8-K
Mfa Financial, Inc. (MFA)
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):
February 19, 2025
MFA
FINANCIAL, INC.
(Exact name of registrant as specified in its charter)
| Maryland | 1-13991 | 13-3974868 |
|---|---|---|
| (State or<br> other jurisdiction<br><br> of incorporation <br><br>or organization) | (Commission<br> File Number) | (IRS Employer<br><br> Identification No.) |
| One<br> Vanderbilt Avenue, 48th Floor | ||
| --- | --- | |
| New<br> York, New<br> 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<br> 425 under the Securities Act (17 CFR 230.425) |
|---|---|
| ¨ | Soliciting material pursuant to Rule 14a-12<br> under the Exchange Act (17 CFR 240.14a-12) |
| ¨ | Pre-commencement communications pursuant<br> to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |
| ¨ | Pre-commencement communications pursuant<br> 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<br> Stock, par value $0.01 per share | MFA | New<br> York Stock Exchange |
| 7.50%<br> Series B Cumulative Redeemable Preferred Stock, par value $0.01 per share | MFA/PB | New<br> York Stock Exchange |
| 6.50%<br> Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share | MFA/PC | New<br> York Stock Exchange |
| 8.875%<br> Senior Notes due 2029 | MFAN | New<br> York Stock Exchange |
| 9.000%<br> Senior Notes due 2029 | MFAO | New<br> 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 February 19, 2025, announcing its financial results for the quarter and year ended December 31, 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 fourth 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
| 99.1 | Press Release, dated February 19, 2025, announcing MFA’s financial results for the quarter and year ended December 31,<br>2024. |
|---|---|
| 99.2 | Additional information relating to the financial results of MFA for the quarter ended December 31, 2024. |
| 104 | Cover<br>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<br>Vice President and General Counsel |
Date: February 19, 2025
EXHIBIT INDEX
| Exhibit No. | Description |
|---|---|
| 99.1 | Press Release, dated February 19, 2025, announcing MFA Financial Inc.'s financial results for the quarter and year ended December 31, 2024. |
| 99.2 | Additional information relating to the financial results of MFA Financial, Inc. for the quarter ended December 31, 2024. |
| 104 | Cover<br>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 | |
| --- | --- | --- |
| February 19, 2025 | 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 Fourth Quarterand Full Year 2024 Financial Results
NEW YORK - MFA Financial, Inc. (NYSE:MFA) today provided its financial results for the fourth quarter and full year ended December 31, 2024:
Fourth Quarter 2024 Financial Results:
| ● | MFA generated GAAP net income to common stockholders and participating securities for the fourth quarter<br>of $(2.3) million, or $(0.02) per basic and diluted common share. |
|---|---|
| ● | Distributable earnings, a non-GAAP financial measure, were $40.8 million, or $0.39 per basic common share.<br>MFA paid a regular cash dividend of $0.35 per common share on January 31, 2025. |
| --- | --- |
| ● | GAAP book value at December 31, 2024 was $13.39 per common share. Economic book value, a non-GAAP<br>financial measure, was $13.93 per common share. |
| --- | --- |
| ● | Total economic return was (1.2)% for the fourth quarter. |
| --- | --- |
| ● | MFA closed the quarter with unrestricted cash of $338.9 million. |
| --- | --- |
Full Year 2024 Highlights:
| ● | GAAP net income to common stockholders and participating securities was $86.4 million, or $0.83 per basic<br>common share and $0.82 per diluted common share, up from $47.3 million, or $0.46 per basic and diluted common share, in 2023. |
|---|---|
| ● | Distributable earnings were $1.57 per basic common share in 2024, down from $1.62 per share in 2023. |
| --- | --- |
1
| ● | MFA paid quarterly dividends of $0.35 per common share throughout 2024, totaling $1.40 per common share. |
|---|---|
| ● | Total economic return was 5.2% for 2024. |
| --- | --- |
| ● | Asset yield averaged 6.64% in 2024, up from 6.16% in 2023. |
| --- | --- |
| ● | Interest income rose to $724.0 million from $605.6 million in 2023. |
| --- | --- |
| ● | Loan acquisition activity of $2.6 billion during 2024 included $1.2 billion of Non-QM loans,<br>$991.5 million of Single-family transitional loans (including draws), $331.7 million of Single-family rental (SFR) loans and $145.0 million<br>of Multifamily transitional loans (including draws). |
| --- | --- |
| ● | MFA added $932.2 million of Agency MBS throughout 2024. |
| --- | --- |
| ● | MFA completed eight securitizations in 2024 collateralized by $2.4 billion unpaid principal balance (UPB)<br>of loans, including $1.1 billion UPB of Non-QM loans, $699.2 million UPB of Legacy RPL/NPL loans, and $599.0 million UPB of Transitional<br>loans. |
| --- | --- |
| ● | Lima One mortgage banking income totaled $32.9 million. |
| --- | --- |
“Our total economic return was (1.2)% in the fourth quarter to cap another volatile year for fixed-income investors,” stated Craig Knutson, MFA’s Chief Executive Officer. “Although sharply higher Treasury yields negatively impacted our book value during the quarter, we took advantage of market conditions to acquire $1.2 billion of loans and securities at attractive levels. This included $470 million of Non-QM residential loans at an average coupon of 7.8% and average LTV of 67%. Lima One originated $236 million of new business purpose loans. In addition, we purchased $463 million of Agency MBS at spreads that remain historically wide, bringing that portfolio to $1.4 billion at year-end.”
Reflecting on the year, Mr. Knutson added: “Although our total economic return was a relatively modest 5.2%, 2024 was an important year as we positioned the company for the future. We announced key leadership changes at both MFA and Lima One, issued $190 million of senior unsecured notes to replace our maturing convertible notes, completed eight loan securitizations, significantly expanded our Agency MBS position and initiated programmatic sales of newly-originated SFR loans to third-party investors. We made over $3.5 billion of investments throughout the year at compelling yields without meaningfully increasing our exposure to recourse or mark-to-market borrowing. We believe the normalization of the yield curve should benefit us and other mortgage investors in 2025 and beyond.”
2
Q4 2024 Portfolio Activity
| ● | Non-QM loan acquisitions totaled $470.1 million, growing MFA’s Non-QM portfolio to $4.4 billion<br>at December 31, 2024. |
|---|---|
| ● | Lima One funded $151.1 million of new business purpose loans with a maximum loan amount of $235.9 million.<br>Further, $108.1 million of draws were funded on previously originated Transitional loans. Lima One generated $8.5 million of mortgage<br>banking income. |
| --- | --- |
| ● | MFA added $462.9 million of Agency MBS during the quarter, bringing its Agency MBS portfolio to $1.4 billion. |
| --- | --- |
| ● | Asset dispositions included $141.2 million of seasoned Non-QM loans and $110.9 million of newly originated<br>SFR loans. MFA also sold 63 REO properties in the fourth quarter for aggregate proceeds of $17.1 million. |
| --- | --- |
| ● | 60+ day delinquencies (measured as a percentage of UPB) for MFA’s residential loan portfolio increased<br>to 7.5% from 6.7% in the third quarter. |
| --- | --- |
| ● | MFA completed three loan securitizations during the quarter, collateralized by over $1.0 billion UPB of<br>Non-QM, Transitional and Legacy RPL/NPL loans, bringing its total securitized debt to approximately $5.8 billion. |
| --- | --- |
| ● | MFA added $277.5 million of interest rate swaps and $450.0 million of swaps matured, bringing its swap<br>position to a notional amount of $3.3 billion. At December 31, 2024, these swaps had a weighted average fixed pay interest rate of<br>2.20% and a weighted average variable receive interest rate of 4.49%. |
| --- | --- |
| ● | MFA estimates the net effective duration of its investment portfolio at December 31, 2024 declined<br>to 1.02 from 1.16 at September 30, 2024. |
| --- | --- |
| ● | MFA’s Debt/Net Equity Ratio was 5.0x while recourse leverage was 1.7x at December 31, 2024. |
| --- | --- |
3
Webcast
MFA Financial, Inc. plans to host a live audio webcast of its investor conference call on Wednesday, February 19, 2025, at 11:00 a.m. (Eastern Time) to discuss its fourth quarter 2024 financial results. The live audio webcast will be accessible to the general public over the internet at http://www.mfafinancial.com. 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 $4.8 billion in dividends to stockholders since its initial public offering in 1998. MFA is an internally-managed, publicly-traded real estate investment trust.
