Slide 1: Company Update Second Quarter 2023
Company Update SECOND QUARTER 2023
Slide 2: Forward-looking statements
Q2 2022 Financial Snapshot Forward-looking statements When used in this presentation or other written or oral communications, statements that are not historical in nature, including those containing words such as “will,” “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “s
Slide 3: MFA at a glance
MFA at a glance Leading hybrid mortgage REIT with extensive experience in managing residential mortgage assets through economic cycles Total assets Total equity Equity Allocation (As of June 30, 2023) $9.7B as of June 30, 2023 $1.9B as of June 30, 2023 16% Common dividends Listed on NYSE in 17% 67%
Slide 4: Q2 2023 financial snapshot
Q2 2023 financial snapshot MFA generated strong Distributable earnings during another difficult quarter for fixed-income markets GAAP Economic GAAP net income2 Distributable book value book value1 earnings3 $14.42per common share $15.12 per common share $(0.34) per common share $0.40 per common shar
Slide 5: Q2 2023 Company Highlights
Strong Distributable earnings during another quarter of heightened interest rate volatility Q2 2023 Distributable earnings of $0.40 and declared $0.35 dividend Company GAAP and Economic book value declined by 4.8% and 5.6%, primarily due to impact of higher rates Highlights Ended Q2 with $32
Slide 6: Q2 2023 Investment Activity
Investment Portfolio as of June 30, 20239 Added $1B of loans and securities, growing our investment Agency MBS $0.4B Q2 2023 portfolio to $8.9B Other Lima One funded $523M of new business purpose loans Investment $0.5B (BPLs) and draws on existing loans8 Legacy RPL/NPL Activity Purchased $345M
Slide 7: Interest Rate Swaps
Positive carry on our interest rate swaps now exceeds 350 bps Interest We continue to benefit from our $3B interest rate hedge placed in late 2021 and early 2022, before the Federal Reserve began aggressively raising the Fed Funds Rate in summer 2022 Rate Swaps Weighted average fixed pay rate
Slide 8: Q2 2023 Liability Highlights
All of our borrowing costs are effectively fixed due to securitizations or Q2 Liabilities ($B) $8.0 Q2 2023 interest rate swaps used for hedging purposes Other Agency Repo Liability Effective cost of funds rose 1 bp to 3.96% from 3.95% in Q1 $7.0 Effective cost of funds has increased just 58 b
Slide 9: Credit Remains Strong
Loan delinquencies declined for every Loan Portfolio LTV14 Purchased Performing 60+ day delinquency Legacy RPL/NPL15 60+ day delinquency Credit major asset class during Q2 75% 4% 65% 50% 55% 3% 40% 60+ day delinquency rate on Purchased Remains Performing Loans declined to 2.8% 45% 35% 2% 30% 20%
Slide 10: Book Value Upside
Economic book value has over $3.50 per Potential Upside in Economic Book Value (EBV) Book share of potential upside $22 $(2.95) Our loan portfolio is marked at a Value substantial discount to par, mostly due to $20 $6.93 $(3.42) $18.64 Upside $18 impact of higher interest rates $3.52 potential $
Slide 11: Q2 2023 Lima One Highlights
50% increase in origination volume from Q1 and continued emphasis on high quality credit Q2 2023 $584M of originations6 with an average LTV16 of 66% and FICO score of 738 Lima One Combination of sector upheaval and MFA’s strong balance sheet has enabled Lima to gain market share from competing
Slide 12: Q2 2023 Transitional Loan Highlights
Transitional loan portfolio grew by over $220M to $1.8B Portfolio statistics (06/30/23) Q2 2023 UPB, a 15% increase from Q1 UPB ($M) $1,760 Maximum Loan Amount ($M) $2,347 Lima originated $493M of new transitional loans with an 6 Transitional average ARV-LTV of 66% and average FICO score of 738
Slide 13: Q2 2023 SFR Loan Highlights
