MFA Financial Inc (MFA) 2023 Q4 法說會逐字稿

Ladies and gentlemen, thank you for standing by. Welcome to the MFA Financial Fourth Quarter 2023 earnings call. At this time, all participants are in a listen only mode. Later, we will conduct a question and answer session. (Operator Instructions). As a reminder, today's conference is being recorded. And I will now turn the conference over to our host, Mr. Hal Schwartz. Please go ahead.

女士們先生們，謝謝你們的支持。歡迎參加 MFA Financial 2023 年第四季財報電話會議。此時，所有參與者都處於只聽模式。隨後，我們將進行問答環節。（操作員說明）。提醒一下，今天的會議正在錄製中。現在我將會議交給我們的東道主哈爾·施瓦茨先生。請繼續。

Thank you, operator, and good morning, everyone. The information discussed on this conference call today may contain or refer to forward-looking statements regarding MFA Financial Inc., which reflect management's beliefs, expectations and assumptions as to MFA's future performance and operations. When used statements that are not historical in nature, including those containing words such as will, believe, expect, anticipate, estimate, should, could, would or similar expressions are intended to identify forward-looking statements or forward-looking statements speak only as of the date on which they are made.

謝謝接線員，大家早安。今天本次電話會議討論的資訊可能包含或涉及有關 MFA Financial Inc. 的前瞻性聲明，這些聲明反映了管理層對 MFA 未來業績和營運的信念、預期和假設。當使用非歷史性質的陳述時，包括包含諸如意願、相信、期望、預期、估計、應該、能夠、將或類似表達等詞語的陳述，旨在識別前瞻性陳述或前瞻性陳述僅作為它們的製作日期。

These types of statements are subject to various known and unknown risks, uncertainties, assumptions and other factors including those described in MFA's annual report on Form 10 K for the year ended December 31st, 2022, and other reports that it may file from time to time with the Securities and Exchange Commission. These risks, uncertainties and other factors could cause MFA's actual results to differ materially from those projected expressed or implied in any forward-looking statements. It makes for additional information regarding MFA's use of forward-looking statements, please see the relevant disclosure in the press release announcing MFA's fourth quarter 2023 financial results. I thank you for your time. I would now like to turn this call over to MFA's CEO and President, Craig Knutson.

這些類型的報表受到各種已知和未知的風險、不確定性、假設和其他因素的影響，包括外交部截至2022 年12 月31 日的10 K 表格年度報告以及其可能不時提交的其他報告中描述的因素與證券交易委員會。這些風險、不確定性和其他因素可能導致 MFA 的實際結果與任何前瞻性陳述中明示或暗示的預測結果有重大差異。有關 MFA 使用前瞻性陳述的更多信息，請參閱宣布 MFA 2023 年第四季度財務業績的新聞稿中的相關披露。我感謝您抽出時間。我現在想將這個電話轉給 MFA 執行長兼總裁 Craig Knutson。

Thank you, Hal. Good morning, everyone, and thank you for joining us here today for MFA Financial's Fourth Quarter and Full Year 2023 earnings call. With me today are Mike Roper, our CFO, Gudmundur Kristjansson, and Bryan Wulfsohn, our Co-Chief Investment Officers and other members of our senior management team. I'll begin with a high-level review of the fourth quarter and full year 2023 market environment and MFA's results and then discuss the current macro picture and 2024 outlook that I'll turn the call over to Mike to review our financial results, followed by good Munder And Brian, who will review our portfolio financing and risk management.

謝謝你，哈爾。大家早安，感謝您今天參加我們 MFA Financial 的 2023 年第四季和全年財報電話會議。今天與我在一起的有我們的財務長 Mike Roper、我們的聯合首席投資長 Gudmundur Kristjansson 和 Bryan Wulfsohn 以及我們高階管理團隊的其他成員。我將首先對 2023 年第四季度和全年的市場環境以及 MFA 的業績進行高層回顧，然後討論當前的宏觀形勢和 2024 年的前景，我將把電話轉給 Mike 來回顧我們的財務業績，然後由優秀的蒙德和布萊恩撰寫，他們將審查我們的投資組合融資和風險管理。

Before we open up the call for questions, the fourth quarter of 2023 was yet another volatile period for fixed income markets as 10-year treasury yields rose about 40 basis points in the first 2.5 weeks of the quarter before a furious rally that brought them down by about 110 basis points by the end of the year. This bond market rally was obviously friendly for mortgage assets and resulted in strong earnings and book-value performance for MFA. During the quarter, we generated a 7.8% economic return for the quarter and reported distributable earnings well in excess of our dividend, while 2023 was another extremely challenging year for fixed income investors and for levered mortgage investors, in particular, MFA's prudent risk management and continued execution of our strategy produced a 2.7% economic return for the year and a total shareholder return of 30.7%.