4
The following table presents MFA’s asset allocation as of December 31, 2024, and the fourth 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 December 31, 2024 | Business purpose loans (1) | Non-QM<br><br> loans | Legacy RPL/<br><br>NPL loans | Securities, at<br><br> fair value | Other, net (2) | Total | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (Dollars in Millions) | ||||||||||||||||||
| Asset Amount | $ | 3,394 | $ | 4,289 | $ | 1,076 | $ | 1,538 | $ | 764 | $ | 11,061 | ||||||
| Receivable/(Payable) for Unsettled Transactions | — | — | — | (63 | ) | — | (63 | ) | ||||||||||
| Financing Agreements with Non-mark-to-market Collateral Provisions | (577 | ) | — | — | — | — | (577 | ) | ||||||||||
| Financing Agreements with Mark-to-market Collateral Provisions | (616 | ) | (591 | ) | (45 | ) | (1,279 | ) | (69 | ) | (2,600 | ) | ||||||
| Securitized Debt | (1,651 | ) | (3,227 | ) | (916 | ) | — | (1 | ) | (5,795 | ) | |||||||
| Senior Notes | — | — | — | — | (184 | ) | (184 | ) | ||||||||||
| Net Equity Allocated | $ | 550 | $ | 471 | $ | 115 | $ | 196 | $ | 510 | $ | 1,842 | ||||||
| Debt/Net Equity Ratio (3) | 5.2 | x | 8.1 | x | 8.4 | x | 6.8 | x | 5.0 | x | ||||||||
| For the Quarter Ended December 31, 2024 | ||||||||||||||||||
| Yield on Average Interest Earning Assets (4) | 7.73 | % | 5.63 | % | 7.52 | % | 6.05 | % | 6.46 | % | ||||||||
| Less Average Cost of Funds (5) | (5.59 | ) | (3.76 | ) | (4.04 | ) | (3.34 | ) | (4.47 | ) | ||||||||
| Net Interest Rate Spread | 2.14 | % | 1.87 | % | 3.48 | % | 2.71 | % | 1.99 | % | ||||||||
| (1) | Includes $1.1 billion of Single-family transitional loans, $0.9 billion of Multifamily transitionalloans and $1.4 billion of Single-family rental loans. | |||||||||||||||||
| --- | --- | |||||||||||||||||
| (2) | Includes $338.9 million of cash and cash equivalents, $262.4 million of restricted cash, $52.1 millionof Other loans and $16.8 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 multipleof net equity allocated. | |||||||||||||||||
| --- | --- | |||||||||||||||||
| (4) | Yields reported on our interest earning assets are calculated based on the interest income recordedand the average amortized cost for the quarter of the respective asset. At December 31, 2024, the amortized cost of our Securities,at fair value, was $1.5 billion. In addition, the yield for residential whole loans was 6.64%, net of one basis point of servicing feeexpense incurred during the quarter. For GAAP reporting purposes, such expenses are included in Loan servicing and other related operatingexpenses in our statement of operations. | |||||||||||||||||
| --- | --- | |||||||||||||||||
| (5) | Average cost of funds includes interest on financing agreements, Convertible Senior Notes, 8.875% SeniorNotes, 9.00% Senior Notes, and securitized debt. Cost of funding also includes the impact of the net carry (the difference between swapinterest income received and swap interest expense paid) on our interest rate swap agreements (or Swaps). While we have not elected hedgeaccounting 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 costsshown in the table above. For the quarter ended December 31, 2024, this decreased the overall funding cost by 107 basis points forour overall portfolio, 101 basis points for our Residential whole loans, 80 basis points for our Business purpose loans, 136 basis pointsfor our Non-QM loans, 19 basis points for our Legacy RPL/NPL loans, and 168 basis points for our Securities, at fair value. | |||||||||||||||||
| --- | --- |
5
The following table presents the activity for our residential mortgage asset portfolio for the three months ended December 31, 2024:
Table 2 - Investment Portfolio Activity Q42024
| (In Millions) | September 30, 2024 | Runoff (1) | Acquisitions (2) | Other (3) | December 31, 2024 | Change | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Residential whole loans and REO | $ | 9,154 | $ | (590 | ) | $ | 729 | $ | (351 | ) | $ | 8,942 | $ | (212 | ) |
| Securities, at fair value | 1,140 | (38 | ) | 463 | (27 | ) | 1,538 | 398 | |||||||
| Totals | $ | 10,294 | $ | (628 | ) | $ | 1,192 | $ | (378 | ) | $ | 10,480 | $ | 186 | |
| (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) | December 31,<br> 2024 | December 31,<br><br> 2023 | December 31,<br> 2024 | December 31,<br><br> 2023 | December 31,<br> 2024 | December 31,<br><br> 2023 | ||||||||||
| Business purpose loans: | ||||||||||||||||
| Single-family transitional loans (1) | $ | 22,430 | $ | 35,467 | $ | 1,078,425 | $ | 1,157,732 | $ | 1,100,855 | $ | 1,193,199 | ||||
| Multifamily transitional loans | — | — | 938,926 | 1,168,297 | 938,926 | 1,168,297 | ||||||||||
| Single-family rental loans | 108,203 | 172,213 | 1,248,197 | 1,462,583 | 1,356,400 | 1,634,796 | ||||||||||
| Total Business purpose loans | $ | 130,633 | $ | 207,680 | $ | 3,265,548 | $ | 3,788,612 | $ | 3,396,181 | $ | 3,996,292 | ||||
| Non-QM loans | 722,392 | 843,884 | 3,568,694 | 2,961,693 | 4,291,086 | 3,805,577 | ||||||||||
| Legacy RPL/NPL loans | 457,654 | 498,671 | 624,895 | 705,424 | 1,082,549 | 1,204,095 | ||||||||||
| Other loans | — | — | 52,073 | 55,779 | 52,073 | 55,779 | ||||||||||
| Allowance for Credit Losses | (10,665 | ) | (20,451 | ) | — | — | (10,665 | ) | (20,451 | ) | ||||||
| Total Residential whole loans | $ | 1,300,014 | $ | 1,529,784 | $ | 7,511,210 | $ | 7,511,508 | $ | 8,811,224 | $ | 9,041,292 | ||||
| Number of loans | 5,582 | 6,326 | 18,588 | 19,075 | 24,170 | 25,401 | ||||||||||
| (1) | Includes $442.4 million and $471.1 million of loans collateralized by new construction projectsat origination as of December 31, 2024 and December 31, 2023, respectively. | |||||||||||||||
| --- | --- |
6
Table 4 - Yields and Average Balances/Residential Whole Loans
| For<br> the Three-Month Period Ended | |||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| December 31,<br> 2024 | September 30,<br> 2024 | December 31,<br> 2023 | |||||||||||||||||||
| (Dollars in Thousands) | Interest | Average<br><br><br> Balance | Average<br><br><br> Yield | Interest | Average<br><br><br> Balance | Average<br><br><br> Yield | Interest | Average<br><br><br> Balance | Average<br><br><br> Yield | ||||||||||||
| Business purpose<br> loans: | |||||||||||||||||||||
| Single-family<br> transitional loans | $ | 26,733 | $ | 1,125,631 | 9.50 | % | $ | 28,486 | $ | 1,196,227 | 9.53 | % | $ | 26,403 | $ | 1,160,115 | 9.10 | % | |||
| Multifamily transitional<br> loans | 20,474 | 1,040,093 | 7.87 | % | 23,479 | 1,145,051 | 8.20 | % | 21,956 | 1,089,858 | 8.06 | % | |||||||||
| Single-family<br> rental loans | 23,124 | 1,474,552 | 6.27 | % | 26,333 | 1,616,723 | 6.52 | % | 25,597 | 1,702,940 | 6.01 | % | |||||||||
| Total business purpose<br> loans | $ | 70,331 | $ | 3,640,276 | 7.73 | % | $ | 78,298 | $ | 3,958,001 | 7.91 | % | $ | 73,956 | $ | 3,952,913 | 7.48 | % | |||
| Non-QM loans | 62,885 | 4,464,657 | 5.63 | % | 58,467 | 4,279,297 | 5.47 | % | 51,997 | 4,111,426 | 5.06 | % | |||||||||
| Legacy RPL/NPL loans | 19,085 | 1,014,917 | 7.52 | % | 20,139 | 1,040,010 | 7.75 | % | 23,322 | 1,130,767 | 8.25 | % | |||||||||
| Other<br> loans | 467 | 66,186 | 2.82 | % | 502 | 67,070 | 2.99 | % | 512 | 69,436 | 2.95 | % | |||||||||
| Total<br> Residential whole loans | $ | 152,768 | $ | 9,186,036 | 6.65 | % | $ | 157,406 | $ | 9,344,378 | 6.74 | % | $ | 149,787 | $ | 9,264,542 | 6.47 | % |
Table 5 - Net Interest Spread/Residential Whole Loans
| For the Three-Month Period Ended | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| December 31, 2024 | September 30, 2024 | December 31, 2023 | |||||||
| Business purpose loans | |||||||||
| Net Yield (1) | 7.73 | % | 7.91 | % | 7.48 | % | |||
| Cost of Funding (2) | 5.59 | % | 5.65 | % | 5.55 | % | |||
| Net Interest Spread | 2.14 | % | 2.26 | % | 1.93 | % | |||
| Non-QM loans | |||||||||
| Net Yield (1) | 5.63 | % | 5.47 | % | 5.06 | % | |||
| Cost of Funding (2) | 3.76 | % | 3.47 | % | 3.34 | % | |||
| Net Interest Spread | 1.87 | % | 2.00 | % | 1.72 | % | |||
| Legacy RPL/NPL loans | |||||||||
| Net Yield (1) | 7.52 | % | 7.75 | % | 8.25 | % | |||
| Cost of Funding (2) | 4.04 | % | 4.08 | % | 3.28 | % | |||
| Net Interest Spread | 3.48 | % | 3.67 | % | 4.97 | % | |||
| Total Residential whole loans | |||||||||
