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UNITED STATES
SECURITIES AND EXCHANGE
COMMISSION
Washington, D.C.
20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported):
August 8, 2024
MFA
FINANCIAL, INC.
(Exact name of registrant as specified in its
charter)
| Maryland |
|
1-13991 |
|
13-3974868 |
(State or
other jurisdiction
of incorporation or organization) |
|
(Commission
File Number) |
|
(IRS Employer
Identification No.) |
| One
Vanderbilt Avenue, 48th Floor |
|
|
| New
York, New
York |
|
10017 |
| (Address of principal executive offices) |
|
(Zip Code) |
Registrant's
telephone number, including area code: (212)
207-6400
Not Applicable
(Former name or former address, if changed since
last report)
Check the appropriate box below if the Form 8-K
filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General
Instruction A.2. below):
| |
|
| ¨ |
Written communications pursuant to Rule
425 under the Securities Act (17 CFR 230.425) |
| |
|
| ¨ |
Soliciting material pursuant to Rule 14a-12
under the Exchange Act (17 CFR 240.14a-12) |
| |
|
| ¨ |
Pre-commencement communications pursuant
to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |
| |
|
| ¨ |
Pre-commencement communications pursuant
to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) |
Securities registered pursuant to Section 12(b) of the
Act:
| Title
of each class: |
|
Trading
Symbols:
|
|
Name
of each
exchange on which
registered:
|
| Common
Stock, par value $0.01 per share |
|
MFA |
|
New
York Stock Exchange |
7.50%
Series B Cumulative Redeemable Preferred Stock, par value $0.01 per share
|
|
MFA/PB |
|
New
York Stock Exchange |
| 6.50%
Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share |
|
MFA/PC |
|
New
York Stock Exchange |
| 8.875%
Senior Notes due 2029 |
|
MFAN |
|
New
York Stock Exchange |
| 9.000%
Senior Notes due 2029 |
|
MFAO |
|
New
York Stock Exchange |
Indicate by check mark whether the registrant is
an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the
Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging
growth company ¨
If
an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying
with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨
Item 2.02 Results of Operations and Financial Condition and
Item 7.01 Regulation FD Disclosure
MFA Financial, Inc. (“MFA”) issued a press release, dated
August 8, 2024, announcing its financial results for the quarter ended June 30, 2024, which is attached hereto as Exhibit 99.1 and is
incorporated herein by reference. In addition, in conjunction with the announcement of its financial results, MFA issued additional information
relating to its 2024 second quarter financial results. Such additional information is attached to this report as Exhibit 99.2 and is incorporated
herein by reference.
The information referenced in this Current Report on Form 8-K (including
Exhibits 99.1 and 99.2) is being “furnished” and, as such, shall not be deemed to be “filed” for the purposes
of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to the liabilities
of that Section. The information set forth in this Current Report on Form 8-K (including Exhibits 99.1 and 99.2) is and will not be incorporated
by reference into any registration statement or other document filed by MFA pursuant to the Securities Act of 1933, as amended (the “Securities
Act”), except as may be expressly set forth by specific reference in such filing.
As discussed therein, the press release contains forward-looking statements
within the meaning of the Securities Act and the Exchange Act and, as such, may involve known and unknown risks, uncertainties and assumptions.
These forward-looking statements relate to MFA’s current expectations and are subject to the limitations and qualifications set
forth in the press release as well as in MFA’s other documents filed with the SEC, including, without limitation, that actual events
and/or results may differ materially from those projected in such forward-looking statements.
Exhibit
| 104 | Cover Page Interactive Data File (formatted as Inline XBRL). |
SIGNATURE
Pursuant to the requirements of the Securities
Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
| |
MFA FINANCIAL, INC. |
| |
(REGISTRANT) |
| |
|
| |
By: |
/s/ Harold E. Schwartz |
| |
|
Name: Harold E. Schwartz |
| |
|
Title: Senior Vice President and General Counsel |
Date: August 8, 2024
EXHIBIT INDEX
| 104 | Cover Page
Interactive Data File (formatted as Inline XBRL). |
Exhibit 99.1
MFA
FINANCIAL, INC.
One Vanderbilt Ave.
New York, New York 10017
| PRESS RELEASE |
|
FOR IMMEDIATE RELEASE |
| August 8,
2024 |
|
NEW YORK METRO |
| |
|
|
| INVESTOR CONTACT: |
InvestorRelations@mfafinancial.com |
NYSE: MFA |
| |
212-207-6488 |
|
| |
www.mfafinancial.com |
|
| MEDIA CONTACT: |
H/Advisors Abernathy |
|
| |
Tom Johnson |
|
| |
212-371-5999 |
|
MFA
Financial, Inc. Announces Second Quarter 2024 Financial Results
NEW
YORK - MFA Financial, Inc. (NYSE:MFA) today provided its financial results for the second quarter ended June 30, 2024:
| · | MFA generated GAAP net income for the second quarter of $33.7 million, or $0.32 per basic and diluted
common share. |
| · | Distributable earnings, a non-GAAP financial measure, were $45.6 million, or $0.44 per basic common share.
MFA paid a regular cash dividend of $0.35 per common share on July 31, 2024. |
| · | GAAP book value at June 30, 2024 was $13.80 per common share. Economic book value, a non-GAAP financial
measure, was $14.34 per common share. |
| · | Total economic return was 2.6% for the second quarter. |
| · | Net interest spread averaged 2.16% and net interest margin was 3.01%. |
| · | MFA closed the quarter with unrestricted cash of $289.4 million. |
Commenting on the quarter, Craig Knutson, MFA’s
CEO and President, stated: “We are pleased to announce strong results for what was yet another volatile quarter in the fixed income
and mortgage markets. We generated Distributable earnings of $0.44 per share and our Economic book value rose to $14.34 per share. We
continued to execute our strategy of acquiring residential mortgage assets at attractive levels. During the quarter, we purchased or originated
$688 million residential mortgage loans with an average coupon of 9.6%. We also added $176 million of Agency MBS.”
Mr. Knutson continued: “On the liability
side, we repaid the remaining $170 million balance of our maturing convertible notes and issued $75 million of 9.00% senior unsecured
notes due in August 2029. We completed two securitizations collateralized by $557 million of Non-QM and Transitional loans. We also securitized
$303 million of primarily re-performing loans subsequent to quarter-end. Finally, we once again benefited from our $3.3 billion interest
rate swap position, which generated a net positive carry of $29 million.”
Q2
2024 Portfolio Activity
| · | Loan acquisitions were $688.2 million, including $422.1 million of funded originations of business
purpose loans (including draws on Transitional loans) and $266.1 million of Non-QM loan acquisitions, bringing MFA’s residential
whole loan balance to $9.2 billion. |
| · | Lima One funded $270.0 million of new business purpose loans with
a maximum loan amount of $412.3 million. Further, $152.2 million of draws were funded on previously originated Transitional loans.
Lima One generated $7.6 million of origination, servicing, and other fee income. |
| · | MFA added $175.5 million of Agency MBS during the quarter, bringing its total Securities portfolio to
$863.3 million. |
| · | Asset dispositions included $12.4 million UPB of single-family rental (SFR) loans and $26.9 million of
MSR-related securities. MFA also continued to reduce its REO portfolio, selling 63 properties in the second quarter for aggregate proceeds
of $25.6 million. |
| · | 60+ day delinquencies (measured as a percentage of UPB) for MFA’s residential loan portfolio declined
to 6.5% from 6.9% in the first quarter. |
| · | MFA completed two loan securitizations during the quarter, collateralized by $365.2 million UPB of
Non-QM loans and $191.8 million UPB of Transitional loans, bringing its total securitized debt to approximately $5.0 billion. |
| · | MFA increased its position in interest rate swaps to a notional amount of approximately $3.3 billion.
At June 30, 2024, these swaps had a weighted average fixed pay interest rate of 1.92% and a weighted average variable receive interest
rate of 5.33%. |
| · | MFA estimates the net effective duration of its investment portfolio at June 30, 2024 rose to 1.12
from 0.98 at March 31, 2024. |
| · | MFA’s Debt/Net Equity Ratio was 4.7x and recourse leverage was 1.7x at June 30, 2024. |
Webcast
MFA Financial, Inc. plans to host a live audio
webcast of its investor conference call on Thursday, August 8, 2024, at 10:00 a.m. (Eastern Time) to discuss its second quarter 2024
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. 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.
About MFA Financial, Inc.
MFA Financial, Inc. (NYSE: MFA) is a leading specialty
finance company that invests in residential mortgage loans, residential mortgage-backed securities and other real estate assets. Through
its wholly-owned subsidiary, Lima One Capital, MFA also originates and services business purpose loans for real estate investors. MFA
has distributed $4.7 billion in dividends to stockholders since its initial public offering in 1998. MFA is an internally-managed, publicly-traded
real estate investment trust.
