NEW YORK–(BUSINESS WIRE)–MFA Financial, Inc. (NYSE:MFA) today provided its financial results for the fourth quarter and full year ended December 31, 2023.
Fourth Quarter 2023 Financial Results:
- MFA generated GAAP net income for the fourth quarter of $81.5 million, or $0.80 per basic and $0.76 per diluted common share. Distributable earnings, a non-GAAP financial measure, were $49.7 million, or $0.49 per common share.
- GAAP book value at December 31, 2023 was $13.98 per common share. Economic book value, a non-GAAP financial measure, was $14.57 per common share.
- Total economic return was 7.8% for the fourth quarter.
- MFA closed the year with unrestricted cash of $318.0 million.
- MFA paid a regular cash dividend of $0.35 per common share on January 31, 2024.
Full Year 2023 Highlights:
- MFA delivered a total stockholder return of 30.7% for 2023.
- GAAP net income was $47.3 million, or $0.46 per basic and diluted common share, up from $(264.5 million), or $(2.57) per common share, in 2022.
- Distributable earnings were $1.59 per common share in 2023, down from $1.85 per common share in 2022.
- MFA paid quarterly dividends of $0.35 per common share throughout 2023, totaling $1.40 per common share.
- Total economic return was 2.7% for 2023.
- Asset yield averaged 6.16% in 2023, up from 5.20% in 2022.
- Net interest spread averaged 2.05% in 2023, up from 1.74% in 2022.
- Loan acquisitions were $3.0 billion, including $2.1 billion of funded originations of business purpose loans (including draws on Transitional loans) and $0.9 billion of Non-QM loan acquisitions.
- MFA added $456.7 million of Agency MBS throughout 2023.
- MFA completed eight securitizations in 2023 collateralized by $2.2 billion unpaid principal balance (UPB) of loans, including $1.4 billion UPB of Non-QM loans, $418.6 million UPB of SFR loans and $376.1 million UPB of Transitional loans.
- Interest income totaled $605.6 million, up from $482.4 million in 2022.
- Lima One generated $43.4 million of origination, servicing and other fee income.
“In another historically volatile year, MFA stockholders earned a total return of 30.7% in 2023,” said Craig Knutson, MFA’s CEO and President. “In addition, MFA produced a total economic return of 2.7% while generating $1.59 per share of Distributable earnings. These results are a testament to our focused approach to risk management and to the success of our strategic initiatives.”
Commenting on the quarter, Mr. Knutson stated: “We are pleased to report strong earnings to conclude 2023. Although interest rates and credit spreads remained turbulent during the fourth quarter, we continued to add high-yielding assets to our balance sheet while keeping our funding costs relatively stable. Our total economic return was 7.8% and we once again generated Distributable earnings in excess of our dividend.”
Mr. Knutson continued: “We acquired or originated more than $850 million of residential mortgage loans during the quarter with an average coupon of 10%. This includes nearly $600 million in new business purpose loans originated by our wholly-owned subsidiary Lima One, which exceeded $2 billion in originations in 2023 for the second consecutive year. We also added to our Agency MBS position when spreads were historically wide in October.”
“Our net interest spread and net interest margin both remained healthy at 2.13% and 2.96%, respectively. While delinquencies in our Purchased Performing Loan portfolios rose modestly, they remain low and we believe are mitigated by proactive asset management. We completed two securitizations during the fourth quarter totaling over $450 million, bringing total issuance in 2023 to $1.8 billion, and we issued an additional securitization earlier this month. We also continued to benefit from our $3.3 billion interest rate swap position, which generated a net positive carry of $31 million during the quarter.”
“We repurchased $10 million of our convertible notes during the fourth quarter and another $40 million so far in 2024, reducing the outstanding balance to less than $170 million. Finally, last month we issued $115 million of five-year 8.875% senior unsecured notes due in February 2029.”
Q4 2023 Portfolio Activity
- Loan acquisitions were $860.4 million, including $572.9 million of funded originations of business purpose loans (including draws on Transitional loans) and $287.5 million of Non-QM loan acquisitions, bringing MFA’s residential whole loan balance to $9.0 billion.
- Lima One funded $417.0 million of new business purpose loans with a maximum loan amount of $594.0 million. Further, $155.9 million of draws were funded on previously originated Transitional loans. Lima One generated $10.8 million of origination, servicing, and other fee income.
- MFA added $22.3 million of Agency MBS during the quarter, bringing its total Securities portfolio to $746.1 million.