在我們開始提問之前，2023 年第四季對固定收益市場來說又是一個動盪時期，10 年期公債殖利率在該季度的前2.5 週內上漲了約40 個基點，然後出現了大幅上漲，導致殖利率下跌到年底約上漲110個基點。這次債券市場的反彈顯然對抵押貸款資產有利，並為 MFA 帶來了強勁的盈利和帳面價值表現。本季度，我們的經濟回報率為7.8%，可分配收益遠超股息，而2023 年對於固定收益投資者和槓桿抵押貸款投資者來說又是極具挑戰性的一年，特別是MFA 審慎的風險管理和繼續執行我們的策略，全年經濟回報率為 2.7%，股東總回報率為 30.7%。

As we look forward to 2024, the Fed appears to be in a holding pattern as they await further inflation and other economic data. Although the predominant view is for rate cuts in 2024. It seems pretty clear both from recent economic data and Chairman Powell statements that these much awaited rate cuts are at least a few months away, inflation numbers continue to surprise.

當我們展望 2024 年時，聯準會似乎處於按兵不動的狀態，等待進一步的通膨和其他經濟數據。儘管主流觀點是 2024 年降息。從最近的經濟數據和鮑威爾主席的聲明來看，似乎很清楚地表明，人們期待已久的降息至少還需要幾個月的時間，通膨數據繼續令人驚訝。

On the high side, labor markets are still strong, and the US economy remains buoyant, despite recent recession signals from both Japan and England. While a lower Fed funds rate will obviously benefit levered fixed income investors and mortgage reach. In particular, MFA's positioning positioning and strategy is decidedly not dependent on rate cuts in the elevated rate environment of the last year, we've continued to add incremental assets at higher yields to execute securitizations as a durable source of financing and earn significant positive carry on our interest rate swap position that we put in place almost two years ago.

從好的方面來看，儘管日本和英國最近都發出了衰退訊號，但勞動力市場仍然強勁，美國經濟仍然強勁。而較低的聯邦基金利率顯然有利於槓桿固定收益投資者和抵押貸款的覆蓋範圍。特別是，MFA的定位和策略絕對不依賴去年高利率環境下的降息，我們繼續以更高的收益率增加增量資產，以執行證券化作為持久的融資來源，並獲得顯著的正利差關於我們大約兩年前建立的利率互換部位。

We added $860 million of loans in the fourth quarter with an average coupon of 10%, and we acquired $3 billion of loans in 2023 with an average coupon of 9.8%. We completed eight securitizations during the year, collateralized by $2.2 billion of loans, including an issuance of over $450 million of securitized debt in the fourth quarter, which included a non-QM deal in mid-December that price over 50 basis points tighter and 100 basis points lower in yield than similar deals in October. Our strategic objectives and risk management initiatives have afforded us the opportunities and liquidity to grow our portfolio and materially increase its yield, which we believe sets us up well for 2024 and beyond.

我們在第四季增加了 8.6 億美元的貸款，平均票面利率為 10%；我們在 2023 年獲得了 30 億美元的貸款，平均票面利率為 9.8%。我們在這一年中完成了8 筆證券化，以22 億美元的貸款作為抵押，其中包括在第四季度發行了超過4.5 億美元的證券化債務，其中包括12 月中旬的一項非QM 交易，該交易的定價收緊了50 個基點和100 個基點。收益率低於 10 月類似交易的基點。我們的策略目標和風險管理措施為我們提供了擴大投資組合併大幅提高收益率的機會和流動性，我們相信這為我們在 2024 年及以後的發展奠定了良好的基礎。

And finally, we're already off to a strong start to 2024, we issued an unsecured senior bond early in January. That was a very successful transaction as we were able to upsize the deal to $115 million and tighten the yields into very strong demand. And this was no accident. We began working with underwriters in November and into December, and we specifically targeted an early January deal launch date to take advantage of investor appetites at the beginning of the year.

最後，我們已經在 2024 年有了一個良好的開端，我們在一月初發行了無擔保優先債券。這是一次非常成功的交易，因為我們能夠將交易規模擴大到 1.15 億美元，並收緊收益率以滿足非常強勁的需求。這並非偶然。我們從 11 月開始與承銷商合作，並進入 12 月，我們特別將交易啟動日期定在 1 月初，以充分利用投資者在年初的興趣。

And finally, we repurchased in the secondary market a little over $60 million of our convertible bond that's due in June. These repurchases, together with the proceeds from our bond deal, largely covered this convertible bond maturity.

最後，我們在二級市場回購了 6 月到期的略高於 6,000 萬美元的可轉換債券。這些回購，加上我們債券交易的收益，很大程度上涵蓋了可轉換債券的到期期限。

And I'll now turn the call over to Mike Roper to discuss our financial results.

現在我將把電話轉給邁克·羅珀 (Mike Roper)，討論我們的財務表現。

Thanks, Craig. As Craig highlighted in his opening remarks during the quarter, MFA again delivered strong results in challenging market conditions for the fourth quarter and that they generated GAAP earnings of $81.5 million, or $0.80 per basic common share and distributable earnings of $49.7 million, or $0.49 per basic common share. The increase orders to distributable earnings versus Q3, driven primarily by $7.9 million or $0.08 per share related to the release of CECL reserves on our carrying value loan portfolio DE. also benefited from a $3.2 million or $0.03 per share reduction in our G&A expenses in the fourth quarter related to the finalization of incentive compensation accruals for 2023. The Federal Reserve release reflects an update to our modeling assumptions due to continued macroeconomic resilience as well as the significant accumulated home price appreciation and strong credit performance of our seasoned carrying value loan portfolio.

