Published on August 3, 2010
|
MFA
FINANCIAL,
INC.
350
Park Avenue
New
York, New York 10022
|
|
| PRESS RELEASE | FOR IMMEDIATE RELEASE | |
| August 3, 2010 | NEW YORK METRO | |
| CONTACT: |
MFA Investor
Relations
800-892-7547
www.mfa-reit.com
|
NYSE: MFA |
MFA
Financial, Inc.
Announces
Second Quarter 2010 Financial Results
MFA
Financial, Inc. (NYSE:MFA) today announced financial results for the quarter
ended June 30, 2010. Recent
financial results and other significant highlights for MFA include:
|
·
|
Second
quarter net income per common share of $0.16 and Core Earnings (as defined
below) per common share of $0.18.
|
|
·
|
Book
value was $7.61 per common share at the end of the second
quarter.
|
|
·
|
In
the second quarter, Non-Agency residential MBS (“Non-Agency MBS”)
(including MBS underlying MBS Forwards) held by MFResidential Assets I,
LLC (“MFR LLC”) generated, on an unlevered basis, a loss-adjusted yield of
10.3%.
|
|
·
|
Based
on MFR LLC Non-Agency MBS asset performance exceeding prior expectations,
$81.0 million of the purchase discount on these assets was reallocated in
the second quarter from credit reserve into accretable discount. Together
with coupon interest, accretable discount is recognized as interest income
over the life of the asset. Therefore, we expect that this $81.0 million
will be reflected in income over the life of these Non-Agency
MBS.
|
|
·
|
Agency
MBS prepayment rates are expected to decline in the third
quarter.
|
|
·
|
It
is currently anticipated that Core Earnings per common share will increase
in the third quarter due to both the expected decline in Agency MBS
prepayment rates leading to lower premium amortization expense and
continued reinvestment of cash received from MBS principal
repayments.
|
For the
second quarter ended June 30, 2010, MFA generated net income available to common
stock of $46.3 million, or $0.16 per share of common stock. For the
second quarter, Core Earnings (as defined below) were $51.3 million, or $0.18
per share of common stock. “Core Earnings” for the quarter represents
a non-GAAP financial measure which reflects net income excluding impairment
losses and changes in the unrealized net gains on MBS Forwards. On
July 1, 2010, MFA announced its second quarter 2010 dividend of $0.19 per share
of common stock, which was paid on July 30, 2010 to stockholders of record as of
July 12, 2010.
Stewart
Zimmerman, MFA’s Chairman of the Board and CEO, said, “MFA continues to provide
stockholders with attractive returns through appropriately leveraged investments
in residential MBS. Second quarter 2010 results were negatively
impacted by extremely high Agency MBS prepayment rates, due primarily to
programs instituted by the GSEs to buyout 120+ day delinquent loans in their
Agency MBS pools. For the second quarter of 2010, our weighted
average Agency MBS prepayment rate as measured by CPR was 42.7%, compared to
25.6% for the first quarter of 2010. Prepayments on MBS acquired at a
premium reduce earnings as the premium is amortized based on
prepayments. With the completion of the initial implementation of the
buyout programs, we believe that our Agency MBS prepayment rates will decline in
the third quarter. Our goal remains to position MFA to generate
double-digit returns on equity over time, and we continue to take advantage of
investment opportunities by identifying and acquiring Non-Agency MBS with
superior loss-adjusted yields at prices significantly below par.”
William
Gorin, MFA’s President and CFO, added, “By blending Non-Agency and Agency MBS,
we seek to generate attractive returns with both reduced leverage and decreased
sensitivity to prepayments. In the second quarter, we grew our
Non-Agency MBS portfolio through the purchase of $332.7 million of Non-Agency
MBS (including $51.1 million of MBS underlying MBS Forwards). We
currently project that over half of our third quarter Core Earnings will be
generated by Non-Agency MBS. In the second quarter, we acquired
$1.469 billion of Agency MBS, including $232.5 million of newer production
15-year amortizing MBS. These Agency MBS purchases more than offset
the Agency MBS prepayments experienced during the second quarter. The
average cost basis of MFA’s Agency MBS portfolio was 101.5% of par at June 30,
2010.”