- Asset dispositions included $78.5 million of Non-QM loans and $18.2 million of MSR-related securities.
- MFA continued to reduce its REO portfolio, selling 71 properties in the fourth quarter for aggregate proceeds of $22.6 million and generating $2.2 million of gains.
- 60+ day delinquencies (measured as a percentage of UPB) for Purchased Performing Loans increased to 3.8% from 3.1% in the third quarter. Combined Purchased Credit Deteriorated and Purchased Non-Performing 60+ day delinquencies declined to 24.5% from 25.9% in the third quarter.
- MFA completed two loan securitizations during the quarter, collateralized by $520.1 million UPB of loans, including $294.6 million of Non-QM loans and $225.5 million of Transitional loans, bringing its securitized debt to approximately $4.8 billion.
- MFA maintained its position in interest rate swaps at a notional amount of approximately $3.3 billion. At December 31, 2023, these swaps had a weighted average fixed pay interest rate of 1.85% and a weighted average variable receive interest rate of 5.38%.
- MFA estimates the net effective duration of its investment portfolio at December 31, 2023 declined to 0.91 from 1.05 at September 30, 2023.
- MFA’s Debt/Net Equity Ratio was 4.5x and recourse leverage was 1.7x at December 31, 2023.
Webcast
MFA Financial, Inc. plans to host a live audio webcast of its investor conference call on Thursday, February 22, 2024, at 11:00 a.m. (Eastern Time) to discuss its fourth quarter 2023 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 December 31, 2023, and the fourth quarter 2023 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, 2023 |
|
Purchased Performing Loans (1) |
|
Purchased Credit Deteriorated Loans (2) |
|
Purchased Non-Performing Loans |
|
Securities, at fair value |
|
Real Estate Owned |
|
Other, |
|
Total |
||||||||||||||
|
(Dollars in Millions) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
Fair Value/Carrying Value |
|
$ |
7,918 |
|
|
$ |
418 |
|
|
$ |
705 |
|
|
$ |
746 |
|
|
$ |
110 |
|
|
$ |
644 |
|
|
$ |
10,541 |
|
|
Receivable/(Payable) for Unsettled Transactions |
|
|
(104 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(104 |
) |
|
Financing Agreements with Non-mark-to-market Collateral Provisions |
|
|
(1,217 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,217 |
) |
|
Financing Agreements with Mark-to-market Collateral Provisions |
|
|
(1,348 |
) |
|
|
(144 |
) |
|
|
(220 |
) |
|
|
(623 |
) |
|
|
(25 |
) |
|
|
— |
|
|
|
(2,360 |
) |
|
Securitized Debt |
|
|
(4,234 |
) |
|
|
(234 |
) |
|
|
(272 |
) |
|
|
— |
|
|
|
(11 |
) |
|
|
— |
|
|
|
(4,751 |
) |
|
Convertible Senior Notes |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(209 |
) |
|
|
(209 |
) |
|
Net Equity Allocated |
|
$ |
1,015 |
|
|
$ |
40 |
|
|
$ |
213 |
|
|
$ |
123 |
|
|
$ |
74 |
|
|
$ |
435 |
|
|
$ |
1,900 |
|
|
Debt/Net Equity Ratio (4) |
|
6.7 x |
|
9.5 x |
|
2.3 x |
|
5.1 x |
|
0.5 x |
|
|
|
4.5 x |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
For the Quarter Ended December 31, 2023 |
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
Yield on Average Interest Earning Assets (5) |
|
|
6.22 |
% |
|
|
6.49 |
% |
|
|
9.65 |
% |
|
|
7.20 |
% |
|
|
N/A |
|
|
|
|
|
6.46 |
% |
||
|
Less Average Cost of Funds (6) |
|
|
(4.43 |
) |
|
|
(2.68 |
) |
|
|
(3.63 |
) |
|
|
(3.75 |
) |
|
|
(6.03 |
) |
|
|
|
|
(4.33 |
) |
||
|
Net Interest Rate Spread |
|
|
1.79 |
% |
|
|
3.81 |
% |
|
|
6.02 |
% |
|
|
3.45 |
% |
|
|
(6.03 |
)% |
|
|
|
|
2.13 |
% |
||
|
(1) |
