Mfa Financial, Inc. · NYSE:MFA
Mfa Financial — Q4 2021 Earnings Presentation
23 slides from Mfa Financial's earnings presentation, Feb 23, 2022
Slide 1: Fourth Quarter 2021 Earnings Presentation
Fourth Quarter 2021 Earnings Presentation
Slide 2: Forward looking statements
Forward looking statements 2 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: Executive summary
Executive summary 3 • Q 4 2021 financial results • Full year 2021 portfolio and financial highlights • Investment portfolio and asset - based financing composition • MFA recognition
Slide 4: 2021 fourth quarter financial results
2021 fourth quarter financial results 4 • GAAP earnings of $ 35 . 9 million or $ 0 . 08 per basic common share • Net interes t income increased by 13 % fro m $ 62 million to $ 70 million • $ 42 . 6 million of net losses on residential whole loans at fair value, partially offset by $ 7 . 2 million of
Slide 5: 2021 fourth quarter financial results (cont'd)
2021 fourth quarter financial results (cont’d) • Acquired $ 1 . 4 billion of loans in fourth quarter • Continued successful execution of asset acquisition strategy • Loan portfolio increased by over $ 830 million to $ 7 . 9 billion after portfolio runoff • Q 4 loan acquisitions include approximately
Slide 6: 2021 full year portfolio and financial highlights
2021 full year portfolio and financial highlights • Asset acquisitions of $ 4 . 6 billion and net portfolio growth of $ 2 . 4 billion : • Includes $ 2 . 2 billion of Non - QM, $ 1 . 1 billion of Agency Investor and $ 1 . 3 billion (including draws on Rehabilitation loans) of Business Purpose Loans .
Slide 7: Net loan portfolio growth and asset-based financing composition
7 • Another successful quarter for asset acquisitions, with net loan portfolio growth of $832 million: • $1.4 billion loan purchases and originations • Approximately $950 million Non - QM loan purchases, and $500 million funded BPL originations and draws • At 12/31/21, 58% of our asset backed financ
Slide 8: MFA recognition
MFA recognition • MFA included in 2022 Bloomberg Gender Equality Index • Third consecutive year of inclusion for MFA • One of 418 global public companies in 11 sectors across 45 countries and regions • Attestation of MFA’s commitment to and support of gender equality • MFA certified as a “Great Plac
Slide 9: Loan portfolio growth continues to drive higher net interest income
Loan portfolio growth continues to drive higher net interest income Summary Income Statement Q4 2021 $ in mm Q3 2021 $ in mm Net Interest Income: Loans (1) 59.2 55.2 Securities (2) 13.6 9.9 Other interest earning assets and interest bearing liabilities (2.7) (3.3) Net Interest Income $ 70.1 $ 61.8 N
Slide 10: Strong economic fundamentals support mortgage credit
Strong economic fundamentals support mortgage credit 10 19.6% 4.0% 0.47% 0.92 mm Source: Zillow Source: NY FED Source: BLS Source: Zillow
Slide 11: Non-QM investments
Non - QM investments • We purchased or committed to purchase approximately $950 million of Non - QM loans in the fourth quarter of 2021 • Additional securitizations expected to close in Q1 2022 • Portfolio credit performance continues to improve with 60+ days delinquencies down to 3.5% • The level o
Slide 12: Agency eligible investor loans
Agency eligible investor loans • A recent letter from FHFA and Treasury suspended the 7% cap on Fannie Mae and Freddie Mac investor loan purchases • The suspension will limit the size of this opportunity going forward • The dislocation in the market allowed us to purchase over $1 billion of loans at
Slide 13: PCD/RPL portfolio delinquency characteristics as of 12/31/2021
PCD/RPL portfolio (1) delinquency characteristics as of 12/31/2021 • 81% of our RPL portfolio is less than 60 days delinquent as of 12/31/2021 • On average, 29% of the 60+ days delinquent loans are making payments • Prepay speeds have steadily increased as borrowers have more opportunities to refina
Slide 14: Performance of non-performing loans purchased before 12/31/20
• Measured by UPB at purchase, 38% (or approximately 4,200) of loans that were non - performing at purchase are either performing or have paid in full as of December 2021. • 75% of MFA modified loans are either performing today or have paid in full. Performance of Non - Performing (1) loans purchase
Slide 15: Business purpose loans – Lima One
Business purpose loans – Lima One • Lima One originated over $600 million (1) in the fourth quarter, a 50% increase from the third quarter and a record quarter for the company. Approximately $200 million of originations in January 2022. • Full year 2021 originations of over $ 1 . 6 billion ( 1 ) . S
Slide 16: Business purpose loans – Rehabilitation loans
Business purpose loans – Rehabilitation loans • The Fix and Flip portfolio grew by $137 million to $731 million UPB at December 31, 2021. A 23% increase over third quarter 2021. • Loan acquisition activity remained elevated due to the acquisition of Lima One: • We acquired $216 million UPB ($371 mil
Slide 17: Business purpose loans – Single Family Rental Loans
Business purpose loans – Single Family Rental Loans • The SFR portfolio continues to exhibit strong performance, delivering attractive yields and good credit performance: • Fourth quarter yield: 5.16% • 60+ day delinquency rate decreased 0.9% to 2.6% • Three month prepayment rate of 21% • SFR portfo
Slide 18: Summary
Summary • Solid fourth quarter 2021 results in a volatile rate environment : • $ 0 . 08 EPS and relatively stable book value • Continued success in acquiring assets . Net loan portfolio growth of 49 % in 2021 • Further sequential quarter growth in loan portfolio and in net interest income • Continue
Slide 19: Additional Information
MPA Additional Informatian
Slide 20: MFA share repurchase program
• MFA Board of Directors authorized $ 250 million share repurchase program in November 2020 for repurchases through the end of 2022 • Adopted 10 b 5 - 1 plan in December 2021 • 10 b 5 - 1 plan permits share repurchases during closed window periods • Share repurchases in Q 4 2021 of 8 . 5 million sha
Slide 21: Reconciliation of GAAP book value to Economic book value
21 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
Slide 22: Book value per common share GAAP and Economic
22 GAAP Economic Book value per common share as of 9/30/21 $4.82 $5.25 Net income available to common shareholders 0.08 0.08 Common stock dividends declared (0.11) (0.11) Impact of share repurchases 0.01 0.01 Fair value changes attributable to residential mortgage securities and MSR term notes, and
Slide 23: Allowance for credit losses - Loans held at carrying value
Allowance for credit losses - Loans held at carrying value • Allowance for credit losses for residential whole loans held at carrying value decreased during the quarter by $4.7 million, primarily due to lower loan balances and adjustments to certain macro - economic and loan prepayment speed assumpt