| Net Yield (1) | 6.65 | % | 6.74 | % | 6.47 | % | |||
| Cost of Funding (2) | 4.50 | % | 4.45 | % | 4.29 | % | |||
| Net Interest Spread | 2.15 | % | 2.29 | % | 2.18 | % | |||
| (1) | Reflects annualized interest income on Residential whole loans divided by average amortized cost ofResidential whole loans. Excludes servicing costs. | ||||||||
| --- | --- | ||||||||
| (2) | Reflects annualized interest expense divided by average balance of agreements with mark-to-market collateralprovisions (repurchase agreements), agreements with non-mark-to-market collateral provisions, and securitized debt. Cost of funding shownin the table above includes the impact of the net carry (the difference between swap interest income received and swap interest expensepaid) on our Swaps. While we have not elected hedge accounting treatment for Swaps, and, accordingly, net carry is not presented in interestexpense in our consolidated statement of operations, we believe it is appropriate to allocate net carry to the cost of funding to reflectthe economic impact of our Swaps on the funding costs shown in the table above. For the quarter ended December 31, 2024, this decreasedthe overall funding cost by 101 basis points for our Residential whole loans, 80 basis points for our Business purpose loans, 136 basispoints for our Non-QM loans, and 19 basis points for our Legacy RPL/NPL loans. For the quarter ended September 30, 2024, this decreasedthe overall funding cost by 131 basis points for our Residential whole loans, 101 basis points for our Business purpose loans, 175 basispoints for our Non-QM loans, and 56 basis points for our Legacy RPL/NPL loans. For the quarter ended December 31, 2023, this decreasedthe overall funding cost by 140 basis points for our Residential whole loans, 105 basis points for our Business purpose loans, 177 basispoints for our Non-QM loans, and 112 basis points for our Legacy RPL/NPL loans. | ||||||||
| --- | --- |
7
Table 6 - Credit-related Metrics/ResidentialWhole Loans
December 31, 2024
| Unpaid Principal | Weighted Average | Weighted Average Term to | Weighted Average | Weighted 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<br> purpose loans: | ||||||||||||||||||||||||
| Single-family<br> transitional (4) | $ | 1,099,466 | $ | 1,099,700 | $ | 1,106,631 | 10.44 | % | 5 | 67 | % | 750 | $ | 957,266 | $ | 33,393 | $ | 15,964 | $ | 100,008 | 10.5 | % | 79 | % |
| Multifamily<br> transitional (4) | 938,926 | 938,926 | 976,964 | 9.17 | % | 6 | 64 | % | 751 | 870,525 | 20,815 | — | 85,624 | 8.8 | % | 79 | % | |||||||
| Single-family<br> rental | 1,356,034 | 1,355,965 | 1,416,705 | 6.36 | % | 321 | 68 | % | 739 | 1,346,312 | 15,661 | 5,445 | 49,287 | 3.9 | % | 99 | % | |||||||
| Total<br> Business purpose loans | $ | 3,394,426 | $ | 3,394,591 | $ | 3,500,300 | 8.43 | % | 67 | % | $ | 3,174,103 | $ | 69,869 | $ | 21,409 | $ | 234,919 | 7.3 | % | ||||
| Non-QM<br> loans | 4,288,961 | 4,258,298 | 4,408,660 | 6.50 | % | 339 | 64 | % | 735 | 4,114,436 | 124,765 | 50,619 | 118,840 | 3.8 | % | 66 | % | |||||||
| Legacy<br> RPL/NPL loans | 1,075,764 | 1,090,991 | 1,222,258 | 5.15 | % | 253 | 55 | % | 647 | 831,844 | 129,081 | 45,074 | 216,259 | 21.4 | % | 63 | % | |||||||
| Other loans | 52,073 | 52,073 | 63,614 | 3.44 | % | 320 | 65 | % | 758 | 62,998 | 616 | — | — | — | % | — | % | |||||||
| Residential<br> whole loans, total or weighted average | $ | 8,811,224 | $ | 8,795,953 | $ | 9,194,832 | 7.06 | % | 64 | % | $ | 8,183,381 | $ | 324,331 | $ | 117,102 | $ | 570,018 | 7.5 | % | ||||
| (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. | |||||||||||||||||||||||
| --- | --- | |||||||||||||||||||||||
| (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 December 31, 2024, for certain Single-family and Multifamily Transitional loans totaling $445.6 million and $252.1 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 our portfolio, including the impact of Swaps and securitized debt and other fixed rate debt, based on the assets in our investment portfolio at December 31, 2024. All changes in value are measured as the percentage change from the projected portfolio value under the base interest rate scenario at December 31, 2024.
| Change in Interest Rates | Percentage Change <br> in Net Portfolio Value | Percentage Change<br> in Total Stockholders’ Equity | ||||
|---|---|---|---|---|---|---|
| +100 Basis Point Increase | (1.28 | )% | (7.91 | )% | ||
| + 50 Basis Point Increase | (0.57 | )% | (3.54 | )% | ||
| Actual at December 31, 2024 | — | % | — | % | ||
| - 50 Basis Point Decrease | 0.44 | % | 2.72 | % | ||
| -100 Basis Point Decrease | 0.75 | % | 4.62 | % |
8
MFA FINANCIAL, INC.
CONSOLIDATED BALANCE SHEETS
| (In Thousands, Except Per Share Amounts) | December 31,<br> 2023 | ||||
|---|---|---|---|---|---|
| Assets: | |||||
| Residential whole loans, net (7,511,210 and 7,511,508 held at fair value, respectively) (1) | 8,811,224 | $ | 9,041,292 | ||
| Securities, at fair value | 1,537,513 | 746,090 | |||
| Cash and cash equivalents | 338,931 | 318,000 | |||
| Restricted cash | 262,381 | 170,211 | |||
| Other assets | 459,555 | 497,097 | |||
| Total Assets | 11,409,604 | $ | 10,772,690 | ||
| Liabilities: | |||||
| Financing agreements (5,516,005 and 4,633,660 held at fair value, respectively) | 9,155,461 | $ | 8,536,745 | ||
| Other liabilities | 412,351 | 336,030 | |||
| Total Liabilities | 9,567,812 | $ | 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 | 3,711,046 | 3,698,767 | |||
| Accumulated deficit | (1,879,941 | ) | (1,817,759 | ) | |
| Accumulated other comprehensive income | 9,476 | 17,698 | |||
| Total Stockholders’ Equity | 1,841,792 | $ | 1,899,915 | ||
| Total Liabilities and Stockholders’ Equity | 11,409,604 | $ | 10,772,690 |
All values are in US Dollars.
| (1) | Includes approximately $6.9 billion and $5.7 billion of Residential whole loans transferred to consolidatedvariable interest entities (“VIEs”) at December 31, 2024 and December 31, 2023, respectively. Such assets can beused only to settle the obligations of each respective VIE. |
|---|
9
MFA FINANCIAL, INC.
CONSOLIDATED STATEMENTS OF OPERATIONS
| Three Months Ended<br> <br>December 31, | Twelve Months Ended<br> <br>December 31, | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (In Thousands, Except Per Share Amounts) | 2024 | 2023 | 2024 | 2023 | ||||||||
| (Unaudited) | (Unaudited) | |||||||||||
| Interest Income: | ||||||||||||
| Residential whole loans | $ | 152,768 | $ | 149,787 | $ | 633,556 | $ | 537,883 | ||||
| Securities, at fair value | 19,746 | 13,175 | 61,110 | 42,376 | ||||||||
| Other interest-earning assets | 717 | 1,467 | 7,058 | 9,027 | ||||||||
| Cash and cash equivalent investments | 5,097 | 5,448 | 22,241 | 16,311 | ||||||||
| Interest Income | $ | 178,328 | $ | 169,877 | $ | 723,965 | $ | 605,597 | ||||
| Interest Expense: | ||||||||||||
| Asset-backed and other collateralized financing arrangements | $ | 122,996 | $ | 119,665 | $ | 500,026 | $ | 413,517 | ||||
| Other interest expense | 4,530 | 3,748 | 21,208 | 15,601 | ||||||||
| Interest Expense | $ | 127,526 | $ | 123,413 | $ | 521,234 | $ | 429,118 | ||||
| Net Interest Income | $ | 50,802 | $ | 46,464 | $ | 202,731 | $ | 176,479 | ||||
| Reversal/(Provision) for Credit Losses on Residential Whole Loans | $ | (398 | ) | $ | 7,876 | $ | 3,084 | $ | 8,853 | |||
| Reversal/(Provision) for Credit Losses on Other Assets | — | — | (1,135 | ) | — | |||||||
| Net Interest Income after Reversal/(Provision) for Credit Losses | $ | 50,404 | $ | 54,340 | $ | 204,680 | $ | 185,332 | ||||
| Other Income/(Loss), net: | ||||||||||||
| Net gain/(loss) on residential whole loans measured at fair value through earnings | $ | (102,339 | ) | $ | 224,273 | $ | 45,994 | $ | 89,850 | |||
| Impairment and other net gain/(loss) on securities and other portfolio investments | (26,179 | ) | 22,024 | (10,869 | ) | 6,225 | ||||||
| Net gain/(loss) on real estate owned | 24 | 888 | 3,136 | 9,392 | ||||||||
| Net gain/(loss) on derivatives used for risk management purposes | 69,293 | (70,342 | ) | 78,503 | 3,761 | |||||||
| Net gain/(loss) on securitized debt measured at fair value through earnings | 43,564 | (111,689 | ) | (64,813 | ) | (99,589 | ) | |||||
| Lima One mortgage banking income | 8,477 | 10,822 | 32,944 | 43,384 | ||||||||
