Published on November 4, 2010
|
MFA
|
 |
|
FINANCIAL,
INC.
|
|
|
350
Park Avenue
|
|
|
New
York, New York
10022
|
|
PRESS
RELEASE
|
FOR
IMMEDIATE RELEASE
|
|
November
4, 2010
|
NEW
YORK METRO
|
|
CONTACT:
|
MFA
Investor Relations
|
NYSE: MFA
|
|
800-892-7547
|
||
|
www.mfa-reit.com
|
MFA
Financial, Inc.
Announces
Third Quarter 2010 Financial Results
MFA
Financial, Inc. (NYSE:MFA) today announced financial results for the third
quarter ended September 30, 2010.
Recent
financial results and other significant highlights for MFA include:
|
|
·
|
Third
quarter net income per common share of $0.27 and Core Earnings (as defined
below) per common share of $0.22.
|
|
|
·
|
Book
value was $7.83 per common share at the end of the third
quarter.
|
|
|
·
|
In
the third quarter, MFA’s Non-Agency residential MBS (“Non-Agency MBS”)
(including MBS underlying MBS Forwards (as defined below)) generated an
unlevered loss-adjusted yield of 9.27%. At September 30, 2010,
MFA owned $2.351 billion of Non-Agency MBS (including MBS Forwards) with
an average amortized cost basis of 68.1% of
par.
|
|
|
·
|
In
the third quarter, MFA’s Agency MBS generated an unlevered yield of
3.93%. At September 30, 2010, MFA owned $6.181 billion of
Agency MBS, consisting of $5.731 billion of hybrid and floating rate MBS
and $449.3 million of 15 year fixed rate MBS. These Agency MBS
had an average cost basis of 101.6% of
par.
|
|
|
·
|
Subsequent
to quarter end, MFA sold $985 million in principal value of Non-Agency MBS
as part of a resecuritization. In connection with this
transaction, $246 million of “AAA” senior bonds were issued to third party
investors via a trust at a pass-through rate of LIBOR + 125 basis
points. As required under GAAP, MFA will consolidate the
resecuritization and will account for this transaction as a financing of
the underlying MBS.
|
For the
third quarter ended September 30, 2010, MFA generated net income available to
common stock of $75.2 million, or $0.27 per share of common
stock. Core Earnings for the third quarter were $61.7 million, or
$0.22 per share of common stock. “Core Earnings” represents a
non-GAAP financial measure which reflects net income excluding changes in the
unrealized net gains on MBS Forwards. On October 1, 2010, MFA
announced its third quarter 2010 dividend of $0.225 per share of common stock,
which was paid on October 29, 2010 to stockholders of record as of October 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. As we previously projected, Core Earnings per
common share increased in the third quarter due to a decline in Agency MBS
prepayment rates, and the ongoing success in identifying and acquiring
Non-Agency MBS with superior loss-adjusted yields at prices well below
par. Our goal remains to position MFA to generate double-digit
returns on equity over time.”
William
Gorin, MFA’s President, added, “Through investment in both Non-Agency and Agency
MBS, we seek to generate attractive returns with reduced leverage, decreased
sensitivity to prepayment rates and with less correlation to changes in interest
rates. In the third quarter, we continued to grow our Non-Agency MBS
portfolio through the purchase of approximately $360.3 million of Non-Agency MBS
(including $184.9 million of MBS underlying MBS Forwards). In
addition, we acquired $372.6 million of Agency MBS partially replacing
prepayments experienced during the third quarter. We currently
project that approximately 60% of our fourth quarter Core Earnings will be
generated by Non-Agency MBS.”