MFA has
substantially reduced its reliance on leverage through repurchase
financings. As of June 30, 2010, MFA’s debt-to-equity multiple was
2.8x versus 4.8x as of June 30, 2009. By utilizing less leverage, MFA
believes that future earnings will be less sensitive to changes in interest
rates and the yield curve.
With a
focus on quantifying and pricing credit risk and expected return in the asset
selection process, MFA continues to take advantage of the investment
opportunities in Non-Agency MBS. At June 30, 2010, MFR LLC held
Non-Agency MBS (including Non-Agency MBS underlying MBS Forwards) with a fair
value of $1.810 billion. These Non-Agency MBS had a face amount of
$2.502 billion, an amortized cost of $1.623 billion (64.9% of face amount) and a
purchase discount of $878.8 million. This discount consists of a $629.7 million
credit reserve and a $249.1 million accretable discount. In addition, at June
30, 2010, these Non-Agency MBS had structured credit enhancement of 8.4%. This
structured credit enhancement, along with the highly discounted purchase price,
mitigates MFA’s risk of loss on these investments. Unlike MFA’s
Agency MBS, due to their discounted purchase prices, the return on Non-Agency
MBS will increase if the prepayment rates on these securities trend
up.
During
the second quarter of 2010, MFA’s interest-earning asset portfolio net yield was
4.42%, its cost of funds was 2.34%, and its portfolio spread was 2.08%
(including MBS underlying MBS Forwards, the net yield was 4.59%, the cost of
funds was 2.31% and the portfolio spread was 2.28%). In the second
quarter, MFA recognized in earnings, impairment losses of $5.4 million on six of
its Legacy Non-Agency MBS, which are comprised of Non-Agency MBS that were
purchased directly by MFA prior to July 2007. MFA’s book value per
common share as of June 30, 2010 includes a negative interest rate swap
valuation of $167.7 million from existing interest rate hedges. As of
June 30, 2010, under our swap agreements, MFA had an average fixed pay rate of
interest of 3.86% and a floating receive rate of 0.38% on notional balances
totaling $3.176 billion, with an average maturity of 25 months. In
the second quarter of 2010, MFA’s costs for compensation and benefits and other
general and administrative expenses were $6.2 million.
In the
second quarter, MFA continued to implement its asset allocation
strategy. MFA anticipates that the majority of its assets will
continue to be whole pool Agency MBS. MFA’s repo financing continues
to be provided from multiple sources. The following table presents
our asset allocation as of June 30, 2010 and the second quarter 2010 yield, cost
of funds and spread for our various asset types.
|
ASSET
ALLOCATION
|
(1)
|
||||||||||||||||||||||||||
|
At
June 30, 2010
|
Agency
MBS
|
MFR
MBS
|
(2)
|
Legacy Non-Agency
MBS
|
Cash
|
(3)
|
Other,
net
|
(4)
|
Total
|
||||||||||||||||||
|
($
in Millions)
|
|||||||||||||||||||||||||||
|
Amortized
Cost
|
$
|
6,171
|
$
|
1,623
|
$
|
236
|
$
|
575
|
$
|
43
|
$
|
8,648
|
|||||||||||||||
|
Asset
Fair Value
|
$
|
6,386
|
$
|
1,810
|
$
|
198
|
$
|
575
|
$
|
43
|
$
|
9,012
|
|||||||||||||||
|
Less
Repurchase Agreements
|
(5,573)
|
(929)
|
(114)
|
-
|
-
|
(6,616)
|
|||||||||||||||||||||
|
=
Equity Allocated
|
$
|
813
|
$
|
881
|
$
|
84
|
$
|
575
|
$
|
43
|
$
|
2,396
|
|||||||||||||||
|
Swaps
at Fair Value
|
-
|
-
|
-
|
-
|
(168)
|
(168)
|
|||||||||||||||||||||
|
=
Net Equity Allocated
|
$
|
813
|
$
|
881
|
$
|
84
|
$
|
575
|
$
|
(125)
|
$
|
2,228
|
|||||||||||||||
|
Debt/Net
Equity Ratio (5)
|
|
6.9
|
x
|
1.1
|
x
|
1.4
|
x
|
-
|
-
|
3.0
|
x
|
||||||||||||||||
|
For the Quarter Ended June 30,
2010
|
|||||||||||||||||||||||||||
|
Yield
on Assets
|
3.61
|
%
|
10.30
|
%
|
5.37
|
%
|
0.07
|
%
|
4.59
|
%
|
|||||||||||||||||
|
Less
Cost of Funds
|
2.41
|
(6)
|
1.72
|
2.14
|
-
|
2.31
|
|||||||||||||||||||||
|
Spread
|
1.20
|
%
|
8.58
|
%
|
3.23
|
%
|
0.07
|
%
|
2.28
|
%
|
|||||||||||||||||
|
(1) Information
presented with respect to MFR MBS, related repurchase agreement borrowings
and resulting totals are presented on a non-GAAP basis. See the
accompanying Reconciliation of Non-GAAP Financial
Measures.