| Net realized gain/(loss) on residential whole loans held at carrying value | — | (1,240 | ) | 418 | (1,240 | ) | ||||||
| Other, net | 52 | 1,407 | 115 | 11,331 | ||||||||
| Other Income/(Loss), net | $ | (7,108 | ) | $ | 76,143 | $ | 85,428 | $ | 63,114 | |||
| Operating and Other Expense: | ||||||||||||
| Compensation and benefits | $ | 18,021 | $ | 19,347 | $ | 87,654 | $ | 85,799 | ||||
| Other general and administrative expense | 9,993 | 12,595 | 44,254 | 43,869 | ||||||||
| Loan servicing, financing and other related costs | 11,044 | 8,010 | 35,306 | 34,136 | ||||||||
| Amortization of intangible assets | 800 | 800 | 3,200 | 4,200 | ||||||||
| Operating and Other Expense | $ | 39,858 | $ | 40,752 | $ | 170,414 | $ | 168,004 | ||||
| Income/(loss) before income taxes | $ | 3,438 | $ | 89,731 | $ | 119,694 | $ | 80,442 | ||||
| Provision for/(benefit from) income taxes | $ | (2,471 | ) | $ | (15 | ) | $ | 443 | $ | 278 | ||
| Net Income/(Loss) | $ | 5,909 | $ | 89,746 | $ | 119,251 | $ | 80,164 | ||||
| Less Preferred Stock Dividend Requirement | $ | 8,219 | $ | 8,219 | $ | 32,875 | $ | 32,875 | ||||
| Net Income/(Loss) Available to Common Stock and Participating Securities | $ | (2,310 | ) | $ | 81,527 | $ | 86,376 | $ | 47,289 | |||
| Basic Earnings/(Loss) per Common Share | $ | (0.02 | ) | $ | 0.80 | $ | 0.83 | $ | 0.46 | |||
| Diluted Earnings/(Loss) per Common Share | $ | (0.02 | ) | $ | 0.76 | $ | 0.82 | $ | 0.46 |
10
Segment Reporting
At December 31, 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-<br><br>Related Assets | Lima One | Corporate | Total | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Three months ended December 31, 2024 | ||||||||||||
| Interest Income | $ | 106,243 | $ | 69,087 | $ | 2,998 | $ | 178,328 | ||||
| Interest Expense | 76,095 | 46,901 | 4,530 | 127,526 | ||||||||
| Net Interest Income/(Expense) | $ | 30,148 | $ | 22,186 | $ | (1,532 | ) | $ | 50,802 | |||
| Reversal/(Provision) for Credit Losses on Residential Whole Loans | (398 | ) | — | — | (398 | ) | ||||||
| Reversal/(Provision) for Credit Losses on Other Assets | — | — | — | — | ||||||||
| Net Interest Income/(Expense) after Reversal/(Provision) for Credit Losses | $ | 29,750 | $ | 22,186 | $ | (1,532 | ) | $ | 50,404 | |||
| Net gain/(loss) on residential whole loans measured at fair value through earnings | $ | (82,305 | ) | $ | (20,034 | ) | $ | — | $ | (102,339 | ) | |
| Impairment and other net gain/(loss) on securities and other portfolio investments | (26,273 | ) | 94 | — | (26,179 | ) | ||||||
| Net gain on real estate owned | 797 | (773 | ) | — | 24 | |||||||
| Net gain/(loss) on derivatives used for risk management purposes | 53,607 | 15,686 | — | 69,293 | ||||||||
| Net gain/(loss) on securitized debt measured at fair value through earnings | 32,724 | 10,840 | — | 43,564 | ||||||||
| Lima One mortgage banking income | — | 8,477 | — | 8,477 | ||||||||
| Net realized gain/(loss) on residential whole loans held at carrying value | — | — | — | — | ||||||||
| Other, net | 289 | (661 | ) | 424 | 52 | |||||||
| Other Income/(Loss), net | $ | (21,161 | ) | $ | 13,629 | $ | 424 | $ | (7,108 | ) | ||
| Compensation and benefits | $ | — | $ | 9,238 | $ | 8,783 | $ | 18,021 | ||||
| Other general and administrative expense | — | 4,334 | 5,659 | 9,993 | ||||||||
| Loan servicing, financing and other related costs | 4,510 | 1,128 | 5,406 | 11,044 | ||||||||
| Amortization of intangible assets | — | 800 | — | 800 | ||||||||
| Income/(loss) before income taxes | $ | 4,079 | $ | 20,315 | $ | (20,956 | ) | $ | 3,438 | |||
| Provision for/(benefit from) income taxes | $ | — | $ | — | $ | (2,471 | ) | $ | (2,471 | ) | ||
| Net Income/(Loss) | $ | 4,079 | $ | 20,315 | $ | (18,485 | ) | $ | 5,909 | |||
| Less Preferred Stock Dividend Requirement | $ | — | $ | — | $ | 8,219 | $ | 8,219 | ||||
| Net Income/(Loss) Available to Common Stock and Participating Securities | $ | 4,079 | $ | 20,315 | $ | (26,704 | ) | $ | (2,310 | ) |
11
| (Dollars in Thousands) | Mortgage-<br> Related Assets | Lima One | Corporate | Total | ||||
|---|---|---|---|---|---|---|---|---|
| December 31, 2024 | ||||||||
| Total Assets | $ | 7,395,925 | $ | 3,632,472 | $ | 381,207 | $ | 11,409,604 |
| 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. Realized gains and losses arising from loans sold to third-parties by Lima One shortly after the origination of such loans are included in Distributable earnings. 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. During the third quarter of 2024, the Company changed the determination of Distributable earnings to exclude depreciation, for consistency with the reporting of similar non-cash expenses; this change has been reflected in all periods presented. 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.
12
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) | December 31, 2024 | September 30, 2024 | June 30, 2024 | March 31, 2024 | December 31, 2023 | ||||||||||
| GAAP Net income/(loss) used in the calculation of basic EPS | $ | (2,396 | ) | $ | 39,870 | $ | 33,614 | $ | 14,827 | $ | 81,527 | ||||
| Adjustments: | |||||||||||||||
| Unrealized and realized gains and losses on: | |||||||||||||||
| Residential whole loans held at fair value | 102,339 | (143,416 | ) | (16,430 | ) | 11,513 | (224,272 | ) | |||||||
| Securities held at fair value | 26,273 | (17,107 | ) | 4,026 | 4,776 | (21,371 | ) | ||||||||
| Residential whole loans and securities at carrying value | — | (7,324 | ) | (2,668 | ) | (418 | ) | 332 | |||||||
| Interest rate swaps | (46,632 | ) | 84,629 | 10,237 | (23,182 | ) | 97,400 | ||||||||
| Securitized debt held at fair value | (47,267 | ) | 71,475 | 7,597 | 20,169 | 108,693 | |||||||||
| Other portfolio investments | (94 | ) | 1,503 | 1,484 | — | 254 | |||||||||
| Expense items: | |||||||||||||||
| Amortization of intangible assets | 800 | 800 | 800 | 800 | 800 | ||||||||||
| Equity based compensation | 1,637 | 2,104 | 3,899 | 6,243 | 3,635 | ||||||||||
| Securitization-related transaction costs | 5,252 | 3,485 | 3,009 | 1,340 | 2,702 | ||||||||||
| Depreciation | 938 | 2,604 | 822 | 889 | 869 | ||||||||||
| Total adjustments | 43,246 | (1,247 | ) | 12,776 | 22,130 | (30,958 | ) | ||||||||
| Distributable earnings | $ | 40,850 | $ | 38,623 | $ | 46,390 | $ | 36,957 | $ | 50,569 | |||||
| GAAP earnings/(loss) per basic common share | $ | (0.02 | ) | $ | 0.38 | $ | 0.32 | $ | 0.14 | $ | 0.80 | ||||
| Distributable earnings per basic common share | $ | 0.39 | $ | 0.37 | $ | 0.45 | $ | 0.36 | $ | 0.49 | |||||
| Weighted average common shares for basic earnings per share | 103,675 | 103,647 | 103,446 | 103,175 | 102,266 |
13
Reconciliation of GAAP Book Value per Common Share to non-GAAP EconomicBook 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) | December 31,<br><br> 2024 | September 30,<br><br> 2024 | June 30,<br><br> 2024 | March 31,<br><br> 2024 | December 31,<br><br> 2023 | ||||||||||
| GAAP Total Stockholders’ Equity | $ | 1,841.8 | $ | 1,880.5 | $ | 1,883.2 | $ | 1,884.2 | $ | 1,899.9 | |||||
| Preferred Stock, liquidation preference | (475.0 | ) | (475.0 | ) | (475.0 | ) | (475.0 | ) | (475.0 | ) | |||||
| GAAP Stockholders’ Equity for book value per common share | 1,366.8 | 1,405.5 | 1,408.2 | 1,409.2 | 1,424.9 | ||||||||||
| Adjustments: | |||||||||||||||
| Fair value adjustment to Residential whole loans, at carrying value | (15.3 | ) | 6.7 | (26.8 | ) | (35.4 | ) | (35.6 | ) | ||||||
| Fair value adjustment to Securitized debt, at carrying value | 70.3 | 64.3 | 82.3 | 88.4 | 95.6 | ||||||||||
| Stockholders’ Equity including fair value adjustments to Residential whole loans and Securitized debt held at carrying value (Economic book value) | $ | 1,421.8 | $ | 1,476.5 | $ | 1,463.7 | $ | 1,462.2 | $ | 1,484.9 | |||||
| GAAP book value per common share | $ | 13.39 | $ | 13.77 | $ | 13.80 | $ | 13.80 | $ | 13.98 | |||||
| Economic book value per common share | $ | 13.93 | $ | 14.46 | $ | 14.34 | $ | 14.32 | $ | 14.57 | |||||
| Number of shares of common stock outstanding | 102.1 | 102.1 | 102.1 | 102.1 | 101.9 |
14
Cautionary Note Regarding Forward-LookingStatements
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 (including as a result of the new U.S. Presidential administration); 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.