The following table presents MFA’s asset
allocation as of June 30, 2024, and the second quarter 2024 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 June 30, 2024 | |
Business purpose
loans (1) | | |
Non-QM
loans | | |
Legacy
RPL/NPL
loans | | |
Securities, at
fair value | | |
Other,
net (2) | | |
Total | |
| (Dollars in Millions) | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Asset Amount | |
$ | 4,016 | | |
$ | 3,994 | | |
$ | 1,123 | | |
$ | 863 | | |
$ | 778 | | |
$ | 10,774 | |
| Financing Agreements with Non-mark-to-market Collateral Provisions | |
| (931 | ) | |
| — | | |
| — | | |
| — | | |
| — | | |
| (931 | ) |
| Financing Agreements with Mark-to-market Collateral Provisions | |
| (651 | ) | |
| (796 | ) | |
| (479 | ) | |
| (731 | ) | |
| (72 | ) | |
| (2,729 | ) |
| Securitized Debt | |
| (1,843 | ) | |
| (2,747 | ) | |
| (457 | ) | |
| — | | |
| (1 | ) | |
| (5,048 | ) |
| Senior Notes | |
| — | | |
| — | | |
| — | | |
| — | | |
| (183 | ) | |
| (183 | ) |
| Net Equity Allocated | |
$ | 591 | | |
$ | 451 | | |
$ | 187 | | |
$ | 132 | | |
$ | 522 | | |
$ | 1,883 | |
| Debt/Net Equity Ratio (3) | |
| 5.8 | x | |
| 7.9 | x | |
| 5.0 | x | |
| 5.5 | x | |
| | | |
| 4.7 | x |
| | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| For the Quarter Ended June 30, 2024 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Yield on Average Interest Earning Assets (4) | |
| 7.99 | % | |
| 5.49 | % | |
| 8.72 | % | |
| 7.03 | % | |
| | | |
| 6.79 | % |
| Less Average Cost of Funds (5) | |
| (5.80 | ) | |
| (3.55 | ) | |
| (3.70 | ) | |
| (3.84 | ) | |
| | | |
| (4.63 | ) |
| Net Interest Rate Spread | |
| 2.19 | % | |
| 1.94 | % | |
| 5.02 | % | |
| 3.19 | % | |
| | | |
| 2.16 | % |
| (1) | Includes $1.2 billion of Single-family transitional loans, $1.2 billion of Multifamily transitional
loans and $1.6 billion of Single-family rental loans. |
| (2) | Includes $289.4 million of cash and cash equivalents, $252.0 million of restricted cash, $53.4 million
of Other loans and $18.3 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 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 June 30, 2024, the amortized cost of our Securities, at
fair value, was $846.8 million. In addition, the yield for residential whole loans was 6.91%, net of one basis point 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) | Average cost of funds includes interest on financing agreements, Convertible Senior Notes, 8.875% Senior
Notes, 9.00% Senior Notes, and securitized debt. Cost of funding also includes the impact of the net carry (the difference between swap
interest income received and swap interest expense paid) on our interest rate swap agreements (or Swaps). While we have not elected hedge
accounting treatment for Swaps and accordingly net carry is not presented in interest expense in our consolidated statement of operations,
we believe it is appropriate to allocate net carry to the cost of funding to reflect the economic impact of our Swaps on the funding costs
shown in the table above. For the quarter ended June 30, 2024, this decreased the overall funding cost by 127 basis points for our
overall portfolio, 128 basis points for our Residential whole loans, 92 basis points for our Business purpose loans, 163 basis points
for our Non-QM loans, 107 basis points for our Legacy RPL/NPL loans and 190 basis points for our Securities, at fair value. |
The following table presents the activity for
our residential mortgage asset portfolio for the three months ended June 30, 2024:
Table 2 - Investment Portfolio Activity Q2
2024
| (In Millions) | |
March 31, 2024 | | |
Runoff (1) | | |
Acquisitions (2) | | |
Other (3) | | |
June 30, 2024 | | |
Change | |
| Residential whole loans and REO | |
$ | 9,225 | | |
$ | (624 | ) | |
$ | 688 | | |
$ | 5 | | |
$ | 9,294 | | |
$ | 69 | |
| Securities, at fair value | |
| 737 | | |
| (19 | ) | |
| 176 | | |
| (31 | ) | |
| 863 | | |
| 126 | |
| Totals | |
$ | 9,962 | | |
$ | (643 | ) | |
$ | 864 | | |
$ | (26 | ) | |
$ | 10,157 | | |
$ | 195 | |
| (1) | Primarily includes principal repayments and sales of REO. |
| (2) | Includes draws on previously originated Transitional loans. |
| (3) | Primarily includes sales, changes in fair value and changes in the allowance for credit losses. |
The following tables present information on our
investments in residential whole loans:
Table 3 - Portfolio Composition/Residential Whole Loans
| | |
Held at Carrying Value | | |
Held at Fair Value | | |
Total | |
| (Dollars in Thousands) | |
June 30,
2024 | | |
December 31,
2023 | | |
June 30,
2024 | | |
December 31,
2023 | | |
June 30,
2024 | | |
December 31,
2023 | |
| Business purpose loans: | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Single-family transitional loans (1) | |
$ | 27,857 | | |
$ | 35,467 | | |
$ | 1,190,699 | | |
$ | 1,157,732 | | |
$ | 1,218,556 | | |
$ | 1,193,199 | |
| Multifamily transitional loans | |
| — | | |
| — | | |
| 1,155,198 | | |
| 1,168,297 | | |
| 1,155,198 | | |
| 1,168,297 | |
| Single-family rental loans | |
| 129,471 | | |
| 172,213 | | |
| 1,514,219 | | |
| 1,462,583 | | |
| 1,643,690 | | |
| 1,634,796 | |
| Total Business purpose loans | |
$ | 157,328 | | |
$ | 207,680 | | |
$ | 3,860,116 | | |
$ | 3,788,612 | | |
$ | 4,017,444 | | |
$ | 3,996,292 | |
| Non-QM loans | |
| 791,746 | | |
| 843,884 | | |
| 3,203,845 | | |
| 2,961,693 | | |
| 3,995,591 | | |
| 3,805,577 | |
| Legacy RPL/NPL loans | |
| 477,826 | | |
| 498,671 | | |
| 655,230 | | |
| 705,424 | | |
| 1,133,056 | | |
| 1,204,095 | |
| Other loans | |
| — | | |
| — | | |
| 53,416 | | |
| 55,779 | | |
| 53,416 | | |
| 55,779 | |
| Allowance for Credit Losses | |
| (13,271 | ) | |
| (20,451 | ) | |
| — | | |
| — | | |
| (13,271 | ) | |
| (20,451 | ) |
| Total Residential whole loans | |
$ | 1,413,629 | | |
$ | 1,529,784 | | |
$ | 7,772,607 | | |
$ | 7,511,508 | | |
$ | 9,186,236 | | |
$ | 9,041,292 | |
| Number of loans | |
| 5,973 | | |
| 6,326 | | |
| 19,848 | | |
| 19,075 | | |
| 25,821 | | |
| 25,401 | |
| (1) | Includes $476.9 million and $471.1 million of loans collateralized by new construction projects
at origination as of June 30, 2024 and December 31, 2023, respectively. |
Table 4 - Yields and Average Balances/Residential Whole Loans
| | |
For the Three-Month Period Ended | |
| |
June 30, 2024 | | |
March 31, 2024 | | |
June 30, 2023 | |
| (Dollars in Thousands) | |
Interest | | |
Average
Balance | | |
Average
Yield | | |
Interest | | |
Average
Balance | | |
Average
Yield | | |
Interest | | |
Average
Balance | | |
Average
Yield | |
| Business purpose loans: | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | |
| Single-family transitional loans | |
$ | 30,242 | | |
$ | 1,241,300 | | |
| 9.75 | % | |
$ | 28,018 | | |
$ | 1,239,558 | | |
| 9.04 | % | |
$ | 18,749 | | |
$ | 885,057 | | |
| 8.47 | % |
| Multifamily transitional loans | |
| 25,291 | | |
| 1,213,450 | | |
| 8.34 | % | |
| 25,198 | | |
| 1,209,393 | | |
| 8.33 | % | |
| 13,872 | | |
| 769,528 | | |
| 7.21 | % |
| Single-family rental loans | |
| 27,564 | | |
| 1,703,334 | | |
| 6.47 | % | |
| 27,102 | | |
| 1,746,058 | | |
| 6.21 | % | |
| 23,141 | | |
| 1,587,636 | | |
| 5.83 | % |
| Total business purpose loans | |
$ | 83,097 | | |
$ | 4,158,084 | | |
| 7.99 | % | |
$ | 80,318 | | |
$ | 4,195,009 | | |
| 7.66 | % | |
$ | 55,762 | | |
$ | 3,242,221 | | |
| 6.88 | % |
| Non-QM loans | |
| 58,749 | | |
| 4,280,761 | | |
| 5.49 | % | |
| 55,861 | | |
| 4,149,257 | | |
| 5.39 | % | |
| 45,518 | | |
| 3,879,175 | | |
| 4.69 | % |
| Legacy RPL/NPL loans | |
| 23,346 | | |
| 1,070,629 | | |
| 8.72 | % | |
| 20,969 | | |
| 1,100,553 | | |
| 7.62 | % | |
| 26,250 | | |
| 1,208,036 | | |
| 8.69 | % |
| Other loans | |
| 525 | | |
| 67,771 | | |
| 3.10 | % | |
| 517 | | |
| 68,490 | | |
| 3.02 | % | |
| 518 | | |
| 72,875 | | |
| 2.84 | % |
| Total Residential whole loans | |
$ | 165,717 | | |
$ | 9,577,245 | | |
| 6.92 | % | |
$ | 157,665 | | |
$ | 9,513,309 | | |
| 6.63 | % | |
$ | 128,048 | | |
$ | 8,402,307 | | |
| 6.10 | % |
Table 5 - Net Interest Spread/Residential Whole Loans
| | |
For the Three-Month Period Ended | |
| | |
June 30, 2024 | | |
March 31, 2024 | | |
June 30, 2023 | |
| Business purpose loans | |
| | | |
| | | |
| | |
| Net Yield (1) | |
| 7.99 | % | |
| 7.66 | % | |
| 6.88 | % |
| Cost of Funding (2) | |
| 5.80 | % | |
| 5.67 | % | |
| 5.01 | % |
| Net Interest Spread | |
| 2.19 | % | |
| 1.99 | % | |
| 1.87 | % |
| | |
| | | |
| | | |
| | |
| Non-QM loans | |
| | | |
| | | |
| | |
| Net Yield (1) | |
| 5.49 | % | |
| 5.39 | % | |
| 4.69 | % |
| Cost of Funding (2) | |
| 3.55 | % | |
| 3.44 | % | |
| 3.07 | % |
| Net Interest Spread | |
| 1.94 | % | |
| 1.95 | % | |
| 1.62 | % |
| | |
| | | |
| | | |
| | |
| Legacy RPL/NPL loans | |
| | | |
| | | |
| | |
| Net Yield (1) | |
| 8.72 | % | |
| 7.62 | % | |
| 8.69 | % |
| Cost of Funding (2) | |
| 3.70 | % | |
| 3.44 | % | |
| 2.96 | % |
| Net Interest Spread | |
| 5.02 | % | |
| 4.18 | % | |
| 5.73 | % |
| | |
| | | |
| | | |
| | |