Includes $3.7 billion of Non-QM loans, $2.4 billion of Transitional loans, $1.6 billion of Single-family rental loans, $68.9 million of Seasoned performing loans, and $55.8 million of Agency eligible investor loans. At December 31, 2023, the total fair value of these loans is estimated to be $7.9 billion. |
|
(2) |
At December 31, 2023, the total fair value of these loans is estimated to be $438.7 million. |
|
(3) |
Includes $318.0 million of cash and cash equivalents, $170.2 million of restricted cash, and $19.8 million of capital contributions made to loan origination partners, as well as other assets and other liabilities. |
|
(4) |
Total Debt/Net Equity ratio represents the sum of borrowings under our financing agreements as a multiple of net equity allocated. |
|
(5) |
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, 2023, the amortized cost of our Securities, at fair value, was $722.3 million. In addition, the yield for residential whole loans was 6.46%, 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. |
|
(6) |
Average cost of funds includes interest on financing agreements, Convertible 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 December 31, 2023, this decreased the overall funding cost by 140 basis points for our overall portfolio, 140 basis points for our Residential whole loans, 142 basis points for our Purchased Performing Loans, 143 basis points for our Purchased Credit Deteriorated Loans, 102 basis points for our Purchased Non-Performing Loans and 206 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 December 31, 2023:
|
Table 2 – Investment Portfolio Activity Q4 2023 |
|||||||||||||||||||
|
(In Millions) |
|
September 30, 2023 |
|
Runoff (1) |
|
Acquisitions (2) |
|
Other (3) |
|
December 31, 2023 |
|
Change |
|||||||
|
Residential whole loans and REO |
|
$ |
8,537 |
|
$ |
(400) |
|
$ |
860 |
|
$ |
154 |
|
$ |
9,151 |
|
$ |
614 |
|
|
Securities, at fair value |
|
|
724 |
|
|
(8) |
|
|
22 |
|
|
8 |
|
|
746 |
|
|
22 |
|
|
Totals |
|
$ |
9,261 |
|
$ |
(408) |
|
$ |
882 |
|
$ |
162 |
|
$ |
9,897 |
|
$ |
636 |
|
|
(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 |
||||||||||||||||||||||
|
|
|
Held at Carrying Value |
|
Held at Fair Value |
|
Total |
||||||||||||||||
|
(Dollars in Thousands) |
|
December 31, 2023 |
|
December 31, 2022 |
|
December 31, 2023 |
|
December 31, 2022 |
|
December 31, 2023 |
|
December 31, 2022 |
||||||||||
|
Purchased Performing Loans: |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Non-QM loans |
|
$ |
843,884 |
|
|
$ |
987,282 |
|
|
$ |
2,961,693 |
|
$ |
2,372,548 |
|
$ |
3,805,577 |
|
|
$ |
3,359,830 |
|
|
Transitional loans (1) |
|
|
35,467 |
|
|
|
75,188 |
|
|
|
2,326,029 |
|
|
1,342,032 |
|
|
2,361,496 |
|
|
|
1,417,220 |
|
|
Single-family rental loans |
|
|
172,213 |
|
|
|
210,833 |
|
|
|
1,462,583 |
|
|
1,165,741 |
|
|
1,634,796 |
|
|
|
1,376,574 |
|
|
Seasoned performing loans |
|
|
68,945 |
|
|
|
82,932 |
|
|
|
— |
|
|
— |
|
|
68,945 |
|
|
|
82,932 |
|
|
Agency eligible investor loans |
|
|
— |
|
|
|
— |
|
|
|
55,779 |
|
|
51,094 |
|
|
55,779 |
|
|
|
51,094 |
|
|
Total Purchased Performing Loans |
|
$ |
1,120,509 |
|
|
$ |
1,356,235 |
|
|
$ |
6,806,084 |
|
$ |
4,931,415 |
|
$ |
7,926,593 |
|
|
$ |
6,287,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Purchased Credit Deteriorated Loans |
|
$ |
429,726 |
|
|
$ |
470,294 |
|
|
$ |
— |
|
$ |
— |
|
$ |
429,726 |
|
|
$ |
470,294 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Allowance for Credit Losses |
|
$ |
(20,451 |
) |
|
$ |
(35,314 |
) |
|
$ |
— |
|
$ |
— |
|
$ |
(20,451 |
) |
|
$ |