With a
focus on quantifying credit risk and expected return in the asset selection
process, MFA continues to take advantage of the investment opportunities in
Non-Agency MBS. At September 30, 2010, MFA held Non-Agency MBS
(including Non-Agency MBS underlying MBS Forwards) with a fair value of $2.351
billion. These Non-Agency MBS had a face amount of $3.151 billion, an
amortized cost of $2.147 billion (68.1% of face amount) and a purchase discount
of $983.5 million. This discount consists of a $723.1 million credit reserve and
a $260.4 million accretable discount. In addition, at September 30, 2010, these
Non-Agency MBS had average structured credit enhancement in the form of
subordination of 8.0%. This structured credit enhancement, along with the
purchase discount, 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 third quarter of 2010, MFA’s interest-earning asset portfolio net yield was
4.82%, its cost of funds was 2.26%, and the spread was 2.56% (including MBS
underlying MBS Forwards, the net yield was 4.98%, the cost of funds was 2.23%
and the spread was 2.75%). MFA’s book value per common share as of
September 30, 2010 includes a negative interest rate swap valuation of $175.3
million from existing interest rate hedges. As of September 30, 2010,
under our swap agreements, MFA had a weighted average fixed pay rate of interest
of 3.83% and a floating receive rate of 0.30% on notional balances totaling
$3.025 billion, with an average maturity of 24 months. For the three
months ended September 30, 2010, MFA’s costs for compensation and benefits and
other general and administrative expenses were $6.1 million.
In the
third quarter of 2010, MFA continued to implement its asset allocation
strategy. MFA anticipates that the majority of its assets will
continue to be whole pool Agency MBS. MFA’s repurchase agreement
financing continues to be provided from multiple sources. The
following table presents MFA’s asset allocation as of September 30, 2010 and the
third quarter 2010 yield, cost of funds and spread for the various asset
types.
2
ASSET
ALLOCATION (1)
|
At
September 30, 2010
|
Agency
MBS
|
Non-Agency
MBS (2)
|
Cash (3)
|
Other,
net (4)
|
Total
|
|||||||||||||||
|
($
in Millions)
|
||||||||||||||||||||
|
Amortized
Cost
|
$ | 5,960 | $ | 2,147 | $ | 312 | $ | 40 | $ | 8,459 | ||||||||||
|
Market
Value
|
$ | 6,181 | $ | 2,351 | $ | 312 | $ | 40 | $ | 8,884 | ||||||||||
|
Less
Repo Financing
|
(5,239 | ) | (1,179 | ) | - | - | (6,418 | ) | ||||||||||||
|
=
Equity Allocated
|
$ | 942 | $ | 1,172 | $ | 312 | $ | 40 | $ | 2,466 | ||||||||||
|
Less
Swap Mark
|
- | - | - | (175 | ) | (175 | ) | |||||||||||||
|
=
Net Equity Allocated
|
$ | 942 | $ | 1,172 | $ | 312 | $ | (135 | ) | $ | 2,291 | |||||||||
|
Debt/Net Equity Ratio
(5)
|
5.56 | x | 1.01 | x | - | - | 2.80 | x | ||||||||||||
|
For
the Quarter Ended September 30, 2010
|
||||||||||||||||||||
|
Yield
on Assets
|
3.93 | % | 9.27 | % | 0.11 | % | 4.98 | % | ||||||||||||
|
Less
Cost of Funds
|
2.32 | (6) | 1.79 | - | 2.23 | |||||||||||||||
|
Spread
|
1.61 | % | 7.48 | % | 0.11 | % | 2.75 | % | ||||||||||||
(1)
Information presented with respect to Non-Agency 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 agreement borrowings underlying MBS
Forwards. The purchase of a Non-Agency MBS and repurchase agreement
borrowing of this MBS with the same counterparty are accounted for under GAAP as
a “linked transaction.” The two components of a linked transaction
(MBS purchase and borrowing under repurchase agreement) are evaluated on a
combined basis and reported as a forward (derivative) contract and are presented
as "MBS Forwards" on MFA’s consolidated balance sheet.
(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 borrowings under 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 changes in interest rates. MFA’s MBS are
primarily hybrids that 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 weighted
average months remaining on its repurchase agreements including the impact of
interest rate swap agreements. Assuming a 15% conditional prepayment
rate (“CPR”), as of September 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 agreement borrowings, including the
impact of interest rate swaps, was approximately 12 months, resulting in a
Repricing Gap of approximately 17 months (including MBS and repurchase agreement
borrowings underlying MBS Forwards). The weighted average prepayment speed on
MFA’s MBS portfolio (including MBS underlying MBS Forwards) was 21.7% CPR during
the third 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.