謝謝，克雷格。正如克雷格在本季度的開場白中所強調的那樣，MFA 在第四季度充滿挑戰的市場條件下再次取得了強勁的業績，他們的GAAP 收益為8150 萬美元，即每股基本普通股0.80 美元，可分配收益為4,970 萬美元，即每股基本普通股0.49 美元。基本共同份額。與第三季相比，可分配收益有所增加，主要是由於我們帳面價值貸款組合 DE 上的 CECL 準備金釋放所致，即 790 萬美元或每股 0.08 美元。也受益於第四季度與 2023 年應計激勵薪酬的最終確定相關的一般管理費用減少 320 萬美元，即每股 0.03 美元。聯準會的發布反映了我們對模型假設的更新，這是由於宏觀經濟的持續彈性以及房價的大幅累積升值和我們經驗豐富的帳面價值貸款組合的強勁信貸表現。

Net interest income for the fourth quarter was $46.5 million, an increase from $46.1 million in the third quarter. As a reminder, our GAAP net interest income does not include the benefit of positive carry on our interest rate swaps. Net interest income, inclusive of this carry was approximately $77 million for the fourth quarter, an increase of $2 million from the same metric in the third quarter.

第四季淨利息收入為 4,650 萬美元，較第三季的 4,610 萬美元增加。提醒一下，我們公認的會計準則淨利息收入不包括利率掉期的正利差收益。第四季的淨利息收入（包括此利差）約為 7,700 萬美元，比第三季的同一指標增加了 200 萬美元。

For the full year, our net interest income plus the positive carry on our swaps was $283.6 million, an increase of over $50 million or 21% from the same metric in 2022. Our strategic focus on hedging and liability management, along with our disciplined asset acquisition strategy, allowed us to achieve this increase in net interest income.

全年，我們的淨利息收入加上掉期的正利差為 2.836 億美元，比 2022 年的同一指標增加了 5,000 萬美元以上，即 21%。我們對沖和負債管理的策略重點，以及嚴格的資產收購策略，使我們能夠實現淨利息收入的成長。

Although markets were experiencing the most aggressive Fed tightening cycle of the last four decades. At December 31st, GAAP book value was $13.98 per common share and economic book value was $14.57 per common share, representing increases from September 30, of 3.7% and 5.3%, respectively. MFA declared a dividend of $0.35 per common share for the fourth quarter and $1.40 per common share for the full year.

儘管市場正在經歷過去四十年來最激進的聯準會緊縮週期。截至 12 月 31 日，GAAP 帳面價值為每股普通股 13.98 美元，經濟帳面價值為每股普通股 14.57 美元，較 9 月 30 日分別成長 3.7% 及 5.3%。MFA 宣布第四季每股普通股股息為 0.35 美元，全年每股普通股股息為 1.40 美元。

The change in our economic book value, along with these dividends led to a total economic return of 7.8% for the fourth quarter and 2.7% for the full year. Finally, subsequent to year end, we estimate that as of earlier this week, our economic book value declined by approximately 1% to 2% as a result of higher market interest rates.

我們的經濟帳面價值的變化以及這些股息導致第四季度的總經濟回報率為 7.8%，全年的總經濟回報率為 2.7%。最後，在年底之後，我們估計，截至本週早些時候，由於市場利率上升，我們的經濟帳面價值下降了約 1% 至 2%。

I'd now like to turn the call over to good lender who will speak to our portfolio highlights and the performance of Lima One.

我現在想將電話轉給優秀的貸方，他們將介紹我們的投資組合亮點和利馬一號的表現。

Thanks, Mike. We remain very excited about our ability to deploy capital at attractive returns and continued to grow our portfolio in the quarter. We acquired $880 million of assets in the fourth quarter and $3.5 billion in 2023, growing our portfolio by $600 million or 7% in the quarter and by $1.9 billion or 20% in the full year. Business purpose loans and non-QM loans accounted for majority of our acquisitions in 2023, while we also added about $450 million of agency MBS and continue continue to approach them opportunistically as we believe they offer attractive returns while also providing risk management benefits to our credit-focused portfolio. We expect our fourth-quarter acquisitions to deliver around mid-teens s return on equity and continue to see similar attractive returns in 2024. Our ability to source high-yielding, high-quality loans has led to significant benefits for our shareholders.

謝謝，麥克。我們仍然對我們以有吸引力的回報部署資本的能力感到非常興奮，並在本季度繼續擴大我們的投資組合。我們在第四季度收購了8.8 億美元的資產，在2023 年收購了35 億美元的資產，使我們的投資組合在該季度增加了6 億美元，即7%，全年增加了19 億美元，即20%。商業目的貸款和非QM 貸款占我們2023 年收購的大部分，同時我們也增加了約4.5 億美元的機構MBS，並繼續機會主義地接觸它們，因為我們相信它們提供有吸引力的回報，同時也為我們的信貸提供風險管理優勢- 專注的投資組合。我們預計第四季度的收購將帶來約十幾歲左右的股本回報率，並在 2024 年繼續看到類似的有吸引力的回報。我們獲得高收益、高品質貸款的能力為我們的股東帶來了巨大的利益。

Looking at page 20, in our investor presentation, we can see that our asset yield has increased steadily in the year, up 77 basis points from 5.69% in Q1 to 6.46% in Q4. This combined with a relatively stable cost of funds have positively impacted our distributable earnings throughout the year. Us economy remains strong at the end of 2023, with fourth quarter GDP growth of over 3% and the unemployment rate remaining close to historical lows at 3.7%.