|
|||||||||||||||||||||||||||
|
(2)
Includes Non-Agency MBS and repurchase agreements underlying MBS
Forwards. The purchase of a Non-Agency MBS and repurchase
financing of this MBS with the same counterparty are considered part of
the same arrangement, or a “linked transaction.” The two
components of a linked transaction (MBS purchase and repurchase financing)
are not reported separately but are netted together and reported as a
derivative instrument, specifically as a forward contract which is
reported on MFA's consolidated balance sheet as MBS
Forwards.
|
|||||||||||||||||||||||||||
|
(3)
Includes cash, cash equivalents and restricted cash.
|
|||||||||||||||||||||||||||
|
(4)
Includes interest receivable, real estate, goodwill, prepaid and other
assets, interest payable, interest rate swap agreements at fair value,
dividends payable and accrued expenses and other
liabilities.
|
|||||||||||||||||||||||||||
|
(5)
Represents repurchase agreements as a multiple of net equity
allocated.
|
|||||||||||||||||||||||||||
|
(6)
Includes effect of Swaps.
|
|||||||||||||||||||||||||||
MFA takes
into account both coupon resets and expected prepayments when measuring the
sensitivity of its MBS portfolio to changing interest rates. MFA’s MBS are
primarily hybrids which have an initial fixed interest rate for a specified
period of time and, thereafter, generally reset annually. In
measuring its assets-to-borrowing repricing gap (“Repricing Gap”), MFA measures
the difference between: (a) the weighted average months until coupon
adjustment or projected prepayment on its MBS portfolio; and (b) the months
remaining on its repurchase agreements including the impact of interest rate
swap agreements. Assuming a 15% constant prepayment rate (“CPR”), as
of June 30, 2010, the weighted average time to repricing or assumed prepayment
for MFA’s MBS portfolio was approximately 29 months and the average term
remaining on its repurchase agreements, including the impact of interest rate
swaps, was approximately 13 months, resulting in a Repricing Gap of
approximately 16 months (including MBS and repurchase agreements underlying MBS
Forwards). The weighted average prepayment speed on MFA’s MBS portfolio
(including MBS underlying MBS Forwards) was 35.9% CPR during the second quarter
of 2010.
Stockholders
interested in participating in MFA’s Discount Waiver, Direct Stock Purchase and
Dividend Reinvestment Plan (the “Plan”) or receiving a Plan prospectus may do so
by contacting The Bank of New York Mellon, the Plan administrator, at
1-866-249-2610 (toll free). For more information about the Plan,
interested stockholders may also go to the website established for the Plan at
http://www.bnymellon.com/shareowner/isd or visit MFA’s website at
www.mfa-reit.com.
MFA will
hold a conference call on Tuesday, August 3, 2010, at 10:00 a.m. (New York City
time) to discuss its second quarter 2010 financial results. The
number to dial in order to listen to the conference call is (800) 762-7308 in
the U.S. and Canada. International callers must dial (480)
629-9025. The replay will be available through Tuesday, August 10,
2010 at 11:59 p.m., and can be accessed by dialing (800) 475-6701 in the U.S.
and Canada or (320) 365-3844 internationally and entering access
code: 166842. The conference call will also be webcast
over the internet and can be accessed at http://www.mfa-reit.com through the
appropriate link on MFA’s Investor Information page or, alternatively, at
http://www.ccbn.com. To listen to the call over the internet, go to
the applicable website at least 15 minutes before the call to register and to
download and install any needed audio software.