3
MFA will
hold a conference call on Thursday, November 4, 2010, at 10:00 a.m. (New York
City time) to discuss its third quarter 2010 financial results. The
number to dial in order to listen to the conference call is (800) 288-8968 in
the U.S. and Canada. International callers must dial (612)
332-0335. The replay will be available through Thursday, November 11,
2010 at 11:59 p.m. (New York City time), and can be accessed by dialing (800)
475-6701 in the U.S. and Canada or (320) 365-3844 internationally and entering
access code: 177459. 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, over
the Thomson Reuters Investor Distribution Network at
http://www.fulldisclosure.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.
4
MFA
FINANCIAL, INC.
CONSOLIDATED
BALANCE SHEETS
|
September
30,
|
December
31,
|
|||||||
|
2010
|
2009
|
|||||||
|
(In
Thousands, Except Per Share Amounts)
|
(Unaudited)
|
|||||||
|
Assets:
|
||||||||
|
Agency
mortgage-backed securities (“MBS”), at fair value ($5,721,900 and
$7,597,136 pledged, respectively)
|
$ | 6,180,753 | $ | 7,664,851 | ||||
|
Non-Agency
MBS, at fair value ($1,102,820 and $240,694 pledged,
respectively)
|
1,804,776 | 1,093,103 | ||||||
|
Cash
and cash equivalents
|
270,925 | 653,460 | ||||||
|
Restricted
cash
|
41,213 | 67,504 | ||||||
|
Forward
contracts to repurchase MBS (“MBS Forwards”), at fair
value
|
125,744 | 86,014 | ||||||
|
Interest
receivable
|
34,297 | 41,775 | ||||||
|
Real
estate, net
|
10,802 | 10,998 | ||||||
|
Goodwill
|
7,189 | 7,189 | ||||||
|
Prepaid
and other assets
|
2,305 | 2,315 | ||||||
|
Total
Assets
|
$ | 8,478,004 | $ | 9,627,209 | ||||
|
Liabilities:
|
||||||||
|
Repurchase
agreements
|
$ | 5,995,447 | $ | 7,195,827 | ||||
|
Accrued
interest payable
|
7,397 | 13,274 | ||||||
|
Mortgage
payable on real estate
|
- | 9,143 | ||||||
|
Interest
rate swap agreements, at fair value
|
175,303 | 152,463 | ||||||
|
Dividends
and dividend equivalents rights payable
|
538 | 76,286 | ||||||
|
Accrued
expenses and other liabilities
|
8,361 | 11,954 | ||||||
|
Total
Liabilities
|
$ | 6,187,046 | $ | 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; 280,335 and 280,078
issued and outstanding, respectively
|
2,803 | 2,801 | ||||||
|
Additional
paid-in capital, in excess of par
|
2,183,163 | 2,180,605 | ||||||
|
Accumulated
deficit
|
(121,261 | ) | (202,189 | ) | ||||
|
Accumulated
other comprehensive income
|
226,215 | 187,007 | ||||||
|
Total
Stockholders’ Equity
|
$ | 2,290,958 | $ | 2,168,262 | ||||
|
Total
Liabilities and Stockholders’ Equity
|
$ | 8,478,004 | $ | 9,627,209 | ||||
5
MFA
FINANCIAL, INC.
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
Three
Months Ended
|
Nine
Months Ended
|
|||||||||||||||
|
September
30,
|
September
30,
|
|||||||||||||||
|
(In
Thousands, Except Per Share Amounts)
|
2010
|
2009
|
2010
|
2009
|
||||||||||||
|
(Unaudited)
|
||||||||||||||||
|
Interest
Income:
|
||||||||||||||||
|
MBS
|
$ | 97,296 | $ | 124,399 | $ | 293,455 | $ | 383,029 | ||||||||
|
Cash
and cash equivalent investments
|
121 | 149 | 286 | 1,020 | ||||||||||||
|
Interest
Income
|
97,417 | 124,548 | 293,741 | 384,049 | ||||||||||||
|
Interest
Expense
|
35,464 | 52,976 | 109,656 | 183,119 | ||||||||||||
|
Net
Interest Income
|
61,953 | 71,572 | 184,085 | 200,930 | ||||||||||||
|
Other-Than-Temporary
Impairments:
|
||||||||||||||||
|
Total
other-than-temporary impairment losses
|
- | - | (184 | ) | (78,135 | ) | ||||||||||
|
Portion
of loss (reclassified from)/recognized in other comprehensive
