Mfa Financial, Inc. · NYSE:MFA
Mfa Financial — Q1 2022 Earnings Presentation
21 slides from Mfa Financial's earnings presentation, May 4, 2022
Slide 1: First Quarter 2022 Earnings Presentation
First 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: 2022 first quarter financial results
2022 first quarter financial results • GAAP loss of $(91.1) million or $(0.86) per basic common share • Distributable Earnings1 of $66.0 million, or $0.62 basic per common share • Net interest income of $63.1 million. Higher loan interest income was largely offset by higher financing costs. Securiti
Slide 4: 2022 first quarter financial results (cont'd)
2022 first quarter financial results (cont’d) • Acquired $1.2 billion of loans in the quarter • Tapered asset acquisitions of purchased loans, particularly Non-QM loans • Loan portfolio increased by approximately $330 million to $8.4 billion after portfolio runoff • Q1 loan acquisitions include over
Slide 5: Investment portfolio and asset based financing composition
Investment portfolio and asset based financing composition $8.7 billion Investment Portfolio at 3/31/22 Asset Based Financing at 3/31/22 Securities, $0.3 REO, $0.1 Agency Eligible Investor Loans, $1.0 Non-QM Loans, $3.7 Securitized Debt, $2.9 Mark-to-Market, $2.9 Purchased Non- performing loans(2),
Slide 6: GAAP earnings reflect market value changes driven by the rising rate environment
GAAP earnings reflect market value changes driven by the rising rate environment Key items impacting results: Q1 2022 Q4 2021 • Net interest income decreased to $63.1 million: Summary Income Statement $ in mm $ in mm Net Interest Income: • Prior period included $8.2 million impact of early Loans 60.
Slide 7: Introduction of Distributable Earnings
Introduction of Distributable Earnings Q1 2022 Q4 2021 (In Millions, Except Per Share Amounts) $ in mm $ in mm GAAP Net (loss)/income used in the calculation of basic EPS $ (91.3) $ 35.7 Adjustments: Unrealized gains and losses on: Residential whole loans held at fair value 287.9 42.6 Securities hel
Slide 8: Housing market and labor market trends
# of Units (millions) 10% 12% 14% 16% 18% 20% 22% 0% 2% 4% 6% 8% 0.6 0.8 1.2 1.4 1.6 1.8 2.2 1 2 Mar-15 Jan-18 Jun-15 Mar-18 Sep-15 May-18 Dec-15 Jul-18 Mar-16 Sep-18 Jun-16 Nov-18 Sep-16 Jan-19 Dec-16 Mar-17 Mar-19 Jun-17 May-19 Sep-17 Jul-19 Dec-17 Sep-19 Mar-18 Nov-19 Jun-18 Jan-20 Sep-18 Mar-20
Slide 9: Non-QM investments
Non-QM investments • Purchased or committed to purchase over $600 million of Portfolio Statistics (3/31/22) Non-QM loans in the first quarter of 2022 Total UPB (millions) $3,671 • Challenging quarter for credit spreads Avg Balance $507,035 WA LTV 65% • Completed two securitizations in the quarter to
Slide 10: RPL portfolio delinquency characteristics
1 RPL portfolio delinquency characteristics • 81% of our RPL portfolio is less than 60 days delinquent as of 3/31/2022 • On average, 34% of the 60+ days delinquent loans are making payments • Portfolio LTV has fallen to 62% due to significant home price appreciation and principal repayments • Season
Slide 11: Performance of Non-Performing loans
Performance of Non-Performing1 loans Acquisition Year 2014 2015 2016 2017 2018 2019 Total Loan Count 743 2,353 1,007 3,124 1,848 1,264 10,339 UPB Purchased (in millions) 161.3 619.6 280.2 704.7 497.3 227.3 2,490.4 Status 3/31/2022 Performing2/PIF 38 % 29 % 31 % 41 % 51 % 38 % 39 % Liquidation/REO 55
Slide 12: Business purpose loans – Lima One
Business purpose loans – Lima One • Lima One originated over $660 million1 in the first quarter, a modest increase from the fourth quarter and a record quarter for the company. Approximately $200 million of originations in April. • Lima One continues to originate high yielding, high quality business
Slide 13: Business purpose loans – Rehabilitation loans
Business purpose loans – Rehabilitation loans • The Fix and Flip portfolio grew by over $150 million to $887 Portfolio Statistics (3/31/22) million UPB at March 31, 2022. A 21% increase over fourth UPB (millions) $887 quarter 2021. Undrawn commitments (millions) $355 • Loan acquisition activity rema
Slide 14: Business purpose loans – Single Family Rental Loans
Business purpose loans – Single Family Rental Loans • The SFR portfolio continues to exhibit strong performance, SFR Portfolio Statistics (3/31/22) delivering attractive yields and good credit performance UPB (millions) $1,169 • First quarter yield: 5.20% WA LTV 70% WA FICO 735 • 60+ day delinquency
Slide 15: Summary
Summary • First quarter 2022 results reflect the challenging interest rate environment • Increased cash position by over $100 million to approximately $410 million at quarter-end and continued to maintain relatively low leverage • Completed two securitizations of Non-QM loans during the quarter and
Slide 16: Additional Information
Additional Information
Slide 17: MFA share repurchase program
MFA share repurchase program • MFA Board of Directors authorized a new $250 million share repurchase program in March 2022 for repurchases through the end of 2023 • Adopted 10b5-1 plan in March 2022 • 10b5-1 plan permits share repurchases during closed window periods • Share repurchases in Q1 2022 o
Slide 18: 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 19: 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 20: Book value impacted primarily by rising rates and spread widening
Book value impacted primarily by rising rates and spread widening GAAP Economic Book value per common share as of 12/31/21 $19.12 $20.58 Net income available to common shareholders (0.86) (0.86) Common stock dividends declared (0.44) (0.44) Impact of share repurchases 0.02 0.05 Credit risk related c
Slide 21: Allowance for credit losses - Loans held at carrying value
Allowance for credit losses - Loans held at carrying value Three Months Ended March 31, 2022 Purchased Seasoned Non-QM Rehabilitation Single-family Credit (Amounts In Thousands) Performing Totals Loans Loans 1 Rental Loans Deteriorated Loans Loans Allowance for credit losses at beginning of period $