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
“believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,”
“should,” “may” or similar expressions, are intended to identify
“forward-looking statements” within the meaning of Section 27A of the Securities
Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934,
as amended, and, as such, may involve known and unknown risks, uncertainties and
assumptions. Statements regarding the following subjects, among others, may be
forward-looking: changes in interest rates and the market value of MFA’s MBS;
changes in the prepayment rates on the mortgage loans securing MFA’s MBS; MFA’s
ability to borrow to finance its assets; implementation of or changes in
government regulations or programs affecting MFA’s business; MFA’s ability to
maintain its qualification as a REIT for federal income tax purposes; MFA’s
ability to maintain its exemption from registration under the Investment Company
Act of 1940; and risks associated with investing in real estate assets,
including changes in business conditions and the general economy. These and
other risks, uncertainties and factors, including those described in the annual,
quarterly and current reports that MFA files with the Securities and Exchange
Commission, could cause MFA’s actual results to differ materially from those
projected in any forward-looking statements it makes. All forward-looking
statements speak only as of the date on which they are made. New risks and
uncertainties arise over time and it is not possible to predict those events or
how they may affect MFA. Except as required by law, MFA is not obligated to, and
does not intend to, update or revise any forward-looking statements, whether as
a result of new information, future events or otherwise.
MFA
FINANCIAL, INC.
CONSOLIDATED
BALANCE SHEETS
|
June
30,
|
December
31,
|
|||||||
|
2010
|
2009
|
|||||||
|
(In
Thousands, Except Per Share Amounts)
|
(Unaudited)
|
|||||||
|
Assets:
|
||||||||
|
Agency
mortgage-backed securities (“MBS”), at fair value ($6,076,860
and
|
||||||||
|
$7,597,136
pledged, respectively)
|
$ | 6,385,570 | $ | 7,664,851 | ||||
|
Non-Agency
MBS, at fair value ($1,030,954 and $240,694 pledged,
respectively)
|
1,564,021 | 1,093,103 | ||||||
|
Cash
and cash equivalents
|
531,543 | 653,460 | ||||||
|
Restricted
cash
|
43,393 | 67,504 | ||||||
|
Forward
contracts to repurchase MBS (“MBS Forwards”), at fair
value
|
104,031 | 86,014 | ||||||
|
Interest
receivable
|
34,641 | 41,775 | ||||||
|
Real
estate, net
|
10,883 | 10,998 | ||||||
|
Goodwill
|
7,189 | 7,189 | ||||||
|
Prepaid
and other assets
|
3,063 | 2,315 | ||||||
|
Total
Assets
|
$ | 8,684,334 | $ | 9,627,209 | ||||
|
Liabilities:
|
||||||||
|
Repurchase
agreements
|
$ | 6,274,220 | $ | 7,195,827 | ||||
|
Accrued
interest payable
|
7,770 | 13,274 | ||||||
|
Mortgage
payable on real estate
|
- | 9,143 | ||||||
|
Interest
rate swap agreements, at fair value
|
167,679 | 152,463 | ||||||
|
Dividends
and dividend equivalents rights payable
|
487 | 76,286 | ||||||
|
Accrued
expenses and other liabilities
|
6,021 | 11,954 | ||||||
|
Total
Liabilities
|
$ | 6,456,177 | $ | 7,458,947 | ||||
|
Commitments
and contingencies
|
||||||||
|
Stockholders'
Equity:
|
||||||||
|
Preferred
stock, $.01 par value; series A 8.50% cumulative
redeemable;
|
||||||||
|
5,000
shares authorized; 3,840 shares issued and
outstanding ($96,000
|
||||||||
|
aggregate
liquidation preference)
|
$ | 38 | $ | 38 | ||||
|
Common
stock, $.01 par value; 370,000 shares authorized;
|
||||||||
|
280,268
and 280,078 issued and outstanding, respectively
|
2,803 | 2,801 | ||||||
|
Additional
paid-in capital, in excess of par
|
2,182,444 | 2,180,605 | ||||||
|
Accumulated
deficit
|
(142,906 | ) | (202,189 | ) | ||||
|
Accumulated
other comprehensive income
|
185,778 | 187,007 | ||||||
|
Total
Stockholders’ Equity
|
$ | 2,228,157 | $ | 2,168,262 | ||||
|
Total
Liabilities and Stockholders’ Equity
|
$ | 8,684,334 | $ | 9,627,209 | ||||
MFA
FINANCIAL, INC.
