Thornburg Mortgage — Debt Investor Presentation (April 2008)
14 slides from Thornburg Mortgage's debt investor presentation, Apr 2, 2008
Slide 1: FBR Capital Markets March 2008
Exhibit 99.1 FBR Capital Markets March 2008
Slide 2: Forward-looking statements
Certain matters discussed in this presentation may constitute forward-looking statements within the meaning of the federal securities laws. These forward- looking statements are based on current expectations, estimates and projections, and are not guarantees of future performance, events or results.
Slide 3: Transaction Summary
Transaction Summary Security Senior Subordinated Secured Notes and Prepaid Cash Settlement Agreement Investment Amount $1,350,000,000 Timing Week of March 24, 2008 Interest 18%, payable in cash semi-annually in arrears Interest Rate Change Interest payable on the Notes will decrease to 12% per annum
Slide 4: Company Update
Company Update At March 6, 2008, the Company had outstanding margin calls of $610 million Effective on March 19, 2008, Thornburg Mortgage entered into an Override Agreement with its lender group to revise repo credit terms and stabilize its financing position On March 25, 2008, Thornburg Mortgage an
Slide 5: Transaction Overview
Transaction Overview $1.35 billion in capital being raised – $1.15 billion Senior Subordinated Secured Notes for a cash price of $1.05 billion – $100 million to purchase a Prepaid Cash Settlement Account relating to the repo book – $200 million of additional Senior Subordinated Secured Notes for a c
Slide 6: Prepaid Cash Settlement Agreement
Prepaid Cash Settlement Agreement Represents 100% of the cash flow from return of principal in the repo book less repo financing Principal deferral for 364 days pursuant to the Override Agreement Will be redeemed by the company and cease to have effect in exchange for the Additional Warrants upon sa
Slide 7: Investment Considerations
Investment Considerations MatlinPatterson committed to $450 million and seeking co-investors Upon raising the capital, no further contingencies to be able to implement transaction The Company will cease paying dividends on all outstanding shares of its preferred stock If the transaction does not clo
Slide 8: Override Agreement
Override Agreement Executed 364-day agreement with the following reverse repo counterparties: Bear Stearns Citigroup Credit Suisse RBS Greenwich Capital UBS Together, these parties will represent 100% of all reverse repos outstanding The Override Agreement supersedes all reverse repos and swap agree
Slide 9: Override Agreement (cont'd.)
Override Agreement (cont’d.) Additional Thornburg Mortgage Requirements Capital Raise: must raise net proceeds of $948 million in new capital Warrant Grant: Lenders receive 47 million warrants with exercise price of $0.01 Limit on New Leverage: Company may not enter into new repurchase, securities l
Slide 10: Pro Forma Balance Sheet
Pro Forma Balance Sheet Merrill CP Paydown / Capital Pro-Forma Restated 10-KA Est 3/24/2008 Transaction Restr Cash Raise Transaction ARM Assets Repo Book - FACE 13,488,904 8,618,447 (646,672) (334,578) 350,000 7,987,197 Repo Book - Carrying Value 12,895,392 6,916,924 (696,043) (275,825) 350,000 6,29
Slide 11: ARM Repo Collateral Performance
ARM Repo Collateral Performance Data Collateral Type Credit Enhancement Rating and Current Face % Current Repo Proceeds Dealer Market Wavg Price WAvg Deal Wavg Original Wavg Current Wavg 60+ Days Wavg Duration Wavg Collateral Wavg Collateral Type Collateral Face Value Closing Year Credit Credit Deli
Slide 12: Sources & Uses
Sources & Uses Sources: Proceeds from offering $1,350 billion Uses: Margin Calls & Auction Swaps $530 million Liquidity Fund $350 million Preferred Tender $200 million Deficiencies to be Satisfied $50 - $60 million Transaction Fees $60 million Total uses $1,190 – 1,200 million Working Capital $150 -
Slide 13: Solid Fundamentals in an Unstable Market
Solid Fundamentals in an Unstable Market… Excellent credit quality portfolio Portfolio duration of greater than 8 months allows us to benefit from falling financing rates Reduced competition among third party sourced loan originators improves mortgage lending profitability …Leads to great mortgage o
Slide 14: Opportunity
Opportunity Investors participate in full equity upside as market conditions improve – Substantial recoveries between par value and current market price – Additional upside as the stock trades with franchise value or a normalized dividend yield TMA well positioned to take advantage of market conditi
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