15
Exhibit 99.2
| Company Update<br>FOURTH QUARTER 2024 |
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| 2<br>Q3 2022 Financial Snapshot<br>Forward-looking statements<br>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,”<br> “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,<br>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<br>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<br>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<br>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;<br>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<br>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<br>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<br>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,<br>of any such borrowings; implementation of or changes in government regulations or programs affecting MFA’s business (including as a result of the new U.S. Presidential administration); MFA’s estimates regarding taxable<br>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<br>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<br>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,<br>among otherthings, 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<br>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”),<br>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<br>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<br>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<br>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,<br>without limitation, industry competition, unanticipated expenditures relating to or liabilities arising from its operation (including, among otherthings, a failure to realize management’s assumptions regarding expected growth in<br>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<br>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<br>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<br>resolution of the asset;risks associated with ourinvestments in MSR-related assets, including servicing,regulatory and economic risks; risks associated with ourinvestments in loan originators;risks associated with investing in<br>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<br>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<br>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<br>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. |
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| 3<br>v<br>MFA at a glance<br>$1.8B<br>Total equity<br>1998<br>Listed on NYSE in<br>Leading hybrid mortgage REIT with extensive experience in managing residential mortgage assets through economic cycles<br>$11.4B<br>Total assets<br>NYSE: MFA<br>$4.8B<br>Common dividends<br>as of Dec. 31, 2024 as of Dec. 31, 2024<br>paid since IPO<br>See page 27 for endnotes<br>Dividend yield<br>13.1%<br>as of Feb. 14, 2025<br>Loans acquired1<br>$25B<br>since 2014 |
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| 4<br>Q4 2024 financial snapshot<br>$13.39 $13.93<br>GAAP net income3<br>$(0.02)<br>per common share<br>Distributable<br>earnings4<br>$0.39<br>per common share<br>GAAP<br>book value<br>Economic<br>book value2<br>per common share per common share<br>$339M<br>Unrestricted cash<br>1.7x<br>Recourse leverage5<br>4<br>Q4 dividend<br>$0.35<br>per common share<br>Total economic<br>return6<br>(1.2)%<br>Q4 2024 |
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| 5<br>Q4 2024 &<br>Full-year<br>Highlights<br> Total economic return of (1.2%) in Q4 and 5.2% for 2024<br> Economic book value declined by 3.7% in Q4 primarily due to sharp rise in Treasury yields<br> Declared $0.35 dividend for Q4 and $1.40 per share throughout 2024<br> Acquired $470M of Non-QM residential mortgage loans in Q4 and $1.2B in 2024<br> Lima One originated $236M of new business purpose loans in Q4, bringing 2024 origination<br>to $1.4B7<br> Contributed $8.5M of mortgage banking income in Q4 and $33M for 2024<br> Issued three securitizations collateralized by over $1B UPB of residential loans in Q4 and<br>eight throughout 2024 backed by $2.4B UPB of loans<br> Completed our first rated Transitional loan securitization in Q4<br> Added $463M of Agency MBS in Q4, growing portfolio to $1.4B<br> Ended year with $339M of unrestricted cash |
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| 6<br> Acquired $1.2B of residential loans and securities, bringing MFA’s<br>investment portfolio to $10.5B<br> Purchased $470M of non-qualified mortgage (Non-QM) loans<br> Lima One funded $259M8 of new business purpose loans (BPLs) and<br>draws on existing loans<br> Purchased $463M of Agency MBS<br> Sold $141M of Non-QM loans, $111M of single-family rental (SFR)<br>loans and $17M of REO properties<br> Portfolio runoff was $628M<br> High interest rates continue to provide opportunity to add new<br>residential mortgage assets at attractive yields<br> Average coupon on all loans acquired in Q4 was 8.6%<br> Average coupon in Lima One origination pipeline is nearly 10%<br> Incremental ROE for new investments expected to be mid-teens<br>Q4 2024<br>Investment<br>Activity<br>0%<br>2%<br>4%<br>6%<br>8%<br>10%<br>2021 2022 2023 2024<br>Average Coupon on Loan<br>Acquisitions<br>Non-QM Loans<br>$4.3B<br>Single-family<br>Rental<br> Loans<br>$1.4B<br>Single-family<br>Transitional<br>Loans<br>$1.1B<br>Multifamily<br>Transitional Loans<br>$0.9B<br>Legacy<br>RPL/NPL<br>$1.0B<br>Agency MBS<br>$1.4B<br>Other<br>$0.4B<br>Investment Portfolio at Dec. 319 |
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| 7<br>Q4 2024<br>Liability<br>Highlights<br> Our borrowing costs were relatively stable throughout 2024 due to<br>fixed-rate securitizations and interest rate hedges<br> Effective cost of funds declined to 4.47% in Q4<br> Issued three securitizations during the quarter<br> Collateralized by over $1B UPB of Legacy RPL/NPL, Transitional and<br>Non-QM loans<br> Continued emphasis on non-mark-to-market (non-MTM)10 borrowing<br> 83% of our loan-based financing is non-MTM<br> 73% of all liabilities are non-MTM<br> Overall leverage rose to 5.0x while recourse leverage declined to 1.7x<br>due to greater emphasis on non-recourse securitized debt<br>MTM<br>Warehouse<br>Line<br>Non-MTM<br>Warehouse<br>Line<br>Non-MTM<br>Securitized<br>Debt<br>Other<br>$2.6B<br>MTM<br>$7.0B<br>Non-MTM<br>$0.0<br>$1.0<br>$2.0<br>$3.0<br>$4.0<br>$5.0<br>$6.0<br>$7.0<br>$8.0<br>$9.0<br>$10.0<br>Agency Repo<br>MTM<br>Warehouse<br>Lines<br>Non-MTM<br>Warehouse Lines<br>Non-MTM<br>Securitized<br>Debt<br>Other<br>Liabilities ($B) as of Dec. 31 |
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| 8<br>Q4 2024<br>Interest Rate<br>Swaps<br> $3.3B interest rate swap position placed primarily in late 2021 and early 2022<br> Weighted average fixed pay rate of 2.20% and variable receive rate of 4.49%11 at Dec. 31<br> Generated net positive swap carry of $25M in Q4<br> Net portfolio duration estimated to be 1.02 at Dec. 31, down from 1.16 at Sept. 30<br> Added $278M of longer-dated swaps during the quarter<br> $450M of swaps matured in Q4 and an additional $675M mature during first half of 2025<br>Weighted average pay rate: 1.25% 2.69% 1.12% 1.58% 2.71% 3.50% 3.37%<br> $-<br> $200<br> $400<br> $600<br> $800<br> $1,000<br> $1,200<br>Q1<br> 2025<br>Q2<br> 2025<br>Q3<br> 2025<br>Q4<br> 2025<br>Q1<br> 2026<br>Q2<br> 2026<br>Q3<br> 2026<br>Q4<br> 2026<br>Q1<br> 2027<br>Q2<br> 2027<br>Q3<br> 2027<br>Q4<br> 2027<br>2028-<br>2034<br>Swap Maturity Profile ($M) |
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| 9<br>Q4 2024<br>Portfolio<br>Credit<br>Metrics<br> -<br> $1B<br> $2B<br> $3B<br> $4B<br> $5B<br> <60% 60-70% 70-80% 80-90% 90-100% >100 %<br>LTV Distribution12<br>57%<br>61%<br>67%<br>64%<br>51%<br>59%<br>Non-QM Loans SFR Loans Single-family<br>Transitional Loans<br>Multifamily<br>Transitional Loans<br>Legacy RPL/NPL<br>Loans<br>Total<br>LTV by Loan Product Type12<br>7.8%<br>6.6% 6.4% 6.6% 6.9% 6.5% 6.7%<br>7.5%<br>Q1<br>2023<br>Q2<br>2023<br>Q3<br>2023<br>Q4<br>2023<br>Q1<br>2024<br>Q2<br>2024<br>Q3<br>2024<br>Q4<br>2024<br>Portfolio 60+ Delinquency Rate<br>Prior to<br>2021<br> 22%<br>2021<br>22%<br>2022<br>17%<br>2023<br>19%<br>2024<br>20%<br>Origination Year<br>CA<br>28%<br>FL<br>14%<br>TX<br>7%<br>NY<br>5%<br>GA<br>4%<br>Other<br>42%<br>State Concentration13 |