| Total Residential whole loans | |
| | | |
| | | |
| | |
| Net Yield (1) | |
| 6.92 | % | |
| 6.63 | % | |
| 6.10 | % |
| Cost of Funding (2) | |
| 4.54 | % | |
| 4.43 | % | |
| 3.83 | % |
| Net Interest Spread | |
| 2.38 | % | |
| 2.20 | % | |
| 2.27 | % |
| (1) | Reflects annualized interest income on Residential whole loans divided by average amortized cost of
Residential whole loans. Excludes servicing costs. |
| (2) | Reflects annualized interest expense divided by average balance of agreements with mark-to-market collateral
provisions (repurchase agreements), agreements with non-mark-to-market collateral provisions, and securitized debt. Cost of funding shown
in the table above includes the impact of the net carry (the difference between swap interest income received and swap interest expense
paid) on our Swaps. While we have not elected hedge accounting treatment for Swaps, and, accordingly, net carry is not presented in interest
expense in our consolidated statement of operations, we believe it is appropriate to allocate net carry to the cost of funding to reflect
the economic impact of our Swaps on the funding costs shown in the table above. For the quarter ended June 30, 2024, this decreased
the overall funding cost by 128 basis points for our Residential whole loans, 92 basis points for our Business purpose loans, 163 basis
points for our Non-QM loans, and 107 basis points for our Legacy RPL/NPL loans. For the quarter ended March 31, 2024, this decreased the
overall funding cost by 132 basis points for our Residential whole loans, 227 basis points for our Business purpose loans, 168 basis points
for our Non-QM loans, and 238 basis points for our Legacy RPL/NPL loans. For the quarter ended June 30, 2023, this decreased the overall
funding cost by 144 basis points for our Residential whole loans, 222 basis points for our Business purpose loans, 175 basis points for
our Non-QM loans, and 297 basis points for our Legacy RPL/NPL loans. |
Table 6 - Credit-related Metrics/Residential
Whole Loans
June 30, 2024
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Unpaid |
|
|
Weighted |
|
|
Average |
|
|
Weighted |
|
|
Weighted |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
Principal |
|
|
Average |
|
|
Term
to |
|
|
Average |
|
|
Average |
|
|
Aging
by UPB |
|
|
60+ |
|
|
60+ |
|
| (Dollars |
|
Asset |
|
|
Fair |
|
|
Balance |
|
|
Coupon |
|
|
Maturity |
|
|
LTV |
|
|
Original |
|
|
|
|
|
Past
Due Days |
|
|
DQ |
|
|
LTV |
|
| In Thousands) |
|
Amount |
|
|
Value |
|
|
(“UPB”) |
|
|
(1) |
|
|
(Months) |
|
|
Ratio
(2) |
|
|
FICO
(3) |
|
|
Current |
|
|
30-59 |
|
|
60-89 |
|
|
90+ |
|
|
% |
|
|
(4) |
|
| Business purpose loans: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Single-family
transitional (4) |
|
$ |
1,217,255 |
|
|
$ |
1,217,599 |
|
|
$ |
1,226,736 |
|
|
|
10.39 |
% |
|
|
6 |
|
|
|
67 |
% |
|
|
748 |
|
|
$ |
1,100,554 |
|
|
$ |
20,416 |
|
|
$ |
8,837 |
|
|
$ |
96,929 |
|
|
|
8.6 |
% |
|
|
87 |
% |
| Multifamily
transitional (4) |
|
|
1,155,198 |
|
|
|
1,155,198 |
|
|
|
1,184,613 |
|
|
|
8.87 |
% |
|
|
11 |
|
|
|
66 |
% |
|
|
748 |
|
|
|
1,097,323 |
|
|
|
33,188 |
|
|
|
15,544 |
|
|
|
38,558 |
|
|
|
4.6 |
% |
|
|
69 |
% |
| Single-family
rental |
|
|
1,643,081 |
|
|
|
1,642,760 |
|
|
|
1,712,879 |
|
|
|
6.62 |
% |
|
|
330 |
|
|
|
69 |
% |
|
|
739 |
|
|
|
1,637,918 |
|
|
|
12,197 |
|
|
|
4,627 |
|
|
|
58,137 |
|
|
|
3.7 |
% |
|
|
112 |
% |
| Total
Business purpose loans |
|
$ |
4,015,534 |
|
|
$ |
4,015,557 |
|
|
$ |
4,124,228 |
|
|
|
8.39 |
% |
|
|
|
|
|
|
68 |
% |
|
|
|
|
|
$ |
3,835,795 |
|
|
$ |
65,801 |
|
|
$ |
29,008 |
|
|
$ |
193,624 |
|
|
|
5.4 |
% |
|
|
|
|
| Non-QM
loans |
|
|
3,994,236 |
|
|
|
3,949,676 |
|
|
|
4,183,917 |
|
|
|
6.16 |
% |
|
|
341 |
|
|
|
64 |
% |
|
|
735 |
|
|
|
3,975,323 |
|
|
|
82,676 |
|
|
|
34,121 |
|
|
|
91,797 |
|
|
|
3.0 |
% |
|
|
62 |
% |
| Legacy
RPL/NPL loans |
|
|
1,123,050 |
|
|
|
1,140,736 |
|
|
|
1,284,232 |
|
|
|
5.12 |
% |
|
|
257 |
|
|
|
56 |
% |
|
|
647 |
|
|
|
874,319 |
|
|
|
134,000 |
|
|
|
43,974 |
|
|
|
231,939 |
|
|
|
21.5 |
% |
|
|
64 |
% |
| Other loans |
|
|
53,416 |
|
|
|
53,416 |
|
|
|
65,671 |
|
|
|
3.44 |
% |
|
|
326 |
|
|
|
66 |
% |
|
|
758 |
|
|
|
65,671 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
% |
|
|
— |
% |
| Residential
whole loans, total or weighted average |
|
$ |
9,186,236 |
|
|
$ |
9,159,385 |
|
|
$ |
9,658,048 |
|
|
|
6.98 |
% |
|
|
|
|
|
|
64 |
% |
|
|
|
|
|
$ |
8,751,108 |
|
|
$ |
282,477 |
|
|
$ |
107,103 |
|
|
$ |
517,360 |
|
|
|
6.5 |
% |
|
|
|
|
| (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. 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. 60+ LTV has been
calculated on a consistent basis. |
| (3) | Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. |
| (4) | For Single-family and Multifamily transitional 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. At June 30, 2024, for certain Single-family and Multifamily Transitional loans totaling
$467.2 million and $498.7 million, respectively, an after repaired valuation was not available. For these loans, the weighted average
LTV is calculated based on the current unpaid principal balance and the as-is value of the collateral securing the related loan. |
Table 7 - Shock Table
The information presented in the following “Shock
Table” projects the potential impact of sudden parallel changes in interest rates on the value of our portfolio, including the impact
of Swaps and securitized debt, based on the assets in our investment portfolio at June 30, 2024. Changes in portfolio value are measured
as the percentage change when comparing the projected portfolio value to the base interest rate scenario at June 30, 2024.
| Change in Interest Rates | |
Percentage Change
in Portfolio Value | | |
Percentage Change
in
Total Stockholders’ Equity | |
| +100 Basis Point Increase | |
| (1.37 | )% | |
| (7.96 | )% |
| + 50 Basis Point Increase | |
| (0.62 | )% | |
| (3.62 | )% |
| Actual at June 30, 2024 | |
| — | % | |
| — | % |
| - 50 Basis Point Decrease | |
| 0.50 | % | |
| 2.90 | % |
| -100 Basis Point Decrease | |
| 0.87 | % | |
| 5.08 | % |
MFA FINANCIAL, INC.
CONSOLIDATED BALANCE SHEETS
| (In Thousands, Except Per Share Amounts) | |
June 30,
2024 | | |
December 31,
2023 | |
| | |
| (unaudited) | | |
| | |
| Assets: | |
| | | |
| | |
| Residential whole loans, net ($7,772,607 and $7,511,508 held at fair value, respectively) (1) | |
$ | 9,186,236 | | |
$ | 9,041,292 | |
| Securities, at fair value | |
| 863,289 | | |
| 746,090 | |
| Cash and cash equivalents | |
| 289,412 | | |
| 318,000 | |
| Restricted cash | |
| 252,015 | | |
| 170,211 | |
| Other assets | |
| 485,973 | | |
| 497,097 | |
| Total Assets | |
$ | 11,076,925 | | |
$ | 10,772,690 | |
| | |
| | | |
| | |
| Liabilities: | |
| | | |
| | |
| Financing agreements ($5,082,181 and $4,633,660 held at fair value, respectively) | |
$ | 8,891,042 | | |
$ | 8,536,745 | |
| Other liabilities | |
| 302,641 | | |
| 336,030 | |
| Total Liabilities | |
$ | 9,193,683 | | |
$ | 8,872,775 | |
| | |
| | | |
| | |
| Stockholders’ Equity: | |
| | | |
| | |
| Preferred stock, $0.01 par value; 7.5% 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; 6.5% Series C fixed-to-floating rate cumulative redeemable; 12,650 shares authorized; 11,000 shares issued and outstanding ($275,000 aggregate liquidation preference) | |
| 110 | | |
| 110 | |
| Common stock, $0.01 par value; 874,300 and 874,300 shares authorized; 102,083 and 101,916 shares issued and outstanding, respectively | |
| 1,021 | | |
| 1,019 | |
| Additional paid-in capital, in excess of par | |
| 3,707,886 | | |
| 3,698,767 | |
| Accumulated deficit | |
| (1,843,507 | ) | |
| (1,817,759 | ) |
| Accumulated other comprehensive income | |
| 17,652 | | |
| 17,698 | |
| Total Stockholders’ Equity | |
$ | 1,883,242 | | |
$ | 1,899,915 | |
| Total Liabilities and Stockholders’ Equity | |
$ | 11,076,925 | | |
$ | 10,772,690 | |
| (1) | Includes approximately $6.0 billion and $5.7 billion of Residential whole loans transferred to consolidated
variable interest entities (“VIEs”) at June 30, 2024 and December 31, 2023, 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 June 30, | | |
Six Months Ended June 30, | |
| (In Thousands, Except Per Share Amounts) | |
2024 | | |
2023 | | |
2024 | | |
2023 | |
| | |
(Unaudited) | | |
(Unaudited) | | |
(Unaudited) | | |
(Unaudited) | |
| Interest Income: | |
| | | |
| | | |
| | | |
| | |
| Residential whole loans | |
$ | 165,717 | | |
$ | 128,048 | | |
$ | 323,382 | | |
$ | 247,558 | |
| Securities, at fair value | |
| 13,629 | | |
| 9,948 | | |
| 26,621 | | |
| 17,256 | |
| Other interest-earning assets | |
| 1,177 | | |
| 2,622 | | |
| 2,340 | | |
| 4,973 | |
| Cash and cash equivalent investments | |
| 6,308 | | |
| 3,732 | | |
| 11,319 | | |
| 6,768 | |
| Interest Income | |
$ | 186,831 | | |
$ | 144,350 | | |
$ | 363,662 | | |
$ | 276,555 | |
| | |
| | | |
| | | |
| | | |
| | |
| Interest Expense: | |
| | | |
| | | |
| | | |
| | |
| Asset-backed and other collateralized financing arrangements | |