看第20頁，在我們的投資者介紹中，我們可以看到我們的資產收益率在這一年穩步上升，從第一季的5.69%上升到第四季度的6.46%，上升了77個基點。這加上相對穩定的資金成本對我們全年可分配的收益產生了積極影響。2023年底美國經濟依然強勁，第四季GDP成長超過3%，失業率仍接近3.7%的歷史低點。

Home price prices proved resilient in 2023, rising by over 5% in the year. As low supply of homes continues to outweigh low affordability. This backdrop of ongoing housing and labor market resilience continues to provide support to our credit portfolio. The market outlook for the economy continues to shift quickly, which has led to significant interest rate volatility and challenges from interest rate risk management. Our risk management approach has been to maintain a relatively short net duration and prioritize stability of funding costs through securitization issuance and swap hedges that mostly cover our floating rate liabilities. This approach was successful in 2023, and we believe it will continue to be successful in 2024 if as the market expects the Fed stops cutting rates in the second half of 2024, we believe we will benefit from the extensive carry on our swaps for most of the year.

2023 年房價表現出彈性，年內上漲超過 5%。由於房屋供應量低的問題繼續超過了負擔能力低的問題。住房和勞動力市場持續彈性的背景繼續為我們的信貸投資組合提供支持。經濟市場前景持續快速轉變，導致利率大幅波動，利率風險管理面臨挑戰。我們的風險管理方法是保持相對較短的淨久期，並透過證券化發行和掉期對沖（主要涵蓋我們的浮動利率負債）優先考慮融資成本的穩定性。這種方法在2023 年取得了成功，我們相信，如果市場預期聯準會將在2024 年下半年停止降息，那麼它將在2024 年繼續取得成功，我們相信我們將受益於大部分掉期的廣泛利差。那一年。

We'll also be able to gain from lower funding costs next year as $1 billion for swaps mature at the end of 2020 for an early 2025 and with a net duration of about 90 basis points, we believe we are appropriately protected against unexpected increases in interest rates. Turning to Lima one lever one close to Europe strongly originating over $590 million of BPL in the fourth quarter and $2.3 billion for the full year with an average coupon of over 10%.

明年我們也將能夠從較低的融資成本中獲益，因為10 億美元的掉期交易將於2020 年底到2025 年初到期，淨久期約為90 個基點，我們相信，我們可以獲得適當的保護，免受意外增長的影響。利率。轉向利馬，靠近歐洲的槓桿在第四季度強勁地產生了超過 5.9 億美元的 BPL，全年為 23 億美元，平均票面利率超過 10%。

Since our acquisition 2.5 years ago, Lima has originated about $5.6 billion of BPLs for our balance sheet as robust origination activity has been key to growing our portfolio and asset yields in 2022 and 2023, with Lima, one originated loans accounting for over 70 of our loan acquisitions in 2023. Credit quality and Lehman origination remained strong and consistent throughout the year with average LTV of 65% and average cycle score of 745 on loans originated fourth quarter originations remain concentrated in the shorter term transitional loans, which accounted for about 85% of volume. Demand for Lemus products remained strong with disruptions in the private lending space, providing opportunities to grow market share and attract talent.

自2.5 年前收購以來，Lima 已為我們的資產負債表發放了約56 億美元的BPL，因為強勁的發放活動是我們在2022 年和2023 年增加投資組合和資產收益率的關鍵，而Lima 是一項發放貸款，占我們的70 多項。2023 年貸款收購。全年信貸品質和雷曼起源保持強勁且一致，第四季度起源貸款的平均 LTV 為 65%，平均週期分數為 745，仍然集中在短期過渡性貸款，約佔總量的 85%。隨著民間借貸領域的混亂，對 Lemus 產品的需求依然強勁，這提供了擴大市場份額和吸引人才的機會。

The first quarter has historically been the slowest quarter for BPO origination, and we expect volumes to be lower at around $450 million in the first quarter. The 60-plus day delinquency rate on our BPL loans originated by Lima One ticked up to 3.9% in the quarter, but remained low and consistent with our modeling expectations for this asset class. As always, we remain laser focused on credit monitoring and loss mitigation strategies. Lima, one has originated and serviced PPP loans since 2010 can have extensive servicing and construction management capabilities, which we believe when combined with MFA's own extensive credit and asset management experience allows us to manage delinquencies effectively and efficiently.

