Slide 1: First Quarter 2014 Earnings Presentation
First Quarter 2014 Earnings Presentation
Slide 2: Forward-looking statements
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 similar expressions, are intended t
Slide 3: Executive Summary
3 MFA continues to generate consistent and attractive results in this low interest rate environment. EPS and dividend per share of $0.20. Well positioned for a more flexible monetary policy by the Federal Reserve that is responsive to measures of labor markets, inflation and other economic data. Lev
Slide 4: Despite Changing Interest Rates and Prepayment Speeds, MFA's Key Metrics Remain Generally Consistent
4 Despite Changing Interest Rates and Prepayment Speeds, MFA’s Key Metrics Remain Generally Consistent First Quarter 2013 Second Quarter 2013 Third Quarter 2013 Fourth Quarter 2013 First Quarter 2014 Yield on Interest Earning Assets 4.02% 4.01% 4.05% 4.26% 4.32% Net Interest Rate Spread 2.32% 2.38%
Slide 5: Book Value Increased in the First Quarter due Primarily to the Appreciation of Non-Agency Assets
5 Book Value Increased in the First Quarter due Primarily to the Appreciation of Non-Agency Assets Book Value per common share as of 12/31/13 $ 8.06 Net Income available to common shareholders 0.20 Q4 Common Dividend declared during the quarter (0.20) Net change in value of Agency MBS 0.05 Net chang
Slide 6: MFA's Interest Rate Sensitivity as Measured by Net Duration, Remains Below 1.0
6 MFA’s Interest Rate Sensitivity as Measured by Net Duration, Remains Below 1.0 Assets Market Value* Average Coupon Duration Non-Agency ARMs (12 months or less MTR) $2,748 2.63% 0.5 Non-Agency Hybrid (12-48 MTR) $959 5.21% 1.2 Non-Agency Fixed Rate $1,603 5.80% 3.5 Agency ARMs (12 months or less MT
Slide 7: Information with respect to Non-Agency MBS and RPL/NPL MBS, related repurchase agreement borrowings and
7 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, as it includes $68.6 million of Non-Agency MBS, $196.9 million of RPL/NPL MBS and $206.0 million of repurchase agreements underlying "Linked Tr
Slide 8: Credit Fundamentals on MFA's 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 Non-Agency portfolio. As a result, we have lowered our estimate of future losses within MFA’s Non-Agency MBS portfolio. In the first quarter, $35.9 million was transferred
Slide 9: LTVs on MFA's Non-Agency MBS Continued to Decline
Weighted average LTV of MFA’s Non-Agency Portfolio continued to trend downward The amount of loans in the portfolio that are underwater is decreasing Lower LTV’s lessen the likelihood of defaults and simultaneously decrease loss severities Data as of 3/31/14 Source: Loan Performance LTVs on MFA’s No
Slide 10: LTV Breakdown of Non-Delinquent Mortgage Loans Underlying MFA's Non-Agency MBS
10 These loans are up to date on all required mortgage payments Underlying loans are eight years seasoned on average Source: CoreLogic LTV Breakdown of Non-Delinquent Mortgage Loans Underlying MFA’s Non-Agency MBS
Slide 11: Improving Credit: Current to 60 Days Delinquency Transition Rate Has Trended Down
11 Improving Credit: Current to 60 Days Delinquency Transition Rate for MFA’s Non-Agency Portfolio has Trended Down Source: CoreLogic MFA’s Non-Agency Portfolio Current to 60 Days Delinquency Transition Rate as of March 31, 2014
Slide 12: Improving Credit: Yet Substantial Credit Reserves
Non-Agency Portfolio as of March 31, 2014 Current Face $5,742 MFA maintains a substantial credit reserve of $1.0 billion. Credit assumption changes would impact earnings over time. Dollars in millions 12 Improving Credit: Yet Substantial Credit Reserves