Mfa Financial, Inc. · NYSE:MFA
Mfa Financial — Q2 2022 Earnings Presentation
20 slides from Mfa Financial's earnings presentation, Aug 4, 2022
Slide 1: Second Quarter 2022 Earnings Presentation
Second Quarter 2022 Earnings Presentation
Slide 2: Forward looking statements
Forward looking statements When used in this presentation or other written or oral communications, statements which are not historical in nature, including those containing words such as “will,” “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “could,” “would,”
Slide 3: Q2 2022 market conditions and financial results
Q2 2022 market conditions and financial results • Markets continued to be volatile in Q2 2022 Security/Index1 6/30/22 3/31/22 Change • Stocks turned in their worst performance for first US Treasury 2 Year 2.95% 2.33% 0.62% half of the year in over 50 years US Treasury 3 Year 3.01% 2.51% 0.50% US Tre
Slide 4: Q2 2022 Portfolio activity
Q2 2022 Portfolio activity • Acquired $729 million of loans in the quarter • Tapered asset acquisitions of purchased loans, particularly Non-QM loans • Q2 loan acquisitions include $509 million of funded originations and draws of Business Purpose loans at Lima One and $220 million of Non-QM loans •
Slide 5: Investment portfolio and asset based financing composition
Investment portfolio and asset based financing composition $8.5 billion Investment Portfolio at 6/30/22 Asset Based Financing at 6/30/22 Securities, $0.2 REO, $0.1 Agency Eligible Investor Loans, $0.9 Non-QM Loans, $3.5 Mark-to-Market, $2.6 Purchased Non- performing loans(2), Securitized Debt, $3.4
Slide 6: GAAP Earnings reflect ongoing volatile market conditions, while Distributable Earnings exceeded dividends
GAAP Earnings reflect ongoing volatile market conditions, while Distributable Earnings exceeded common dividends distributed Key items impacting results: Q2 2022 Q1 2022 Summary Income Statement $ in mm $ in mm • Net interest income decreased to $52.6 million: Net Interest Income: • Higher loan inte
Slide 7: Economic fundamentals have supported mortgage credit
# of Units (millions) 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 0.6 0.8 1 1.2 1.4 1.6 1.8 2 2.2 Jun-15 Feb-18 Sep-15 Apr-18 Dec-15 Jun-18 Mar-16 Aug-18 Jun-16 Oct-18 Sep-16 Dec-18 Dec-16 Feb-19 Mar-17 Apr-19 Jun-17 Jun-19 Sep-17 Aug-19 Dec-17 Oct-19 Mar-18 Dec-19 Jun-18 Feb-20 Sep-18 Dec-18 Apr-20
Slide 8: Non-QM investments
Non-QM investments • Purchased $220 million of Non-QM loans during the quarter Portfolio Statistics (6/30/22) • Credit spreads widened further during the quarter Total UPB (millions) $3,637 • Completed an additional securitization with approximately $400 Avg Balance $509,597 million UPB of bonds sol
Slide 9: RPL portfolio delinquency characteristics
RPL portfolio1 delinquency characteristics • Remaining UPB of $835.4 million <60 Days Delinquent 60+ Days Delinquent • 81% of our RPL portfolio is less than 60 days delinquent as 100% of 6/30/2022 90% • On average, 35% of the 60+ days delinquent loans are making payments 80% • Portfolio LTV has fall
Slide 10: Performance of Non-Performing loans
Performance of Non-Performing1 loans Acquisition Year 2014 2015 2016 2017 2018 2019 Total UPB Purchased ($ millions) 161.3 619.6 280.2 704.7 497.3 227.3 2,490.4 Status 6/30/2022 Performing2/PIF 39 % 29 % 31 % 42 % 52 % 39 % 39 % Liquidation/REO 55 % 62 % 63 % 46 % 37 % 40 % 50 % Non-Performing 6% 9%
Slide 11: Business purpose loans – Lima One
Business purpose loans – Lima One • July 1, 2022 marked the one year anniversary of our acquisition of Lima One • Annual origination volume has more than doubled primarily due to strategic initiatives, improved cost of capital and exceptional execution by the Lima One management team • June 30, 2021
Slide 12: Business purpose loans – Rehabilitation Loans
Business purpose loans – Rehabilitation Loans • The Fix and Flip portfolio grew by over $150 million to $1.0 Portfolio Statistics (6/30/22) billion UPB at June 30, 2022 UPB (millions) $1,045 • 18% increase over first quarter 2022 Undrawn commitments (millions) $433 Maximum Loan Amount (millions) $1,
Slide 13: Business purpose loans – Single Family Rental (SFR) Loans
Business purpose loans – Single Family Rental (SFR) Loans • The SFR portfolio continues to exhibit strong performance, SFR Portfolio Statistics (6/30/22) delivering attractive yields and good credit performance UPB (millions) $1,320 WA LTV 70% • Second quarter yield of 5.19% WA FICO 737 • 60+ day de
Slide 14: Summary
Summary • Second quarter GAAP results reflect ongoing volatility in interest rates • Protected book value through active portfolio management • Distributable Earnings of $0.46 exceeded the $0.44 dividend • Maintained a substantial cash position with nearly $400 million in unrestricted cash at quarte
Slide 15: Additional Information
Additional Information
Slide 16: 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 17: 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 18: Book Value and Economic Book Value Rollforward
Book Value and Economic Book Value Rollforward GAAP Economic Book value per common share as of 3/31/22 $17.84 $18.81 Net income available to common shareholders (1.06) (1.06) Common stock dividends declared (0.44) (0.44) Impact of share repurchases 0.07 0.09 Fair value changes attributable to reside
Slide 19: GAAP Segment Reporting
GAAP Segment Reporting Mortgage- (Dollars in Millions) Lima One Corporate Total Related Assets Three months ended June 30, 2022 Interest Income $ 84.7 $ 24.4 $ 0.2 $ 109.3 Interest Expense 39.9 12.9 3.9 56.7 Net Interest Income $ 44.8 $ 11.4 $ (3.7) $ 52.6 Provision for Credit Losses on Residential
Slide 20: Distributable Earnings by Operating Segment
Distributable Earnings by Operating Segment Mortgage- Related Lima One Corporate Total (Dollars in Millions) Assets Three months ended June 30, 2022 GAAP Net loss used in the calculation of basic $ (23.2) $ (9.0) $ (76.5) $ (108.8) EPS Adjustments: Unrealized gains and losses on: Residential whole l