從歷史上看，第一季是 BPO 起源最慢的季度，我們預計第一季的交易量將下降至 4.5 億美元左右。本季度，由 Lima One 發起的 BPL 貸款的 60 多天拖欠率上升至 3.9%，但仍處於較低水平，與我們對該資產類別的建模預期一致。一如既往，我們仍然專注於信用監控和損失減輕策略。利馬是自2010 年以來發起並提供PPP 貸款服務的機構之一，擁有廣泛的服務和建設管理能力，我們相信，與MFA 自身豐富的信貸和資產管理經驗相結合，我們能夠有效且高效地管理拖欠情況。

In continued support of Lima origination activities. We increased our VP of Finance and cabinet capacity by about $400 million in the fourth quarter and further expanded this month when we price or fourth revolving transitional loan securitization collateralized by about $200 million of loans.

繼續支持利馬起源活動。我們在第四季度將財務副總裁和內閣能力增加了約4 億美元，並在本月進一步擴大了規模，當時我們對由約2 億美元貸款抵押的第四輪循環過渡貸款證券化進行了定價。

I will now turn the call over to Brian Wilson will discuss MFA's credit performance and securitization activities in more detail.

我現在將把電話轉給 Brian Wilson，他將更詳細地討論 MFA 的信用表現和證券化活動。

We successfully navigated another volatile quarter, issuing over $450 million in bonds through two securitizations in October, we issued our third RTL revolving securitization, selling $184 million of bonds and an 8.5% coupon backed by $230 million of collateral carrying a weighted average coupon of over 10%.

我們成功度過了另一個動蕩的季度，10 月透過兩次證券化發行了超過4.5 億美元的債券，我們發行了第三次RTL 循環證券化，出售了1.84 億美元的債券和8.5% 的票息，由​​2.3 億美元的抵押品支持，加權平均票息超過10%。

Subsequently in December, we opportunistically issued our 13th non-QM deal after a significant spread in rate value, selling [$268] million of bonds with a coupon in the low mid sixes, which, as Craig previously mentioned, was 100 basis points lower than other non-QM deals issued.

隨後，在12 月，我們在利率價值大幅波動後，趁機發行了第13 筆非QM 交易，出售了[2.68 億美元] 債券，票息為6 美元中低，正如Craig 之前提到的，該債券比2017 年低100 個基點。已發行的其他非 QM 交易。

Just a couple of months. Prior this month, we issued a fourth revolving securitization backed by our transitional loans originated by Lima One. $160 million of bonds sold were well received pricing at a coupon of just over 7%, which was 140 basis points lower than the prior deal issued in October. The loans underlying the deal had a weighted average coupon of almost 11%. We have now issued securitizations backed by over $9 billion in loans since 2020. And the percentage of our loan portfolio financed by securitizations continues to trend higher above 60%.

才幾個月。本月早些時候，我們發行了第四次循環證券化，由 Lima One 發起的過渡貸款提供支援。發行的 1.6 億美元債券受到好評，票息率略高於 7%，比 10 月發行的債券低 140 個基點。該交易涉及的貸款的加權平均票息接近 11%。自 2020 年以來，我們已發行了由超過 90 億美元貸款支持的證券化產品。我們的貸款組合中由證券化融資的比例持續上升至 60% 以上。

On page 19 of our presentation, you can see that many of our securitizations are currently callable and others will become callable in the coming quarters. And years. Those call features provide the potential to relever our collateral, unlocking substantial nondilutive capital that can be redeployed at mid 10s ROE. So our strategy is not dependent on lower rates should we find ourselves again in a lower interest rate environment. The call features also provide an optionality to reduce our borrowing costs. We believe that mortgage securitization will continue to be a significant piece of our low financing strategy since it is nonrecourse, non-mark-to-market funding and further insulates the portfolio from volatile markets.

在我們簡報的第 19 頁上，您可以看到我們的許多證券化產品目前均可贖回，其他證券化產品將在未來幾季可贖回。還有歲月。這些看漲期權功能提供了重新利用我們的抵押品的潛力，釋放了大量的非稀釋資本，這些資本可以在 10 多美元的 ROE 下重新部署。因此，如果我們再次處於較低的利率環境中，我們的策略並不依賴較低的利率。通話功能也提供了降低借貸成本的選擇。我們相信，抵押貸款證券化將繼續成為我們低融資策略的重要組成部分，因為它是無追索權、非以市價計價的融資，並進一步使投資組合免受波動市場的影響。

Moving to our credit performance, strong labor market and resilient housing backdrop continues to support our credit performance. Over the quarter, we saw a modest increase in 60 plus day delinquencies in our purchase performing portfolio, which increased to 3.8% from 3.1% a quarter ago. This increase remains well within our expectations when we model our expected cash flows for the portfolio 60 plus day delinquencies in our legacy RPL NPL portfolio declined by [over a point] to 24.5% as we continue to achieve positive outcomes for our remaining delinquent loans, utilizing our in-house expertise and asset management.

轉向我們的信貸表現，強勁的勞動力市場和有彈性的住房背景繼續支持我們的信貸表現。本季度，我們的採購績效投資組合中 60 多天的拖欠率略有增加，從上季度的 3.1% 增加到 3.8%。當我們對投資組合的預期現金流量進行建模時，這一增長仍然完全在我們的預期之內。隨著我們繼續在剩餘拖欠貸款方面取得積極成果，我們遺留的RPL 不良貸款投資組合中60 天以上的拖欠率下降了[超過一個點]至24.5%，利用我們的內部專業知識和資產管理。

Our asset management team worked closely closely with our servicers to improve outcomes on defaulted loans, including generating gains on our legacy RPLs and NPLs and mitigating potential losses on our newly originated loans. We're proud of our asset management capabilities since that give us comfort growing our purchase performing portfolio and gives us optionality should distressed loan opportunities arise in the future prepayment speeds in our portfolio declined slightly in the quarter, reflecting the higher interest rate environment. Cprs remained in the mid to high single digits for our non-QM, SFR and legacy RPL and NPL portfolios.