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
Three
Months Ended
|
Six
Months Ended
|
||||||||||||||
|
June
30,
|
June
30,
|
||||||||||||||
|
(In
Thousands, Except Per Share Amounts)
|
2010
|
2009
|
2010
|
2009
|
|||||||||||
|
(Unaudited)
|
|||||||||||||||
|
Interest
Income:
|
|||||||||||||||
|
MBS
|
$ | 88,515 | $ | 126,477 | $ | 196,159 | $ | 258,630 | |||||||
|
Cash
and cash equivalent investments
|
112 | 260 | 165 | 871 | |||||||||||
|
Interest
Income
|
88,627 | 126,737 | 196,324 | 259,501 | |||||||||||
|
Interest
Expense
|
35,741 | 58,006 | 74,192 | 130,143 | |||||||||||
|
Net
Interest Income
|
52,886 | 68,731 | 122,132 | 129,358 | |||||||||||
|
Other-Than-Temporary
Impairments:
|
|||||||||||||||
|
Total
other-than-temporary impairment losses
|
(3,370 | ) | (76,586 | ) | (3,370 | ) | (78,135 | ) | |||||||
|
Portion
of loss (reclassified from)/recognized in other
|
(2,042 | ) | 69,126 | (2,042 | ) | 69,126 | |||||||||
|
comprehensive
income
|
|||||||||||||||
|
Net
Impairment Losses Recognized in Earnings
|
(5,412 | ) | (7,460 | ) | (5,412 | ) | (9,009 | ) | |||||||
|
Other
Income, Net:
|
|||||||||||||||
|
Gain
on MBS Forwards, net
|
7,197 | - | 19,997 | - | |||||||||||
|
Gain
on sale of MBS, net
|
- | 13,495 | 33,739 | 13,495 | |||||||||||
|
Revenue
from operations of real estate
|
357 | 384 | 731 | 767 | |||||||||||
|
Loss
on termination of repurchase agreements
|
- | - | (26,815 | ) | - | ||||||||||
|
Miscellaneous
other (loss)/income, net
|
- | (1 | ) | - | 43 | ||||||||||
|
Other
Income, Net
|
7,554 | 13,878 | 27,652 | 14,305 | |||||||||||
|
Operating
and Other Expense:
|
|||||||||||||||
|
Compensation
and benefits
|
4,053 | 3,612 | 8,421 | 7,114 | |||||||||||
|
Other
general and administrative expense
|
2,139 | 1,978 | 3,992 | 3,846 | |||||||||||
|
Real
estate operating expense, mortgage interest and
|
546 | 453 | 992 | 915 | |||||||||||
|
prepayment
penalty
|
|||||||||||||||
|
Operating
and Other Expense
|
6,738 | 6,043 | 13,405 | 11,875 | |||||||||||
|
Net
Income
|
48,290 | 69,106 | 130,967 | 122,779 | |||||||||||
|
Less: Preferred
Stock Dividends
|
2,040 | 2,040 | 4,080 | 4,080 | |||||||||||
|
Net
Income Available to Common Stock and
|
$ | 46,250 | $ | 67,066 | $ | 126,887 | $ | 118,699 | |||||||
|
Participating
Securities
|
|||||||||||||||
|
Income
Per Share of Common Stock:
|
|||||||||||||||
|
Basic
and Diluted
|
$ | 0.16 | $ | 0.30 | $ | 0.45 | $ | 0.53 | |||||||
|
Dividends
Declared Per Share of Common
|
|||||||||||||||
|
Stock
|
$ | 0.24 | $ | 0.22 | $ | 0.24 | $ | 0.22 | |||||||
Reconciliations
of Non-GAAP Financial Measures
This
press release contains disclosures related to MFA’s Core Earnings, Core Earnings
per common share, investments in Non-Agency MBS, and returns on such assets for
the three months ended June 30, 2010, which may constitute non-GAAP financial
measures within the meaning of Regulation G as promulgated by the Securities and
Exchange Commission. MFA’s management believes that these non-GAAP
financial measures presented in its press release, when considered together with
GAAP financial measures, provide information that is useful to investors in
understanding period-over-period operating results and balance sheet
composition. An analysis of any non-GAAP financial measure should be
used in conjunction with results presented in accordance with GAAP.
