FBR MBS and Principal Investments
Residential Mortgage-Backed Securities ($5.0 Billion as of March 31, 2003)
- AAA rated securities – GSE guaranteed by Freddie Mac, Fannie Mae, Ginnie Mae
- Short-duration of 1-2 – limits price risk
- Leverage guideline – 6-11x (debt to equity), Target 8.5x
- Allocation of capital: 50%-90% (long-term average target 60%-65%)
Merchant Banking Portfolio ($173.1 Million as of March 31, 2003)
- Senior secured and mezzanine loans
- Preferred and common equity
- Hedge funds
- Venture funds
- Direct assets
- Non-levered portfolio
- Typical hold period 12-18 months
- Allocation of capital: 10%-30% (long-term average target 20%-25%)
The Strategy Successfully Employed by FBR Asset in the Past Will Continue to be Used Inside of New FBR Group