income
|
- | - | (5,228 | ) | 69,126 | |||||||||||
|
Net
Impairment Losses Recognized in Earnings
|
- | - | (5,412 | ) | (9,009 | ) | ||||||||||
|
Other
Income, Net:
|
||||||||||||||||
|
Gains
on MBS Forwards, net
|
21,307 | 754 | 41,304 | 754 | ||||||||||||
|
Gains
on sale of MBS, net
|
- | - | 33,739 | 13,495 | ||||||||||||
|
Revenue
from operations of real estate
|
369 | 378 | 1,100 | 1,145 | ||||||||||||
|
Loss
on termination of repurchase agreements
|
- | - | (26,815 | ) | - | |||||||||||
|
Miscellaneous
other income, net
|
- | - | - | 43 | ||||||||||||
|
Other
Income, Net
|
21,676 | 1,132 | 49,328 | 15,437 | ||||||||||||
|
Operating
and Other Expense:
|
||||||||||||||||
|
Compensation
and benefits
|
4,106 | 3,710 | 12,527 | 10,824 | ||||||||||||
|
Other
general and administrative expense
|
2,003 | 1,713 | 5,995 | 5,559 | ||||||||||||
|
Real
estate operating expense, mortgage interest and prepayment
penalty
|
306 | 444 | 1,298 | 1,359 | ||||||||||||
|
Operating
and Other Expense
|
6,415 | 5,867 | 19,820 | 17,742 | ||||||||||||
|
Net
Income
|
77,214 | 66,837 | 208,181 | 189,616 | ||||||||||||
|
Less: Preferred
Stock Dividends
|
2,040 | 2,040 | 6,120 | 6,120 | ||||||||||||
|
Net
Income Available to Common Stock and Participating
Securities
|
$ | 75,174 | $ | 64,797 | $ | 202,061 | $ | 183,496 | ||||||||
|
Income
Per Share of Common Stock:
|
||||||||||||||||
|
Basic
and Diluted
|
$ | 0.27 | $ | 0.25 | $ | 0.72 | $ | 0.78 | ||||||||
|
Dividends
Declared Per Share of Common Stock
|
$ | 0.19 | $ | 0.25 | $ | 0.43 | $ | 0.47 | ||||||||
6
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 September 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
the non-GAAP financial measures presented in this 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 September 30,
2010 are not measures of performance in accordance with GAAP, as they exclude
changes in unrealized net gains on MBS underlying our MBS Forwards, which are
difficult to predict, and MFA believes that Core Earnings provides investors
with a valuable measure of the performance of MFA’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 September 30, 2010 are as
follows:
|
Three
Months Ended September 30, 2010
|
||||||||
|
(In
Thousands, Except Per Share Amount)
|
Reconciliation
|
Basic
and Diluted
EPS
|
||||||
|
GAAP
Net Income Available to Common Stock and
|
||||||||
|
Participating
Securities
|
$
|
75,174
|
$
|
0.27
|
||||
|
Non-GAAP
Adjustments:
|
||||||||
|
Changes
in Net Unrealized Gains on MBS Forwards
|
(13,509)
|
(0.05)
|
||||||
|
Core
Earnings/Core Earnings per Common Share
|
$
|
61,665
|
$
|
0.22
|
||||
|
Weighted
average common shares outstanding - basic
|
281,181
|
|||||||
|
Weighted
average common shares outstanding - diluted
|
281,236
|
|||||||
As
previously described, certain purchases of Non-Agency MBS are accounted for as
linked transactions in MFA’s GAAP financial statements as at September 30,
2010. In assessing the performance of the Non-Agency MBS portfolio,
MFA’s management does not view these transactions as linked, but rather views
the performance of the underlying linked MBS and the related repurchase
agreement borrowings as it would any other Non-Agency MBS that is not part of a
linked transaction. Consequently, MFA considers that 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. However, these non-GAAP financial measures do not take into
account the effect of the changes in net unrealized gains in MBS Forwards, which
are included in GAAP earnings.
