NEW YORK, Feb. 23, 2021 /PRNewswire/ -- MFA Financial, Inc.
(NYSE: MFA) today provided its financial results for the fourth
quarter ended December 31, 2020.
Fourth Quarter 2020 financial results
update:
- MFA generated fourth quarter net income of $37.6 million, or $0.08 per common share.
- MFA paid a regular cash dividend for the fourth quarter of
$0.075 per share of common stock on
January 29, 2021.
- GAAP book value at December 31, 2020 was $4.54 per common share, while Economic book
value, a non-GAAP financial measure of MFA's financial position
that adjusts GAAP book value by the amount of unrealized market
value changes in residential whole loans held at carrying value for
GAAP reporting, was $4.92 per common
share at quarter-end.
- Markets for residential mortgage assets further stabilized
following the disruptions experienced earlier in 2020.
Earnings and changes in book value continued to be positively
impacted by improvements in the values of residential mortgage
assets. Income from residential whole loans at fair value
included $30.9 million of market
value gains, while changes in the fair value of loans held on our
balance sheet at carrying value also resulted in an increase in
Economic book value during the quarter of approximately
$0.07 per common share. While
MFA's fourth quarter financial results had fewer unusual items than
prior periods, they were impacted by certain items that will
not reoccur in future periods. In particular, fourth quarter
net income included expenses totaling $25.3 million (or $0.06 per common share) recognized on the
repayment of the senior secured term loan from Apollo and Athene
and a $3.1 million non-cash charge
(or $0.01 per common share) related
to the redemption of our 8% Senior Notes (both items discussed
further below).
- Additionally, during the quarter, we completed two transactions
with Apollo and Athene that eliminated potential future dilution
from the warrants that were issued in connection with the loan. In
the first transaction, the Company repurchased, for $33.7 million, approximately 48% of the
warrants and in the second transaction, the remaining warrants
were exercised by Apollo and Athene, resulting in MFA issuing
approximately 12.3 million shares of common stock and
receiving $6.5 million in
cash. The combined impact of the warrant exercise and
repurchase transactions decreased MFA's GAAP book value per common
share by $0.18 and Economic book value per common share by
$0.19, reflecting less than 4%
dilution of previously reported book value.
- We continued to make significant progress on initiatives to
lower the cost of financing our investments with more durable forms
of borrowing. During the quarter, we completed two
Non-QM securitization transactions, totaling $951.6 million, that generated $214.6 million of additional liquidity and
lowered the funding rate for the associated assets by approximately
193 basis points. After the end of the fourth quarter, we
completed a securitization solely consisting of $217.5 million of Business Purpose Rental
Loans, generating $48.4 million
of additional liquidity. As the weighted average coupon of
the bonds sold was 1.06%, this transaction is expected to lower the
funding rate of the underlying assets by more than 150 basis
points.
- During the fourth quarter, under our previously announced stock
repurchase program we repurchased 14,085,678 shares of common stock
at an average price of approximately $3.61 per share. These repurchases were
accretive to MFA's GAAP book value by $0.03 per common share
and Economic book value by $0.04 per
common share.
- On January 6, 2021, we completed
the redemption of the $100
million 8% Senior Notes due 2042 (the "Senior Notes").
In connection with this redemption, we recorded in our fourth
quarter interest expense a non-cash charge of approximately
$3.1 million representing remaining
unamortized deferred expenses incurred when the Senior Notes were
originally issued in 2012.
Commenting on the fourth quarter 2020 results, Craig Knutson, MFA's CEO and President said,
"MFA's fourth quarter financial results were a continuation of a
return to normal, as we put the capital transactions necessary to
emerge from our COVID-19 pandemic-induced distress behind us.
The Apollo/Athene debt was fully paid off during the fourth
quarter, and the associated warrants have been extinguished through
a combination of repurchases and exercise. While the warrant
settlement was mildly dilutive, a strong quarter and the impact of
accretive common stock repurchases mitigated this dilution, with
GAAP book value down just 1.5% and Economic book value flat
compared to September 30. The net impact of the warrant
transactions decreased reported book value amounts by roughly
3.9%."
Mr. Knutson added, "We continued to make substantial progress on
multiple initiatives by seizing market opportunities in the fourth
quarter that we believe should have a significant positive impact
on our results as we enter 2021. With interest rates at
historic lows and robust demand for mortgage credit, particularly
rated mortgage credit, we executed two new securitizations in the
fourth quarter and another subsequent to year-end. This
brings our aggregate securitizations to just over $1.5 billion since September. These
transactions substantially reduce our interest costs and also
generate significant additional liquidity. In addition to
paying off expensive debt (including our 8% Senior Notes that we
redeemed in early January), we also deployed capital to repurchase
MFA common stock at levels well below book value."
Mr. Knutson continued, "We also took advantage of a strong
housing market to materially reduce our REO portfolio in 2020,
selling over 1,000 properties for aggregate proceeds of
$271 million, which was nearly 2.5
times the proceeds realized in 2019. These properties sold
for an average of 105.9% of carrying value, generating gains on
disposal of $15.1 million."
Q4 2020 Portfolio Activity
MFA's residential mortgage investment portfolio decreased by
$346.0 million during the fourth
quarter, primarily due to portfolio run-off. Acquisition of
new investments continued to be modest, with $83.2 million of Non-QM loans and $27.3 million of Business Purpose loans purchased
during the quarter.
At December 31, 2020, the net carrying value of our
investments in residential whole loans totaled $5.3 billion. Of this amount, $4.1 billion is recorded at carrying value and
$1.2 billion is recorded at fair
value on our consolidated balance sheet. Loans held at
carrying value generated an overall yield of 4.66% during the
quarter, a slight increase from the prior quarter. Yields
on purchased performing loans were essentially unchanged from
the prior quarter at 4.57%, while yields on purchased
credit deteriorated loans increased to 5.16% from 4.89% in the
prior quarter. Overall delinquency rates on loans held at
carrying value were largely unchanged from the prior quarter.
The amount of Non-QM loans that were 60 or more days delinquent,
measured as a percentage of the unpaid principal balance,
declined during the quarter and was 7.9% at
December 31, 2020, compared to 8.8% at September 30, 2020. In addition, the amount of
purchased credit deteriorated loans that were 90 or more days
delinquent, measured as a percentage of the unpaid principal
balance, marginally increased during the quarter and was 18.5% at
December 31, 2020, compared to 18.2% at September 30, 2020. Delinquency levels for
our Rehabilitation loans also increased from the prior quarter,
with loans that were 60 or more days delinquent totaling
$161.8 million, compared to
$143.3 million at September 30, 2020.
For the fourth quarter, a reversal of the provision for credit
losses of $19.0 million was recorded
on residential whole loans held at carrying value, primarily
reflecting lower estimates of future rates of unemployment and
lower loan balances. The total allowance for credit losses
recorded on residential whole loans held at carrying value at
December 31, 2020 was $86.8
million. In addition, as of December 31, 2020,
reserves for credit losses totaling approximately $1.2 million were recorded related to undrawn
commitments on loans held at carrying value. Further, we
recorded a provision for credit losses on other financial
instruments of $3.3 million during
the fourth quarter. The total allowance for credit losses on
other financial instruments was $9.0
million as of December 31,
2020.