(35,314 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Purchased Non-Performing Loans |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
705,424 |
|
$ |
796,109 |
|
$ |
705,424 |
|
|
$ |
796,109 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Total Residential Whole Loans |
|
$ |
1,529,784 |
|
|
$ |
1,791,215 |
|
|
$ |
7,511,508 |
|
$ |
5,727,524 |
|
$ |
9,041,292 |
|
|
$ |
7,518,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Number of loans |
|
|
6,326 |
|
|
|
7,126 |
|
|
|
19,075 |
|
|
16,717 |
|
|
25,401 |
|
|
|
23,843 |
|
|
(1) |
As of December 31, 2023 includes $1.2 billion of loans collateralized by one-to-four family residential properties, including $471.1 million of loans collateralized by new construction projects at origination, and $1.2 billion of loans collateralized by multi-family properties. As of December 31, 2022 includes $784.9 million of loans collateralized by one-to-four family residential properties and $632.3 million of loans collateralized by multi-family properties. |
|
Table 4 – Yields and average balances |
|||||||||||||||||||||||||||
|
|
|
For the Three-Month Period Ended |
|||||||||||||||||||||||||
|
(Dollars in Thousands) |
|
December 31, 2023 |
|
September 30, 2023 |
|
December 31, 2022 |
|||||||||||||||||||||
|
|
|
Interest |
|
Average Balance |
|
Average Yield |
|
Interest |
|
Average Balance |
|
Average Yield |
|
Interest |
|
Average Balance |
|
Average Yield |
|||||||||
|
Purchased Performing Loans: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Non-QM loans |
|
$ |
51,997 |
|
$ |
4,111,425 |
|
5.06 |
% |
|
$ |
51,724 |
|
$ |
4,053,924 |
|
5.10 |
% |
|
$ |
41,621 |
|
$ |
3,767,900 |
|
4.42 |
% |
|
Transitional loans |
|
|
48,358 |
|
|
2,249,974 |
|
8.60 |
% |
|
|
40,223 |
|
|
1,927,533 |
|
8.35 |
% |
|
|
26,134 |
|
|
1,335,471 |
|
7.83 |
% |
|
Single-family rental loans |
|
|
25,598 |
|
|
1,702,940 |
|
6.01 |
% |
|
|
24,087 |
|
|
1,639,626 |
|
5.88 |
% |
|
|
20,237 |
|
|
1,483,529 |
|
5.46 |
% |
|
Seasoned performing loans |
|
|
1,191 |
|
|
71,207 |
|
6.69 |
% |
|
|
1,095 |
|
|
74,345 |
|
5.89 |
% |
|
|
1,283 |
|
|
84,876 |
|
6.05 |
% |
|
Agency eligible investor loans |
|
|
512 |
|
|
69,436 |
|
2.95 |
% |
|
|
486 |
|
|
71,306 |
|
2.73 |
% |
|
|
7,631 |
|
|
1,021,007 |
|
2.99 |
% |
|
Total Purchased Performing Loans |
|
|
127,656 |
|
|
8,204,982 |
|
6.22 |
% |
|
|
117,615 |
|
|
7,766,734 |
|
6.06 |
% |
|
|
96,906 |
|
|
7,692,783 |
|
5.04 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Purchased Credit Deteriorated Loans |
|
|
7,051 |
|
|
434,650 |
|
6.49 |
% |
|
|
7,371 |
|
|
444,568 |
|
6.63 |
% |
|
|
7,830 |
|
|
474,971 |
|
6.59 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Purchased Non-Performing Loans |
|
|
15,080 |
|
|
624,910 |
|
9.65 |
% |
|
|
15,552 |
|
|
648,959 |
|
9.59 |
% |
|
|
20,252 |
|
|
726,303 |
|
11.15 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Total Residential Whole Loans |
|
$ |
149,787 |
|
$ |
9,264,542 |
|
6.47 |
% |
|
$ |
140,538 |
|
$ |
8,860,261 |
|
6.34 |
% |
|
$ |
124,988 |
|
$ |
8,894,057 |
|
5.62 |
% |
|
Table 5 – Net Interest Spread |
||||||
|
|
|
For the Three-Month Period Ended |
||||
|
|
|
December 31, 2023 |
|
September 30, 2023 |
|
December 31, 2022 |
|
Purchased Performing Loans |
|
|
|
|
|
|
|
Net Yield (1) |
|
6.22 % |
|
6.06 % |
|
5.04 % |
|
Cost of Funding (2) |
|
4.43 % |
|
4.23 % |
|
3.70 % |
|
Net Interest Spread |
|
1.79 % |
|
1.83 % |
|
1.34 % |
|
|
|
|
|
|
|
|
|
Purchased Credit Deteriorated Loans |
|
|
|
|
|
|
|
Net Yield (1) |
|
6.49 % |
|
6.63 % |
|
6.59 % |
|
