Mfa Financial, Inc. · NYSE:MFA
Mfa Financial — Q3 2024 Earnings Presentation
27 slides from Mfa Financial's earnings presentation, Nov 6, 2024
Slide 1: Company Update Third Quarter 2024
Company Update THIRD QUARTER 2024
Slide 2: Forward-looking statements
Q3 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 Dividend yield $11.2B as of Sept. 30, 2024 $1.9Bv as of Sept. 30, 2024 11.5% as of Nov. 1, 2024 Listed on NYSE in Common dividends Loans ac
Slide 4: Q3 2024 financial snapshot
Q3 2024 financial snapshot GAAP Economic Distributable GAAP net income3 book value book value2 earnings4 $13.77 $14.46 $0.38 per common share $0.37 per common share per common share per common share Total economic Recourse leverage5 Unrestricted cash Q3 dividend return6 1.8x $306M $0.35 3.3% per com
Slide 5: Q3 2024 Company Highlights
❑ Strengthened leadership team at MFA and Lima One Q3 2024 ▪ Named Bryan Wulfsohn President and Chief Investment Officer Company ▪ Named Lori Samuels Chief Loan Operations Officer Highlights ▪ Appointed Josh Woodward CEO of Lima One following retirement of Jeff Tennyson ❑ Delivered strong earnings a
Slide 6: Q3 2024 Investment Activity
❑ Acquired $859M of residential loans and securities, bringing Investment Portfolio at Sept. 309 Q3 2024 investment portfolio to $10.3B Other $0.4B Investment ▪ Lima One funded $329M8 of new business purpose loans (BPLs) and draws on existing loans Agency MBS $1.0B Activity ▪ Purchased $236M of non-
Slide 7: Q3 2024 Liability Highlights
Liabilities ($B) as of Sept. 30 ❑ Most of our borrowing costs have been stable due to fixed-rate $10.0 Q3 2024 securitizations and interest rate hedges $9.0 Agency Repo Liability ▪ Effective cost of funds declined to 4.53% from 4.63% in Q2 MTM $8.0 Highlights ❑ Issued two securitizations during the
Slide 8: Q3 2024 Interest Rate Swaps
❑ $3.5B interest rate swap position placed primarily in late 2021 and early 2022 Q3 2024 ▪ Weighted average fixed pay rate of 1.91% and variable receive rate of 4.96% at Sept. 30 11 Interest Rate ▪ Generated net positive swap carry of $30M in Q3 Swaps ❑ Increased swap position by $208M during the qu
Slide 9: Q3 2024 Portfolio Credit Metrics
LTV by Loan Product Type12 LTV Distribution12 Q3 2024 68% 67% 67% $5B Portfolio 58% $4B Credit 56% 51% $3B Metrics $2B $1B Non-QM Loans SFR Loans Single-family Multifamily Legacy RPL/NPL Total - Transitional Loans Transitional Loans Loans <60% 60-70% 70-80% 80-90% 90-100% >100 % Portfolio 60+ Delinq
Slide 10: Q3 2024 Lima One Highlights
❑ Origination volume declined to $312M in Q3 Q3 2024 ❑ Single-family Transitional loan originations totaled $236M Lima One ▪ $51M of bridge loans Highlights ▪ $83M of rehab (“fix/flip”) loans ▪ $102M of ground-up construction loans ❑ SFR loan originations were $76M ❑ Initiated programmatic sales of
Slide 11: Q3 2024 Non-QM Loans
Portfolio statistics 9/30/24 6/30/24 ❑ Non-QM loan portfolio grew to $4.3B UPB Q3 2024 ▪ Acquired $236M of new loans with average LTV of 64% and UPB ($M) $4,264 $4,1841 Average loan balance $511K $508K1 Non-QM average coupon of 8.2% Gross coupon 6.40% 6.30%1 Loans ❑ Issued our 15th Non-QM securitiza
Slide 12: Q3 2024 Single-family Rental Loans
Portfolio statistics 9/30/24 6/30/24 ❑ SFR loan portfolio declined to $1.5B UPB Q3 2024 ▪ Lima One originated $76M UPB of loans with an average UPB ($M) $1,505 $1,713 d Average loan balance $227K $227K Single-family coupon of 7.8% d Gross coupon 6.47% 6.62% d Rental Loans ▪ Sold $164M of seasoned SF
Slide 13: Q3 2024 Single-family Transitional Loans
❑ Lima One originated $236M7 of new loans Portfolio statistics 9/30/24 6/30/24 Q3 2024 ❑ Loan repayments of $299M in Q3 UPB ($M) $1,158 $1,227 d Single-family ❑ Issued first rated revolving securitization in October Maximum loan amount ($M) $1,507 $1,634f Transitional ▪ Collateralized by $215M of lo
Slide 14: Q3 2024 Multifamily Transitional Loans