Net gains for the quarter on residential whole loans measured at
fair value through earnings were $49.8
million, including unrealized gains in the fair value of the
underlying loans of $30.9 million,
and $18.9 million of coupon interest
payments and other gains realized during the quarter. The
percentage amount of fair value loans that were 90 or more days
delinquent decreased to 47.0% at December 31, 2020 from
49.0% at September 30, 2020.
In addition, as of the end of the quarter, we held approximately
$250 million of REO properties, which
has decreased from $299 million as of
the end of the third quarter as foreclosure activity in recent
months has slowed, while asset sales continued. MFA's
proactive asset management team has been able to shorten
liquidation timelines and increase property sale proceeds, leading
to improved outcomes and better returns.
At the end of the fourth quarter, MFA held approximately
$53.9 million of RPL/NPL MBS.
In addition, our investments in MSR-related assets totaled
$239.0 million at December 31,
2020. Our investments in CRT securities totaled
$104.2 million at December 31,
2020.
Expenses recognized on repayment of senior secured term
loan
Included in Other income are expenses of approximately
$25.3 million recorded on the
repayment of the remaining balance of the $500 million senior secured term loan from Apollo
and Athene that was obtained on June
26, 2020. These expenses are recognized as the
loan was repaid at its par value and include accelerated accretion
of original issue discount and the reversal of unrealized market
value gains recorded in the prior quarter.
Impact of warrant transactions
During the quarter, the Company repurchased approximately 48% of
the warrants that were issued to Apollo and Athene in connection
with the senior secured term loan. These warrants were
repurchased for $33.7 million,
reflecting the market value of the warrants at the time of
repurchase. The impact of this transaction is reflected
directly in the Company's stockholders' equity and had no impact on
current period net income. In addition, the remaining
warrants were exercised by Apollo and Athene late in the quarter,
resulting in the Company issuing approximately 12.3 million shares
of common stock and receiving $6.5
million in cash.
General and Administrative and other expenses
For the three months ended December 31,
2020, MFA's costs for compensation and benefits and other
general and administrative expenses were $8.6 million, or an annualized 1.37% of average
stockholders' equity for the quarter ended December 31,
2020. Compensation related expenses for the quarter were
lower than our normal expected run rate, primarily due to the
finalization of incentive compensation accruals for 2020, which
resulted in a reduction in accrued incentive compensation of
approximately $3.1
million.
Stock Repurchase Program
On November 2, 2020, MFA's Board
of Directors authorized a share repurchase program under which
MFA may repurchase up to $250 million
of its common stock through the end of 2022. Under this
program during the fourth quarter, the Company repurchased
14,085,678 shares of common stock at an average price of
approximately $3.61 per share.
In addition, as previously discussed, during the year ended
December 31, 2020 the Company
repurchased 17,593,576 warrants for $33.7
million that were included in the stock repurchase program.
As of December 31, 2020, the
Company was permitted to purchase an additional $165.7 million of its common stock.
MFA expects to fund the share repurchases from current cash
balances and future investment portfolio run-off. The Company
currently has approximately 451.7 million shares of common
stock outstanding.
The following table presents MFA's asset allocation as of
December 31, 2020, and the fourth quarter 2020 yield on
average interest-earning assets, average cost of funds and net
interest rate spread for the various asset types.
Table 1 - Asset
Allocation
|
|
At December 31,
2020
|
|
Residential Whole
Loans, at Carrying Value (1)
|
|
Residential Whole
Loans, at Fair Value
|
|
Residential
Mortgage Securities
|
|
MSR-Related
Assets
|
|
Other,
net (2)
|
|
Total
|
($ in Millions)
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value/Carrying
Value
|
|
$
|
4,108
|
|
|
$
|
1,217
|
|
|
$
|
161
|
|
|
$
|
239
|
|
|
$
|
1,137
|
|
|
$
|
6,862
|
|
Financing Agreements
with non-mark-to-market
collateral provisions
|
|
(906)
|
|
|
(253)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,159)
|
|
Financing Agreements
with mark-to-market collateral provisions
|
|
(839)
|
|
|
(285)
|
|
|
(89)
|
|
|
(125)
|
|
|
—
|
|
|
(1,338)
|
|
Less Securitized
Debt
|
|
(1,261)
|
|
|
(254)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,515)
|
|
Less Convertible Senior
Notes
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(225)
|
|
|
(225)
|
|
Less Senior
Notes
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(100)
|
|
|
(100)
|
|
Net Equity
Allocated
|
|
$
|
1,102
|
|
|
$
|
425
|
|
|
$
|
72
|
|
|
$
|
114
|
|
|
$
|
812
|
|
|
$
|
2,525
|
|
Debt/Net Equity Ratio
(3)
|
|
2.7
|
x
|
|
1.9
|
x
|
|
1.2
|
x
|
|
1.1
|
x
|
|
|
|
1.7
|
x
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Quarter
Ended December 31, 2020
|
|
|
|
|
|
|
|
|
Yield on Average
Interest Earning Assets (4)(5)
|
|
4.66
|
%
|
|
N/A
|
|
|
7.22
|
%
|
|
12.27
|
%
|
|
|
|
4.44
|
%
|
Less Average Cost
of
Funds
(6)
|
|
(2.81)
|
|
|
(3.57)
|
|
|
(2.71)
|
|
|
(2.67)
|
|
|
|
|
(3.37)
|
|
Net Interest Rate
Spread
|
|
1.85
|
%
|
|
N/A
|
|
|
4.51
|
%
|
|
9.60
|
%
|
|
|
|
1.07
|
%
|
(1)
|
Includes $2.3
billion of Non-QM loans, $563.4 million of Rehabilitation loans,
$442.5 million of Single-family rental loans, $136.2 million of
Seasoned performing loans and $630.3 million of Purchased Credit
Deteriorated Loans. At December 31, 2020, the total fair
value of these loans is estimated to be approximately $4.3
billion.
|
(2)
|
Includes $814.4
million of cash and cash equivalents, $7.2 million of restricted
cash, $249.7 million of real estate owned, and $47.1 million of
capital contributions made to loan origination partners, as well as
other assets and other liabilities.
|
(3)
|
Total Debt/Net
Equity ratio represents the sum of borrowings under our financing
agreements noted above as a multiple of net equity
allocated.
|
(4)
|
Yields reported on
our interest earning assets are calculated based on the interest
income recorded and the average amortized cost for the quarter of
the respective asset. At December 31, 2020, the
amortized cost of our interest earning assets were as follows:
Legacy Non-Agency MBS - $2.2 million; RPL/NPL MBS - $46.9 million;
Credit Risk Transfer securities - $86.2 million; Residential Whole
Loans at carrying value - $4.2 billion; and MSR-related assets -
$184.9 million. In addition, the yield for residential whole
loans at carrying value was 4.61%, net of 5 basis points of
servicing fee expense incurred during the quarter. For GAAP
reporting purposes, such expenses are included in Loan servicing
and other related operating expenses in our statement of
operations.
|
(5)
|
Interest payments
received on residential whole loans at fair value is reported in
Other Income as Net (loss)/gain on residential whole loans measured
at fair value through earnings in our statement of
operations. Accordingly, no yield is presented as such loans
are not included in interest earning assets for reporting
purposes.
|
(6)
|
Average cost of
funds includes interest on financing agreements, Convertible Senior
Notes, Senior Notes, securitized debt and Secured Term notes.
