backed by re-performing/non-performing loans (RPL/NPL MBS) by 91% to $943 million. (1) Our credit sensitive residential whole loan holdings, acquired through a consolidated trust, grew by 89% to $113 million. MFA’s portfolio
Slide 5: Despite Changing Interest Rates and Prepayment Speeds, MFA's Key Metrics Remain Generally Consistent
Despite Changing Interest Rates and Prepayment Speeds, MFA’s Key Metrics Remain Generally Consistent 5 Third Quarter 2013 Fourth Quarter 2013 First Quarter 2014 Second Quarter 2014 Third Quarter 2014 Yield on Interest Earning Assets 4.05% 4.26% 4.32% 4.26% 4.12% Net Interest Rate Spread 2.24% 2.34%
Slide 6: Book Value Declined 1% in the Third Quarter
Book Value Declined 1% in the Third Quarter 6 Book Value per common share as of 6/30/14 $ 8.37 Net Income available to common shareholders 0.20 Common Dividend declared during the quarter (0.20) Net change attributable to Agency MBS (0.04) Net change attributable to Non-Agency MBS(1) (0.11) Net chan
Slide 7: MFA's Interest Rate Sensitivity as Measured by Net Duration, Remains Below 1.0
MFA’s Interest Rate Sensitivity as Measured by Net Duration, Remains Below 1.0 7 Assets Market Value* Average Coupon Duration Non-Agency ARMs (12 months or less MTR) $2,670 2.52% 0.5 Non-Agency Hybrid (12-48 MTR) $643 5.18% 1.0 NPL/RPL Securities $943 3.37% 0.7 Non-Agency Fixed Rate $1,603 5.79% 3.6
Slide 8: Investment in Residential Mortgage Assets Including Agency MBS, RPL/NPL MBS and Whole Loans
Investment in Residential Mortgage Assets Including Agency MBS, Legacy Non-Agency MBS, RPL/NPL MBS and Credit Sensitive Residential Whole Loans 8 Information with respect to Non-Agency MBS and RPL/NPL MBS, related repurchase agreement borrowings and resulting totals is presented on a non-GAAP basis,
Slide 9: Increased Our Holdings of RPL/NPL MBS by 91% in the Third Quarter
Increased Our Holdings of RPL/NPL MBS by 91% in the Third Quarter 9 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 cred
Slide 10: Credit Fundamentals on MFA's Legacy Non-Agency Portfolio 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 portfolio. As a result, we have lowered our estimate of future losses within MFA’s
Slide 11: LTVs on MFA's Legacy Non-Agency Portfolio Continue to Decline
LTVs on MFA’s Legacy Non-Agency MBS Continue to Decline 11 Weighted average LTVs of MFA’s Legacy Non-Agency Portfolio continue to trend downward The amount of loans in the portfolio that are underwater is decreasing Lower LTVs lessen the likelihood of defaults and simultaneously decrease loss severi
Slide 12: LTV Breakdown of Non-Delinquent Mortgage Loans Underlying MFA's Portfolio
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 eight years seasoned on average Source: CoreLogic
Slide 13: Credit Reserve of $929 Million on a Current Face of $5.33 Billion
13 Credit Reserve of $929 Million on a Current Face of $5.33 Billion Through September 30, 2014, MFA’s annualized loss run-rate is currently running below $100 MM. Future estimated losses are due to: Realized losses from liquidations of defaulted loans. Principal losses from the use of principal to