Slide 1: Company Update First Quarter 2023
Company Update FIRST QUARTER 2023
Slide 2: Forward-looking statements
Q2 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 Equity allocation (as of March 31, 2023) $9.3B as of March 31, 2023 $2.0B as of March 31, 2023 14% 18% 68% Common dividends Listed on NYSE
Slide 4: Q1 2023 financial snapshot
Q1 2023 financial snapshot MFA protected and grew book value during Q1 due to hedging and securitization activities undertaken over the past year GAAP Economic Total economic GAAP net income5 book value book value1 return3 $15.15per common share $16.02 per common share 5.3% for the quarter $0.63 per
Slide 5: Q1 2023 Company Highlights
Protected and grew book value despite another tumultuous quarter of interest rate and Q1 2023 credit spread volatility GAAP book value rose 2% and Economic book value rose 3% Company Weathered March 2023 banking crisis with no impact on our cash or borrowing capacity Highlights Ended Q1 with
Slide 6: Q1 2023 Portfolio Highlights
Investment Portfolio as of March 31, 20238 Grew our investment portfolio by 5.5% to $8.4 billion Q1 2023 Agency MBS $0.3B Lima One funded $364M of new business purpose loans Other (BPLs) and draws on existing loans Portfolio Legacy $0.5B Acquired $90M UPB of non-qualified mortgage (Non-QM) Hig
Slide 7: Q1 2023 Financial Highlights
Net interest spread exceeded 150 bps for the third consecutive quarter Q1 2023 Spread was 174 bps in Q1 and continues to trend upward as we acquire assets at increasingly higher yields Financial Spread declined from Q4 2022 primarily due to the redemption of an impaired MSR note, which Highlig
Slide 8: Prudent Liability Management
Continued benefit from $3B interest rate swaps added in late ‘21/early ‘22 Q1 Liabilities ($B) $8.0 Prudent Positive carry on our swaps exceeds 325 bps Liability Fixed pay rate was 1.58% and variable receive rate was 4.87% at March 31 $7.0 Other AGY Repo Management Net positive swap carry of
Slide 9: Credit Remains Strong
Loan-to-value (LTV) ratios and Loan Portfolio LTV12 Purchased Performing 60+ day delinquency Legacy RPL/NPL13 60+ day delinquency Credit delinquencies remain low 70% 60% 4% 40% 50% 3% We continue to benefit from accumulated Remains 40% 30% 30% home price appreciation and principal pay- 20% 2% 20
Slide 10: Book Value Upside
We recoup unrealized losses in Book book value as borrowers make principal payments and/or pay off $5.52 $(2.95) $18.59 Value $16.02 their loans Upside Loan portfolio fair value at March 31 was marked at $9.92 $563M below par, or $5.52 per share Our securitized debt was marked at $301M below p
Slide 11: Q1 2023 Lima One Highlights
Continued momentum from record origination volume in 2022 Q1 2023 $379M of originations7 with an average LTV14 of 65% and FICO score of 747 Lima One Origination volume was essentially unchanged from Q4 despite impact of higher coupons and tighter underwriting standards implemented in 2022 High
Slide 12: Q1 2023 Transitional loan highlights
Transitional loan portfolio grew by over $100M to $1.5B, Portfolio statistics (03/31/23) Q1 2023 an 8% rise from year-end UPB ($M) $1,537 Maximum Loan Amount ($M) $2,084 Lima originated $298M of new transitional loans 7 Transitional WA Coupon 8.15% 10.4% average coupon on loans originated in Q
Slide 13: Q1 2023 SFR loan highlights
Single-family rental (SFR) loan portfolio is performing Portfolio statistics (03/31/23) Q1 2023 well, delivering attractive yields and strong credit performance UPB ($M) WA Coupon $1,542 5.87% SFR loan Lima One originated $81M of SFR loans First Quarter Yield 5.61% highlights WA Original LTV 70%
Slide 14: Q1 2023 Non-QM highlights
Acquired $90M UPB of Non-QM loans in Q1, growing Portfolio statistics (03/31/23) Q1 2023 portfolio to $3.7B UPB ($M) $3,684 Average balance $502K 9.48% average coupon on loans purchased in Q1 Non-QM WA Coupon 5.37% Credit performance remained strong with 60+ day First Quarter Yield 4.64% highl
Slide 15: Legacy Non-Performing and Re-Performing Loans
Legacy Non-Performing19 and Re-Performing20 Loans Non-Performing Loans (NPL) Re-Performing Loans (RPL) Remaining UPB of $723M for loans purchased as NPLs Remaining UPB of $765M 92% of these loans were performing, paid in full, liquidated or 82% of RPL portfolio is less than 60 days delinquen
Slide 16: Appendix
Appendix 16with Houses James Casebere, Landscape (Dutchess County, NY) #2, 2010 (detail)
Slide 17: MFA Financial Overview
MFA Financial, Inc. (NYSE: MFA) is a leading specialty finance company that invests in and finances residential mortgage assets MFA Financial MFA owns a diversified portfolio of residential mortgage assets, including transitional and term business purpose loans (BPLs), non-qualified mortgage (No
Slide 18: 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 19: 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 20: 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 21: Book Value and Economic Book Value Rollforward
Book Value and Economic Book Value Rollforward GAAP Economic Book value per common share as of 12/31/22 $14.87 $15.55 Net income available to common shareholders 0.63 0.63 Common stock dividends declared (0.35) (0.35) Fair value changes attributable to residential mortgage securities and other — — C
Slide 22: GAAP Segment Reporting
GAAP Segment Reporting Mortgage-Related (Dollars in millions) Lima One Corporate Total Assets Three months ended March 31, 2023 Interest Income $ 84.8 $ 44.5 $ 2.9 $ 132.2 Interest Expense 57.0 31.8 4.0 92.8 Net Interest Income/(Expense) $ 27.8 $ 12.7 $ (1.1) $ 39.4 (Provision)/Reversal of Provision
Slide 23: Distributable Earnings by Operating Segment
Distributable Earnings by Operating Segment Mortgage- Lima One Corporate Total Related Assets (Dollars in millions) Three months ended March 31, 2023 GAAP Net income used in the calculation of basic EPS $ 76.2 $ 20.2 $ (32.0) $ 64.4 Adjustments: Unrealized and realized gains and losses on: Residenti
Slide 24: Endnotes
1) Economic book value is a non-GAAP financial measure. Refer to slide 20 for further information regarding the calculation of this measure and a reconciliation to GAAP book value. Endnotes 2) Recourse leverage is the ratio of MFA’s financing liabilities (excluding non-recourse Securitized Debt) to