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| 10<br> Origination volume was $236M in Q4 and $1.4B for 20247<br> Single-family Transitional loan originations totaled $168M in Q4<br> $76M of ground-up construction loans<br> $61M of rehab (“fix/flip”) loans<br> $31M of bridge loans<br> SFR loan originations were $68M<br> Continued programmatic sales of new origination to 3rd party investors<br> Regular loan sales strengthen Lima One’s franchise value and enhance MFA’s returns<br> Sold $111M of newly-originated SFR loans, generating approximately $4M of gain-on-sale income<br> Mortgage banking income totaled $8.5M for the quarter and $33M throughout 2024<br>Q4 2024<br>Lima One<br>Highlights |
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| 11<br>Q4 2024<br>Non-QM<br>Loans<br> Non-QM loan portfolio grew to $4.4B UPB<br> Acquired $470M of new loans with average LTV of 67% and<br>average coupon of 7.8%<br> Sold $141M of seasoned, low coupon loans<br> Issued our 16th Non-QM securitization in December<br>collateralized by $380M UPB of loans<br> 89% of our Non-QM portfolio is securitized<br> $5.9B UPB of loans securitized since strategy inception<br>Portfolio statistics 12/31/24 9/30/241<br>UPB ($M) $4,409 $4,2641<br>Average loan balance $509K $511K1<br>Gross coupon 6.65% 6.40%1<br>Quarterly yield 5.63% 5.47%1<br>Original LTV 66% 66%1<br>Updated LTV12 57% 56%1<br>Original FICO score 735 7351<br>Loan age (months) 29 291<br>Fixed rate 82% 81%1<br>Hybrid ARMs 18% 19%1<br>Purchase 53% 52%1<br>Cash-out refinance 37% 37%1<br>3-month prepayment rate14 12 CPR 11 CPR1<br>60+ days delinquent 3.8% 3.5%1<br>REO properties15 $1M $2M<br>2.7%<br>3.2% 3.0%<br>3.5%<br>3.8%<br>Q4<br>2023<br>Q1<br>2024<br>Q2<br>2024<br>Q3<br>2024<br>Q4<br>2024<br>60+ Days Delinquent<br>CA<br>48%<br>FL<br>18%<br>TX<br>5%<br>Other<br>29%<br>State Concentration13<br>11%<br>46%<br>26%<br>3%<br>14%<br>Loan Product Type<br>Full Doc<br>Bank Statement<br>DSCR<br>Asset Depletion<br>Other |
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| 12<br>Portfolio statistics 12/31/24 9/30/24<br>UPB ($M) $1,417 $1,505d<br><br>Average loan balance $227K $227Kd<br>Gross coupon 6.39% 6.47%d<br>Quarterly yield 6.27% 6.52%d<br>Original LTV 69% 69%d<br>Updated LTV12 61% 61%d<br>Original FICO score 739 738d<br>DSCR at origination16 1.46x 1.46xd<br>Loan age (months) 31 28d<br>Hybrid ARMs 25% 26%d<br>Cash-out refinance 70% 70%d<br>3-month prepayment rate14 11 CPR 10 CPRd<br>60+ days delinquent 3.9% 3.5%d<br>REO properties15 $15M $15Md<br>Q4 2024<br>Single-family<br>Rental Loans<br> SFR loan portfolio declined to $1.4B UPB<br> Lima One originated $68M UPB of loans with average LTV of<br>69% and average coupon of 7.35%<br> Sold $111M of newly-originated SFR loans<br> Issued seven securitizations collateralized by $1.6B UPB of<br>SFR loans since 2021<br> 86% of our SFR loan portfolio is securitized<br>2024<br>6%<br>2023<br>16%<br>2022<br>40%<br>2021<br>30%<br>Prior to<br>2021<br>8%<br>Origination Year<br>4.7% 4.6%<br>3.7% 3.5%<br>3.9%<br>Q4<br>2023<br>Q1<br>2024<br>Q2<br>2024<br>Q3<br>2024<br>Q4<br>2024<br>60+ Days Delinquent<br>FL<br>10%<br>OH<br>9%<br>GA<br>8%<br>PA<br>8%<br>NC<br>IL 6%<br>5% TX<br>5%<br>Other<br>49%<br>State Concentration13 |
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| 13<br>Portfolio statistics 12/31/24 9/30/24<br>UPB ($M) $1,107 $1,158d<br>Maximum loan amount ($M) $1,427 $1,507f<br>Average maximum loan amount $567K $562Kd<br>Gross coupon 10.45% 10.48%d<br>Quarterly yield 9.50% 9.53%d<br>LTV12 67% 67%d<br>Original FICO score 750 748d<br>Loan age (months) 13 12d<br>Ground-up construction 40% 39%d<br>3-month repayment rate14 57 CPR 64 CPRd<br>Extended UPB17 26% 21%d<br>60+ days delinquent 10.5% 8.3%d<br>REO properties15 $34M $31Md<br>Q4 2024<br>Single-family<br>Transitional<br>Loans<br> Single-family transitional loan portfolio declined to $1.1B UPB<br> Lima One originated $168M7 of new loans, outweighed by<br>$228M in loan repayments<br> Issued our first rated revolving securitization in October<br> Collateralized initially by $215M of loans<br> Followed call of non-rated securitization in November<br> $1.6B UPB of Single-family transitional loans have been<br>financed via these revolving securitizations since 2022<br>FL<br>18%<br>TX<br>11%<br>GA<br>8%<br>CA<br>NC 7%<br>7%<br>OR<br>5%<br>NY<br>5%<br>WA<br>5%<br>Other<br>34%<br>State Concentration13<br>8.3%<br>9.3%<br>8.6% 8.3%<br>10.5%<br>Q4<br>2023<br>Q1<br>2024<br>Q2<br>2024<br>Q3<br>2024<br>Q4<br>2024<br>60+ Days Delinquent<br>Bridge Loans<br>28%<br>Ground-up<br>Construction<br>Loans<br>40%<br>Rehab loans<br>32%<br>Loan Product Type |
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| 14<br>Portfolio statistics 12/31/24 9/30/24<br>UPB ($M) $977 $1,103d<br>Maximum loan amount ($M) $1,035 $1,173d<br>Average maximum loan amount $3.4M $3.4Md<br>Gross coupon 9.18% 9.08%d<br>Quarterly yield 7.87% 8.20%d<br>LTV12 64% 67%d<br>Original FICO score 751 748d<br>Loan age (months) 20 17d<br>3-month repayment rate14 36 CPR 20 CPRd<br>Extended UPB17 18% 15%s<br>60+ days delinquent $86M $61Md<br>REO properties15 $23M $16M<br>Q4 2024<br>Multifamily<br>Transitional<br>Loans<br> Multifamily loan portfolio declined to $977M UPB<br> $124M of loan repayments during the quarter<br> New originations at Lima One remain paused<br> Intensive and collaborative asset management by MFA and<br>Lima One servicing team<br> Resolved $29M of previously delinquent loans in Q4, incurring<br>$1.6M of credit losses<br>2021<br>13%<br>2022<br>30%<br>2023<br>48%<br>2024<br>9%<br>Origination Year<br>TX<br>20%<br>NY<br>12%<br>GA<br>11% FL<br>6%<br>LA<br>6%<br>OH<br>5%<br>Other<br>40%<br>State Concentration13<br>$21M<br>$33M<br>$54M<br>$61M<br>$86M<br>Q4<br>2023<br>Q1<br>2024<br>Q2<br>2024<br>Q3<br>2024<br>Q4<br>2024<br>60+ Days Delinquent |
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| 15<br>Q4 2024<br>Legacy<br>RPL/NPL<br>Loans<br> 96% of Legacy RPL/NPL loans purchased between 2014-2019<br>were performing, paid in full (PIF), REO or liquidated at Dec. 31<br> 76% of loans modified by MFA were either performing or PIF<br> $1.2B portfolio remains outstanding out of original $4.4B UPB<br> LTV has declined to 51%12 due to home price appreciation and<br>principal amortization since acquisition<br> Issued non-rated securitization in October collateralized by<br>$424M UPB of primarily Legacy NPLs<br> 98% of our Legacy RPL/NPL portfolio is securitized<br>Portfolio statistics 12/31/24 9/30/24<br>UPB ($M) $1,222 $1,2511<br>Average loan balance $195K $195K1<br>Gross coupon 5.16% 5.16%1<br>Quarterly yield 7.52% 7.75%1<br>Updated LTV12 51% 51%1<br>Original FICO score 647 6471<br>Fixed rate 83% 83%1<br>Hybrid ARMs 17% 17%1<br>24-month clean pay 44% 44%1<br>Loan age (months) 222 2191<br>3-month prepayment rate14 6 CPR 8 CPR1<br>60+ days delinquent 21.4% 21.4%1<br>REO properties15 $58M $63M1<br>23.3% 23.1%<br>21.5% 21.4% 21.4%<br>Q4<br>2023<br>Q1<br>2024<br>Q2<br>2024<br>Q3<br>2024<br>Q4<br>2024<br>60+ Days Delinquent<br>PIF<br>34%<br>Liquidated/REO<br>34%<br>Performing<br>28%<br>Non-performing<br>4%<br>Loan Resolution Status18<br>CA<br>22%<br>NY<br>16%<br>FL<br>8% NJ<br>7%<br>MD<br>5%<br>Other<br>42%<br>State Concentration13 |
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| 16<br>Q4 2024<br>Agency<br>MBS<br> Added $463M of Agency MBS, bringing portfolio to $1.4B<br> Purchases consist primarily of low pay-up (premium to TBA price)<br>pools that provide some prepayment protection<br> Historically wide spread over Treasuries makes Agency MBS<br>attractive<br> Complementary to our less liquid, more credit-sensitive assets<br> Expected levered returns in the mid-teens<br>Portfolio statistics 12/31/24 9/30/24<br>Current Face $1,404 $977M1<br>Fair Value $1,393 $993M1<br>Coupon 5.60% 5.66%1<br>Quarterly yield 5.55% 5.68%1<br>Loan age (months) 11 111<br>3-month CPR 9 CPR 6 CPR1<br>Purchase Price 100.2% 100.5%1<br>0<br>50<br>100<br>150<br>200<br>250<br>2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022 2024<br>Agency MBS Spread Over 10Y Treasury (bps)<br>8%<br>6%<br>8%<br>19%<br>5%<br>August September October November December<br>MFA Agency 1-month CPR<br>5.0% Coupon<br>5.5% Coupon<br>6.0% Coupon<br>6.5% Coupon<br>MFA Agency MBS by Coupon |
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| 17<br>Appendix<br>James Casebere, Landscape with Houses<br>(Dutchess County, NY) #2, 2010 (detail) |