我們的資產管理團隊與我們的服務機構密切合作，以改善違約貸款的結果，包括為我們的遺留貸款和不良貸款創造收益，並減少我們新發放的貸款的潛在損失。我們對我們的資產管理能力感到自豪，因為這讓我們能夠放心地發展我們的購買績效投資組合，並在未來出現不良貸款機會時為我們提供選擇權，我們投資組合的預付款速度在本季度略有下降，反映了較高的利率環境。我們的非 QM、SFR 以及傳統 RPL 和 NPL 投資組合的 Cpr 仍保持在中高個位數。

For the transitional loan portfolio, we had annualized repayment rate of 33%. We had total paydowns of over $400 million in the quarter which continued to be reinvested into higher yielding assets. Lastly, we continued to reduce our REO portfolio. Over the quarter, we sold 71 properties for $22.6 million, resulting in over $2 million in gains.

對於過渡性貸款組合，我們的年化還款率為33%。本季我們的總付款超過 4 億美元，並繼續再投資於收益率更高的資產。最後，我們持續減少 REO 投資組合。本季度，我們以 2,260 萬美元的價格出售了 71 處房產，帶來了超過 200 萬美元的收益。

And with that, we'll turn the call over to the operator for questions.

然後，我們會將電話轉給接線員詢問問題。

(Operator Instructions) Doug Harter, UBS.

（操作員說明）Doug Harter，UBS。

Thanks, morning. Hoping you could talk a little bit more about your call strategy on the or is this something that you view as attractive kind of even in the current rates and then lower rates would be upside optionality? Or just how should we think about how aggressive you would be on exercising those calls?

謝謝，早安。希望您能多談談您的看漲策略，或者您認為即使在當前利率下，這是否具有吸引力，然後較低的利率將是上行選擇？或者我們應該如何考慮您在行使這些電話時會採取多大的動力？

So it all depends deal to deal price for certain deals where they have delevered a significant amount. It may make sense for us to call them even if interest rates aren't necessarily lower than the than they were for the deals and they were issued and but for other deals, right, it's going to be opportunistic depending on where rates are.

因此，這完全取決於某些交易的交易價格，這些交易已經減少了大量槓桿化。即使利率不一定低於交易和發行時的利率，我們可能會認為它們是有意義的，但對於其他交易來說，這將是機會主義的，這取決於利率的情況。

Okay. And then you talked a little bit about your unsecured issuance during the quarter. I guess how should we think about your appetite for continuing to use that and what that role might be in your capital structure going forward?

好的。然後您談到了本季度的無擔保發行。我想我們應該如何考慮您繼續使用它的意願以及該角色在您未來的資本結構中可能扮演什麼角色？

So I mean, thanks for the question, Doug, it was a very successful transaction on. It's a little bit of a niche product because it's a $25 par amount. So it's a retail product, but I think we certainly proved it out that it's a viable source of financing. So to the extent that we look to raise additional capital in fields, one of the tools in the toolbox, great thanks.

所以我的意思是，謝謝你的提問，道格，這是一個非常成功的交易。它是一種小眾產品，因為它的票面金額為 25 美元。所以它是一種零售產品，但我認為我們確實證明了它是一種可行的融資來源。因此，就我們希望在工具箱中的工具之一的領域籌集額外資金而言，非常感謝。

Steve DeLaney, Citizens JMP.

Steve DeLaney，公民 JMP。

Good morning, everyone. Congratulations on a strong close to what was a very good year in a tough, tough market bankers, insurance pay credit. So looking at the market, obviously, you know, everybody's focused on the Fed and where you were maybe looking at it slightly different mortgage market at the end of this year than we are right here today. I'm just curious what you're seeing out there beyond Lima One.

大家，早安。恭喜銀行家在艱難的市場中順利結束了非常好的一年，保險支付信貸。因此，看看市場，顯然，每個人都在關注美聯儲，今年年底的抵押貸款市場可能與我們今天在這裡的情況略有不同。我只是好奇你在利馬一號之外看到了什麼。

Ok, Lima One is is doing great, but is there anything emerging out there in terms of non-bank originators of specialized product, not just obviously not agency flow, but non-agency products that you don't have the kind of yield and profile that might be attractive to you guys sort of a sort of a non qualified mortgage in QM kind of product is what I'm what I'm thinking about curious what you're seeing out there in terms of product flow on the on the consumer mortgage side banks?