Cost of Funding (2) |
|
2.68 % |
|
2.43 % |
|
2.13 % |
|
Net Interest Spread |
|
3.81 % |
|
4.20 % |
|
4.46 % |
|
|
|
|
|
|
|
|
|
Purchased Non-Performing Loans |
|
|
|
|
|
|
|
Net Yield (1) |
|
9.65 % |
|
9.59 % |
|
11.15 % |
|
Cost of Funding (2) |
|
3.63 % |
|
3.65 % |
|
3.01 % |
|
Net Interest Spread |
|
6.02 % |
|
5.94 % |
|
8.14 % |
|
|
|
|
|
|
|
|
|
Total Residential Whole Loans |
|
|
|
|
|
|
|
Net Yield (1) |
|
6.47 % |
|
6.34 % |
|
5.62 % |
|
Cost of Funding (2) |
|
4.29 % |
|
4.10 % |
|
3.56 % |
|
Net Interest Spread |
|
2.18 % |
|
2.24 % |
|
2.06 % |
|
(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 December 31, 2023, this decreased the overall funding cost by 140 basis points for our Residential whole loans, 142 basis points for our Purchased Performing Loans, 143 basis points for our Purchased Credit Deteriorated Loans, and 102 basis points for our Purchased Non-Performing Loans. For the quarter ended September 30, 2023, this decreased the overall funding cost by 143 basis points for our Residential whole loans, 146 basis points for our Purchased Performing Loans, 161 basis points for our Purchased Credit Deteriorated Loans, and 89 basis points for our Purchased Non-Performing Loans. For the quarter ended December 31, 2022, this decreased the overall funding cost by 89 basis points for our Residential whole loans, 87 basis points for our Purchased Performing Loans, 141 basis points for our Purchased Credit Deteriorated Loans, and 76 basis points for our Purchased Non-Performing Loans. |
Table 6 – Credit related metrics/Residential Whole Loans
December 31, 2023
|
|
|
Fair Value / Carrying Value |
|
Unpaid Principal Balance (“UPB”) |
|
Weighted Average Coupon (2) |
|
Weighted Average Term to Maturity (Months) |
|
Weighted Average LTV Ratio (3) |
|
Weighted Average Original FICO (4) |
|
Aging by UPB |
|
60+ |
|
60+ LTV (3) |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
Past Due Days |
|
|
||||||||||||||||||||||
|
(Dollars In Thousands) |
|
|
|
|
|
|
|
Current |
|
|
30-59 |
|
|
60-89 |
|
90+ |
|
|
||||||||||||||||
|
Purchased Performing Loans: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Non-QM loans (5) |
|
$ |
3,700,052 |
|
$ |
3,934,798 |
|
5.78 |
% |
|
344 |
|
65 |
% |
|
735 |
|
$ |
3,732,327 |
|
$ |
98,017 |
|
$ |
29,587 |
|
$ |
74,867 |
|
2.7 |
% |
|
63.9 |
% |
|
Transitional loans (1) |
|
|
2,358,909 |
|
|
2,368,121 |
|
9.22 |
|
|
10 |
|
64 |
|
|
747 |
|
|
2,187,161 |
|
|
61,024 |
|
|
26,618 |
|
|
93,318 |
|
5.1 |
|
|
65.1 |
|
|
Single-family rental loans |
|
|
1,630,442 |
|
|
1,729,923 |
|
6.30 |
|
|
320 |
|
70 |
|
|
738 |
|
|
1,636,810 |
|
|
12,543 |
|
|
12,314 |
|
|
68,256 |
|
4.7 |
|
|
109.1 |
|
|
Seasoned performing loans |
|
|
68,924 |
|
|
75,715 |
|
4.58 |
|
|
143 |
|
28 |
|
|
725 |
|
|
72,126 |
|
|
1,045 |
|
|
235 |
|
|
2,309 |
|
3.4 |
|
|
33.6 |
|
|
Agency eligible investor loans |
|
|
55,779 |
|
|
66,830 |
|
3.44 |
|
|
332 |
|
66 |
|
|
758 |
|
|
65,094 |
|
|
1,508 |
|
|
— |
|
|
228 |
|
0.3 |
|
|
73.4 |
|
|
Total Purchased Performing Loans |
|
$ |
7,814,106 |
|
$ |
8,175,387 |
|
6.86 |
% |
|
240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
3.8 |
% |
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Purchased Credit Deteriorated Loans |
|
$ |
418,109 |
|
$ |
506,828 |
|
4.83 |
% |
|
267 |
|
59 |
% |
|
N/A |
|
$ |
379,970 |
|
$ |
44,731 |
|
$ |
12,814 |
|
$ |
69,313 |
|
16.2 |
% |
|
64.3 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Purchased Non-Performing Loans |
|
$ |
705,424 |
|
$ |
772,737 |
|
5.21 |
% |
|
270 |
|
62 |
% |
|
N/A |
|