$ | 126,755 | | |
$ | 95,884 | | |
$ | 250,197 | | |
$ | 184,764 | |
| Other interest expense | |
| 6,587 | | |
| 3,961 | | |
| 12,162 | | |
| 7,917 | |
| Interest Expense | |
$ | 133,342 | | |
$ | 99,845 | | |
$ | 262,359 | | |
$ | 192,681 | |
| | |
| | | |
| | | |
| | | |
| | |
| Net Interest Income | |
$ | 53,489 | | |
$ | 44,505 | | |
$ | 101,303 | | |
$ | 83,874 | |
| | |
| | | |
| | | |
| | | |
| | |
| Reversal/(Provision) for Credit Losses on Residential Whole Loans | |
$ | 1,079 | | |
$ | (294 | ) | |
$ | 1,539 | | |
$ | (281 | ) |
| Reversal/(Provision) for Credit Losses on Other Assets | |
| (26 | ) | |
| — | | |
| (1,135 | ) | |
| — | |
| Net Interest Income after Reversal/(Provision) for Credit Losses | |
$ | 54,542 | | |
$ | 44,211 | | |
$ | 101,707 | | |
$ | 83,593 | |
| | |
| | | |
| | | |
| | | |
| | |
| Other Income/(Loss), net: | |
| | | |
| | | |
| | | |
| | |
| Net gain/(loss) on residential whole loans measured at fair value through earnings | |
$ | 16,430 | | |
$ | (130,703 | ) | |
$ | 4,917 | | |
$ | (1,529 | ) |
| Impairment and other net gain/(loss) on securities and other portfolio investments | |
| (2,842 | ) | |
| (4,569 | ) | |
| (7,618 | ) | |
| (1,638 | ) |
| Net gain/(loss) on real estate owned | |
| 1,880 | | |
| 2,153 | | |
| 2,871 | | |
| 6,095 | |
| Net gain/(loss) on derivatives used for risk management purposes | |
| 16,087 | | |
| 60,451 | | |
| 66,028 | | |
| 39,243 | |
| Net gain/(loss) on securitized debt measured at fair value through earnings | |
| (10,642 | ) | |
| 27,394 | | |
| (33,104 | ) | |
| (24,331 | ) |
| Lima One - origination, servicing and other fee income | |
| 7,619 | | |
| 11,477 | | |
| 15,547 | | |
| 20,453 | |
| Net realized gain/(loss) on residential whole loans held at carrying value | |
| — | | |
| — | | |
| 418 | | |
| — | |
| Other, net | |
| 1,317 | | |
| 5,492 | | |
| 3,192 | | |
| 8,506 | |
| Other Income/(Loss), net | |
$ | 29,849 | | |
$ | (28,305 | ) | |
$ | 52,251 | | |
$ | 46,799 | |
| | |
| | | |
| | | |
| | | |
| | |
| Operating and Other Expense: | |
| | | |
| | | |
| | | |
| | |
| Compensation and benefits | |
$ | 21,747 | | |
$ | 21,771 | | |
$ | 47,215 | | |
$ | 42,401 | |
| Other general and administrative expense | |
| 10,835 | | |
| 11,522 | | |
| 22,830 | | |
| 21,199 | |
| Loan servicing, financing and other related costs | |
| 8,717 | | |
| 7,598 | | |
| 15,759 | | |
| 17,137 | |
| Amortization of intangible assets | |
| 800 | | |
| 1,300 | | |
| 1,600 | | |
| 2,600 | |
| Operating and Other Expense | |
$ | 42,099 | | |
$ | 42,191 | | |
$ | 87,404 | | |
$ | 83,337 | |
| | |
| | | |
| | | |
| | | |
| | |
| Income/(loss) before income taxes | |
$ | 42,292 | | |
$ | (26,285 | ) | |
$ | 66,554 | | |
$ | 47,055 | |
| Provision for/(benefit from) income taxes | |
$ | 346 | | |
$ | (357 | ) | |
$ | 1,395 | | |
$ | 199 | |
| Net Income/(Loss) | |
$ | 41,946 | | |
$ | (25,928 | ) | |
$ | 65,159 | | |
$ | 46,856 | |
| Less Preferred Stock Dividend Requirement | |
$ | 8,218 | | |
$ | 8,218 | | |
$ | 16,437 | | |
$ | 16,437 | |
| Net Income/(Loss) Available to Common Stock and Participating Securities | |
$ | 33,728 | | |
$ | (34,146 | ) | |
$ | 48,722 | | |
$ | 30,419 | |
| | |
| | | |
| | | |
| | | |
| | |
| Basic Earnings/(Loss) per Common Share | |
$ | 0.32 | | |
$ | (0.34 | ) | |
$ | 0.47 | | |
$ | 0.30 | |
| Diluted Earnings/(Loss) per Common Share | |
$ | 0.32 | | |
$ | (0.34 | ) | |
$ | 0.46 | | |
$ | 0.29 | |
Segment Reporting
At June 30, 2024, the Company’s reportable
segments include (i) mortgage-related assets and (ii) Lima One. The Corporate column in the table below primarily consists of corporate
cash and related interest income, investments in loan originators and related economics, general and administrative expenses not directly
attributable to Lima One, interest expense on unsecured convertible senior notes, securitization issuance costs, and preferred stock dividends.
The following tables summarize segment financial
information, which in total reconciles to the same data for the Company as a whole:
| (In Thousands) | |
Mortgage-Related
Assets | | |
Lima One | | |
Corporate | | |
Total | |
| Three months ended June 30, 2024 | |
| | | |
| | | |
| | | |
| | |
| Interest Income | |
$ | 101,216 | | |
$ | 81,780 | | |
$ | 3,835 | | |
$ | 186,831 | |
| Interest Expense | |
| 70,009 | | |
| 56,746 | | |
| 6,587 | | |
| 133,342 | |
| Net Interest Income/(Expense) | |
$ | 31,207 | | |
$ | 25,034 | | |
$ | (2,752 | ) | |
$ | 53,489 | |
| Reversal/(Provision) for Credit Losses on Residential Whole Loans | |
| 1,079 | | |
| — | | |
| — | | |
| 1,079 | |
| Reversal/(Provision) for Credit Losses on Other Assets | |
| (26 | ) | |
| — | | |
| — | | |
| (26 | ) |
| Net Interest Income/(Expense) after Reversal/(Provision) for Credit Losses | |
$ | 32,260 | | |
$ | 25,034 | | |
$ | (2,752 | ) | |
$ | 54,542 | |
| | |
| | | |
| | | |
| | | |
| | |
| Net gain/(loss) on residential whole loans measured at fair value through earnings | |
$ | 28,474 | | |
$ | (12,044 | ) | |
$ | — | | |
$ | 16,430 | |
| Impairment and other net gain/(loss) on securities and other portfolio investments | |
| (1,358 | ) | |
| — | | |
| (1,484 | ) | |
| (2,842 | ) |
| Net gain on real estate owned | |
| 2,167 | | |
| (287 | ) | |
| — | | |
| 1,880 | |
| Net gain/(loss) on derivatives used for risk management purposes | |
| 11,296 | | |
| 4,791 | | |
| — | | |
| 16,087 | |
| Net gain/(loss) on securitized debt measured at fair value through earnings | |
| (6,620 | ) | |
| (4,022 | ) | |
| — | | |
| (10,642 | ) |
| Lima One - origination, servicing and other fee income | |
| — | | |
| 7,619 | | |
| — | | |
| 7,619 | |
| Net realized gain/(loss) on residential whole loans held at carrying value | |
| — | | |
| — | | |
| — | | |
| — | |
| Other, net | |
| (85 | ) | |
| 914 | | |
| 488 | | |
| 1,317 | |
| Other Income/(Loss), net | |
$ | 33,874 | | |
$ | (3,029 | ) | |
$ | (996 | ) | |
$ | 29,849 | |
| | |
| | | |
| | | |
| | | |
| | |
| Compensation and benefits | |
$ | — | | |
$ | 10,765 | | |
$ | 10,982 | | |
$ | 21,747 | |
| Other general and administrative expense | |
| 115 | | |
| 4,936 | | |
| 5,784 | | |
| 10,835 | |
| Loan servicing, financing and other related costs | |
| 4,796 | | |
| 615 | | |
| 3,306 | | |
| 8,717 | |
| Amortization of intangible assets | |
| — | | |
| 800 | | |
| — | | |
| 800 | |
| Income/(loss) before income taxes | |
$ | 61,223 | | |
$ | 4,889 | | |
$ | (23,820 | ) | |
$ | 42,292 | |
| Provision for/(benefit from) income taxes | |
$ | — | | |
$ | — | | |
$ | 346 | | |
$ | 346 | |
| Net Income/(Loss) | |
$ | 61,223 | | |
$ | 4,889 | | |
$ | (24,166 | ) | |
$ | 41,946 | |
| | |
| | | |
| | | |
| | | |
| | |
| Less Preferred Stock Dividend Requirement | |
$ | — | | |
$ | — | | |
$ | 8,218 | | |
$ | 8,218 | |
| Net Income/(Loss) Available to Common Stock and Participating Securities | |
$ | 61,223 | | |
$ | 4,889 | | |
$ | (32,384 | ) | |
$ | 33,728 | |
| (Dollars in Thousands) | |
Mortgage-Related
Assets | | |
Lima One | | |
Corporate | | |
Total | |
| June 30, 2024 | |
| | | |
| | | |
| | | |
| | |
| Total Assets | |
$ | 6,575,888 | | |
$ | 4,167,768 | | |
$ | 333,269 | | |
$ | 11,076,925 | |
| | |
| | | |
| | | |
| | | |
| | |
| December 31, 2023 | |
| | | |
| | | |
| | | |
| | |
| Total Assets | |
$ | 6,370,237 | | |
$ | 4,000,932 | | |
$ | 401,521 | | |
$ | 10,772,690 | |
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 earnings is determined by adjusting GAAP net income/(loss) by removing
certain unrealized gains and losses, primarily on residential mortgage investments, associated debt, and hedges that are, in each case,
accounted for at fair value through earnings, certain realized gains and losses, as well as certain non-cash expenses and securitization-related
transaction costs. The transaction costs are primarily comprised of costs only incurred at the time of execution of our securitizations
and include costs such as underwriting fees, legal fees, diligence fees, bank fees and other similar transaction related expenses. These
costs are all incurred prior to or at the execution of our securitizations and do not recur. Recurring expenses, such as servicing fees,
custodial fees, trustee fees and other similar ongoing fees are not excluded from distributable earnings. Management believes that the
adjustments made to GAAP earnings result in the removal of (i) income or expenses that are not reflective of the longer term performance
of our investment portfolio, (ii) certain non-cash expenses, and (iii) expense items required to be recognized solely due to the election
of the fair value option on certain related residential mortgage assets and associated liabilities. Distributable earnings is one of the
factors that our Board of Directors considers when evaluating distributions to our shareholders. Accordingly, we believe that the adjustments
to compute Distributable earnings specified below provide investors and analysts with additional information to evaluate our financial
results.