❑ Multifamily loan portfolio declined to $1.1B UPB Portfolio statistics 9/30/24 6/30/24 Q3 2024 ▪ Lima One has refocused resources away from multifamily UPB ($M) $1,103 $1,184 d lending due to challenging market conditions Multifamily Maximum loan amount ($M) $1,173 $1,267 d ▪ $74M of loans paid off
Slide 15: Q3 2024 Legacy RPL/NPL Loans
❑ Achieving favorable outcomes due to home price appreciation Portfolio statistics 9/30/24 6/30/24 and intensive asset management Q3 2024 ▪ 95% of Legacy RPL/NPL loans purchased since 2014 ($4.4B UPB) UPB ($M) $1,251 $1,2841 Legacy Average loan balance $195K $196K1 were performing, paid in full (PIF
Slide 16: Q3 2024 Agency MBS
Portfolio statistics 9/30/24 ❑ Added $294M of Agency MBS, bringing portfolio to $993M 6/30/24 Q3 2024 ▪ Purchases consist primarily of low pay-up (premium to TBA price) Current Face $977M $704M1 Agency Fair Value $993M $701M1 pools that provide some prepayment protection Coupon 5.7% 5.7%1 MBS ▪ Hist
Slide 17: Appendix
Appendix 17with Houses James Casebere, Landscape (Dutchess County, NY) #2, 2010 (detail)
Slide 18: MFA Financial Overview
❑ MFA Financial, Inc. (NYSE: MFA) is an internally managed real estate investment trust (REIT) that invests in U.S. residential mortgage loans and mortgage-backed securities MFA Financial ❑ MFA focuses primarily on mortgage subsectors in which it tries to avoid direct competition with banks and gove
Slide 19: Lima One: Leading Nationwide BPL Originator and Servicer
Lima One: Leading Nationwide BPL Originator and Servicer Fully Integrated BPL Platform Product Offerings ❑ Lima One is an industry-leading business purpose lender wholly- ❑ Lima One offers a diverse selection of both short-term and long-term owned by MFA and headquartered in Greenville, S.C. financi
Slide 20: Book Value Potential Upside
Book Value Potential Upside ❑ Economic book value has $1.41 per share of potential upside Potential Upside in Economic Book Value19 $18 ▪ Many of our Non-QM and SFR loans are marked at a discount $4.84 to par due to the impact of higher interest rates $16 $2.56 $(1.15) $1.41 $14.46 potential upside
Slide 21: MFA-Issued Securitizations Outstanding
MFA-Issued Securitizations Outstanding Original Collateral UPB Current Collateral Bonds Sold Original UPB Outstanding Balance of Weighted Average Coupon (WAC) WAC of Underlying Securitization Name Loan Product Type Settlement Date Callable Date ($M)20 UPB ($M)20 ($M) Sold (%)21 Bonds Sold ($M) of Ou
Slide 22: Select Financial Metrics
Select Financial Metrics Asset Yield Net Interest Spread Distributable Earnings vs. Dividend 6.79% 6.71% 7.00% 6.46% 6.58% 2.50% 6.35% 2.17% 2.13% 2.16% 2.18% $0.50 2.06% 6.00% 2.00% $0.40 5.00% 1.50% 4.00% $0.30 3.00% 1.00% $0.20 2.00% 0.50% $0.10 1.00% 0.00% 0.00% $- Q3 2023 Q4 2023 Q1 2024 Q2 202
Slide 23: 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 24: 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 held at carrying value are adjusted to their fair value, rath
Slide 25: Book Value and Economic Book Value Rollforward
Book Value and Economic Book Value Rollforward GAAP Economic Book value per common share as of 6/30/24 $13.80 $14.34 Net income available to common shareholders 0.39 0.39 Common stock dividends declared (0.35) (0.35) Fair value changes attributable to residential mortgage securities and other (0.07)
Slide 26: GAAP Segment Reporting
GAAP Segment Reporting (Dollars in millions) Mortgage- Related Assets Lima One Corporate Totald Three months ended September 30, 2024 Interest Income $ 101.3 $ 77.2 $ 3.4 $ 181.91 Interest Expense 72.4 54.4 4.5 131.31 Net Interest Income/(Expense) $ 28.9 $ 22.8 $ (1.1) $ 50.61 (Provision)/Reversal o
Slide 27: Endnotes
1) Purchased value of all residential whole loans acquired by MFA since 2014. 2) Economic book value is a non-GAAP financial measure. Refer to slide 24 for further information regarding the calculation of this measure and a reconciliation to GAAP book value. Endnotes 3) 4) GAAP net income presented