Mfa Financial, Inc. · NYSE:MFA
Mfa Financial — Q1 2024 Earnings Presentation
26 slides from Mfa Financial's earnings presentation, May 6, 2024
Slide 1: Company Update First Quarter 2024
Company Update FIRST 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 $10.9B as of March 31, 2024 $1.9Bv as of March 31, 2024 12.8% as of May 2, 2024 Listed on NYSE in Common dividends Loans acq
Slide 4: Q1 2024 financial snapshot
Q1 2024 financial snapshot GAAP Economic Distributable GAAP net income3 book value book value2 earnings4 $13.80 $14.32 $0.14 per basic common share $0.35 per common share per common share per common share Total economic Recourse leverage5 Unrestricted cash Q1 Dividend return6 1.8x $306M $0.35 0.7% p
Slide 5: Q1 2024 Company Highlights
Higher interest rates modestly impacted book value Q1 2024 GAAP and Economic book value declined by 1.3% and 1.7%, respectively Company Distributable earnings of $0.35 per share Highlights Declared $0.35 dividend Net interest spread averaged 2.06% and net interest margin was 2.88% Ended
Slide 6: Q1 2024 Investment Activity
Investment Portfolio at March 3110 Acquired $652M of loans, growing investment portfolio to $10B Agency MBS $0.6B Q1 2024 Lima One funded $465M9 of new business purpose loans (BPLs) Other and draws on existing loans Investment $0.4B Legacy Purchased $186M of non-qualified mortgage (Non-QM) loa
Slide 7: Q1 2024 Liability Highlights
Liabilities ($B) as of March 31 Most of our borrowing costs remain stable due to fixed-rate $9.0 Agency Repo Q1 2024 securitizations and interest rate hedges $8.0 MTM $2.5B Liability Effective cost of funds in Q1 was 4.52% MTM Warehouse MTM Warehouse MTM Lines Line Issued one securitization du
Slide 8: Q1 2024 Interest Rate Swaps
Positive carry on our interest rate swap position is nearly 350 bps Q1 2024 Continued benefit from $3.2B interest rate hedge placed primarily in late 2021 and early 2022 before the Federal Reserve began raising the Fed Funds Rate Interest Weighted average fixed pay rate was 1.86% and variable
Slide 9: Q1 2024 Credit Highlights
Loan delinquencies and loan-to-value (LTV) Loan Portfolio LTV14 Purchased Performing 60+ day delinquency Legacy RPL/NPL15 60+ day delinquency Q1 2024 ratios remain low 56% 64% 54% 59% 4.3% 31% 24% We continue to benefit from accumulated Credit home price appreciation and principal 3.1% Highlight
Slide 10: Q1 2024 Lima One Highlights
$430M of origination volume in Q17 Q1 2024 Average LTV17 of 65% and FICO score of 749 Lima One Origination fees, servicing fees and other fee income totaled $7.9M Highlights Lima One has originated $6B7 of BPLs for MFA’s balance sheet since our acquisition in 2021 Lima offers a broad range
Slide 11: Q1 2024 Transitional Loan Highlights
Transitional loan portfolio grew to $2.5B UPB Portfolio statistics 3/31/24 12/31/23 Q1 2024 Lima One originated loans with a maximum UPB of $345M7 at UPB ($M) Maximum loan amount ($M) $2,502 $3,029 $2,3681 $2,9541 average ARV-LTV of 64% and average coupon of 10.9% Transitional Average maximum lo
Slide 12: Q1 2024 SFR Loan Highlights
Portfolio statistics 3/31/24 12/31/23 Single-family rental (SFR) loan portfolio remained stable at Q1 2024 UPB ($M) $1.7B UPB $1,666 $1,7301 Average loan balance $231K $247K1 Lima One originated $85M of SFR loans with average LTV of SFR Loan 67% and average coupon of 8.3% WA gross coupon Quarter
Slide 13: Q1 2024 Non-QM Highlights
Non-QM loan portfolio now exceeds $4B UPB Portfolio statistics 3/31/24 12/31/23 Q1 2024 UPB ($M) $4,060 $3,9351 Acquired $182M UPB of loans with average LTV of 62% and Average loan balance $498K $496K1 average coupon of 8.9% Non-QM Sold $61M UPB of Non-QM loans with average coupon of 3.9% WA g
Slide 14: Legacy Non-Performing and Re-Performing Loans
Legacy Non-Performing and Re-Performing Loans Non-Performing Loans (NPLs)22 Re-Performing Loans (RPL)23 Remaining UPB of $634M for loans purchased as NPLs Remaining UPB of $691M for loans purchased as RPLs 94% of loans purchased as NPLs were performing, paid in full 86% of RPL portfolio was
Slide 15: Appendix
Appendix 15with Houses James Casebere, Landscape (Dutchess County, NY) #2, 2010 (detail)
Slide 16: 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 17: 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 18: Book Value Upside
Book Value Upside Economic book value has over $3 per share of potential Potential Upside in Economic Book Value upside $20 $5.25 $(2.05) $17.52 Our loan portfolio is marked at a substantial discount to $18 par largely due to impact of higher interest rates $16 $3.20 potential $14.32 upside We
Slide 19: MFA-Issued Securitizations Outstanding
MFA-Issued Securitizations Outstanding Weighted Average Coupon Original Collateral Current Collateral Bonds Sold Original UPB Outstanding Balance of Bonds Securitization Name Loan Product Type Settlement Date (WAC) of Outstanding Bonds WAC of Underlying Loans Callable Date UPB ($M) 26 UPB ($M) 26 ($
Slide 20: Select Financial Metrics
Select Financial Metrics Asset Yield Net Interest Spread Distributable Earnings vs. Dividend 7.00% $0.50 6.58% 2.50% 6.46% 6.35% 2.17% 6.50% 2.14% 2.13% 6.10% 2.06% $0.40 6.00% 5.69% 2.00% 1.74% 5.50% $0.30 1.50% 5.00% 4.50% 1.00% $0.20 4.00% 0.50% $0.10 3.50% 3.00% 0.00% $- Q1 2023 Q2 2023 Q3 2023
Slide 21: 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 22: 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 23: Book Value and Economic Book Value Rollforward
Book Value and Economic Book Value Rollforward GAAP Economic Book value per common share as of 12/31/23 $13.98 $14.57 Net income available to common shareholders 0.15 0.15 Common stock dividends declared (0.35) (0.35) Fair value changes attributable to residential mortgage securities and other 0.02
Slide 24: GAAP Segment Reporting
GAAP Segment Reporting (Dollars in millions) Mortgage-Related Assets Lima One Corporate Total Three months ended March 31, 2024 Interest Income 95.4 78.1 3.3 176.81 Interest Expense 69.3 54.2 5.5 129.01 Net Interest Income/(Expense) $ 26.1 $ 23.9 $ (2.2) $ 47.8 1 Provision for Credit Losses on Other
Slide 25: Distributable Earnings by Operating Segment
Distributable Earnings by Operating Segment (Dollars in millions) Mortgage- Lima One Corporate Total1 Related Assets Three months ended March 31, 2024 GAAP Net income/(loss) used in the calculation of basic EPS $ 33.9 $ 13.1 $ (32.2) $ 14.81 Adjustments: Unrealized and realized gains and losses on:
Slide 26: 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 22 for further information regarding the calculation of this measure and a reconciliation to GAAP book value. Endnotes 3) 4) GAAP net income presented