Distributable earnings should
be used in conjunction with results presented in accordance with GAAP. Distributable earnings does not represent and should not be considered
as a substitute for net income or cash flows from operating activities, each 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 net income/(loss) used in the calculation of basic EPS to our non-GAAP Distributable earnings for the quarterly
periods below:
| | |
Quarter Ended | |
| (In Thousands, Except Per Share Amounts) | |
June 30,
2024 | | |
March 31,
2024 | | |
December 31,
2023 | | |
September 30,
2023 | | |
June 30,
2023 | |
| GAAP Net income/(loss) used in the calculation of basic EPS | |
$ | 33,614 | | |
$ | 14,827 | | |
$ | 81,527 | | |
$ | (64,657 | ) | |
$ | (34,146 | ) |
| Adjustments: | |
| | | |
| | | |
| | | |
| | | |
| | |
| Unrealized and realized gains and losses on: | |
| | | |
| | | |
| | | |
| | | |
| | |
| Residential whole loans held at fair value | |
| (16,430 | ) | |
| 11,513 | | |
| (224,272 | ) | |
| 132,894 | | |
| 130,703 | |
| Securities held at fair value | |
| 4,026 | | |
| 4,776 | | |
| (21,371 | ) | |
| 13,439 | | |
| 3,698 | |
| Residential whole loans and securities at carrying value | |
| (2,668 | ) | |
| (418 | ) | |
| 332 | | |
| — | | |
| — | |
| Interest rate swaps | |
| 10,237 | | |
| (23,182 | ) | |
| 97,400 | | |
| (9,433 | ) | |
| (37,018 | ) |
| Securitized debt held at fair value | |
| 7,597 | | |
| 20,169 | | |
| 108,693 | | |
| (40,229 | ) | |
| (30,908 | ) |
| Investments in loan origination partners | |
| 1,484 | | |
| — | | |
| 254 | | |
| 722 | | |
| 872 | |
| Expense items: | |
| | | |
| | | |
| | | |
| | | |
| | |
| Amortization of intangible assets | |
| 800 | | |
| 800 | | |
| 800 | | |
| 800 | | |
| 1,300 | |
| Equity based compensation | |
| 3,899 | | |
| 6,243 | | |
| 3,635 | | |
| 4,447 | | |
| 3,932 | |
| Securitization-related transaction costs | |
| 3,009 | | |
| 1,340 | | |
| 2,702 | | |
| 3,217 | | |
| 2,071 | |
| Total adjustments | |
| 11,954 | | |
| 21,241 | | |
| (31,827 | ) | |
| 105,857 | | |
| 74,650 | |
| Distributable earnings | |
$ | 45,568 | | |
$ | 36,068 | | |
$ | 49,700 | | |
$ | 41,200 | | |
$ | 40,504 | |
| | |
| | | |
| | | |
| | | |
| | | |
| | |
| GAAP earnings/(loss) per basic common share | |
$ | 0.32 | | |
$ | 0.14 | | |
$ | 0.80 | | |
$ | (0.64 | ) | |
$ | (0.34 | ) |
| Distributable earnings per basic common share | |
$ | 0.44 | | |
$ | 0.35 | | |
$ | 0.49 | | |
$ | 0.40 | | |
$ | 0.40 | |
| Weighted average common shares for basic earnings per share | |
| 103,446 | | |
| 103,175 | | |
| 102,266 | | |
| 102,255 | | |
| 102,186 | |
The following table presents
our non-GAAP Distributable earnings by segment for the quarterly periods below:
| (In Thousands) | |
Mortgage-Related
Assets | | |
Lima One | | |
Corporate | | |
Total | |
| Three months ended June 30, 2024 | |
| | | |
| | | |
| | | |
| | |
| GAAP Net income/(loss) used in the calculation of basic EPS | |
$ | 61,223 | | |
$ | 4,876 | | |
$ | (32,485 | ) | |
$ | 33,614 | |
| Adjustments: | |
| | | |
| | | |
| | | |
| | |
| Unrealized and realized gains and losses on: | |
| | | |
| | | |
| | | |
| | |
| Residential whole loans held at fair value | |
| (28,474 | ) | |
| 12,044 | | |
| — | | |
| (16,430 | ) |
| Securities held at fair value | |
| 4,026 | | |
| — | | |
| — | | |
| 4,026 | |
| Residential whole loans and securities at carrying value | |
| (2,668 | ) | |
| — | | |
| — | | |
| (2,668 | ) |
| Interest rate swaps | |
| 7,863 | | |
| 2,374 | | |
| — | | |
| 10,237 | |
| Securitized debt held at fair value | |
| 4,179 | | |
| 3,418 | | |
| — | | |
| 7,597 | |
| Investments in loan origination partners | |
| — | | |
| — | | |
| 1,484 | | |
| 1,484 | |
| Expense items: | |
| | | |
| | | |
| | | |
| | |
| Amortization of intangible assets | |
| — | | |
| 800 | | |
| — | | |
| 800 | |
| Equity based compensation | |
| — | | |
| 279 | | |
| 3,620 | | |
| 3,899 | |
| Securitization-related transaction costs | |
| (197 | ) | |
| — | | |
| 3,206 | | |
| 3,009 | |
| Total adjustments | |
$ | (15,271 | ) | |
$ | 18,915 | | |
$ | 8,310 | | |
$ | 11,954 | |
| Distributable earnings | |
$ | 45,952 | | |
$ | 23,791 | | |
$ | (24,175 | ) | |
$ | 45,568 | |
| (In Thousands) | |
Mortgage-Related
Assets | | |
Lima One | | |
Corporate | | |
Total | |
| Three Months Ended March 31, 2024 | |
| | | |
| | | |
| | | |
| | |
| GAAP Net income/(loss) used in the calculation of basic EPS | |
$ | 36,363 | | |
$ | 10,655 | | |
$ | (32,191 | ) | |
$ | 14,827 | |
| Adjustments: | |
| | | |
| | | |
| | | |
| | |
| Unrealized and realized gains and losses on: | |
| | | |
| | | |
| | | |
| | |
| Residential whole loans held at fair value | |
| 8,699 | | |
| 2,814 | | |
| — | | |
| 11,513 | |
| Securities held at fair value | |
| 4,776 | | |
| — | | |
| — | | |
| 4,776 | |
| Residential whole loans and securities at carrying value | |
| (418 | ) | |
| — | | |
| — | | |
| (418 | ) |
| Interest rate swaps | |
| (17,068 | ) | |
| (6,114 | ) | |
| — | | |
| (23,182 | ) |
| Securitized debt held at fair value | |
| 9,591 | | |
| 10,578 | | |
| — | | |
| 20,169 | |
| Investments in loan origination partners | |
| — | | |
| — | | |
| — | | |
| — | |
| Expense items: | |
| | | |
| | | |
| | | |
| | |
| Amortization of intangible assets | |
| — | | |
| 800 | | |
| — | | |
| 800 | |
| Equity based compensation | |
| — | | |
| 261 | | |
| 5,982 | | |
| 6,243 | |
| Securitization-related transaction costs | |
| 197 | | |
| — | | |
| 1,143 | | |
| 1,340 | |
| Total adjustments | |
$ | 5,777 | | |
$ | 8,339 | | |
$ | 7,125 | | |
$ | 21,241 | |
| Distributable earnings | |
$ | 42,140 | | |
$ | 18,994 | | |
$ | (25,066 | ) | |
$ | 36,068 | |
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
and securitized debt held 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 financial instruments. These adjustments are also reflected in the table below in our
end of period stockholders’ equity. 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 investment activities, 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 as of the quarterly periods
below:
| | |
Quarter Ended: | |
| (In Millions, Except Per Share Amounts) | |
June 30,
2024 | | |
March 31,
2024 | | |
December 31,
2023 | | |
September 30,
2023 | | |
June 30,
2023 | |
| GAAP Total Stockholders’ Equity | |
$ | 1,883.2 | | |
$ | 1,884.2 | | |
$ | 1,899.9 | | |
$ | 1,848.5 | | |
$ | 1,944.8 | |
| Preferred Stock, liquidation preference | |
| (475.0 | ) | |
| (475.0 | ) | |
| (475.0 | ) | |
| (475.0 | ) | |
| (475.0 | ) |
| GAAP Stockholders’ Equity for book value per common share | |
| 1,408.2 | | |
| 1,409.2 | | |
| 1,424.9 | | |
| 1,373.5 | | |
| 1,469.8 | |
| Adjustments: | |
| | | |
| | | |
| | | |
| | | |
| | |
| Fair value adjustment to Residential whole loans, at carrying value | |
| (26.8 | ) | |
| (35.4 | ) | |
| (35.6 | ) | |
| (85.3 | ) | |
| (58.3 | ) |
| Fair value adjustment to Securitized debt, at carrying value | |
| 82.3 | | |
| 88.4 | | |
| 95.6 | | |
| 122.5 | | |
| 129.8 | |
| Stockholders’ Equity including fair value adjustments to Residential whole loans and Securitized debt held at carrying value (Economic book value) | |
$ | 1,463.7 | | |
$ | 1,462.2 | | |
$ | 1,484.9 | | |
$ | 1,410.7 | | |
$ | 1,541.3 | |
| GAAP book value per common share | |
$ | 13.80 | | |
$ | 13.80 | | |
$ | 13.98 | | |
$ | 13.48 | | |
$ | 14.42 | |
| Economic book value per common share | |
$ | 14.34 | | |
$ | 14.32 | | |
$ | 14.57 | | |
$ | 13.84 | | |
$ | 15.12 | |
| Number of shares of common stock outstanding | |
| 102.1 | | |
| 102.1 | | |
| 101.9 | | |
| 101.9 | | |
| 101.9 | |
Cautionary Note Regarding Forward-Looking
Statements
When used in this press release 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,”
“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 MFA’s
business, financial condition, liquidity, results of operations, plans and objectives. Among the important factors that could cause our
actual results to differ materially from those projected in any forward-looking statements that we make are: general economic developments
and trends and the performance of the housing, real estate, mortgage finance, broader financial markets; inflation, increases in interest
rates and changes in the market (i.e., fair) value of MFA’s residential whole loans, MBS, securitized debt and other assets, as
well as changes in the value of MFA’s liabilities accounted for at fair value through earnings; the effectiveness of hedging transactions;
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 and loss
severities 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
or 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 of Directors 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
of Directors 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; targeted or expected
returns on our investments in recently-originated mortgage loans, the performance of which is, similar to our other mortgage loan investments,
subject to, among other things, differences in prepayment risk, credit risk and financing costs associated with such investments; risks
associated with the ongoing operation of Lima One Holdings, LLC (including, without limitation, industry competition, unanticipated expenditures
relating to or liabilities arising from its operation (including, among other things, a failure to realize management’s assumptions
regarding expected growth in business purpose loan (BPL) origination volumes and credit risks underlying BPLs, including changes in the
default rates and management’s assumptions regarding default rates and loss severities on the BPLs originated by Lima One)); 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; risks associated with our investments in MSR-related assets, including servicing,
regulatory and economic risks; risks associated with our investments in loan originators; risks associated with investing in real estate
assets generally, including changes in business conditions and the general economy; and other risks, uncertainties and factors, including
those described in the annual, quarterly and current reports that we file with the SEC. These forward-looking statements are based on
beliefs, assumptions and expectations of MFA’s future performance, taking into account information currently available. Readers
and listeners 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.