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| 18<br>MFA<br>Financial<br>Overview<br> MFA Financial, Inc. (NYSE: MFA) is an internally managed real estate investment trust (REIT) that invests in<br>U.S. residential mortgage loans and mortgage-backed securities<br> MFA focuses primarily on mortgage subsectors in which it tries to avoid direct competition with banks and<br>government-sponsored enterprises<br> MFA owns a diversified portfolio of business purpose loans (BPLs), non-qualified mortgage (Non-QM)<br>loans, re-performing/non-performing loans (Legacy RPL/NPLs) and residential mortgage-backed securities<br> In 2021, MFA acquired Lima One Capital, a leading nationwide BPL originator and servicer with over<br>$10B7 in originations since its formation in 2010<br> MFA originates BPLs directly through Lima One and acquires Non-QM loans through flow and mini-bulk<br>arrangements with a select group of originators with which it holds strong relationships<br> MFA operates a leading residential credit securitization platform with $10.7B of issuance since inception<br> MFA has deep expertise in residential credit as well as a long history of investing in new asset classes when<br>compelling opportunities arise<br> Since its IPO in 1998, MFA has distributed $4.8 billion of dividends to its stockholders |
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| 19<br>Lima One: Leading Nationwide BPL Originator and Servicer<br>Product Offerings<br> Lima One offers a diverse selection of both short-term and long-term<br>financing solutions to experienced real estate investors across the U.S.<br> Products have included rehab loans, construction loans, bridge loans,<br>single-family rental loans and small-balance multifamily loans<br>Fully Integrated BPL Platform<br> Lima One is an industry-leading business purpose lender wholly-owned by MFA and headquartered in Greenville, S.C.<br> Lima operates an efficient and scalable platform with nearly 300<br>employees, including in-house sales, underwriting, servicing and<br>construction management teams<br> Lima provides MFA with access to organically-created, high-yielding<br>loans, substantially below the cost to purchase from third parties<br> Lima has originated $7B7 since MFA’s acquisition in 2021 and over<br>$10B7 since its formation in 2010 Geographic and Borrower Diversity<br> No state concentration above 15% and no borrower concentration above 2%<br>Concentration<br>10% to 15%<br>5% to 10%<br>Below 5%<br>No loans<br>TX<br>FL<br>TX<br>FL<br>Origination Volume Since MFA Acquisition<br> -<br> $1B<br> $2B<br> $3B<br> $4B<br> $5B<br> $6B<br> $7B<br>Q3<br>2021<br>Q4<br>2021<br>Q1<br>2022<br>Q2<br>2022<br>Q3<br>2022<br>Q4<br>2022<br>Q1<br>2023<br>Q2<br>2023<br>Q3<br>2023<br>Q4<br>2023<br>Q1<br>2024<br>Q2<br>2024<br>Q3<br>2024<br>Q4<br>2024 |
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| 20<br>Book Value Potential Upside<br> Economic book value has $1.83 per share of potential upside<br> Most of our fixed-rate Non-QM and SFR loans are marked at<br>a discount to par due to the impact of higher interest rates<br> We recoup that discount to par as borrowers make scheduled<br>principal payments and as loans pay off<br> Economic book value would be $15.76 per share if those<br>loans and their associated securitized debt were repaid at<br>par<br> Any realized credit losses or loan sales below par reduce that<br>potential upside<br>$4.84<br>$1.83<br>potential<br>upside<br>$13.93<br>EBV<br> $4<br> $6<br> $8<br> $10<br> $12<br> $14<br> $16<br> $18<br>MFA Stock Price<br>12/31<br>EBV 12/31 Loan Portfolio<br>Discount to Par<br> Securitized Debt<br>Discount to Par<br>Potential EBV<br>Potential Upside in Economic Book Value19<br>$13.93<br>$10.19<br>$3.47<br>$(1.64) |
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| 21<br>MFA-Issued Securitizations Outstanding<br>Securitization Name Loan Product Type Settlement Date Original Collateral<br>UPB ($M)20<br>Current Collateral<br>UPB ($M)20<br>Bonds Sold<br>($M)<br>Original UPB Sold<br>(%)21<br>Outstanding Balance of Bonds<br>Sold ($M)<br>Weighted Average Coupon (WAC)<br>of Outstanding Bonds Sold<br>WAC of Underlying<br>Loans Callable Date<br>MFRA 2020-NQM1 Non-QM Sep-20 391 96 373 95% 78 3.05% 6.42% Currently Callable<br>MFRA 2020-NQM2 Non-QM Oct-20 570 145 535 94% 110 2.33% 6.80% Currently Callable<br>MFRA 2020-NQM3 Non-QM Dec-20 381 108 359 94% 85 1.92% 6.04% Currently Callable<br>MFRA 2021-INV1 SFR Feb-21 217 62 198 91% 42 1.59% 7.27% Currently Callable<br>MFRA 2021-NQM1 Non-QM Apr-21 394 127 371 94% 104 1.78% 6.07% Currently Callable<br>MFRA 2021-RPL1 RPL Jun-21 473 271 435 92% 230 1.46% 5.19% 20% Clean-up Call<br>MFRA 2021-NQM2 Non-QM Aug-21 289 135 277 96% 123 1.40% 5.25% Currently Callable<br>MFRA 2021-AEINV1 Agency Eligible Oct-21 312 257 297 95% N/A 1.43% 3.27% N/A<br>MFRA 2021-INV2 SFR Nov-21 284 214 260 92% 189 2.21% 5.12% Currently Callable<br>MFRA 2021-AEINV2 Agency Eligible Dec-21 340 287 323 95% N/A 1.52% 3.46% N/A<br>MFRA 2022-CHM1 Non-QM Mar-22 237 159 204 86% 126 3.93% 5.12% Currently Callable<br>MFRA 2022-NQM1 Non-QM Mar-22 333 244 310 93% 221 4.15% 4.55% Mar-25<br>MFRA 2022-INV1 SFR Apr-22 258 206 224 87% 172 4.02% 4.82% Apr-25<br>MFRA 2022-NQM2 Non-QM Jun-22 541 436 398 74% 308 4.00% 4.26% Jun-25<br>MFRA 2022-RPL1 RPL Jul-22 336 235 307 91% 220 3.43% 5.12% Jul-25<br>MFRA 2022-INV2 SFR Jul-22 214 177 169 79% 132 4.95% 5.61% Jul-25<br>MFRA 2022-NQM3 Non-QM Sep-22 342 266 274 80% 197 5.57% 5.87% Sep-25<br>MFRA 2022-INV3 SFR Oct-22 235 201 160 68% 131 6.00% 6.52% Oct-25<br>MFRA 2023-NQM1 Non-QM Jan-23 314 256 253 81% 195 5.75% 6.04% Jan-26<br>MFRA 2023-INV1 SFR Feb-23 204 172 154 75% 123 6.10% 6.90% Feb-26<br>MFRA 2023-NQM2 Non-QM May-23 372 302 309 83% 239 4.66% 5.48% May-26<br>MFRA 2023-INV2 SFR Sep-23 215 199 191 89% 176 7.06% 8.03% Sep-26<br>MFRA 2023-NQM3 Non-QM Sep-23 387 301 343 89% 258 6.75% 7.77% Aug-26<br>MFRA 2023-RTL2 Transitional Oct-23 230 230 184 80% 184 8.50% 9.92% Oct-25<br>MFRA 2023-NQM4 Non-QM Dec-23 295 245 268 91% 219 6.34% 8.01% Dec-26<br>MFRA 2024-RTL1 Transitional Feb-24 200 200 160 80% 160 7.09% 10.15% Feb-26<br>MFRA 2024-NQM1 Non-QM Apr-24 365 322 331 91% 288 6.71% 8.19% Apr-27<br>MFRA 2024-RTL2 Transitional May-24 205 205 164 80% 164 7.25% 10.19% May-26<br>MFRA 2024-RPL1 RPL Jul-24 303 274 259 85% 251 4.26% 5.14% 30% Clean-up Call<br>MFRA 2024-NQM2 Non-QM Sep-24 340 329 321 94% 309 5.38% 8.36% Aug-27<br>MFRA 2024-NPL1 NPL Oct-24 424 369 306 72% 299 6.33% 5.23% Oct-25<br>MFRA 2024-RTL3 Transitional Nov-24 250 250 202 81% 202 5.97% 10.74% Oct-26<br>MFRA 2024-NQM3 Non-QM Dec-24 380 380 354 93% 354 5.87% 7.87% Dec-27<br>Total 10,631 7,660 9,273 87% 5,889 5.02% 6.46% |
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| 22<br>Select Financial Metrics<br>6.46% 6.58% 6.79% 6.71% 6.46%<br>0.00%<br>1.00%<br>2.00%<br>3.00%<br>4.00%<br>5.00%<br>6.00%<br>7.00%<br>Q4 2023 Q1 2024 Q2 2024 Q3 2024 Q4 2024<br>Asset Yield<br>2.13% 2.06%<br>2.16% 2.18%<br>1.98%<br>0.00%<br>0.50%<br>1.00%<br>1.50%<br>2.00%<br>2.50%<br>Q4 2023 Q1 2024 Q2 2024 Q3 2024 Q4 2024<br>Net Interest Spread<br>2.96% 2.88% 3.01% 3.00%<br>2.76%<br>0.00%<br>0.50%<br>1.00%<br>1.50%<br>2.00%<br>2.50%<br>3.00%<br>3.50%<br>Q4 2023 Q1 2024 Q2 2024 Q3 2024 Q4 2024<br>Net Interest Margin<br>4.33%<br>4.52% 4.63% 4.53% 4.47%<br>0.00%<br>1.00%<br>2.00%<br>3.00%<br>4.00%<br>5.00%<br>Q4 2023 Q1 2024 Q2 2024 Q3 2024 Q4 2024<br>Effective Cost of Funds<br> $-<br> $0.10<br> $0.20<br> $0.30<br> $0.40<br> $0.50<br>Q4 2023 Q1 2024 Q2 2024 Q3 2024 Q4 2024<br>Distributable Earnings vs. Dividend<br>Distributable Earnings Dividend<br> $-<br> $4<br> $8<br> $12<br> $16<br>Q4 2023 Q1 2024 Q2 2024 Q3 2024 Q4 2024<br>GAAP vs. Economic Book Value<br>GAAP Book Value Economic Book Value |
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| 23<br>Reconciliation of GAAP net income to non-GAAP Distributable earnings<br> “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<br>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<br>through earnings, certain realized gains and losses, as well as certain non-cash expenses and securitization-related transaction costs. Realized gains and losses arising from loans sold to third-parties by Lima One shortly after the<br>origination of such loans are included in Distributable earnings. 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,<br>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<br>fees and other similar ongoing fees are not excluded from distributable earnings. During the third quarter of 2024, we changed the determination of Distributable earnings to exclude depreciation, for consistency with the reporting of<br>similar non-cash expenses; this change has been reflected in all periods presented. 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<br>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<br>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<br>earnings specified below provide investors and analysts with additional information to evaluate our financial results.