Mfa Financial, Inc. · NYSE:MFA
Mfa Financial — Investor Presentation (September 2011)
16 slides from Mfa Financial's investor presentation, Sep 26, 2011
Slide 1: MFA Financial, Inc. – September 26, 2011
September 26, 2011 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: Experienced Management Team Focused on Residential MBS Opportunities
4 Non-Agency MBS remain available at significant discounts to par value. Agency MBS continue to benefit from a steep yield curve. Our goal remains to generate double-digit ROEs with appropriate levels of leverage. Experienced Management Team Focused on Residential MBS Opportunities
Slide 5: 15.9% Annual Return Since January 2000
5 15.9% Annual Return Since January 2000 Total Return* Source: Bloomberg *Includes reinvestment of dividends through June 30, 2011 Total Return* MFA S&P 500 Financials S&P 500 Dec-99 Nov-00 Nov-01 Nov-02 Nov-03 Nov-04 Nov-05 Nov-06 Nov-07 Nov-08 Nov-09 Nov-10 500 400 300 200 100 0 -100
Slide 6: MFA Asset Allocation Strategy
6 MFA Asset Allocation Strategy Investment in Residential MBS Including Both Agency MBS and Non-Agency MBS At June 30, 2011 Total ($ in Millions) Amortized Cost $ 7,095 $ 4,137 $ 526 $ $ 11,726 Market Value $ 7,295 $ 4,249 $ 526 $ (32) $ 12,038 Less Repurchase Agreement Borrowings (6,304) (1,792) -
Slide 7: MFA Asset Allocation Strategy – Time to Reset
7 MFA Asset Allocation Strategy Investment in Residential MBS Including Both Agency MBS and Non-Agency MBS (1) Adjusted for the impact of Linked Transactions. See Annex 1 for a reconciliation of non-GAAP financial measures. (2) MTR or Months To Reset is the number of months remaining before the coup
Slide 8: MFA Strategy – Non-Agency MBS
8 MFA owns $4.2 billion market value of Non-Agency MBS. These Non-Agency MBS have an average amortized cost of 74% of par. In the second quarter of 2011, these assets generated a loss adjusted yield of 7.86% on an unlevered basis. These high yielding assets are less sensitive to changes in the yield
Slide 9: MFA Strategy – Non-Agency MBS Credit Risk Mitigation
9 MFA Strategy – Non-Agency MBS Deeply discounted purchase price, substantial credit reserve and 6.0% credit enhancement mitigate credit risk * Includes $225.4 million fair value of Non-Agency MBS underlying Linked Transactions. Non-Agency MBS are presented on a non-GAAP basis. For a GAAP reconcilia
Slide 10: Non-Agency MBS – 20 Largest Positions
10 Projections assume defaults in excess of delinquent mortgages Non-Agency MBS – 20 Largest Positions Data as of August 30, 2011. FICO scores as of deal origination date. % of Total Portfolio Collateral Type FICO WALA Credit Support (%) 60+ DQ (%) Projected Defaults (%) Projected Principal Recovery
Slide 11: June 2011 Re-securitization
11 11 $1.283 billion re-securitization completed in June 2011. $474.9 million of AAA rated bonds issued to third party investors at 1Mo LIBOR + 125 bps. $808.6 million face amount of three classes of senior support certificates acquired by MFA together with $474.9 million notional amount of interest
Slide 12: Non-Agency Leverage includes Repo and Re-securitization
12 Non-Agency Leverage includes Repo and Re-securitization Non-Agency MBS Non-Agency Leverage is approximately 2x (debt to equity) This $1 billion of Securitized Debt is permanent financing Non-recourse to the general credit of MFA No mark-to-market No margin calls Un-encumbered Non-Agencies of appr
Slide 13: MFA Financial, Inc.
MFA FINANCIAL, INC
Slide 14: Reconciliations of Non-GAAP Financial Measures – Annex 1
Information pertaining to MFA’s Non-Agency MBS that are a component of Linked Transactions are reconciled below as of and for the three months ended June 30, 2011 with the most directly comparable financial measure calculated in accordance with GAAP, as follows: 15 Reconciliations of Non-GAAP Financ
Slide 15: Annex 1 (cont'd)
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 16: MFA Financial, Inc.
MFA FINANCIAL, INC
MFA Financial — Investor Presentation (September 2011) on 6ix