Total average cost of funds excludes the non-cash charge of $3.1
million recorded in connection with the redemption of the Senior
Notes that was completed early in 2021.
|
The following table presents the activity for our residential
mortgage asset portfolio for the three months ended
December 31, 2020:
Table 2 -
Investment Portfolio Activity Q4 2020
|
|
(In Millions)
|
|
September 30,
2020
|
|
Runoff
(1)
|
|
Acquisitions
|
|
Other
(2)
|
|
December 31,
2020
|
|
Change
|
Residential whole
loans and REO
|
|
$
|
5,916
|
|
|
$
|
(511)
|
|
|
$
|
111
|
|
|
$
|
59
|
|
|
$
|
5,575
|
|
|
$
|
(341)
|
|
MSR-related
assets
|
|
252
|
|
|
(21)
|
|
|
—
|
|
|
8
|
|
|
239
|
|
|
(13)
|
|
Residential mortgage
securities
|
|
153
|
|
|
(2)
|
|
|
—
|
|
|
10
|
|
|
161
|
|
|
8
|
|
Totals
|
|
$
|
6,321
|
|
|
$
|
(534)
|
|
|
$
|
111
|
|
|
$
|
77
|
|
|
$
|
5,975
|
|
|
$
|
(346)
|
|
(1)
|
Primarily includes
principal repayments, cash collections on Purchased Credit
Deteriorated Loans and sales of REO.
|
(2)
|
Primarily includes
changes in fair value and adjustments to record lower of cost or
estimated fair value adjustments on REO.
|
The following tables present information on our investments in
residential whole loans.
Residential Whole Loans, at Carrying Value
at December 31, 2020 and December 31, 2019:
|
Table 3 -
Portfolio composition
|
(Dollars In
Thousands)
|
|
December 31,
2020
|
|
December 31,
2019
|
Purchased Performing
Loans:
|
|
|
|
|
Non-QM
loans
|
|
$
|
2,357,185
|
|
|
$
|
3,707,245
|
|
Rehabilitation
loans
|
|
581,801
|
|
|
1,026,097
|
|
Single-family rental
loans
|
|
446,374
|
|
|
460,742
|
|
Seasoned performing
loans
|
|
136,264
|
|
|
176,569
|
|
Total Purchased
Performing Loans
|
|
3,521,624
|
|
|
5,370,653
|
|
Purchased Credit
Deteriorated Loans (1)
|
|
673,708
|
|
|
698,717
|
|
Total Residential
whole loans, at carrying value
|
|
$
|
4,195,332
|
|
|
$
|
6,069,370
|
|
Allowance for credit
losses on residential whole loans held at carrying value
|
|
(86,833)
|
|
|
(3,025)
|
|
Total Residential
whole loans at carrying value, net
|
|
$
|
4,108,499
|
|
|
$
|
6,066,345
|
|
|
|
|
|
|
Number of
loans
|
|
13,112
|
|
|
17,082
|
|
(1)
|
The amortized cost
basis of Purchased Credit Deteriorated Loans was increased by
$62.6 million on January 1, 2020 in connection with the
adoption of ASU 2016-13.
|
Table 4 - Yields
and average balances
|
|
|
|
For the
Three-Month Period Ended
|
(Dollars in
Thousands)
|
|
December 31,
2020
|
|
September 30,
2020
|
|
December 31,
2019
|
|
|
Interest
|
|
Average
Balance
|
|
Average
Yield (1)
|
|
Interest
|
|
Average
Balance
|
|
Average
Yield
|
|
Interest
|
|
Average
Balance
|
|
Average
Yield
|
Purchased Performing
Loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-QM
loans
|
|
$
|
24,316
|
|
|
$
|
2,435,751
|
|
|
3.99
|
%
|
|
$
|
25,884
|
|
|
$
|
2,534,967
|
|
|
4.08
|
%
|
|
$
|
37,032
|
|
|
$
|
3,130,041
|
|
|
4.73
|
%
|
Rehabilitation
loans
|
|
9,983
|
|
|
669,320
|
|
|
5.97
|
%
|
|
10,863
|
|
|
802,661
|
|
|
5.41
|
%
|
|
16,087
|
|
|
1,010,975
|
|
|
6.36
|
%
|
Single-family rental
loans
|
|
6,193
|
|
|
470,197
|
|
|
5.27
|
%
|
|
6,917
|
|
|
489,536
|
|
|
5.65
|
%
|
|
6,091
|
|
|
404,600
|
|
|
6.02
|
%
|
Seasoned performing
loans
|
|
1,993
|
|
|
143,926
|
|
|
5.54
|
%
|
|
1,945
|
|
|
153,003
|
|
|
5.08
|
%
|
|
2,730
|
|
|
184,532
|
|
|
5.92
|
%
|
Total Purchased
Performing Loans
|
|
42,485
|
|
|
3,719,194
|
|
|
4.57
|
%
|
|
45,609
|
|
|
3,980,167
|
|
|
4.58
|
%
|
|
61,940
|
|
|
4,730,148
|
|
|
5.24
|
%
|
Purchased Credit
Deteriorated Loans
|
|
8,973
|
|
|
694,988
|
|
|
5.16
|
%
|
|
8,784
|
|
|
718,957
|
|
|
4.89
|
%
|
|
10,314
|
|
|
712,914
|
|
|
5.79
|
%
|
Total Residential
whole loans, at carrying value
|
|
$
|
51,458
|
|
|
$
|
4,414,182
|
|
|
4.66
|
%
|
|
$
|
54,393
|
|
|
$
|
4,699,124
|
|
|
4.63
|
%
|
|
$
|
72,254
|
|
|
$
|
5,443,062
|
|
|
5.31
|
%
|
(1)
|
Average yield
reported for Single-family rental loans for the three-month period
ended December 31, 2020 excludes $846,000 of prepayment penalties
that are collected on loans that payoff before a specified
date. For GAAP reporting purposes prepayment penalties are
reported in Other income. If such fees were included in
interest income, the reported yield for the period ended December
31, 2020 would have been 5.99%.