<br>The following table provides a reconciliation of GAAP net(loss)/income used in the calculation of basicEPS to our non-GAAP Distributable earnings forthe quarterly periodspresented.<br>($ in millions, except per share amounts) Q4 2024 Q3 2024 Q2 2024 Q1 2024 Q4 2023<br>GAAP Net income/(loss) used in the calculation of basic EPS $ (2.4) $ 39.9 $ 33.6 $ 14.8 $ 81.5<br>Adjustments:<br>Unrealized and realized gains and losses on:<br>Residential whole loans held at fair value 102.3 (143.4) (16.4) 11.5 (224.2)<br>Securities held at fair value 26.3 (17.1) 4.0 4.8 (21.4)<br>Residential whole loans and securities at carrying value - (7.3) (2.7) (0.4) 0.3<br>Interest rate swaps (46.6) 84.6 10.2 (23.1) 97.4<br>Securitized debt held at fair value (47.3) 71.4 7.6 20.2 108.7<br>Other portfolio investments (0.1) 1.5 1.5 - 0.3<br>Expense items:<br>Amortization of intangible assets 0.8 0.8 0.8 0.8 0.8<br>Equity based compensation 1.6 2.1 3.9 6.2 3.6<br>Securitization-related transaction costs 5.3 3.5 3.0 1.3 2.7<br>Depreciation 0.9 2.6 0.8 0.9 0.9<br>Total adjustments $ 43.2 $ (1.3) $ 12.7 $ 22.2 $ (30.9)<br>Distributable earnings $ 40.8 $ 38.6 $ 46.3 $ 37.0 $ 50.6<br>GAAP earnings/(loss) per basic common share $ (0.02) $ 0.38 $ 0.32 $ 0.14 $ 0.80<br>Distributable earnings per basic common share $ 0.39 $ 0.37 $ 0.45 $ 0.36 $ 0.49<br>Weighted average common shares for basic earnings per share 103.6 103.6 103.4 103.2 102.3 |
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| 24<br>Reconciliation of GAAP Book Value to Economic Book Value<br> “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<br>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’<br>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,<br>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<br>our calculation of this measure may not be comparable to similarly titled measures reported by other companies.<br>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 Q4 2023.<br>($ in millions, except per share amounts) 12/31/24 9/30/24 6/30/24 3/31/24 12/31/23<br>GAAP Total Stockholders’ Equity $ 1,841.8 $ 1,880.5 $ 1,883.2 $ 1,884.2 $ 1,899.9<br>Preferred Stock, liquidation preference (475.0) (475.0) (475.0) (475.0) (475.0)<br>GAAP Stockholders’ Equity for book value per common share $ 1,366.8 $ 1,405.5 $ 1,408.2 $ 1,409.2 $ 1,424.9<br>Adjustments:<br>Fair value adjustment to Residential whole loans, at carrying value (15.3) 6.7 (26.8) (35.4) (35.6)<br>Fair value adjustment to Securitized debt, at carrying value 70.3 64.3 82.3 88.4 95.6<br>Stockholders’ Equity including fair value adjustments to Residential whole loans and Securitized<br>debt held at carrying value (Economic book value) $ 1,421.8 $ 1,476.5 $ 1,463.7 $ 1,462.2 $ 1,484.9<br>GAAP book value per common share $ 13.39 $ 13.77 $ 13.80 $ 13.80 $ 13.98<br>Economic book value per common share $ 13.93 $ 14.46 $ 14.34 $ 14.32 $ 14.57<br>Number of shares of common stock outstanding 102.1 102.1 102.1 102.1 101.9 |
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| 25<br>Book Value and Economic Book Value Rollforward<br>GAAP Economic<br>Book value per common share as of 9/30/24 $13.77 $14.46<br>Net income available to common shareholders (0.02) (0.02)<br>Common stock dividends declared (0.35) (0.35)<br>Fair value changes attributable to residential mortgage securities and other (0.01) (0.01)<br>Change in fair value of residential whole loans reported at carrying value under GAAP — (0.21)<br>Change in fair value of securitized debt at carrying value under GAAP — 0.06<br>Book value per common share as of 12/31/24 $13.39 $13.93 |
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| 26<br>GAAP Segment Reporting<br>(Dollars in millions) Mortgage- Related Assets Lima One Corporate Totald<br>Three months ended December 31, 2024<br>Interest Income $ 106.2 $ 69.1 $ 3.0 $ 178.31<br>Interest Expense 76.1 46.9 4.5 127.51<br>Net Interest Income/(Expense) $ 30.1 $ 22.2 $ (1.5) $ 50.81<br>(Provision)/Reversal of Provision for Credit Losses on Residential Whole Loans (0.4) - - (0.4)1<br>Net Interest Income/(Expense) after Reversal of Provision/(Provision)for Credit Losses $ 29.7 $ 22.2 $ (1.5) $ 50.44<br>Net gain/(loss) on residential whole loans measured at fair value through earnings (82.3) (20.0) - (102.3)1<br>Impairment and other net gain on securities and other portfolio investments (26.3) 0.1 - (26.2)1<br>Net gain on real estate owned 0.8 (0.8) - -1<br>Net gain on derivatives used for risk management purposes 53.6 15.7 - 69.31<br>Net gain on securitized debt measured at fair value through earnings 32.7 10.8 - 43.51<br>Lima One mortgage banking income - 8.4 - 8.41<br>Other, net 0.3 (0.6) 0.4 0.11<br>Total Other Income/(Loss), net $ (21.2) $ 13.6 $ 0.4 $ (7.2)1<br>Compensation and benefits - 9.2 8.8 18.01<br>General and administrative expenses - 4.3 5.7 10.01<br>Loan servicing, financing, and other related costs 4.5 1.1 5.4 11.01<br>Amortization of intangible assets - 0.8 - 0.81<br>Income/(loss) before income taxes $ 4.0 $ 20.4 $ (21.0) $ 3.41<br>Provision for/(benefit from) income taxes - - 2.5 2.51<br>Net Income/(Loss) 4.0 20.4 (18.5) 5.91<br>Less Preferred Stock Dividend Requirement - - 8.2 8.21<br>Net Income/(Loss)Available to Common Stock and Participating Securities $ 4.0 $ 20.4 $ (26.7) $ (2.3)1 |
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| 27<br>Endnotes<br>1) Purchased value of all residential whole loans acquired by MFA since 2014.<br>2) Economic book value is a non-GAAP financial measure. Refer to slide 24 for further information regarding the calculation of this measure and a reconciliation to GAAP book value.<br>3) GAAP net income presented per basic and diluted common share.<br>4) Distributable earnings is a non-GAAP financial measure. Refer to slide 23 for further information regarding the calculation of this measure and a reconciliation to GAAP net income.<br>Distributable earnings presented per basic common share.<br>5) Recourse leverage is the ratio of MFA’s financing liabilities (excluding non-recourse debt) to net equity. Including Securitized Debt, MFA’s overall leverage ratio at December 31, 2024<br>was 5.0x.<br>6) Total economic return is calculated as the quarterly change in Economic Book Value (EBV) plus common dividends declared during the quarter divided by EBV at the start of the<br>quarter.<br>7) Origination amount is based on the maximum loan amount, which includes amounts initially funded plus any committed but undrawn amounts.<br>8) Includes $151M of funded originations during Q4 plus $108M of draws funded during Q4 on previously originated Transitional loans.<br>9) Amounts presented reflect the aggregation of fair value and carrying value amounts as presented in MFA’s consolidated balance sheet at December 31, 2024.<br>10) Non-MTM refers to financing arrangements not subject to margin calls based on changes in the fair value of the financed residential whole loans. Such agreements may experience<br>changes in advance rates or collateral eligibility as a result of factors such as changes in the delinquency status of the financed residential whole loans.<br>11) Swap variable receive rate is the Secured Overnight Financing Rate (SOFR).<br>12) LTV reflects principal amortization and estimated home price appreciation (or depreciation) since acquisition. Zillow Home Value Index (ZHVI) is utilized to estimate updated LTVs<br>for Non-QM, SFR and Legacy RPL/NPL assets. For Transitional loans, LTV reflects either the current UPB divided by the most recent as-is property valuation available or the<br>maximum UPB divided by the most recent after repaired value (ARV) available.<br>13) State concentration measured by loan balance. All states in “Other” category have concentrations below 5%.<br>14) CPR includes all principal repayments.<br>15) Balance sheet carrying value of REO properties at December 31, 2024.<br>16) Weighted average debt service coverage ratio (DSCR) at time of origination.<br>17) Percentage of loan portfolio extended beyond original maturity date as of December 31, 2024.<br>18) Represents status at December 31, 2024 of all Legacy RPL/NPL loans ever acquired. Non-performing status includes all active loans greater than 60 days delinquent.<br>Liquidated/REO status includes both sold and active REO properties as well as short payoff liquidations and loans sold to third-parties.<br>19) Transitional loans are excluded from the calculation of potential upside in Economic book value.<br>20) Collateral UPB includes cash for Transitional loan securitizations.<br>21) Bonds sold relative to certificates issued. |
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