Exhibit 99.2
Company Update SECOND QUARTER 2024
2 Q3 202 2 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,” “should,” “could,” “would,” “may,” the negative of these words or similar expressions, are intended to identify “forward - looking statements” within the meaning of Section 27 A of the Securities Act of 1933 , as amended, and Section 21 E 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 MFA’s business, financial condition, liquidity, results of operations, plans and objectives . Among the important factors that could cause our actual results to differ materially from those projected in any forward - looking statements that we make are : general economic developments and trends and the performance of the housing, real estate, mortgage finance, broader financial markets ; inflation, increases in interest rates and changes in the market (i . e . , fair) value of MFA’s residential whole loans, MBS, securitized debt and other assets, as well as changes in the value of MFA’s liabilities accounted for at fair value through earnings ; the effectiveness of hedging transactions ; 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 and loss severities 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 or 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 of Directors 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 of Directors 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 ; targeted or expected returns on our investments in recently - originated mortgage loans, the performance of which is, similar to our other mortgage loan investments, subject to, among other things, differences in prepayment risk, credit risk and financing costs associated with such investments ; risks associated with the ongoing operation of Lima One Holdings, LLC (including, without limitation, industry competition, unanticipated expenditures relating to or liabilities arising from its operation (including, among other things, a failure to realize management’s assumptions regarding expected growth in business purpose loan (BPL) origination volumes and credit risks underlying BPLs, including changes in the default rates and management’s assumptions regarding default rates and loss severities on the BPLs originated by Lima One) ; 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 ; risks associated with our investments in MSR - related assets, including servicing, regulatory and economic risks ; risks associated with our investments in loan originators ; risks associated with investing in real estate assets generally, including changes in business conditions and the general economy ; and other risks, uncertainties and factors, including those described in the annual, quarterly and current reports that we file with the SEC . These forward - looking statements are based on beliefs, assumptions and expectations of MFA’s future performance, taking into account information currently available . Readers and listeners 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 .
3 v MFA at a glance 3 $1.9B Total equity 1998 Listed on NYSE in Leading hybrid mortgage REIT with extensive experience in managing residential mortgage assets through economic cycles $11.1B Total assets NYSE: MFA $4.7B Common dividends as of June 30, 2024 as of June 30, 2024 paid since IPO See page 27 for endnotes Dividend yield 13.1% as of August 6, 2024 Loans acquired 1 $23B since 2014
4 Q 2 202 4 financial snapshot $13.80 $14.34 GAAP net income 3 $0.32 per common share Distributable earnings 4 $0.44 per common share GAAP book value Economic book value 2 per common share per common share $289M Unrestricted cash 1.7x Recourse leverage 5 4 Q2 Dividend $0.35 per common share Total economic return 6 2.6% Q2 2024
5 Q2 2024 Company Highlights □ Protected book value during another volatile quarter for interest rates ▪ GAAP book value remained unchanged and Economic book value rose to $14.34 per share □ Generated Distributable earnings of $0.44 per share ▪ Net interest income rose to $53.5M, up from $47.8M in Q1 ▪ Declared $0.35 dividend ▪ Ended Q2 with $289M of unrestricted cash □ Acquired or originated $688M of high - yielding residential mortgage loans ▪ Lima One originated loans with a maximum UPB of $412M 7 at average coupon of 10% □ Continued to prioritize non - mark - to - market (non - MTM) 8 funding sources ▪ Issued two securitizations collateralized by $557M UPB of residential loans ▪ Issued $75M of 9.00% senior unsecured notes due in August 2029
6 □ Acquired $864M of residential loans and securities, growing investment portfolio to $10.2B ▪ Lima One funded $422M 9 of new business purpose loans (BPLs) and draws on existing loans ▪ Purchased $266M of non - qualified mortgage (Non - QM) loans ▪ Added $176M of Agency MBS ▪ Sold $12M of single - family rental (SFR) loans, $27M of MSR - related securities and $26M of REO properties ▪ Portfolio runoff was $643M, up from $422M in Q1 □ High interest rates continue to provide opportunities to add new residential mortgage assets at attractive yields ▪ Average coupon on all loans acquired in Q2 was 9.6% ▪ Average coupon in Lima One origination pipeline exceeds 10% ▪ Incremental ROE for new investments expected to be mid - teens Q2 2024 Investment Activity Investment Portfolio at June 30 10 Non - QM Loans $4.0B Business Purpose Loans 11 $4.0B Legacy RPL/NPL $1.1B Other $0.4B Agency MBS $0.7B 0% 2% 4% 6% 8% 10% 2021 2022 2023 YTD 2024 Average Coupon on Loan Acquisitions
7 Q2 2024 Liability Highlights □ Most of our borrowing costs remain stable due to fixed - rate securitizations and interest rate hedges ▪ Effective cost of funds in Q2 was 4.63% □ Issued two securitizations during the quarter ▪ Collateralized by $557M UPB of Transitional and Non - QM loans ▪ Called NPL securitization in May and subsequently issued a rated RPL securitization in July □ Overall leverage was 4.7x and recourse leverage was 1.7x at June 30 ▪ $2.7B of unused financing capacity across all loan product types □ Paid off $170M remaining balance of convertible notes that matured in June □ Issued $75M of 9.00% senior unsecured notes due in August 2029 ▪ Follows $115M offering in Q1 of 8.875% notes due in February 2029 ▪ Both issuances are callable in 2026 MTM Warehouse Line Non - MTM Warehouse Line Non - MTM Securitized Debt Other MTM Warehouse Lines Other $2.7B MTM $6.5B Non - MTM $0.0 $1.0 $2.0 $3.0 $4.0 $5.0 $6.0 $7.0 $8.0 $9.0 $10.0 Liabilities ($B) as of June 30 Agency MTM Warehouse Lines Non - MTM Warehouse Lines Non - MTM Securitized Debt Other
8 Q2 2024 Interest Rate Swaps □ Positive carry on our interest rate swap position is nearly 350 bps ▪ $3.3B interest rate hedge placed primarily in late 2021 and early 2022 ▪ Weighted average fixed pay rate was 1.92% and variable receive rate was 5.33% 12 at June 30 ▪ Net positive swap carry of $29M in Q2 □ $3.3B swap position vs. $3.7B of floating - rate liabilities ▪ $1B of rate swaps mature between Q4 2024 and Q1 2025 □ Net portfolio duration of 1.12 at June 30 0.90% 1.25% WA Fixed Pay Rate: 2.69% 1.12% 1.58% 2.71% 3.69% $- $100 $200 $300 $400 $500 $600 $700 Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q2 2026 Q3 2026 Q4 2026 Q1 2027 Q2 2027 Q3 2027 Q4 2027 2028- 2034 Swap Maturity Profile ($M)
9 Q2 2024 Portfolio Credit Metrics 67% 66% 62% 56% 52% 59% Single Family Transitional Loans Multifamily Transitional Loans Single Family Rental Loans Non-QM Loans Legacy RPL/NPL Loans Total Current LTV by Loan Product Type 13 7.8% 6.6% 6.4% 6.6% 6.9% 6.5% Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 Portfolio 60+ Delinquency Rate Prior to 2021 23% 2021 24% 2022 19% 2023 24% 2024 10% Origination Year - $1B $2B $3B $4B $5B <60% 60-70% 70-80% 80-90% 90-100% >100 % Current LTV Distribution 13 CA 27% FL 13% TX 7% NY 5% GA 5% Other 43% State Concentration 14
10 □ $412M of origination volume in Q2 7 ▪ Average LTV 15 of 66% and FICO score of 753 ▪ Origination fees, servicing fees and other fee income totaled $7.6M □ Lima One has originated $6.4B 7 of BPLs for MFA’s balance sheet in the three years since our acquisition in Q3 2021 ▪ Lima offers a broad range of loan products to real estate investors nationwide including rehab loans, bridge loans, construction loans, rental loans and small - balance multifamily loans □ 60+ day delinquency rate rose modestly to 4.8% for BPLs originated by Lima One Q2 2024 Lima One Highlights 6.38% 5.38% 6.13% 5.70% 6.09% 6.58% 6.62% 6.88% 7.21% 7.45% 7.66% 7.99% Q3 2021 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 BPL Portfolio Yield - $1B $2B $3B $4B $5B $6B $7B Q3 2021 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 Origination Volume Since Acquisition 7
11 Portfolio s tatistics 6/30/24 3/31/24 UPB ($M) $1,227 $1,265 d Maximum loan amount ($M) $1,634 $1,691 Average maximum loan amount $577K $561K d Gross coupon 10.39% 10.18% d Quarterly yield 9.75% 9.04% d LTV 15 67% 66% d Original FICO score 748 746 d Loan age (months) 11 11 d Ground - up construction 39% 40% d 3 - month repayment rate 16 66 CPR 52 CPR d 60+ days delinquent 8.6% 9.3% d REO properties 17 $23M $27M d Q2 2024 Single - family Transitional Loans □ Lima One originated $279M 7 of new loans ▪ Average ARV - LTV of 66% and average coupon of 10.7% □ Issued our fifth Transitional loan securitization in May ▪ Collateral includes $48M UPB of Single - family transitional loans ▪ $1.1B UPB of Single - family transitional loans have been financed via these revolving structures since 2022 7.6% 6.5% 6.7% 7.5% 9.3% 8.6% Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 60+ Days Delinquent FL 17% TX 12% GA 8% CA 7% NC 6% OR 5% Other 45% State Concentration 14 Bridge Loans 28% Ground Up Construction Loans 39% Rehab Loans 33% Loan Product Type
12 Portfolio s tatistics 6/30/24 3/31/24 UPB ($M) $1,184 $1,237 d Maximum loan amount ($M) $1,267 $1,340 d Average maximum loan amount $3.3M $3.3M d Gross coupon 8.98% 8.72% d Quarterly yield 8.34% 8.33% d LTV 15 66% 63% d Original FICO score 748 747 d Loan age (months) 15 13 d 3 - month repayment rate 16 24 CPR 10 CPR d 60+ days delinquent 4.6% 2.8% d Extended UPB 11% 9% s REO properties 17 $3M __ D Q2 2024 Multifamily Transitional Loans □ Multifamily loan portfolio of $1.2B UPB ▪ Lima One originated $23M 7 of new loans at average ARV - LTV of 61% and average coupon of 10.8% ▪ Portfolio is comprised of short - term rehab and bridge loans □ Issued our fifth Transitional loan securitization in May ▪ Collateral includes $143M UPB of multifamily loans ▪ $622M UPB of multifamily loans have been financed via these revolving structures since 2022 TX 20% GA 13% NY 10% FL 6% OH 5% LA 5% Other 41% State Concentration 14 1.5% 1.4% 1.7% 2.6% 2.8% 4.6% Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 60+ Days Delinquent 2021 13% 2022 31% 2023 48% 2024 8% Origination Year