|
Table 5 - Credit
related metrics
|
|
December 31,
2020
|
|
|
|
Carrying
Value
|
|
Amortized Cost
Basis
|
|
Unpaid Principal
Balance ("UPB")
|
|
Weighted Average
Coupon (1)
|
|
Weighted Average
Term to Maturity (Months)
|
|
Weighted Average
LTV Ratio (2)
|
|
Weighted Average
Original FICO (3)
|
|
Aging by Amortized
Cost Basis
|
|
|
|
|
|
|
|
|
|
|
|
Past Due
Days
|
(Dollars
In Thousands)
|
|
|
|
|
|
|
|
|
Current
|
|
30-59
|
|
60-89
|
|
90+
|
Purchased Performing
Loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-QM loans
(4)
|
|
$
|
2,336,117
|
|
|
$
|
2,357,185
|
|
|
$
|
2,294,086
|
|
|
5.84
|
%
|
|
351
|
|
64
|
%
|
|
712
|
|
$
|
2,099,134
|
|
|
$
|
73,163
|
|
|
$
|
36,501
|
|
|
$
|
148,387
|
|
Rehabilitation loans
(4)
|
|
563,430
|
|
|
581,801
|
|
|
581,801
|
|
|
7.29
|
|
|
3
|
|
63
|
|
|
719
|
|
390,706
|
|
|
29,315
|
|
|
25,433
|
|
|
136,347
|
|
Single-family rental
loans (4)
|
|
442,456
|
|
|
446,374
|
|
|
442,208
|
|
|
6.32
|
|
|
324
|
|
70
|
|
|
730
|
|
415,386
|
|
|
6,652
|
|
|
3,948
|
|
|
20,388
|
|
Seasoned performing
loans (4)
|
|
136,157
|
|
|
136,264
|
|
|
149,004
|
|
|
3.30
|
|
|
171
|
|
40
|
|
|
723
|
|
124,877
|
|
|
2,186
|
|
|
1,170
|
|
|
8,031
|
|
Purchased Credit
Deteriorated Loans (4)(5)
|
|
630,339
|
|
|
673,708
|
|
|
782,319
|
|
|
4.46
|
|
|
287
|
|
76
|
|
|
N/A
|
|
N/M
|
|
|
N/M
|
|
|
N/M
|
|
|
119,621
|
|
Residential whole
loans, at carrying value, total or weighted average
|
|
$
|
4,108,499
|
|
|
$
|
4,195,332
|
|
|
$
|
4,249,418
|
|
|
5.77
|
%
|
|
282
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31,
2019
|
|
|
|
|
Carrying
Value
|
|
Amortized Cost
Basis
|
|
Unpaid Principal
Balance ("UPB")
|
|
Weighted Average
Coupon
(1)
|
|
Weighted Average
Term to Maturity (Months)
|
|
Weighted Average
LTV Ratio (2)
|
|
Weighted Average
Original FICO (3)
|
|
Aging by
UPB
|
|
|
|
|
|
|
|
|
|
|
|
Past Due
Days
|
(Dollars
In Thousands)
|
|
|
|
|
|
|
|
|
Current
|
|
30-59
|
|
60-89
|
|
90+
|
Purchased
Performing Loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-QM loans
(4)
|
|
$
|
3,706,857
|
|
|
$
|
3,707,245
|
|
|
$
|
3,592,701
|
|
|
5.96
|
%
|
|
368
|
|
67
|
%
|
|
716
|
|
$
|
3,492,533
|
|
|
$
|
59,963
|
|
|
$
|
19,605
|
|
|
$
|
20,600
|
|
Rehabilitation loans
(4)
|
|
1,023,766
|
|
|
1,026,097
|
|
|
1,026,097
|
|
|
7.30
|
|
|
8
|
|
64
|
|
|
717
|
|
868,281
|
|
|
67,747
|
|
|
27,437
|
|
|
62,632
|
|
Single-family rental
loans (4)
|
|
460,679
|
|
|
460,741
|
|
|
457,146
|
|
|
6.29
|
|
|
324
|
|
70
|
|
|
734
|
|
432,936
|
|
|
15,948
|
|
|
2,047
|
|
|
6,215
|
|
Seasoned performing
loans
|
|
176,569
|
|
|
176,569
|
|
|
192,151
|
|
|
4.24
|
|
|
181
|
|
46
|
|
|
723
|
|
187,683
|
|
|
2,164
|
|
|
430
|
|
|
1,874
|
|
Purchased Credit
Impaired Loans (5)
|
|
698,474
|
|
|
698,718
|
|
|
873,326
|
|
|
4.46
|
|
|
294
|
|
81
|
|
|
N/A
|
|
N/M
|
|
|
N/M
|
|
|
N/M
|
|
|
108,998
|
|
Residential whole
loans, at carrying value, total or weighted average
|
|
$
|
6,066,345
|
|
|
$
|
6,069,370
|
|
|
$
|
6,141,421
|
|
|
5.96
|
%
|
|
288
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Weighted average
is calculated based on the interest bearing principal balance of
each loan within the related category. For loans acquired with
servicing rights released by the seller, interest rates included in
the calculation do not reflect loan servicing fees. For loans
acquired with servicing rights retained by the seller, interest
rates included in the calculation are net of servicing
fees.
|
(2)
|
LTV represents the
ratio of the total unpaid principal balance of the loan to the
estimated value of the collateral securing the related loan as of
the most recent date available, which may be the origination date.
For Rehabilitation loans, the LTV presented is the ratio of the
maximum unpaid principal balance of the loan, including unfunded
commitments, to the estimated "after repaired" value of the
collateral securing the related loan, where available. For certain
Rehabilitation loans, totaling $189.9 million and $269.2 million at
December 31, 2020 and December 31, 2019, respectively, an
after repaired valuation was not obtained and the loan was
underwritten based on an "as is" valuation. The weighted average
LTV of these loans based on the current unpaid principal balance
and the valuation obtained during underwriting, is 68% and 69% at
December 31, 2020 and December 31, 2019, respectively.
Excluded from the calculation of weighted average LTV are certain
low value loans secured by vacant lots, for which the LTV ratio is
not meaningful.
|
(3)
|
Excludes loans for
which no Fair Isaac Corporation ("FICO") score is
available.
|
(4)
|
At
December 31, 2020 and December 31, 2019 the difference
between the Carrying Value and Amortized Cost Basis represents the
related allowance for credit losses.
|
(5)
|
Purchased Credit
Deteriorated Loans tend to be characterized by varying performance
of the underlying borrowers over time, including loans where
multiple months of payments are received in a period to bring the
loan to current status, followed by months where no payments are
received. Accordingly, delinquency information is presented
for loans that are more than 90 days past due that are considered
to be seriously delinquent.
