Slide 1: Company Update Second Quarter 2024
Company Update SECOND 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 $11.1B as of June 30, 2024 $1.9Bv as of June 30, 2024 13.1% as of August 6, 2024 Listed on NYSE in Common dividends Loans ac
Slide 4: Q2 2024 financial snapshot
Q2 2024 financial snapshot GAAP Economic Distributable GAAP net income3 book value book value2 earnings4 $13.80 $14.34 $0.32 per common share $0.44 per common share per common share per common share Total economic Recourse leverage5 Unrestricted cash Q2 Dividend return6 1.7x $289M $0.35 2.6% per com
Slide 5: Q2 2024 Company Highlights
Protected book value during another volatile quarter for interest rates Q2 2024 GAAP book value remained unchanged and Economic book value rose to $14.34 per share Company Generated Distributable earnings of $0.44 per share Highlights Net interest income rose to $53.5M, up from $47.8M in Q1
Slide 6: Q2 2024 Investment Activity
Investment Portfolio at June 3010 Acquired $864M of residential loans and securities, growing Q2 2024 investment portfolio to $10.2B Other $0.4B Agency Investment MBS Lima One funded $422M9 of new business purpose loans (BPLs) $0.7B and draws on existing loans Legacy Activity Purchased $266M o
Slide 7: Q2 2024 Liability Highlights
Liabilities ($B) as of June 30 Most of our borrowing costs remain stable due to fixed-rate $10.0 Q2 2024 securitizations and interest rate hedges $9.0 Agency Repo Liability Effective cost of funds in Q2 was 4.63% MTM Warehouse MTM Lines $8.0 Highlights Issued two securitizations during the qua
Slide 8: Q2 2024 Interest Rate Swaps
Positive carry on our interest rate swap position is nearly 350 bps Q2 2024 $3.3B interest rate hedge placed primarily in late 2021 and early 2022 Interest Rate Weighted average fixed pay rate was 1.92% and variable receive rate was 5.33%12 at June 30 Swaps Net positive swap carry of $29M in
Slide 9: Q2 2024 Portfolio Credit Metrics
Current LTV by Loan Product Type13 Current LTV Distribution13 Q2 2024 67% 66% $5B Portfolio 62% 59% $4B Credit 56% 52% $3B Metrics $2B $1B Single Family Multifamily Single Family Rental Non-QM Loans Legacy RPL/NPL Total - Transitional Loans Transitional Loans Loans Loans <60% 60-70% 70-80% 80-90% 90
Slide 10: Q2 2024 Lima One Highlights
$412M of origination volume in Q27 Q2 2024 Average LTV15 of 66% and FICO score of 753 Lima One Origination fees, servicing fees and other fee income totaled $7.6M Highlights Lima One has originated $6.4B7 of BPLs for MFA’s balance sheet in the three years since our acquisition in Q3 2021 L
Slide 11: Q2 2024 Single-family Transitional Loans
Lima One originated $279M7 of new loans Portfolio statistics 6/30/24 3/31/24 Q2 2024 Average ARV-LTV of 66% and average coupon of 10.7% UPB ($M) $1,227 $1,265 d Single-family Issued our fifth Transitional loan securitization in May Maximum loan amount ($M) $1,634 $1,691 Transitional Collater
Slide 12: Q2 2024 Multifamily Transitional Loans
Multifamily loan portfolio of $1.2B UPB Portfolio statistics 6/30/24 3/31/24 Q2 2024 Lima One originated $23M7 of new loans at average ARV- UPB ($M) $1,184 $1,237 d Multifamily LTV of 61% and average coupon of 10.8% Maximum loan amount ($M) $1,267 $1,340 d Transitional Portfolio is comprised o
Slide 13: Q2 2024 Single-family Rental Loans
Portfolio statistics 6/30/24 3/31/24 Single-family rental (SFR) loan portfolio surpassed $1.7B Q2 2024 UPB UPB ($M) $1,713 $1,666 d Average loan balance $227K $231K Single-family d Lima One originated $110M UPB of SFR loans with average Gross coupon 6.62% 6.57% LTV of 68% and average coupon of 8
Slide 14: Q2 2024 Non-QM Loans
Portfolio statistics 6/30/24 3/31/24 Non-QM loan portfolio grew to $4.2B UPB Q2 2024 Acquired $261M UPB of new loans with average LTV of 63% UPB ($M) $4,184 $4,0601 Average loan balance $508K $498K1 Non-QM and average coupon of 8.4% WA gross coupon 6.30% 6.16%1 Loans Issued our 14th Non-QM sec
Slide 15: Q2 2024 Legacy RPL/NPL Loans
Achieving favorable outcomes due to home price appreciation Portfolio statistics 6/30/24 3/31/24 and intensive asset management Q2 2024 UPB ($M) $1,284 $1,3251 95% of Legacy RPL/NPL loans purchased since 2014 ($4.4B Average loan balance $196K $199K1 Legacy UPB) were performing, paid in full (PIF
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 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 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: Book Value Potential Upside
Book Value Potential Upside Economic book value has nearly $3 per share of potential Potential Upside in Economic Book Value upside $20 $4.84 $4.88 $(1.89) Much of our loan portfolio is marked at a substantial $18 discount to par due to impact of higher interest rates $16 $2.99 potential $14.34
Slide 20: MFA-Issued Securitizations Outstanding
MFA-Issued Securitizations Outstanding Original Collateral UPB Current Collateral Bonds Sold Original UPB Outstanding Balance of Weighted Average Coupon (WAC) WAC of Underlying Securitization Name Loan Product Type Settlement Date Callable Date ($M)21 UPB ($M)21 ($M) Sold (%)22 Bonds Sold ($M) of Ou
Slide 21: Select Financial Metrics
Select Financial Metrics Asset Yield Net Interest Spread Distributable Earnings vs. Dividend 6.79% 7.00% 6.46% 6.58% 2.50% 6.35% 6.10% 2.14% 2.17% 2.16% $0.50 2.13% 2.06% 6.00% 2.00% $0.40 5.00% 4.00% 1.50% $0.30 3.00% 1.00% $0.20 2.00% 0.50% $0.10 1.00% 0.00% 0.00% $- Q2 2023 Q3 2023 Q4 2023 Q1 202
Slide 22: 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 23: 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 24: Book Value and Economic Book Value Rollforward
Book Value and Economic Book Value Rollforward GAAP Economic Book value per common share as of 3/31/24 $13.80 $14.32 Net income available to common shareholders 0.33 0.33 Common stock dividends declared (0.35) (0.35) Fair value changes attributable to residential mortgage securities and other 0.02 0
Slide 25: GAAP Segment Reporting
GAAP Segment Reporting (Dollars in millions) Mortgage- Related Assets Lima One Corporate Totald Three months ended June 30, 2024 Interest Income $ 101.2 $ 81.7 $ 3.8 $ 186.71 Interest Expense 70.0 56.7 6.6 133.31 Net Interest Income/(Expense) $ 31.2 $ 25.0 $ (2.8) $ 53.41 Provision for Credit Losses
Slide 26: Distributable Earnings by Operating Segment
Distributable Earnings by Operating Segment (Dollars in millions) Mortgage- Lima One Corporate Total1 Related Assets Three months ended June 30, 2024 GAAP Net income/(loss) used in the calculation of basic EPS $ 61.2 $ 4.9 $ (32.5) $ 33.61 Adjustments: Unrealized and realized gains and losses on: Re
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 23 for further information regarding the calculation of this measure and a reconciliation to GAAP book value. Endnotes 3) 4) GAAP net income presented