13 P ortfolio s tatistics 6/30/24 3/31/24 UPB ($M) $1,713 $1,666 d Average loan balance $227K $231K d Gross coupon 6.62% 6.57% d Quarterly yield 6.47% 6.21% d Original LTV 69% 69% d Current LTV 13 62% 64% d Original FICO score 739 738 d DSCR 18 1.45x 1.45x d Loan age (months) 23 22 d Hybrid ARMs 28% 27% d Cash - out refinance 68% 69% d 3 - month prepayment rate 16 7 CPR 6 CPR d 60+ days delinquent 3.7% 4.6% d REO properties 17 $13M $6M d Q2 2024 Single - family Rental Loans □ Single - family rental (SFR) loan portfolio surpassed $1.7B UPB ▪ Lima One originated $110M UPB of SFR loans with average LTV of 68% and average coupon of 8.0% ▪ Sold $12M UPB of SFR loans with average coupon of 8.04% □ Issued seven securitizations collateralized by $1.6B UPB of SFR loans since 2021 ▪ 85% of financing for SFR loans is non - MTM 8 0% 14% 52% 34% <1x 1-1.2x 1.2-1.5x >1.5x DSCR at Origination FL 10% OH 9% PA 8% GA 8% NC 6% TX 5% IL 5% Other 49% State Concentration 14 2.6% 2.4% 3.8% 4.7% 4.6% 3.7% Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 60+ Days Delinquent
14 Q2 2024 Non - QM Loans □ Non - QM loan portfolio grew to $4.2B UPB ▪ Acquired $261M UPB of new loans with average LTV of 63% and average coupon of 8.4% □ Issued our 14 th Non - QM securitization in April collateralized by $365M UPB of loans ▪ 78% of Non - QM loan portfolio is financed via securitization ▪ $5.2B UPB securitized since strategy inception P ortfolio s tatistics 6/30/24 3/31/24 UPB ($M) $4,184 $4,060 1 Average loan balance $508K $498K 1 WA gross coupon 6.30% 6.16% 1 Quarterly yield 5.49% 5.39% 1 Original LTV 66% 66% 1 Current LTV 13 56% 56% 1 Original FICO score 735 734 1 Loan age (months) 28 27 1 Fixed rate 80% 80% 1 Hybrid ARMs 20% 20% 1 Purchase 52% 52% 1 Cash - out refinance 37% 37% 1 3 - month prepayment rate 16 11 CPR 8 CPR 1 60+ days delinquent 3.0% 3.2% 1 REO properties 17 $2M $2M 1 CA 51% FL 16% TX 5% Other 28% State Concentration 14 13% 46% 25% 3% 14% Loan Product Type Full Doc Bank Statement DSCR Asset Depletion Other 2.7% 2.4% 2.2% 2.7% 3.2% 3.0% Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 60+ Days Delinquent
15 Q2 2024 Legacy RPL/NPL Loans □ Achieving favorable outcomes due to home price appreciation and intensive asset management ▪ 95% of Legacy RPL/NPL loans purchased since 2014 ($4.4B UPB) were performing, paid in full (PIF), REO or liquidated as of June 30 ▪ 77% of loans modified by MFA were either performing or PIF ▪ LTV has declined to 52% 13 □ Issued rated securitization in July 2024 collateralized by $303M UPB of primarily re - performing loans P ortfolio s tatistics 6/30/24 3/31/24 UPB ($M) $1,284 $1,325 1 Average loan balance $196K $199K 1 Gross coupon 5.12% 5.06% 1 Quarterly yield 8.72% 7.62% 1 Current LTV 13 52% 53% 1 Original FICO score 647 647 1 Fixed rate 82% 82% 1 Hybrid ARMs 18% 18% 1 24 - month clean pay 44% 43% 1 WA loan age (months) 216 213 1 3 - month prepayment rate 16 11 CPR 9 CPR 1 60+ days delinquent 21.5% 23.1% 1 REO properties 17 $67M $71M 1 CA 22% NY 17% FL 7% NJ 7% MD 5% Other 42% State Concentration 14 29.1% 26.1% 24.6% 23.3% 23.1% 21.5% Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 60+ Days Delinquent PIF 33% Liquidated/REO 33% Performing 29% Non - performing 5% Loan Resolution Status 19
16 Appendix James Casebere , Landscape with Houses ( Dutchess County, NY) #2, 2010 (detail)
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 focuses primarily on mortgage subsectors in which it tries to avoid direct competition with banks and government - sponsored enterprises □ MFA owns a diversified portfolio of business purpose loans (BPLs), non - qualified mortgage (Non - QM) loans, re - performing/non - performing loans (Legacy RPL/NPLs) and residential mortgage - backed securities □ In 2021, MFA acquired Lima One Capital, a leading nationwide BPL originator and servicer with nearly $10B 7 in originations since its formation in 2010 □ MFA originates BPLs directly through Lima One and acquires Non - QM loans through flow and mini - bulk arrangements with a select group of originators with which it holds strong relationships □ MFA operates a leading residential credit securitization platform with $9.5B of issuance since inception □ MFA has deep expertise in residential credit as well as a long history of investing in new asset classes when compelling opportunities arise □ Since its IPO in 1998, MFA has distributed $4.7 billion of dividends to its stockholders
18 Lima One: Leading Nationwide BPL Originator and Servicer Product Offerings □ Lima One offers a diverse selection of both short - term and long - term financing solutions to experienced real estate investors across the U.S. □ Products include rehab loans, construction loans, single - family rental loans and small - balance multifamily loans Fully Integrated BPL Platform □ Lima One, a wholly - owned subsidiary of MFA, is an industry - leading, fully integrated business purpose lending platform □ Lima operates an efficient and scalable platform with over 300 employees headquartered in Greenville, SC □ Lima has originated $6.4 B 7 since MFA’s acquisition in 2021 and nearly $10B 7 since its formation in 2010 □ Origination volume of $2.3B 7 in both 2022 and 2023 □ Lima provides MFA with access to organically - created, high - yielding loans, substantially below the cost to purchase from third parties Credit Quality □ Strong focus on credit quality, with disciplined underwriting, in - house servicing and construction management teams □ Conservative underwriting with average FICO score of 745 and average LTV of 68% 15 as of June 30, 2024 □ 60+ day delinquency rate of 4.8% as of June 30, 2024 20 Geographic and Borrower Diversity □ No state concentration above 15% and no borrower concentration above 2% Concentration 10% to 15% 5% to 10% Below 5% No loans TX FL TX FL
19 Book Value Potential Upside □ Economic book value has nearly $3 per share of potential upside ▪ Much of our loan portfolio is marked at a substantial discount to par due to impact of higher interest rates ▪ We recoup these unrealized losses as borrowers make scheduled principal payments and as loans pay off □ Economic book value would be $17.33 per share if all loans and securitized debt were repaid at par ▪ Any realized credit losses or loan sales below par would reduce potential upside $4.84 $2.99 potential upside $14.34 EBV $4 $6 $8 $10 $12 $14 $16 $18 $20 MFA Stock Price 6/30 EBV 6/30 Loan Portfolio Discount to Par Securitized Debt Discount to Par Potential EBV Potential Upside in Economic Book Value $14.34 $10.64 $4.88 $(1.89)
20 MFA - Issued Securitizations Outstanding Securitization Name Loan Product Type Settlement Date Original Collateral UPB ($M) 21 Current Collateral UPB ($M) 21 Bonds Sold ($M) Original UPB Sold (%) 22 Outstanding Balance of Bonds Sold ($M) Weighted Average Coupon (WAC) of Outstanding Bonds Sold WAC of Underlying Loans Callable Date MFRA 2020 - NQM1 Non - QM Sep - 20 391 104 373 95% 86 2.35% 6.18% Currently Callable MFRA 2020 - NQM2 Non - QM Oct - 20 570 165 535 94% 130 2.19% 6.56% Currently Callable MFRA 2020 - NQM3 Non - QM Dec - 20 381 118 359 94% 95 1.84% 5.68% Currently Callable MFRA 2021 - INV1 SFR Feb - 21 217 70 198 91% 51 1.46% 7.19% Currently Callable MFRA 2021 - NQM1 Non - QM Apr - 21 394 134 371 94% 111 1.74% 5.63% Currently Callable MFRA 2021 - RPL1 RPL Jun - 21 473 280 435 92% 244 1.44% 5.19% 20% Clean - up Call MFRA 2021 - NQM2 Non - QM Aug - 21 289 146 277 96% 133 1.37% 5.17% Currently Callable MFRA 2021 - AEINV1 Agency Eligible Oct - 21 312 262 297 95% N/A 1.43% 3.27% N/A MFRA 2021 - INV2 SFR Nov - 21 284 225 260 92% 202 2.20% 5.13% Oct - 24 MFRA 2021 - AEINV2 Agency Eligible Dec - 21 340 295 323 95% N/A 1.52% 3.46% N/A MFRA 2022 - CHM1 Non - QM Mar - 22 237 169 204 86% 135 3.93% 5.11% Currently Callable MFRA 2022 - NQM1 Non - QM Mar - 22 333 258 310 93% 235 4.15% 4.55% Mar - 25 MFRA 2022 - INV1 SFR Apr - 22 258 217 224 87% 184 4.02% 4.83% Apr - 25 MFRA 2022 - RTL1 Transitional Apr - 22 265 265 239 90% 213 5.24% 8.43% Currently Callable MFRA 2022 - NQM2 Non - QM Jun - 22 541 453 398 74% 322 4.00% 4.26% Jun - 25 MFRA 2022 - RPL1 RPL Jul - 22 336 248 307 91% 234 3.42% 5.02% Jul - 25 MFRA 2022 - INV2 SFR Jul - 22 214 190 169 79% 146 4.95% 5.63% Jul - 25 MFRA 2022 - NQM3 Non - QM Sep - 22 342 286 274 80% 217 5.57% 5.87% Sep - 25 MFRA 2022 - INV3 SFR Oct - 22 235 210 160 68% 142 6.00% 6.53% Oct - 25 MFRA 2023 - NQM1 Non - QM Jan - 23 314 271 253 81% 211 5.75% 6.03% Jan - 26 MFRA 2023 - RTL1 Transitional Feb - 23 155 155 116 75% 116 7.58% 9.56% Aug - 24 MFRA 2023 - INV1 SFR Feb - 23 204 184 154 75% 135 6.10% 6.95% Feb - 26 MFRA 2023 - NQM2 Non - QM May - 23 372 325 309 83% 262 4.66% 5.61% May - 26 MFRA 2023 - INV2 SFR Sep - 23 215 207 191 89% 184 7.05% 8.05% Sep - 26 MFRA 2023 - NQM3 Non - QM Sep - 23 387 335 343 89% 292 6.74% 7.80% Aug - 26 MFRA 2023 - RTL2 Transitional Oct - 23 230 230 184 80% 184 8.50% 10.06% Oct - 25 MFRA 2023 - NQM4 Non - QM Dec - 23 295 272 268 91% 246 6.32% 8.04% Dec - 26 MFRA 2024 - RTL1 Transitional Feb - 24 200 200 160 80% 160 7.09% 10.77% Feb - 26 MFRA 2024 - NQM1 Non - QM Apr - 24 365 359 331 92% 325 6.70% 8.24% Apr - 27 MFRA 2024 - RTL2 Transitional May - 24 205 205 164 80% 164 7.25% 10.08% May - 26 MFRA 2024 - RPL1 RPL Jul - 24 303 303 259 85% 259 4.26% 5.11% Jul - 28 Total 9,657 7,141 8,445 88% 5,418 4.85% 6.33%
21 Select Financial Metrics 2.99% 3.02% 2.96% 2.88% 3.01% 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 Net Interest Margin 2.14% 2.17% 2.13% 2.06% 2.16% 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 Net Interest Spread 3.96% 4.18% 4.33% 4.52% 4.63% 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 Effective Cost of Funds $- $0.10 $0.20 $0.30 $0.40 $0.50 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 Distributable Earnings vs. Dividend Distributable Earnings Dividend $- $4 $8 $12 $16 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 GAAP vs. Economic Book Value GAAP Book Value Economic Book Value 6.10% 6.35% 6.46% 6.58% 6.79% 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00% 7.00% Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 Asset Yield