|
Table 6 - LTV 90+
Days Delinquencies
|
|
The following table
presents certain information regarding the Company's Residential
whole loans that are 90 days or more delinquent:
|
|
|
|
December 31,
2020
|
(Dollars In
Thousands)
|
|
Carrying Value /
Fair Value
|
|
UPB
|
|
LTV
(1)
|
Purchased Credit
Deteriorated Loans
|
|
$
|
119,621
|
|
|
$
|
145,028
|
|
|
86.7
|
%
|
Non-QM
loans
|
|
$
|
148,387
|
|
|
$
|
144,681
|
|
|
65.9
|
%
|
Rehabilitation
loans
|
|
$
|
136,347
|
|
|
$
|
136,347
|
|
|
65.8
|
%
|
Single-family rental
loans
|
|
$
|
20,388
|
|
|
$
|
20,233
|
|
|
72.7
|
%
|
Seasoned performing
loans
|
|
$
|
8,031
|
|
|
$
|
8,823
|
|
|
55.1
|
%
|
Residential whole
loans, at fair value
|
|
$
|
571,729
|
|
|
$
|
625,621
|
|
|
86.8
|
%
|
(1)
|
LTV
represents the ratio of the total unpaid principal balance of the
loan to the estimated value of the collateral securing the related
loan as of the most recent date available, which may be the
origination date. For Rehabilitation loans, the LTV presented
is the ratio of the maximum unpaid principal balance of the loan,
including unfunded commitments, to the estimated "after repaired"
value of the collateral securing the related loan, where
available. For certain Rehabilitation loans, an after
repaired valuation was not obtained and the loan was underwritten
based on an "as is" valuation. Excluded from the calculation
of weighted average LTV are certain low value loans secured by
vacant lots, for which the LTV ratio is not
meaningful.
|
Table 7 -
Allowance for Credit Losses
|
|
The following table
presents a roll-forward of the allowance for credit losses on the
Company's Residential Whole Loans, at Carrying Value:
|
|
|
|
For the Year Ended
December 31, 2020
|
(Dollars In
Thousands)
|
|
Non-QM
Loans
|
|
Rehabilitation
Loans (1)(2)
|
|
Single-family
Rental Loans
|
|
Seasoned
Performing Loans
|
|
Purchased Credit
Deteriorated Loans (3)
|
|
Totals
|
Allowance for credit
losses at December 31, 2019
|
|
$
|
388
|
|
|
$
|
2,331
|
|
|
$
|
62
|
|
|
$
|
—
|
|
|
$
|
244
|
|
|
$
|
3,025
|
|
Transition adjustment
on adoption of ASU 2016-13 (4)
|
|
6,904
|
|
|
517
|
|
|
754
|
|
|
19
|
|
|
62,361
|
|
|
70,555
|
|
Current
provision
|
|
26,358
|
|
|
33,213
|
|
|
6,615
|
|
|
230
|
|
|
8,481
|
|
|
74,897
|
|
Write-offs
|
|
—
|
|
|
(428)
|
|
|
—
|
|
|
—
|
|
|
(219)
|
|
|
(647)
|
|
Valuation adjustment
on loans held for sale
|
|
70,181
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
70,181
|
|
Allowance for credit
and valuation losses at March 31, 2020
|
|
$
|
103,831
|
|
|
$
|
35,633
|
|
|
$
|
7,431
|
|
|
$
|
249
|
|
|
$
|
70,867
|
|
|
$
|
218,011
|
|
Current
provision/(reversal)
|
|
(2,297)
|
|
|
(5,213)
|
|
|
(500)
|
|
|
(25)
|
|
|
(2,579)
|
|
|
(10,614)
|
|
Write-offs
|
|
—
|
|
|
(420)
|
|
|
—
|
|
|
—
|
|
|
(207)
|
|
|
(627)
|
|
Valuation adjustment
on loans held for sale
|
|
(70,181)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(70,181)
|
|
Allowance for credit
losses at June 30, 2020
|
|
$
|
31,353
|
|
|
$
|
30,000
|
|
|
$
|
6,931
|
|
|
$
|
224
|
|
|
$
|
68,081
|
|
|
$
|
136,589
|
|
Current
provision/(reversal)
|
|
(4,568)
|
|
|
(7,140)
|
|
|
(1,906)
|
|
|
(74)
|
|
|
(16,374)
|
|
|
(30,062)
|
|
Write-offs
|
|
(32)
|
|
|
(227)
|
|
|
—
|
|
|
—
|
|
|
(22)
|
|
|
(281)
|
|
Allowance for credit
losses at September 30, 2020
|
|
$
|
26,753
|
|
|
$
|
22,633
|
|
|
$
|
5,025
|
|
|
$
|
150
|
|
|
$
|
51,685
|
|
|
$
|
106,246
|
|
Current
provision/(reversal)
|
|
(5,599)
|
|
|
(3,837)
|
|
|
(1,107)
|
|
|
(43)
|
|
|
(7,997)
|
|
|
(18,583)
|
|
Write-offs
|
|
(86)
|
|
|
(425)
|
|
|
—
|
|
|
—
|
|
|
(319)
|
|
|
(830)
|
|
Allowance for credit
losses at December 31, 2020
|
|
$
|
21,068
|
|
|
$
|
18,371
|
|
|
$
|
3,918
|
|
|
$
|
107
|
|
|
$
|
43,369
|
|
|
$
|
86,833
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended
December 31, 2019
|
(Dollars In
Thousands)
|
|
Non-QM
Loans
|
|
Rehabilitation
Loans
|
|
Single-family
Rental Loans
|
|
Seasoned
Performing Loans
|
|
Purchased Credit
Deteriorated Loans
|
|
Totals
|
Allowance for credit
losses at December 31, 2018
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
968
|
|
|
$
|
968
|
|
Current
provision
|
|
—
|
|
|
500
|
|
|
—
|
|
|
—
|
|
|
183
|
|
|
683
|
|
Write-offs
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Allowance for credit
losses at March 31, 2019
|
|
$
|
—
|
|
|
$
|
500
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,151
|
|
|
$
|
1,651
|
|
Current
provision
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
385
|
|
|
385
|
|
Write-offs
|
|
—
|
|
|
(50)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(50)
|
|
Allowance for credit
losses at June 30, 2019
|
|
$
|
—
|
|
|
$
|
450
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,536
|
|
|
$
|
1,986
|
|
Current
provision
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
347
|
|
|
347
|
|
Write-offs
|
|
—
|
|
|
(62)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(62)
|
|
Allowance for credit
losses at September 30, 2019
|
|
$
|
—
|
|
|
$
|
388
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,883
|
|
|
$
|
2,271
|
|
Current
provision/(reversal)
|
|
388
|
|
|
2,220
|
|
|
62
|
|
|
—
|
|
|
(1,639)
|
|
|
1,031
|
|
Write-offs
|
|
—
|
|
|
(277)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(277)
|
|
Allowance for credit
losses at December 31, 2019
|
|
$
|
388
|
|
|
$
|
2,331
|
|
|
$
|
62
|
|
|
$
|
—
|
|
|
$
|
244
|
|
|
$
|
3,025
|
|
(1)
|
In connection with
purchased Rehabilitation loans, the Company had unfunded
commitments of $60.6 million, with an allowance for credit losses
of $1.2 million at December 31, 2020. Such allowance is
included in "Other liabilities" in the Company's consolidated
balance sheets.
|
(2)
|
Includes
$161.8 million of loans that were assessed for credit losses
based on a collateral dependent methodology.