Single-family rental (SFR) loan portfolio is performing Portfolio statistics (06/30/23) Q2 2023 well, delivering attractive yields and strong credit performance UPB ($M) WA Coupon $1,604 6.01% SFR Loan Lima One originated $91M of SFR loans with average Second Quarter Yield 5.83% Highlights WA Or
Slide 14: Q2 2023 Non-QM Highlights
Acquired $337M UPB of Non-QM loans in Q2, growing Portfolio statistics (06/30/23) Q2 2023 portfolio by 6% to $3.9B UPB UPB ($M) $3,918 Average balance $498K 8.67% average coupon on loans purchased in Q2 Non-QM WA Coupon 5.63% Credit performance remained strong with 60+ day Second Quarter Yield
Slide 15: Legacy Non-Performing and Re-Performing Loans
Legacy Non-Performing and Re-Performing Loans Non-Performing Loans (NPL)22 Re-Performing Loans (RPL)23 Remaining UPB of $695M for loans purchased as NPLs Remaining UPB of $741M for loans purchased as RPLs 92% of these loans were performing, paid in full, liquidated or 85% of RPL portfolio is
Slide 16: Appendix
Appendix 16with Houses James Casebere, Landscape (Dutchess County, NY) #2, 2010 (detail)
Slide 17: MFA Financial Overview
MFA Financial, Inc. (NYSE: MFA) is a leading specialty finance company that invests primarily in residential mortgage loans and mortgage-backed securities MFA Financial MFA currently owns a diversified portfolio of transitional and term business purpose loans (BPLs), non-qualified mortgage (Non-
Slide 18: Lima One: Leading Nationwide BPL Originator and Servicer
Lima One: Leading Nationwide BPL Originator and Servicer Fully Integrated BPL Platform Product Offerings Lima One, a wholly-owned subsidiary of MFA, is an industry-leading, Lima One offers a diverse selection of both short-term and long-term fully integrated business purpose lending platform fin
Slide 19: Reconciliation of GAAP net income to non-GAAP Distributable earnings
Reconciliation of GAAP net income to non-GAAP Distributable earnings “Distributable earnings” is a non-GAAP financial measure of our operating performance, within the meaning of Regulation G and Item 10(e) of Regulation S-K, as promulgated by the Securities and Exchange Commission. Distributable ear
Slide 20: Reconciliation of GAAP Book Value to Economic Book Value
Reconciliation of GAAP Book Value to Economic Book Value “Economic book value” is a non-GAAP financial measure of our financial position. To calculate our Economic book value, our portfolios of Residential whole loans and securitized debt(1) held at carrying value are adjusted to their fair value, r
Slide 21: Book Value and Economic Book Value Rollforward
Book Value and Economic Book Value Rollforward GAAP Economic Book value per common share as of 3/31/23 $15.15 $16.02 Net income available to common shareholders (0.34) (0.34) Common stock dividends declared (0.35) (0.35) Fair value changes attributable to residential mortgage securities and other (0
Slide 22: GAAP Segment Reporting
GAAP Segment Reporting Mortgage-Related (Dollars in millions) Lima One Corporate Total Assets Three months ended June 30, 2023 Interest Income 89.9 51.3 3.1 144.3 Interest Expense 58.9 36.9 4.0 99.8 Net Interest Income/(Expense) $ 31.0 $ 14.4 $ (0.9) $ 44.5 (Provision)/Reversal of Provision for Cred
Slide 23: Distributable Earnings by Operating Segment
Distributable Earnings by Operating Segment Mortgage- Lima One Corporate Total Related Assets (Dollars in millions) Three months ended June 30, 2023 GAAP Net (loss)/income used in the calculation of basic EPS $ (5.5) $ 0.1 $ (28.9) $ (34.3) Adjustments: Unrealized and realized gains and losses on: R
Slide 24: Endnotes
1) Economic book value is a non-GAAP financial measure. Refer to slide 20 for further information regarding the calculation of this measure and a reconciliation to GAAP book value. Endnotes 2) GAAP net income presented per basic common share. GAAP net income was $(0.34) per common share on a fully d