22 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 earnings is determined by adjusting GAAP net income/(loss) by removing certain unrealized gains and losses, primarily on residential mortgage investments, associated debt, and hedges that are, in each case, accounted for at fair value through earnings, certain realized gains and losses, as well as certain non - cash expenses and securitization - related transaction costs . The transaction costs are primarily comprised of costs only incurred at the time of execution of our securitizations and include costs such as underwriting fees, legal fees, diligence fees, bank fees and other similar transaction related expenses . These costs are all incurred prior to or at the execution of our securitizations and do not recur . Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from distributable earnings . Management believes that the adjustments made to GAAP earnings result in the removal of ( i ) income or expenses that are not reflective of the longer term performance of our investment portfolio, (ii) certain non - cash expenses, and (iii) expense items required to be recognized solely due to the election of the fair value option on certain related residential mortgage assets and associated liabilities . Distributable earnings is one of the factors that our Board of Directors considers when evaluating distributions to our shareholders . Accordingly, we believe that the adjustments to compute Distributable earnings specified below provide investors and analysts with additional information to evaluate our financial results . The following table provides a reconciliation of GAAP net (loss)/income used in the calculation of basic EPS to our non - GAAP Distributable earnings for the quarterly periods presented . ( $ i n m illions, e xcept p er s hare a mounts) Q2 202 4 Q1 202 4 Q4 202 3 Q3 202 3 Q 2 202 3 d GAAP Net income/(loss) used in the calculation of basic EPS $ 33.6 $ 14.8 $ 81.5 $ (64.7) $ (34.2) d Adjustments: Unrealized and realized gains and losses on: Residential whole loans held at fair value (16.4) 11.5 (224.2) 132.9 130.7 d Securities held at fair value 4.0 4.8 (21.4) 13.4 3.7 d Residential whole loans and securities at carrying value (2.7) (0.4) 0.3 - - d Interest rate swaps 10.2 (23.1) 97.4 (9.4) (37.0) d Securitized debt held at fair value 7.6 20.2 108.7 (40.2) (30.9) d Investments in loan origination partners 1.5 - 0.3 0.8 0.9 d Expense items: Amortization of intangible assets 0.8 0.8 0.8 0.8 1.3 d Equity based compensation 3.9 6.2 3.6 4.4 3.9 d Securitization - related transaction costs 3.0 1.3 2.7 3.2 2.1 d Total adjustments $ 11.9 $ 21.3 $ (31.8) $ 105.9 $ 74.7 d Distributable earnings $ 45.5 $ 36.1 $ 49.7 $ 41.2 $ 40.5 d GAAP earnings/(loss) per basic common share $ 0.32 $ 0.14 $ 0.80 $ (0.64) $ (0.34) d Distributable earnings per basic common share $ 0.44 $ 0.35 $ 0.49 $ 0.40 $ 0.40 d Weighted average common shares for basic earnings per share 103.4 103.2 102.3 10 2.3 10 2.2 d
23 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, rather than the carrying value that is required to be reported under the GAAP accounting model applied to these financial instruments . These adjustments are also reflected in the table below in our end of period stockholders’ equity . 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 investment activities, 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 GAAP book value per common share to our non - GAAP Economic book value per common share as of the end of each quarter since Q 2 2023 . ($ i n millions, except per share amounts) 6/30/24 3/31/24 12/31 /2 3 9/30 /2 3 6/30 /2 3 GAAP Total Stockholders’ Equity $ 1,883.2 $ 1,884.2 $ 1,899.9 $ 1,848.5 $ 1,944.8 Preferred Stock, liquidation preference (475.0) (475.0) (475.0) (475.0) (475.0) GAAP Stockholders’ Equity for book value per common share $ 1,408.2 $ 1,409.2 $ 1,424.9 $ 1,373.5 $ 1,469.8 Adjustments: Fair value adjustment to Residential whole loans, at carrying value (26.8) (35.4) (35.6) (85.3) (58.3) Fair value adjustment to Securitized debt, at carrying value 82.3 88.4 95.6 122.5 129.8 Stockholders’ Equity including fair value adjustments to Residential whole loans and Securitized debt held at carrying value (Economic book value ) $ 1,463.7 $ 1,462.2 $ 1,484.9 $ 1,410.7 $ 1,541.3 GAAP book value per common share $ 13.80 $ 13.80 $ 13.98 $ 13.48 $ 14.42 Economic book value per common share $ 14.34 $ 14.32 $ 14.57 $ 13.84 $ 15.12 Number of shares of common stock outstanding 102.1 102.1 101.9 101.9 101.9
24 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 0.02 Change in fair value of residential whole loans reported at carrying value under GAAP — 0.08 Change in fair value of securitized debt at carrying value under GAAP — (0.06) Book value per common share as of 6/30/24 $ 13.80 $ 14.34
25 GAAP Segment Reporting (Dollars in m illions) Mortgage - Related Assets Lima One Corporate Total d Three months ended June 30, 2024 Interest Income $ 101.2 $ 81.7 $ 3.8 $ 186.7 1 Interest Expense 70.0 56.7 6.6 133.3 1 Net Interest Income /(Expense) $ 31.2 $ 25.0 $ (2.8) $ 53.4 1 Provision for Credit Losses on Other Assets - - - - 1 (Provision)/Reversal of Provision for Credit Losses on Residential Whole Loans 1.0 - - 1.0 1 Net Interest Income /(Expense) after Reversal of Provision/( Provision ) for Credit Losses $ 32.2 $ 25.0 $ (2.8) $ 54.4 4 Net gain/(loss) on residential whole loans measured at fair value through earnings 28.5 (12.0) - 16.5 1 Net Realized Loss on Residential Whole Loan Held at Carrying Value - - - - 1 Impairment and other net gain on securities and other portfolio investments (1.4) - (1.5) (2.9) 1 Net gain on real estate owned 2.2 (0.3) - 1.9 1 Net gain on derivatives used for risk management purposes 11.3 4.8 - 16.1 1 Net gain on securitized debt measured at fair value through earnings (6.6) (4.0) - (10.6) 1 Lima One - origination, servicing and other fee income - 7.6 - 7.6 1 Other, net (0.1) 0.9 0.5 1.3 1 Total Other Income/(Loss) , net $ 33.9 $ (3.0) $ (1.0) $ 29.9 1 Compensation and benefits - 10.8 11.0 21.8 1 General and administrative expenses 0.1 4.9 5.8 10.8 1 Loan servicing, financing, and other related costs 4.8 0.6 3.3 8.7 1 Amortization of intangible assets - 0.8 - 0.8 1 Income/(loss) before income taxes $ 61.2 $ 4.9 $ (23.9) $ 42.2 1 Provision for/(benefit from) income taxes - - 0.3 0.3 1 Net Income/(Loss) 61.2 4.9 (24.2) 41.9 1 Less Preferred Stock Dividend Requirement - - 8.2 8.2 1 Net Income/( Loss ) Available to Common Stock and Participating Securities $ 61.2 $ 4.9 $ (32.4) $ 33.7 1
26 Distributable Earnings by Operating Segment (Dollars in m illions) Mortgage - Related Assets Lima One Corporate Total 1 Three months ended June 30, 2024 GAAP Net income/(loss) used in the calculation of basic EPS $ 61.2 $ 4.9 $ (32.5) $ 33.6 1 Adjustments: Unrealized and realized gains and losses on: Residential whole loans held at fair value (28.5) 12.0 — (16.5) 1 Securities held at fair value 4.0 — — 4.0 1 Residential Whole Loans and Securities at carrying value (2.7) (2.7) 1 Interest rate swaps 7.9 2.4 — 10.3 1 Securitized debt held at fair value 4.2 3.4 — 7.6 1 Investments in loan originators — — 1.5 1.5 1 Expense items: Amortization of intangible assets — 0.8 — 0.8 1 Equity based compensation — 0. 3 3.6 3.9 1 Securitization - related transaction costs (0.2) — 3.2 3.0 1 Total adjustments $ (15.3) $ 18.9 $ 8.3 $ 11.9 1 Distributable earnings $ 45.9 $ 23.8 $ (24.2) $ 45.5 1
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 thi s measure and a reconciliation to GAAP book value. 3) GAAP net income presented per basic common share. 4) Distributable earnings is a non - GAAP financial measure. Refer to slide 22 for further information regarding the calculation of this measure and a reconciliation to GAAP net income. Distributable earnings presented per basic common share. 5) Recourse leverage is the ratio of MFA’s financing liabilities (excluding non - recourse debt) to net equity. Including Securitize d Debt, MFA’s overall leverage ratio at June 30, 2024 was 4.7x. 6) Total economic return is calculated as the quarterly change in Economic Book Value (EBV) plus common dividends declared durin g t he quarter divided by EBV at the start of the quarter. 7) Origination amounts are based on the maximum loan amount, which includes amounts initially funded plus any committed but undr awn amounts. 8) Non - MTM refers to financing arrangements not subject to margin calls based on changes in the fair value of the financed resident ial whole loans. Such agreements may experience changes in advance rates or collateral eligibility as a result of factors such as changes in the delinquency statu s o f the financed residential whole loans. 9) Includes $270M of funded originations during Q2 plus $152M of draws funded during Q2 on previously originated Transitional lo ans . 10) Amounts presented reflect the aggregation of fair value and carrying value amounts as presented in MFA’s consolidated balance sh eet at June 30, 2024. 11) Business Purpose Loans is comprised of $2.4B of Transitional loans and $1.6B of SFR loans at June 30, 2024. 12) Swap variable receive rate is the Secured Overnight Financing Rate (SOFR). 13) Current LTV reflects principal amortization and estimated home price appreciation (or depreciation) since acquisition. Zillo w H ome Value Index (ZHVI) is utilized to estimate updated LTVs for Non - QM, SFR and Legacy RPL/NPL assets. For Transitional loans, Current LTV reflects either the current UPB divi ded by the most recent as - is property valuation available or the maximum UPB divided by the most recent after repaired value (ARV) available. 14) State concentration measured by loan balance. All states in “Other” category have concentrations below 5%. 15) LTV reflects either the current UPB divided by the most recent as - is property valuation available or the maximum UPB divided by the most recent ARV available. 16) Includes all principal repayments. 17) Balance sheet carrying value of REO properties at June 30, 2024. 18) Weighted average debt service coverage ratio (DSCR). 19) Represents status at June 30, 2024 of all Legacy RPL/NPL loans ever acquired. Non - performing status includes all active loans g reater than 60 days delinquent. Liquidated/REO status includes both sold and active REO properties as well as short payoff liquidations and loans sold to third - parties. 20) 60+ day delinquency rate for loans originated by Lima One and held by MFA. 21) Collateral UPB includes cash for Transitional loan securitizations. 22) Bonds sold relative to certificates issued.
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