|
(3)
|
Includes
$70.3 million of loans that were assessed for credit losses
based on a collateral dependent methodology.
|
(4)
|
Of the $70.6
million of reserves recorded on adoption of ASU 2016-13,
$8.3 million was recorded as an adjustment to stockholders'
equity and $62.4 million was recorded as a "gross up" of the
amortized cost basis of Purchased Credit Deteriorated
Loans.
|
Residential Whole Loans, at fair value at
December 31, 2020 and December 31, 2019:
Table 8 - Credit
related metrics
|
|
(Dollars
in Thousands)
|
|
December 31,
2020
|
|
December 31,
2019
|
Less than 60 Days
Past Due:
|
|
|
|
|
Outstanding principal
balance
|
|
$
|
602,292
|
|
|
$
|
666,026
|
|
Aggregate fair
value
|
|
$
|
595,521
|
|
|
$
|
641,616
|
|
Weighted Average LTV
Ratio (1)
|
|
72.57
|
%
|
|
76.69
|
%
|
Number of
loans
|
|
3,033
|
|
|
3,159
|
|
|
|
|
|
|
60 Days to 89 Days
Past Due:
|
|
|
|
|
Outstanding principal
balance
|
|
$
|
54,180
|
|
|
$
|
58,160
|
|
Aggregate fair
value
|
|
$
|
49,652
|
|
|
$
|
53,485
|
|
Weighted Average LTV
Ratio (1)
|
|
82.11
|
%
|
|
79.48
|
%
|
Number of
loans
|
|
263
|
|
|
313
|
|
|
|
|
|
|
90 Days or More Past
Due:
|
|
|
|
|
Outstanding principal
balance
|
|
$
|
625,621
|
|
|
$
|
767,320
|
|
Aggregate fair
value
|
|
$
|
571,729
|
|
|
$
|
686,482
|
|
Weighted Average LTV
Ratio (1)
|
|
86.78
|
%
|
|
89.69
|
%
|
Number of
loans
|
|
2,326
|
|
|
2,983
|
|
Total Residential whole loans, at fair value
|
|
$
|
1,216,902
|
|
|
$
|
1,381,583
|
|
(1)
|
LTV represents the
ratio of the total unpaid principal balance of the loan, to the
estimated value of the collateral securing the related loan.
Excluded from the calculation of weighted average LTV are certain
low value loans secured by vacant lots, for which the LTV ratio is
not meaningful.
|
Table 9 - Net gain
on residential whole loans measured at fair value through
earnings
|
|
|
|
For the Year Ended
December 31,
|
(In
Thousands)
|
|
2020
|
|
2019
|
Coupon payments,
realized gains, and other income received (1)
|
|
$
|
72,700
|
|
|
$
|
91,438
|
|
Net unrealized
gains
|
|
17,204
|
|
|
47,849
|
|
Net gain on transfers
to REO
|
|
4,309
|
|
|
19,043
|
|
Total
|
|
$
|
94,213
|
|
|
$
|
158,330
|
|
(1)
|
Primarily includes
gains on liquidation of non-performing loans, including the
recovery of delinquent interest payments, recurring coupon interest
payments received on mortgage loans that are contractually current,
and cash payments received from private mortgage insurance on
liquidated loans.
|
Webcast
MFA Financial, Inc. plans to host a live audio
webcast of its investor conference call on Tuesday,
February 23, 2021, at 10:00 a.m.
(Eastern Time) to discuss its fourth quarter 2020 financial
results. The live audio webcast will be accessible to the general
public over the internet at http://www.mfafinancial.com through the
"Webcasts & Presentations" link on MFA's home page. To
listen to the conference call over the internet, please go to the
MFA website at least 15 minutes before the call to register and to
download and install any needed audio software. Earnings
presentation materials will be posted on the MFA website prior to
the conference call and an audio replay will be available on the
website following the call.
Cautionary Language Regarding Forward-Looking
Statements
When used in this press release 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," "may," the negative of these words or
similar expressions, are intended to identify "forward-looking
statements" within the meaning of Section 27A of the Securities Act
of 1933, as amended, and Section 21E of the Securities Exchange Act
of 1934, as amended, and, as such, may involve known and unknown
risks, uncertainties and assumptions. These forward-looking
statements include information about possible or assumed future
results with respect to our business, financial condition,
liquidity, results of operations, plans and objectives.
Statements regarding the following subjects, among others, may be
forward-looking: risks related to the ongoing spread of the novel
coronavirus and the COVID-19 pandemic, including the pandemic's
effect on the general economy and our business, financial position
and results of operations (including, among other potential
effects, increased delinquencies and greater than expected losses
in our whole loan portfolio); changes in interest rates and the
market (i.e., fair) value of MFA's residential whole loans, MBS and
other assets; changes in the prepayment rates on residential
mortgage assets, an increase of which could result in a reduction
of the yield on certain investments in its portfolio and could
require MFA to reinvest the proceeds received by it as a result of
such prepayments in investments with lower coupons, while a
decrease in which could result in an increase in the interest rate
duration of certain investments in MFA's portfolio making their
valuation more sensitive to changes in interest rates and could
result in lower forecasted cash flows; credit risks underlying
MFA's assets, including changes in the default rates and
management's assumptions regarding default rates on the mortgage
loans in MFA's residential whole loan portfolio; MFA's ability to
borrow to finance its assets and the terms, including the cost,
maturity and other terms, of any such borrowings; implementation of
or changes in government regulations or programs affecting MFA's
business; MFA's estimates regarding taxable income, the actual
amount of which is dependent on a number of factors, including, but
not limited to, changes in the amount of interest income and
financing costs, the method elected by MFA to accrete the market
discount on residential whole loans and the extent of prepayments,
realized losses and changes in the composition of MFA's residential
whole loan portfolios that may occur during the applicable tax
period, including gain or loss on any MBS disposals and whole loan
modifications, foreclosures and liquidations; the timing and amount
of distributions to stockholders, which are declared and paid at
the discretion of MFA's Board and will depend on, among other
things, MFA's taxable income, its financial results and overall
financial condition and liquidity, maintenance of its REIT
qualification and such other factors as MFA's Board deems relevant;
MFA's ability to maintain its qualification as a REIT for federal
income tax purposes; MFA's ability to maintain its exemption from
registration under the Investment Company Act of 1940, as amended
(or the "Investment Company Act"), including statements regarding
the concept release issued by the Securities and Exchange
Commission ("SEC") relating to interpretive issues under the
Investment Company Act with respect to the status under the
Investment Company Act of certain companies that are engaged in the
business of acquiring mortgages and mortgage-related interests;
MFA's ability to continue growing its residential whole loan
portfolio, which is dependent on, among other things, the supply of
loans offered for sale in the market; expected returns on MFA's
investments in nonperforming residential whole loans ("NPLs"),
which are affected by, among other things, the length of time
required to foreclose upon, sell, liquidate or otherwise reach a
resolution of the property underlying the NPL, home price values,
amounts advanced to carry the asset (e.g., taxes, insurance,
maintenance expenses, etc. on the underlying property) and the
amount ultimately realized upon resolution of the asset; targeted
or expected returns on MFA's investments in recently-originated
loans, the performance of which is, similar to MFA's other mortgage
loan investments, subject to, among other things, differences in
prepayment risk, credit risk and financing cost associated with
such investments; risks associated with MFA's investments in
MSR-related assets, including servicing, regulatory and economic
risks, risks associated with our investments in loan originators,
and risks associated with investing in real estate assets,
including changes in business conditions and the general economy.
