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MFA FINANCIAL, INC. Administration's Dialogue and Evaluation of Monetary Situation and Outcomes of Operations (kind 10-Q) – Marketscreener.com

In this Quarterly Report on Form 10-Q, we refer to MFA Financial, Inc. and its subsidiaries as “the Company,” “MFA,” “we,” “us,” or “our,” unless we specifically state otherwise or the context otherwise indicates.
The following discussion should be read in conjunction with our financial statements and accompanying notes included in Item 1 of this Quarterly Report on Form 10-Q as well as our Annual Report on Form 10-K for the year ended December 31, 2021.
Forward Looking Statements
Third quarter 2022 Portfolio Activity and impact on financial results
The following table presents the activity for our residential mortgage asset portfolio for the three months ended September 30, 2022:
(1) Primarily includes principal repayments and sales of REO. (2) Includes draws on previously originated Residential transition loans. (3) Primarily includes changes in fair value and changes in the allowance for credit losses.
Information About Our Assets
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Residential Whole Loans
The following table presents the contractual maturities of our residential whole loan portfolios at September 30, 2022. Amounts presented do not reflect estimates of prepayments or scheduled amortization.
The following table presents information with respect to our Securities, at fair value at September 30, 2022 and December 31, 2021:
18.5 years
(1)Weighted average yield is annualized interest income divided by average amortized cost for Securities, at fair value held at September 30, 2022 and December 31, 2021.
Current period estimated taxable income
We estimate that for the nine months ended September 30, 2022, our REIT taxable income was approximately $38.5 million.
Key differences between GAAP net income and REIT Taxable Income
Residential Whole Loans and Securities
Securitization
Whether our investments are held by our REIT or one of its Taxable REIT Subsidiaries (TRS)
Consequently, our REIT taxable income calculated in a given period may differ significantly from our GAAP net income.
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Quarter Ended September 30, 2022 Compared to the Quarter Ended June 30, 2022
Provision for Credit Losses on Residential Whole Loans $ (588)
Net Interest Income after Provision for Credit Losses $ 51,705
$ 22,183 $ 29,522
Other Loss, net: Net mark-to-market and other loss on residential whole loans measured at fair value
Net mark-to-market on Securitized debt measured at fair value
$ 8,219 $ (1) Net Loss Available to Common Stock and Participating Securities
$ (108,586) $ 45,350
The changes in average interest-earning assets and average interest-bearing liabilities and their related yields and costs are discussed in greater detail below under “Interest Income” and “Interest Expense.”
Assets:
Liabilities:
Total net change in expense of interest-bearing liabilities $ 1,845
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The following table presents the components of the net interest spread earned on our Residential whole loans for the quarterly periods presented:
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Provision for Credit Losses on Residential Whole Loans Held at Carrying Value
Provision for Credit Losses on Other Assets
Other Loss, net
Net mark-to-market and other net loss on residential whole loans measured at fair value
Operating and Other Expense
The following table presents information regarding certain of our financial ratios at or for the dates presented:
Reversal of Provision for Credit Losses on Residential Whole Loans
Net Interest Income after (Provision For)/Reversal of Provision for Credit Losses
$ 213,096 $ (72,644)
Other (Loss)/Income, net: Net mark-to-market and other net loss on residential whole loans measured at fair value
Net mark-to-market on Securitized debt measured at fair value
$ 260,091 $ (523,038)
Net Interest Income
The changes in average interest-earning assets and average interest-bearing liabilities and their related yields and costs are discussed in greater detail below under “Interest Income” and “Interest Expense.”
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Analysis of Net Interest Income
Assets:
Liabilities:
Net interest-earning assets/net interest margin (7) $ 2,055,727
Total net change in expense of interest-bearing liabilities $ 59,758
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Interest Income
Interest Expense
Provision for Credit Losses on Residential Whole Loans Held at Carrying Value
Other (Loss)/Income, net
Net mark-to-market and other net (loss)/gain on residential whole loans measured at fair value
The following table presents information regarding certain of our financial ratios at or for the dates presented:
Reconciliation of GAAP and Non-GAAP Financial Measures
Reconciliation of GAAP Net Income to non-GAAP Distributable Earnings
(20,494)
(857)
(48,933)
(1.06) $ (0.86) $ 0.33 $ 1.12 Distributable earnings per basic common share $ 0.28 $
Selected Financial Ratios (using Distributable earnings)
The following table presents information regarding certain of our financial ratios at or for the dates presented:
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Segment Reporting (using Distributable earnings)
$ (12,805) $ (31,931) $ (63,410)
Adjustments:
$ (12,277) $ (73,237) $ (108,760)
Adjustments:
2,146.4 $ 2,349.0 $ 2,542.8 $ 2,601.1 Preferred Stock, liquidation preference
Adjustments:
1,756.3 $ 1,975.7 $ 2,225.6 $ 2,316.9
16.42 $ 17.84 $ 19.12 $ 19.29 Economic book value per common share (1)
We are not aware of any recent accounting standards to be adopted in future periods that we expect would materially impact us.
Liquidity and Capital Resources
General
Financing agreements
The table below presents certain information about our borrowings under asset-backed financing agreements and securitized debt:
(1)The information presented in the table above excludes $230.0 million of Convertible Senior Notes issued in June 2019.
Cash Flows and Liquidity for the Nine Months Ended September 30, 2022
The table below summarizes our margin activity with respect to our repurchase agreement financings and derivative hedging instruments for the quarterly periods presented:
(1) Excludes variation margin payments on the Company’s cleared Swaps which are treated as a legal settlement of the exposure under the Swap contract.
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