$ |
444,491 |
|
$ |
96,464 |
|
$ |
31,560 |
|
$ |
200,222 |
|
30.0 |
% |
|
70.7 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Residential whole loans, total or weighted average |
|
$ |
8,937,639 |
|
$ |
9,454,952 |
|
6.04 |
% |
|
234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
6.6 |
% |
|
|
||||||
|
(1) |
As of December 31, 2023 Transitional loans includes $1.2 billion of loans collateralized by multi-family properties with a weighted average term to maturity of 14 months and a weighted average LTV ratio of 63%. As of December 31, 2022, Transitional loans includes $632.3 million of loans collateralized by multi-family properties with a weighted average term to maturity of 18 months and a weighted average LTV ratio of 64%. |
|
(2) |
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. |
|
(3) |
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 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. For certain Transitional loans, totaling $551.3 million at December 31, 2023, 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% at December 31, 2023. 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. |
|
(4) |
Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. |
|
(5) |
Excluded from the table above are approximately $103.7 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2023. |
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 December 31, 2023. Changes in portfolio value are measured as the percentage change when comparing the projected portfolio value to the base interest rate scenario at December 31, 2023.
|
Change in Interest Rates |
|
Percentage Change in Portfolio Value |
|
Percentage Change in Total Stockholders’ Equity |
|
|
|
|
|
|
|
+100 Basis Point Increase |
|
(1.17) % |
|
(6.53) % |
|
+ 50 Basis Point Increase |
|
(0.52) % |
|
(2.92) % |
|
Actual at December 31, 2023 |
|
— % |
|
— % |
|
– 50 Basis Point Decrease |
|
0.40 % |
|
2.23 % |
|
-100 Basis Point Decrease |
|
0.68 % |
|
3.76 % |
|
MFA FINANCIAL, INC. CONSOLIDATED BALANCE SHEETS |
||||||||
|
(In Thousands, Except Per Share Amounts) |
|
December 31, |
|
December 31, |
||||
|
|
|
(unaudited) |
|
|
||||
|
Assets: |
|
|
|
|
||||
|
Residential whole loans, net ($7,511,508 and $5,727,524 held at fair value, respectively) (1) |
|
$ |
9,041,292 |
|
|
$ |
7,518,739 |
|
|
Securities, at fair value |
|
|
746,090 |
|
|
|
333,364 |
|
|
Cash and cash equivalents |
|
|
318,000 |
|
|
|
334,183 |
|
|
Restricted cash |
|
|
170,211 |
|
|
|
159,898 |
|
|
Other assets |
|
|
497,097 |
|
|
|
766,221 |
|
|
Total Assets |
|
$ |
10,772,690 |
|
|
$ |
9,112,405 |
|
|
|
|
|
|
|
||||
|
Liabilities: |
|
|
|
|
||||
|
Financing agreements ($4,633,660 and $3,898,744 held at fair value, respectively) |
|
$ |
8,536,745 |
|
|
$ |
6,812,086 |
|
|
Other liabilities |
|
|
336,030 |
|
|
|
311,470 |
|
|
Total Liabilities |
|
$ |
8,872,775 |
|
|
$ |
7,123,556 |
|
|
|
|
|
|
|
||||
|
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; 101,916 and 101,802 shares issued and outstanding, respectively |
|
|
1,019 |
|
|
|
1,018 |
|
|
Additional paid-in capital, in excess of par |
|
|
3,698,767 |
|
|
|
3,684,291 |
|
|
Accumulated deficit |
|
|
(1,817,759 |
) |
|
|
(1,717,991 |
) |
|
Accumulated other comprehensive income |
|
|
17,698 |
|
|
|
21,341 |
|
|
Total Stockholders’ Equity |
|
$ |
1,899,915 |
|
|
$ |
1,988,849 |
|
|
Total Liabilities and Stockholders’ Equity |
|
$ |
10,772,690 |
|
|
$ |
9,112,405 |
|
Contacts
INVESTORS:
[email protected]
212-207-6488
www.mfafinancial.com
MEDIA:
H/Advisors Abernathy
Tom Johnson
212-371-5999