These and other risks, uncertainties and factors, including those
described in the annual, quarterly and current reports that MFA
files with the SEC, could cause MFA's actual results to differ
materially from those projected in any forward-looking statements
it makes. All forward-looking statements are based on beliefs,
assumptions and expectations of MFA's future performance, taking
into account all information currently available. Readers are
cautioned not to place undue reliance on these forward-looking
statements, which speak only as of the date on which they are made.
New risks and uncertainties arise over time and it is not possible
to predict those events or how they may affect MFA. Except as
required by law, MFA is not obligated to, and does not intend to,
update or revise any forward-looking statements, whether as a
result of new information, future events or otherwise.
MFA FINANCIAL,
INC.
|
CONSOLIDATED
BALANCE SHEETS
|
|
(In Thousands, Except Per Share Amounts)
|
|
December
31,
2020
|
|
December
31,
2019
|
Assets:
|
|
|
|
|
Residential whole
loans:
|
|
|
|
|
Residential whole
loans, at carrying value ($2,704,646 and $4,847,782 pledged as
collateral, respectively) (1)
|
|
$
|
4,195,332
|
|
|
$
|
6,069,370
|
|
Residential whole
loans, at fair value ($827,001 and $794,684 pledged as collateral,
respectively) (1)
|
|
1,216,902
|
|
|
1,381,583
|
|
Allowance for credit
losses on residential whole loans held at carrying value
|
|
(86,833)
|
|
|
(3,025)
|
|
Total residential
whole loans, net
|
|
5,325,401
|
|
|
7,447,928
|
|
Residential mortgage
securities, at fair value ($161,000 and $3,966,591 pledged as
collateral, respectively)
|
|
161,000
|
|
|
3,983,519
|
|
Mortgage servicing
rights ("MSR") related assets ($238,999 and $1,217,002 pledged as
collateral, respectively)
|
|
238,999
|
|
|
1,217,002
|
|
Cash and cash
equivalents
|
|
814,354
|
|
|
70,629
|
|
Restricted
cash
|
|
7,165
|
|
|
64,035
|
|
Other
assets
|
|
385,381
|
|
|
785,057
|
|
Total
Assets
|
|
$
|
6,932,300
|
|
|
$
|
13,568,170
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
Financing agreements
($3,366,772 and $0 held at fair value, respectively)
|
|
$
|
4,336,976
|
|
|
$
|
10,031,606
|
|
Other
liabilities
|
|
70,522
|
|
|
152,612
|
|
Total
Liabilities
|
|
$
|
4,407,498
|
|
|
$
|
10,184,218
|
|
|
|
|
|
|
Stockholders'
Equity:
|
|
|
|
|
Preferred stock,
$0.01 par value; 7.50% Series B cumulative redeemable; 8,050 shares
authorized; 8,000 shares issued and outstanding ($200,000 aggregate
liquidation preference)
|
|
$
|
80
|
|
|
$
|
80
|
|
Preferred stock,
$0.01 par value; 6.50% Series C fixed-to-floating rate cumulative
redeemable; 12,650 shares authorized; 11,000 shares issued and
outstanding ($275,000 aggregate liquidation preference)
|
|
110
|
|
|
—
|
|
Common stock, $0.01
par value; 874,300 and 886,950 shares authorized; 451,714 and
452,369 shares issued
and
outstanding, respectively
|
|
4,517
|
|
|
4,524
|
|
Additional paid-in
capital, in excess of par
|
|
3,848,129
|
|
|
3,640,341
|
|
Accumulated
deficit
|
|
(1,405,327)
|
|
|
(631,040)
|
|
Accumulated other
comprehensive income
|
|
77,293
|
|
|
370,047
|
|
Total Stockholders'
Equity
|
|
$
|
2,524,802
|
|
|
$
|
3,383,952
|
|
Total Liabilities and
Stockholders' Equity
|
|
$
|
6,932,300
|
|
|
$
|
13,568,170
|
|
(1)
|
Includes
approximately $1.4 billion and $186.4 million of Residential whole
loans, at carrying value and $382.3 million and $567.4 million of
Residential whole loans, at fair value transferred to consolidated
variable interest entities ("VIEs") at December 31, 2020 and
2019, respectively. Such assets can be used only to settle
the obligations of each respective VIE.
|
MFA FINANCIAL,
INC.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
|
|
|
Three Months
Ended
December 31,
|
|
Year Ended
December 31,
|
(In Thousands, Except Per Share Amounts)
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
|
|
(Unaudited)
|
|
(Unaudited)
|
|
(Unaudited)
|
|
|
Interest
Income:
|
|
|
|
|
|
|
|
|
Residential whole
loans held at carrying value
|
|
$
|
51,458
|
|
|
$
|
72,254
|
|
|
$
|
258,764
|
|
|
$
|
243,980
|
|
Residential mortgage
securities
|
|
2,459
|
|
|
62,880
|
|
|
54,137
|
|
|
274,554
|
|
MSR-related
assets
|
|
5,768
|
|
|
14,415
|
|
|
35,957
|
|
|
52,647
|
|
Other
interest-earning assets
|
|
761
|
|
|
2,879
|
|
|
9,850
|
|
|
7,152
|
|
Cash and cash
equivalent investments
|
|
30
|
|
|
690
|
|
|
676
|
|
|
3,393
|
|
Interest
Income
|
|
$
|
60,476
|
|
|
$
|
153,118
|
|
|
$
|
359,384
|
|
|
$
|
581,726
|
|
|
|
|
|
|
|
|
|
|
Interest
Expense:
|
|
|
|
|
|
|
|
|
Asset-backed and
other collateralized financing arrangements
|
|
$
|
32,041
|
|
|
$
|
76,570
|
|
|
$
|
242,039
|
|
|
$
|
315,344
|
|
Other interest
expense
|
|
9,003
|
|
|
5,893
|
|
|
26,719
|
|
|
17,012
|
|
Interest
Expense
|
|
$
|
41,044
|
|
|
$
|
82,463
|
|
|
$
|
268,758
|
|
|
$
|
332,356
|
|
|
|
|
|
|
|
|
|
|
Net Interest
Income
|
|
$
|
19,432
|
|
|
$
|
70,655
|
|
|
$
|
90,626
|
|
|
$
|
249,370
|
|
|
|
|
|
|
|
|
|
|
Reversal/(Provision) for credit and valuation
losses on residential whole loans and other financial
instruments
|
|