好吧，利馬一號做得很好，但是在專業產品的非銀行發起者方面是否有任何新興的東西，不僅明顯不是代理流量，而且是你沒有那種收益率和收益的非代理產品。可能對你們有吸引力的個人資料，某種QM 類產品中的不合格抵押貸款，就是我正在考慮的，好奇你們在網站上的產品流方面看到了什麼消費者抵押貸款銀行？

So I'll speak to that first and then I'll let Brian address your done Q1 question on Steve. I know there's been a lot of talk about possible trends emerging in banks and commercial loan portfolios. And but at this point, I wouldn't say that we've identified any any on screening opportunity right now. Obviously that can change. And as the year plays out, that may be the case on. But I think we're pretty comfortable in the space that we're in. And we've been able to we've been able to add significant amounts of assets over the last two years that successively higher rates on. So it took until we find that challenging or until we find that something that's better, I think we're pretty comfortable where we are.

因此，我將首先討論這一點，然後讓布萊恩回答您關於史蒂夫的第一個問題。我知道有很多關於銀行和商業貸款組合可能出現的趨勢的討論。但在這一點上，我不會說我們現在已經確定了任何篩選機會。顯然這可以改變。隨著這一年的結束，情況可能會繼續如此。但我認為我們在我們所處的空間裡非常舒服。在過去的兩年裡，我們已經能夠增加大量資產，而且利率不斷提高。因此，直到我們發現具有挑戰性或直到我們發現更好的東西，我認為我們對目前的情況感到非常滿意。

As it relates to non-QM, right. Over the last quarter, we bought around say, $300 million of newly originated loans and that and that continues to be at a pace. We haven't really seen a tick-up in production, but they're still, you know, a good amount of supply out there to meet our needs in terms of like potentially new products.

因為它與非 QM 相關，對吧。在上個季度，我們購買了大約 3 億美元的新發放貸款，而且這一速度仍在繼續。我們還沒有真正看到產量的增加，但你知道，它們仍然有大量的供應，可以滿足我們在潛在新產品等方面的需求。

Yes, we've always looked at sort of second in this environment for a lot of borrowers who have locked in low rates previously, but still can't really do a cash-out refinance, but it makes sense for them to draw on it on a second. We've always looked at that market and we do it in some in some small size. But the trick the tricky part is getting to critical mass of loan amounts are generally pretty small and there's just not a ton of that production out there to date.

是的，在這種環境下，我們一直在關注許多以前鎖定低利率但仍然無法真正進行現金再融資的借款人，但對他們來說利用它是有意義的就一秒鐘。我們一直在關注這個市場，並且在一些小規模的市場上做這件事。但最棘手的部分是達到臨界數量的貸款金額通常相當小，而且迄今為止還沒有大量的貸款。

Got it. And then my final question is about Lima, one bridge products. And with respect to multifamily, you know, they do some single-family rental. That was a little bit of everything I think from an investor loan standpoint. But on the multi-family side, where does that kind of tap as far as the size of a project that they would work on? And the just the magnitude, how large of a loan might they make because we were seeking a multi-family. We used to think of as bullet proof. But you know, from covering the commercial mortgage rates, we're just seeing more and more. I mean, office is still the real problem, but we've seen a lot of multifamily distress out there. So I'm just curious if you've got any any concerns about your multifamily bridge book that you may have through Lima One. Thank you.

知道了。我的最後一個問題是關於 Lima，一個橋樑產品。至於多戶住宅，你知道，他們也出租一些單戶住宅。從投資者貸款的角度來看，這就是我的一些想法。但在多戶家庭方面，他們要從事的計畫的規模在哪裡？由於我們正在尋找多戶家庭，他們可能會發放多大的貸款。我們曾經認為是防彈的。但你知道，從商業抵押貸款利率來看，我們看到的情況越來越多。我的意思是，辦公室仍然是真正的問題，但我們已經看到了許多多戶家庭的困境。所以我只是好奇您是否對透過利馬一號獲得的多戶家庭橋樑書有任何疑問。謝謝。

They see us as a great question, um, just for just for some context about the size, and I'll give you a little bit of broader context also on the on the multifamily portfolio. So look, these are really small balance multifamily loans. The average loan size is about $3.2 million and so we're originating is that our average LTV of about 65%, which means the average property values broadly around the mid-fives. And when you think about the strategies here, the average profile is kind of a highly experienced borrower that is looking to renovate some units. Some of the common space, improved property management.

他們認為我們是一個很好的問題，嗯，只是為了了解有關規模的一些背景，我將為您提供一些關於多戶投資組合的更廣泛的背景。所以看，這些都是小額多戶家庭貸款。平均貸款規模約為 320 萬美元，因此我們的平均 LTV 約為 65%，這意味著平均房產價值大致在 5 左右。當你考慮這裡的策略時，一般情況下都是經驗豐富的借款人，正在尋求翻新一些單位。部分公用空間，物業管理有改善。

Usually at origination. The average project has some occupancy ranging between 60%, 80% on day one. So there's some cash flow that helps the borrower while they're working on the transition and these projects are all light. We have a view of the average we have amount is around kind of $600,000, which is roughly about kind of 20% of the loan amount. So we would think about that as fairly light-touch we have. And, you know, if you think about in terms of per unit, that's anywhere from like [$7,000 to $12,000] per unit from the goal is to complete the we have fully lease up the units and an exit, in most cases through a GSE takeout financing, which of course, is significantly lower than the US.