Core
Earnings and Core Earnings per common share for the quarter ended June 30, 2010
are not measures of performance in accordance with GAAP, as they exclude
impairment losses recognized through earnings and unrealized gains on MBS
underlying our MBS Forwards. These excluded items are difficult to
predict, and MFA believes that Core Earnings provides investors with a valuable
measure of the performance of the Company’s ongoing business. MFA’s
management believes that Core Earnings and Core Earnings per common share
provide useful supplemental information to both management and investors in
evaluating our financial results. Reconciliations of the GAAP items
discussed above to their non-GAAP measures for the three months ended June 30,
2010 are as follows:
|
Three
Months Ended June
30, 2010
|
||||||
|
(In
Thousands, Except Per Share Amount)
|
Reconciliation
|
Basic
and Diluted
EPS
|
||||
|
GAAP
Net Income Available to Common Stock and
|
$
|
46,250
|
$
|
0.16
|
||
|
Participating Securities/EPS
|
||||||
|
Non-GAAP
Adjustments:
|
||||||
|
Impairment Losses Recognized in Earnings
|
5,412
|
0.02
|
||||
|
Changes in Net Unrealized Gains on MBS Forwards
|
(374)
|
-
|
||||
|
Core
Earnings/Core Earnings per Common Share
|
$
|
51,288
|
$
|
0.18
|
||
|
Weighted
average common shares outstanding - basic
|
280,188
|
|||||
|
Weighted
average common shares outstanding - diluted
|
280,490
|
|||||
As
previously described, certain MFR MBS purchases are presented as linked
transactions in MFA’s GAAP financial statements for the quarter ended June 30,
2010. In assessing the performance of the MFR MBS portfolio, MFA’s
management does not view these transactions as linked, but rather views the
performance of the linked MBS and the related repurchase financing as it would
any other Non-Agency MBS that is not part of a linked
transaction. These non-GAAP financial measures enhance the ability of
investors to analyze the performance of MFA’s Non-Agency MBS in the same way
that MFA’s management assesses such assets. These Non-Agency
financial measures do not, however, take into account the effect of the
recognized changes in mark-to-market values in MFA’s earnings, which are
included in GAAP earnings, as a component of the net gain on MBS Forwards for
the periods presented.
Information
pertaining to MFA’s Non-Agency MBS that are a component of linked transactions
are reconciled below at and for the three months ended June 30, 2010 with the
most directly comparable financial measure calculated in accordance with GAAP,
as follows:
|
Adjustments
to Include
|
||||||||||||
|
Assets/Liabilities
|
||||||||||||
|
GAAP
Based
|
Underlying
MBS
|
Non-GAAP
|
||||||||||
|
(Dollars
in Thousands)
|
Information
|
Forwards
|
Presentation
|
|||||||||
|
At June 30, 2010:
|
||||||||||||
|
Repurchase
Agreement Borrowings (Debt)
|
$ | 6,274,220 | $ | 342,037 | (1) | $ | 6,616,257 | |||||
|
Stockholders'
Equity
|
$ | 2,228,157 | $ | 2,228,157 | ||||||||
|
Debt-to-Equity
(Debt/Stockholders' Equity)
|
2.8 | x | 3.0 | x | ||||||||
|
For the Three Months Ended June 30,
2010:
|
||||||||||||
|
Average
Interest Earning Assets
|
$ | 8,022,281 | $ | 421,187 | (2) | $ | 8,443,468 | |||||
|
Interest
Income
|
$ | 88,627 | $ | 8,225 | $ | 96,852 | ||||||
|
Yield
on Interest Earning Assets
|
4.42 | % | 7.81 | % | 4.59 | % | ||||||
|
Average
Repurchase Agreement Borrowings
|
$ | 6,129,448 | $ | 332,639 | (1) | $ | 6,462,087 | |||||
|
Interest
Expense
|
$ | 35,741 | $ | 1,402 | $ | 37,143 | ||||||
|
Cost
of Fund
|
2.34 | % | 1.69 | % | 2.31 | % | ||||||
|
Net
Interest Rate Spread
|
2.08 | % | 6.12 | % | 2.28 | % | ||||||
|
(1) Represents
borrowings under repurchase agreements underlying MBS
Forwards.