$
|
15,709
|
|
|
$
|
(1,032)
|
|
|
$
|
(22,381)
|
|
|
$
|
(2,569)
|
|
Net Interest
Income after Provision for Credit and Valuation
Losses
|
|
$
|
35,141
|
|
|
$
|
69,623
|
|
|
$
|
68,245
|
|
|
$
|
246,801
|
|
|
|
|
|
|
|
|
|
|
Other Income,
net:
|
|
|
|
|
|
|
|
|
Impairment and other
losses on securities available-for-sale and other assets
|
|
$
|
—
|
|
|
$
|
(180)
|
|
|
$
|
(425,082)
|
|
|
$
|
(180)
|
|
Net realized
gain/(loss) on sales of residential mortgage securities and
residential whole loans
|
|
—
|
|
|
11,975
|
|
|
(188,847)
|
|
|
62,002
|
|
Net unrealized
gain/(loss) on residential mortgage securities measured at fair
value through earnings
|
|
2,946
|
|
|
(897)
|
|
|
(10,486)
|
|
|
7,080
|
|
Net gain on
residential whole loans measured at fair value through
earnings
|
|
49,782
|
|
|
41,415
|
|
|
94,213
|
|
|
158,330
|
|
Loss on terminated
swaps previously designated as hedges for accounting
purposes
|
|
—
|
|
|
—
|
|
|
(57,034)
|
|
|
—
|
|
Other, net
|
|
(21,654)
|
|
|
3,084
|
|
|
(18,885)
|
|
|
(1,375)
|
|
Other
Income/(Loss), net
|
|
$
|
31,074
|
|
|
$
|
55,397
|
|
|
$
|
(606,121)
|
|
|
$
|
225,857
|
|
|
|
|
|
|
|
|
|
|
Operating and
Other Expense:
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
|
$
|
1,908
|
|
|
$
|
7,920
|
|
|
$
|
31,042
|
|
|
$
|
32,235
|
|
Other general and
administrative expense
|
|
6,727
|
|
|
4,812
|
|
|
25,666
|
|
|
20,413
|
|
Loan servicing,
financing and other related costs
|
|
11,763
|
|
|
11,667
|
|
|
40,372
|
|
|
41,893
|
|
Costs associated with
restructuring/forbearance agreement
|
|
—
|
|
|
—
|
|
|
44,434
|
|
|
$
|
—
|
|
Operating and Other
Expense
|
|
$
|
20,398
|
|
|
$
|
24,399
|
|
|
$
|
141,514
|
|
|
$
|
94,541
|
|
|
|
|
|
|
|
|
|
|
Net
Income/(Loss)
|
|
$
|
45,817
|
|
|
$
|
100,621
|
|
|
$
|
(679,390)
|
|
|
$
|
378,117
|
|
Less Preferred Stock
Dividend Requirement
|
|
$
|
8,218
|
|
|
$
|
3,750
|
|
|
$
|
29,796
|
|
|
15,000
|
|
Net Income/(Loss)
Available to Common Stock and Participating
Securities
|
|
$
|
37,599
|
|
|
$
|
96,871
|
|
|
$
|
(709,186)
|
|
|
$
|
363,117
|
|
|
|
|
|
|
|
|
|
|
Basic
Earnings/(Loss) per Common Share
|
|
$
|
0.08
|
|
|
$
|
0.21
|
|
|
$
|
(1.57)
|
|
|
$
|
0.80
|
|
Diluted
Earnings/(Loss) per Common Share
|
|
$
|
0.08
|
|
|
$
|
0.21
|
|
|
$
|
(1.57)
|
|
|
$
|
0.79
|
|
Reconciliation of GAAP Book Value per Common Share to
non-GAAP Economic Book Value per Common Share
"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 at carrying value are
adjusted to their fair value, rather than the carrying value that
is required to be reported under the GAAP accounting model applied
to these loans. This adjustment is also reflected in our end
of period stockholders' equity in the table below. Management
considers that Economic book value provides investors with a useful
supplemental measure to evaluate our financial position as it
reflects the impact of fair value changes for all of our
residential mortgage assets, irrespective of the accounting model
applied for GAAP reporting purposes. Economic book value does
not represent and should not be considered as a substitute for
Stockholders' Equity, as determined in accordance with GAAP, and
our calculation of this measure may not be comparable to similarly
titled measures reported by other companies.
The following table provides a reconciliation of our GAAP book
value per common share to our non-GAAP Economic book value per
common share for the quarterly periods below:
(In Millions,
Except Per Share Amounts)
|
|
December 31,
2020
|
|
September 30,
2020
|
|
June 30,
2020
|
|
March 31,
2020
|
|
December 31,
2019
|
GAAP Total
Stockholders' Equity
|
|
$
|
2,524.8
|
|
|
$
|
2,565.7
|
|
|
$
|
2,521.1
|
|
|
$
|
2,440.7
|
|
|
$
|
3,384.0
|
|
Preferred Stock,
liquidation preference
|
|
(475.0)
|
|
|
(475.0)
|
|
|
(475.0)
|
|
|
(475.0)
|
|
|
(200.0)
|
|
GAAP Stockholders'
Equity for book value per common share
|
|
2,049.8
|
|
|
2,090.7
|
|
|
2,046.1
|
|
|
1,965.7
|
|
|
3,184.0
|
|
Adjustments:
|
|
|
|
|
|
|
|
|
|
|
Fair value adjustment
to Residential whole loans, at carrying value
|
|
173.9
|
|
|
141.1
|
|
|
(25.3)
|
|
|
(113.5)
|
|
|
182.4
|
|
|
|
|
|
|
|
|
|
|
|
|
Stockholders' Equity
including fair value adjustment to Residential whole loans, at
carrying value (Economic book value)
|
|
$
|
2,223.7
|
|
|
$
|
2,231.8
|
|
|
$
|
2,020.8
|
|
|
$
|
1,852.2
|
|
|
$
|
3,366.4
|
|
|
|
|
|
|
|
|
|
|
|
|
GAAP book value per
common share
|
|
$
|
4.54
|
|
|
$
|
4.61
|
|
|
$
|
4.51
|
|
|
$
|
4.34
|
|
|
$
|
7.04
|
|
Economic book value per
common share
|
|
$
|
4.92
|
|
|
$
|
4.92
|
|
|
$
|
4.46
|
|
|
$
|
4.09
|
|
|
$
|
7.44
|
|
Number of shares of
common stock outstanding
|
|
451.7
|
|
|
453.3
|
|
|
453.2
|
|
|
453.1
|
|
|
452.4
|
|
INVESTOR
CONTACT:
|
InvestorRelations@mfafinancial.com
|
|
212-207-6488
|
|
www.mfafinancial.com
|
|
|
MEDIA
CONTACT:
|
Abernathy
MacGregor
|
|
Tom
Johnson
|
|
212-371-5999
|
Category: Earnings
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content:http://www.prnewswire.com/news-releases/mfa-financial-inc-announces-fourth-quarter-2020-financial-results-301232946.html
SOURCE MFA Financial, Inc.