通常在起源時。一般項目第一天的入住率在 60% 到 80% 之間。因此，當藉款人進行過渡時，有一些現金流可以幫助他們，而且這些項目都是輕量級的。我們認為我們的平均金額約為 60 萬美元，約佔貸款金額的 20%。所以我們認為這是我們相當輕鬆的做法。而且，你知道，如果你從每單位的角度考慮，每單位的成本約為 [7,000 美元至 12,000 美元]，目標是完成我們已完全出租單位並退出，在大多數情況下通過 GSE外賣融資當然明顯低於美國。

The coupon on that on the bridge loan on these, these loans are usually two to three term, two to three year term loans with a fixed coupon. And so if you think about that in the context of the last two years because there's a fixed coupon on the there hasn't been any quote, payment shock during the times term of the loan and so it doesn't put a pressure on the borrower as long as the project is underwritten appropriately and the project makes sense.

過橋貸款的票，這些貸款通常是兩到三年期、兩到三年期的固定票息貸款。因此，如果你考慮過去兩年的情況，因為有固定息票，在貸款期限內沒有任何報價、付款衝擊，因此不會對貸款造成壓力借款人只要項目得到適當的承保並且項目有意義。

Historically, our underwriting has been fairly conservative in the underwriting statistics kind of bear that out the average assets LTV, as I said earlier, about 65% and the average after the ground to be similar at around 6.5%. And when we think about it in terms of like that, yield concept of the average as stabilized debt yield has been averaged around 9.5% on the portfolio but in 2023, it is close to 10.5%.

從歷史上看，我們的承保在承保統計數據上相當保守，正如我之前所說，平均資產 LTV 約為 65%，地面後的平均水平約為 6.5%。當我們這樣思考時，穩定債務收益率的平均收益率概念在投資組合中平均約為 9.5%，但到 2023 年，將接近 10.5%。

And so in summary, like we think these are underwritten with plenty of borrowers skin in the game and with expected cash flows that can support the refinancing into long-term debt. And to date, like you know, from a performance perspective, the the 60-plus day delinquency on the multifamily part is about 2% or so is fairly low. And it from a vintage perspective, most of our vintages 22 and 23, I think arguably many would argue that the 21 visits probably is the one that would be at most risk across the spectrum because rates were low, things were underwritten, probably looser mean across your home home price appreciation as well as rent increases and look at the COVID as we think about all these things, we feel very comfortable about the portfolio.

總而言之，我們認為這些貸款是由大量借款人參與的，並且預期現金流可以支持長期債務的再融資。到目前為止，如您所知，從績效角度來看，多戶住宅部分 60 多天的拖欠率約為 2% 左右，相當低。從年份的角度來看，我們大多數年份為 22 和 23，我想很多人可能會認為 21 次訪問可能是整個範圍內風險最大的年份，因為利率低，東西被承保，可能更寬鬆的意思考慮到您的房價升值以及租金上漲，並考慮到新冠疫情，我們對這個投資組合感到非常滿意。

Yes, that's sounds like it's a rock-solid workforce housing with a with a government takeout at the backside. So that's very helpful to get there. The comfort on which we're looking inside that portfolio, I think, is pretty solid. Appreciate everybody's comments this morning and congrats again on a really strong close and to a good year. Thank you.

是的，這聽起來像是一個堅如磐石的勞動力住房，後面有政府外帶。所以這對到達那裡非常有幫助。我認為，我們對這個投資組合的觀察是相當可靠的。感謝大家今天早上的評論，並再次祝賀今年的圓滿結束。謝謝。

Thanks a lot, Steve.

非常感謝，史蒂夫。

(Operator Instructions) There are no further questions in queue from the phones at this time.

（操作員說明） 目前電話中沒有其他問題在隊列中。

All right. Thank you, operator. Thanks, everyone, for your interest in MFA Financial. We look forward to speaking with you again in May when we announce first quarter results.

好的。謝謝你，接線生。感謝大家對 MFA Financial 的關注。我們期待在五月宣布第一季業績時再次與您交談。

Thank you. And ladies and gentlemen, today's conference will be available for replay beginning at 1 P.M. Eastern Time today and running through May 22nd at midnight. You may access the AT&T replay system by dialing one eight six six two zero seven one zero four one and entering the access code of seven three eight eight three two seven. International participants may dial one four zero two nine seven zero zero eight four seven. Those numbers again are one eight six six two zero seven one zero four one or four zero two nine seven zero zero eight four seven with the access code of seven three eight eight three two seven.

謝謝。女士們、先生們，今天的會議將於下午 1 點開始重播。東部時間今天持續到 5 月 22 日午夜。您可以透過撥打 1 8 6 6 2 0 7 1 0 4 1 並輸入存取碼 7 3 8 8 3 2 7 來存取 AT&T 重播系統。國際參與者可撥打一四零二九七零八四七。這些數字又是一八六六二零七一零四一或四零二九七零八四七，訪問碼是七三八八三二七。

And that does conclude our conference for today. Thank you for your participation and for using AT&T Event Conferencing. You may now.

我們今天的會議到此結束。感謝您的參與與使用 AT&T Event Conference。你現在可以了。