|
||||||||||||
|
(2) Represents Non-Agency
MBS underlying MBS Forwards.
|
||||||||||||
|
The
table below reconciles MFA’s MFR MBS and related repurchase agreement
borrowings on a GAAP basis to reflect on a combined basis its MFR MBS and
related repurchase agreements underlying its MBS Forwards, which is a
non-GAAP financial measure. In accordance with this non-GAAP
presentation, MFA has also presented certain resulting performance
measures on a non-GAAP basis.
|
|
Adjustments
to Include
|
|||||||||||
|
Assets/Liabilities
|
|||||||||||
|
GAAP
Based
|
Underlying
MBS
|
Non-GAAP
|
|||||||||
|
(Dollars
in Thousands)
|
Information
|
Forwards
(1)(2)
|
Presentation
|
||||||||
|
At June 30, 2010:
|
|||||||||||
|
Amortized
Cost of MFR MBS
|
$ | 1,189,207 | $ | 433,821 | $ | 1,623,028 | |||||
|
Fair
Value of MFR MBS
|
$ | 1,365,752 | $ | 444,257 | $ | 1,810,009 | |||||
|
Face/Par
Value of MFR MBS
|
$ | 1,981,173 | $ | 520,686 | $ | 2,501,859 | |||||
|
Purchase
Discount Designated as Credit Reserve
|
$ | (582,909 | ) | $ | (46,779 | ) | $ | (629,688 | ) | ||
|
Purchase
Discount Designated as Accretable
|
(209,057 | ) | (40,086 | ) | (249,143 | ) | |||||
|
Total
Purchase Discount of MFR MBS
|
$ | (791,966 | ) | $ | (86,865 | ) | $ | (878,831 | ) | ||
|
MFR
Repurchase Agreements
|
$ | 587,200 | $ | 342,037 | $ | 929,237 | |||||
|
For the Three Months Ended June 30,
2010:
|
|||||||||||
|
MFR
MBS Average Amortized Cost
|
$ | 1,089,384 | $ | 421,187 | $ | 1,510,571 | |||||
|
MFR
Average Repurchase Agreement Borrowings
|
$ | 585,870 | $ | 332,639 | $ | 918,509 | |||||
|
Coupon
Interest on MFR MBS
|
$ | 21,844 | $ | 5,655 | $ | 27,499 | |||||
|
Discount
Accretion on MFR MBS
|
8,832 | 2,570 | 11,402 | ||||||||
|
Interest
Income on MFR MBS
|
$ | 30,676 | $ | 8,225 | $ | 38,901 | |||||
|
Interest
Expense on MFR Repurchase Agreement
|
|||||||||||
|
Borrowings
|
$ | 2,534 | $ | 1,402 | $ | 3,936 | |||||
|
Net
Asset Yield on MFR MBS
|
11.26 | % | 7.81 | % | 10.30 | % | |||||
|
MFR
Cost of Funds
|
1.73 | % | 1.69 | % | 1.72 | % | |||||
|
MFR
Spread
|
9.53 | % | 6.12 | % | 8.58 | % | |||||
|
(1) Represents
borrowings under repurchase agreements underlying MBS
Forwards.
|
|||||||||||
|
(2) Represents Non-Agency
MBS underlying MBS Forwards.
|
|||||||||||