PR Newswire
NEW YORK, Feb. 16, 2017
NEW YORK, Feb. 16, 2017 /PRNewswire/ -- MFA Financial, Inc. (NYSE: MFA) today announced its financial results for the fourth quarter ended December 31, 2016.
Fourth Quarter 2016 and other highlights:
William Gorin, MFA's CEO, said, "In the fourth quarter, we continued to execute our strategy of targeted investment within the residential mortgage universe with a focus on credit sensitive assets. We acquired 3 year step-up securities, credit sensitive residential whole loans and Credit Risk Transfer securities during the quarter. Further, we opportunistically sold $20.6 million of Non-Agency MBS issued prior to 2008 ("Legacy Non-Agency MBS"), realizing gains of $9.8 million for the quarter. This is the eighteenth consecutive quarter we have realized gains through selected sales of Legacy Non-Agency MBS based on our projections of future cash flows relative to market pricing. We did not acquire any Agency MBS or Legacy Non-Agency MBS in this quarter.
"MFA remains well-positioned to generate attractive returns despite historically low interest rates. Through asset selection and hedging strategy, the estimated net effective duration, a gauge of MFA's interest rate sensitivity, remains low and measured 0.71 at quarter-end. Despite recent interest rate increases, MFA's book value per common share was little changed at $7.62 versus $7.64 at the end of the third quarter. Leverage, which reflects the ratio of our financing obligations to equity, was 3.1:1 at quarter-end."
Craig Knutson, MFA's President and COO, added, "MFA's portfolio asset selection process continues to emphasize residential mortgage credit exposure while seeking to minimize sensitivity to interest rates. As housing prices maintain their upward trend and borrowers repair their credit and balance sheets, MFA's Legacy Non-Agency MBS portfolio continues to outperform our credit assumptions. In the fourth quarter of 2016, we reduced our credit reserve by $4.3 million. Also, our credit sensitive residential whole loans offer additional exposure to residential mortgage credit while affording us the opportunity to improve outcomes through sensible and effective servicing decisions."
MFA's Legacy Non-Agency MBS had a face amount of $3.6 billion with an amortized cost of $2.6 billion and a net purchase discount of $970.8 million at December 31, 2016. This discount consists of a $694.2 million credit reserve and other-than-temporary impairments and a $276.5 million net accretable discount. We believe this credit reserve appropriately factors in remaining uncertainties regarding underlying mortgage performance and the potential impact on future cash flows. Our Legacy Non-Agency MBS loss adjusted yield of 8.24% for the fourth quarter is based on projected defaults equal to 21% of underlying loan balances. On average, these loans are approximately ten years seasoned and approximately 12.5% are currently 60 or more days delinquent.
The Agency MBS portfolio had an average amortized cost basis of 103.8% of par as of December 31, 2016, and generated a 1.92% yield in the fourth quarter. The Legacy Non-Agency MBS portfolio had an average amortized cost of 72.7% of par as of December 31, 2016, and generated a loss-adjusted yield of 8.24% in the fourth quarter. At the end of the fourth quarter, MFA held approximately $2.7 billion of the senior most tranches of 3 year step-up securities. These securities had an amortized cost of 99.9% of par and generated a 3.94% yield for the quarter.
In addition, at December 31, 2016, our investments in credit sensitive residential whole loans totaled $1.4 billion. Of this amount, $590.5 million is recorded at carrying value, or 86.2% of the interest-bearing unpaid principal balance, and generated a loss-adjusted yield of 5.99% (5.61% net of servicing costs) during the quarter, and $814.7 million is recorded at fair value on our consolidated balance sheet. On this portion of the portfolio, we recorded gains for the quarter of approximately $14.6 million, primarily reflecting changes in the fair value of the underlying loans and coupon interest payments received during the quarter.
For the three months ended December 31, 2016, MFA's costs for compensation and benefits and other general and administrative expenses were $11.6 million, or an annualized 1.53% of stockholders' equity as of December 31, 2016.
The following table presents the weighted average prepayment speed on MFA's MBS portfolio.
Table 1 | | | | |
| | Fourth Quarter | | Third Quarter |
Agency MBS | | 15.9% | | 16.7% |
Legacy Non-Agency MBS | | 17.3% | | 15.9% |
3 Year Step-up securities (1) | | 25.6% | | 32.2% |
| | | | |
(1) | All principal payments are considered to be prepayments for conditional prepayment rate ("CPR") purposes. 3 year step-up securities are securitized financial instruments that are primarily backed by securitized re-performing and non-performing Loans. The majority of these securities are structured such that the coupon increases up to 300 basis points at 36 months from issuance or sooner. |
As of December 31, 2016, under its swap agreements, MFA had a weighted average fixed-pay rate of interest of 1.87% and a floating receive rate of 0.72% on notional balances totaling $2.9 billion, with an average maturity of 35 months.
The following table presents MFA's asset allocation as of December 31, 2016, and the fourth quarter 2016 yield on average interest earning assets, average cost of funds and net interest rate spread for the various asset types.
Table 2 | |||||||||||||||||||||
ASSET ALLOCATION | |||||||||||||||||||||
| |||||||||||||||||||||
At December 31, 2016 | Agency MBS | Legacy Non-Agency | 3 Year Step- | Residential Loans, at Value | Residential Loans, at | Other, net (1) | Total | ||||||||||||||
($ in Thousands) | | | | | | | | ||||||||||||||
Fair Value/Carrying Value | $ | 3,738,497 | $ | 3,171,125 | $ | 2,654,691 | $ | 590,540 | $ | 814,682 | $ | 895,089 | $ | 11,864,624 | |||||||
Less Repurchase Agreements | (3,095,020) | (2,195,509) | (2,078,684) | (343,063) | (488,787) | (271,205) | (8,472,268) | ||||||||||||||
Less FHLB advances | (215,000) | — | — | — | — | — | (215,000) | ||||||||||||||
Less Senior Notes | — | — | — | — | — | (96,733) | (96,733) | ||||||||||||||
Equity Allocated | $ | 428,477 | $ | 975,616 | $ | 576,007 | $ | 247,477 | $ | 325,895 | $ | 527,151 | $ | 3,080,623 Werbung Mehr Nachrichten zur MFA Financial Inc Aktie kostenlos abonnieren
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