7
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 September 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 September 30, 2010:
|
||||||||||||
|
Repurchase
Agreement Borrowings (Debt)
|
$ | 5,995,447 | $ | 422,311 | (1) | $ | 6,417,758 | |||||
|
Stockholders'
Equity
|
$ | 2,290,958 | $ | 2,290,958 | ||||||||
|
Debt-to-Equity
(Debt/Stockholders' Equity)
|
2.6 | x | 2.8 | x | ||||||||
|
For the Three Months Ended September 30,
2010:
|
||||||||||||
|
Average
Interest Earning Assets
|
$ | 8,077,629 | $ | 513,863 | (2) | $ | 8,591,492 | |||||
|
Interest
Income
|
$ | 97,417 | $ | 9,520 | $ | 106,937 | ||||||
|
Yield
on Interest Earning Assets
|
4.82 | % | 7.41 | % | 4.98 | % | ||||||
|
Average
Repurchase Agreement Borrowings
|
$ | 6,205,856 | $ | 407,329 | (1) | $ | 6,613,185 | |||||
|
Interest
Expense
|
$ | 35,464 | $ | 1,722 | $ | 37,186 | ||||||
|
Cost
of Funds
|
2.26 | % | 1.68 | % | 2.23 | % | ||||||
|
Net
Interest Rate Spread
|
2.56 | % | 5.73 | % | 2.75 | % | ||||||
(1) Represents
borrowings under repurchase agreements underlying MBS Forwards.
(2) Represents
Non-Agency MBS underlying MBS Forwards.
The table
below reconciles Non-Agency MBS and related repurchase agreement borrowings on a
GAAP basis to reflect on a combined basis its Non-Agency MBS and related
repurchase agreement borrowings underlying its MBS Forwards, which is a non-GAAP
financial measure. Based on 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 September 30, 2010:
|
||||||||||||
|
Amortized
Cost of Non-Agency MBS
|
$ | 1,623,661 | (3) | $ | 523,294 | $ | 2,146,955 | |||||
|
Fair
Value of Non-Agency MBS
|
$ | 1,804,776 | $ | 545,929 | $ | 2,350,705 | ||||||
|
Face/Par
Value of Non-Agency MBS
|
$ | 2,526,586 | $ | 624,076 | $ | 3,150,662 | ||||||
|
Purchase
Premiums
|
$ | 1,064 | $ | 304 | $ | 1,368 | ||||||
|
Purchase
Discount Designated as Credit Reserve
|
$ | (667,221 | ) | $ | (55,893 | ) | $ | (723,114 | ) | |||
|
Purchase
Discount Designated as Accretable
|
$ | (215,181 | ) | $ | (45,193 | ) | $ | (260,374 | ) | |||
|
Total
Purchase Discount of Non-Agency MBS
|
$ | (882,402 | ) | $ | (101,086 | ) | $ | (983,488 | ) | |||
|
Non-Agency
Repurchase Agreements
|
$ | 756,428 | $ | 422,311 | $ | 1,178,739 | ||||||
|
For the Three Months Ended September 30,
2010:
|
||||||||||||
|
Non-Agency
MBS Average Amortized Cost
|
$ | 1,488,578 | $ | 513,863 | $ | 2,002,441 | ||||||
|
Non-Agency
Average Repurchase Agreement Borrowings
|
$ | 700,268 | $ | 407,329 | $ | 1,107,597 | ||||||
|
Coupon
Interest on Non-Agency MBS
|
$ | 27,605 | $ | 7,003 | $ | 34,608 | ||||||
|
Net
Discount Accretion on Non-Agency MBS
|
$ | 9,301 | $ | 2,517 | $ | 11,818 | ||||||
|
Interest
Income on Non-Agency MBS
|
$ | 36,906 | $ | 9,520 | $ | 46,426 | ||||||
|
Interest
Expense on Non-Agency Repurchase Agreement
|
||||||||||||
|
Borrowings
|
$ | 3,266 | $ | 1,722 | $ | 4,988 | ||||||
|
Net
Asset Yield on Non-Agency MBS
|
9.92 | % | 7.41 | % | 9.27 | % | ||||||
|
Non-Agency
Cost of Funds
|
1.85 | % | 1.68 | % | 1.79 | % | ||||||
|
Non-Agency
Spread
|
8.07 | % | 5.73 | % | 7.48 | % | ||||||
(1) Represents
borrowings under repurchase agreements underlying MBS Forwards.
(2) Represents
Non-Agency MBS underlying MBS Forwards.
(3) Amortized
cost is reduced by cumulative other-than-temporary impairments recognized
through earnings of $21.6 million.
8