Slide 1: Forward looking statements
Forward looking statements 2 When used in this presentation 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
Slide 2: Executive summary
Executive summary In this low interest rate environment, we continue to generate attractive returns from residential credit mortgage assets. In the first quarter we generated EPS and dividend per share of $0.20. MFA continued to acquire credit sensitive loans and 3 year step-up RPL/NPL securities in
Slide 3: Annualized MFA Shareholder Return
4 Time Period Annualized MFA Shareholder Return (1) Since 2000 14.4% 10 Year 13.0% 5 Year 10.6% Through volatile markets and both interest rate and credit cycles, MFA has generated strong long term returns to investors (1) As of 3/31/16 assuming reinvestment of dividends
Slide 4: 2016 MFA strategy
Invest in high value-added assets Generate returns from investment in credit sensitive residential mortgage assets MFA’s credit assets continue to perform well. Legacy Non-Agency MBS Credit Reserve has been reduced by $23.0 million over the past 12 months. Acquire assets with less interest rate sens
Slide 5: First Quarter investment flows
First Quarter investment flows Our assets run off, due to amortization, paydowns or sale, allowing reinvestment opportunities in changing interest rate and credit environments. $ in Millions 6 December 31, 2015 1st Quarter Runoff 1st Quarter Acquisitions MTM and other changes March 31, 2016 1st Quar
Slide 6: MFA's yields and spreads remain attractive
MFA’s yields and spreads remain attractive 7 First Quarter 2016 Fourth Quarter 2015 Third Quarter 2015 Yield on Interest Earning Assets 4.23% 4.15% 4.05% Net Interest Rate Spread 2.18% 2.22% 2.24% Debt Equity Ratio 3.4x 3.4x 3.3x EPS $0.20 $0.19 $0.20
Slide 7: Yields and spreads by asset type
Yields and spreads by asset type 8 Quarter Ended March 31, 2016 Asset Yield/Return Cost of Funds Net Spread Debt/Net Equity Ratio Agency MBS 2.07 % (1.27)% 0.80% 8.1x Non-Agency MBS 7.61 % (2.86)% 4.75% 2.2x RPL/NPL MBS 3.97 % (2.07)% 1.90% 3.3x RPL Whole Loans 6.00 % (1) (2.80)% 3.20% 0.7x NPL Whol
Slide 8: Distributable Income / Items expected to impact future Taxable Income
Distributable Income / Items expected to impact future Taxable Income 9 As of March 31, 2016 MFA had undistributed REIT taxable income of $0.17 per share. Undistributed REIT taxable income at the end of the first quarter includes the impact of the unwind of a re-securitization financing structure wh
Slide 9: 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 10 Net Duration0.55 AssetsMarket ValueAverage CouponDuration Non-Agency ARMs (12 months or less MTR)$2,5093.03%0.5 Non-Agency Hybrid (13-48 MTR)$1305.03%1.0 NPL/RPL Securities$2,4963.78%0.4 Non-Agency Fixed Rate$1,1815.81
Slide 10: Book value down 4% primarily due to fair value changes
Book value down 4% primarily due to impact of fair value changes in legacy Non-Agency MBS and Swap hedges 11 Book value per common share as of 12/31/15 $7.47 Net income available to common shareholders 0.20 Common dividend declared during the quarter (0.20) Net change attributable to Agency MBS 0.03
Slide 11: First Quarter Non-Agency MBS impact on MFA book value
First Quarter Non-Agency MBS impact on MFA book value 12 Impact Per Share(1) Impact of change in market prices $(0.12) Realized gains from asset sales: Reallocation from OCI to Retained Earnings $(0.03) Discount Accretion: Primarily income in excess of coupon on Non-Agency MBS purchased at a discoun
Slide 12: Positive fundamentals for residential mortgage credit and home prices
While economic growth rate is uncertain, there are many positive fundamentals for residential mortgage credit and home prices 13 Strong fundamental and technical support for residential credit assets and home prices Sales of existing homes rose 5.5% in March 2016 to 5.3 million* Median existing sing
Slide 13: Continued growth in Credit Sensitive Loan portfolio
Continued growth in Credit Sensitive Loan portfolio 14 Re-Performing and Non-Performing Loan Portfolio $ in Millions At today’s market prices, re-performing and non-performing residential mortgage loans generate higher yields than residential MBS. Residential whole loans are qualifying interests for
Slide 14: Credit Sensitive Residential Whole Loans: Growing asset class for MFA
15 Early results indicate returns to date are consistent with our expectation of 5-7% 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 out
Slide 15: First Quarter RPL/NPL MBS holdings
First Quarter RPL/NPL MBS holdings 16 Portfolio yields have increased 3.97% yield in Q1 2016 vs 3.70% yield in Q4 2015 Recent purchases have been at yields above 4.25% Some deals have 24 month step-ups (vs. 36 month step-ups) As of March 31, 2016 Fair Value mm Net Coupon Months to Step-Up Current Cr
Slide 16: LTV breakdown of non-delinquent mortgage loans underlying Legacy Non-Agency MBS
LTV breakdown of non-delinquent mortgage loans underlying MFA’s Legacy Non-Agency MBS These loans are up to date on all required mortgage payments. Underlying loans are ten years seasoned on average. Source: CoreLogic Data as of March 31, 2016
Slide 17: Summary
Summary 18 We continue to utilize our expertise to identify and acquire attractive credit sensitive residential mortgage assets. Continued to acquire credit sensitive mortgage loans and 3 Year step-up RPL/NPL securities during the quarter. Our credit sensitive assets continue to perform well. MFA is
Slide 18: Summary
Summary We continue to utilize our expertise to identify and acquire attractive credit sensitive residential mortgage assets. Continued to acquire credit sensitive mortgage loans and 3 Year step-up RPL/NPL securities during the quarter. * Our credit sensitive assets continue to perform well. MFA is