Slide 1: Company Update Third Quarter 2022
Company Update THIRD QUARTER 2022 DRAFT 10/27
Slide 2: Forward looking statements
Q2 2022 Financial Snapshot Forward looking statements When used in this presentation or other written or oral communications, statements which are not historical in nature, including those containing words such as “will,” “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “
Slide 3: MFA at a glance
MFA at a glance Leading hybrid mortgage REIT with extensive experience in managing residential mortgage assets through economic cycles Equity allocation Total assets Total equity (As of September 30, 2022) $9.5B as of September 30, 2022 $2.0B as of September 30, 2022 14% 21% Cumulative dividends Lis
Slide 4: Q3 2022 financial snapshot
Q3 2022 financial snapshot MFA protected book value during Q3 through hedging and securitization activities undertaken during the past year GAAP Economic Net interest book value book value1 income GAAP loss of $15.31 $15.82 $52.3 ($0.62) million per common share per common share per common share Lev
Slide 5: Key items impacting results
• Third quarter GAAP results reflect ongoing market volatility • Limited declines in book value through active portfolio management Key items • Further securitizations of loans across asset classes, reducing recourse mark-to-market (MTM) financing and generating substantial liquidity impacting • $75
Slide 6: Balance sheet strength
12 month Balance sheet metric Q3 2021 Q4 2021 Q1 2022 Q2 2022 Q3 2022 change % non-MTM financing 54% 58% 57% 63% 71% +17% % of effective fixed-rate financing 38% 58% 78% 95% 99% +61% Balance Securitized debt par outstanding ($M) $2,050 $2,645 $2,920 $3,532 $4,116 +$2,067 Swap notional ($M) - $900 $2
Slide 7: Balance sheet strength: loan financing
• $5.2B of non-MTM loan financing at September 30, 2022 • Excluding securitized debt, $3.1B of loan financing of which $2.0B (or 65%) has maturity greater than 6 months and $0.7B (or 23%) has maturity greater than 12 months at September 30, 2022 • Loan financing terms (including advance rates and sp
Slide 8: Seasoned loan portfolio with embedded HPA
MFA’s seasoned loan portfolio has benefited from strong home price appreciation (HPA) and loan amortization, with an HPA- adjusted LTV of just 57% Seasoned loan portfolio with UPB Weighted average LTV at loan Current LTV 1 % of UPB with Accumulated Residential whole loan type ($M) loan age acquisiti
Slide 9: Q3 2022 portfolio highlights
Q3 2022 portfolio highlights Portfolio composition – 9/30/22 • Acquired $710M of loans in the quarter • Tapered asset acquisitions of purchased loans, particularly Non-QM loans • Q3 loan acquisitions include $520M of funded originations and draws of Business Other $1.3B (1) Purpose Loans at Lima One
Slide 10: Non-QM investments
Non-QM investments Portfolio statistics (9/30/22) Total UPB ($M) $3,669 Average balance $509,670 Quarter • Purchased $179M of Non-QM loans during the quarter, down from $220M in Q2 WA LTV1 65% • Loans purchased in the quarter had a weighted average coupon of 7.61% highlights • Completed an additiona
Slide 11: Business purpose loans: fix-and-flip
Business purpose loans: fix-and-flip (residential transition loans) Portfolio statistics (9/30/22) The Residential Transition Loan (RTL) portfolio grew by over UPB ($M) $1,262 Quarter $215M to $1.3B UPB at September 30, 2022, a 21% increase over Undrawn commitments ($M) $543 second quarter 2022 high
Slide 12: Business purpose loans: single family rental loans
Business purpose loans: single family rental (SFR) loans SFR portfolio statistics (9/30/22) SFR portfolio exhibiting strong performance, delivering attractive UPB ($M) $1,436 Quarter yields and good credit performance WA LTV 69% highlights • Portfolio grew by 9% in the third quarter • Acquired $152M
Slide 13: Legacy Non-Performing and Re-Performing Loans
Legacy Non-Performing1 and Re-Performing2 Loans Non-Performing Loans (NPL) Re-Performing Loans (RPL) • Improving outcomes for NPL portfolio by returning loans to performing or • Remaining UPB of $805M paid-in-full status • 82% of RPL portfolio is less than 60 days delinquent as of September 30, 2022
Slide 14: Appendix
Appendix James Casebere, Landscape 14with Houses (Dutchess County, NY) #2, 2010 (detail)
Slide 15: MFA overview
• MFA Financial, Inc. is a leading specialty finance company that invests in and MFA finances residential mortgage assets • Residential mortgage asset portfolio comprised of both bridge and term Business overview Purpose Loans (BPLs), Non-QM, Re-Performing and Non-Performing Loans and residential mo
Slide 16: Lima One: A leading BPL originator and servicer
• Lima One, a wholly owned subsidiary of MFA, is an industry leading, fully integrated business purpose lending platform, with in-house underwriting, servicing and Lima One: construction management. Securitization execution in place for all loan products A leading BPL originator • Lima One offers a
Slide 17: Reconciliation of GAAP net income to non-GAAP distributable earnings
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 ear
Slide 18: Reconciliation of GAAP book value to Economic book value
Reconciliation of GAAP book value to Economic book value “Economic book value” is a non-GAAP financial measure of our financial position. To calculate our Economic book value, our portfolios of Residential whole loans and securitized debt(1) held at carrying value are adjusted to their fair value, r
Slide 19: Book value and economic book value rollforward
Book value and economic book value rollforward GAAP Economic Book value per common share as of 6/30/22 $16.42 $17.25 Net income available to common shareholders (0.62) (0.62) Common stock dividends declared (0.44) (0.44) Impact of share repurchases — — Fair value changes attributable to residential
Slide 20: GAAP segment reporting
GAAP segment reporting Mortgage- (Dollars in millions) Related Assets Lima One Corporate Total Three months ended September 30, 2022 Interest Income $ 90.4 $ 31.9 $ 1.6 $ 123.9 Interest Expense 47.8 19.9 3.9 71.6 Net Interest Income $ 42.6 $ 12.0 $ (2.4) $ 52.3 Provision for Credit Losses on Residen
Slide 21: Distributable earnings by operating segment
Distributable earnings by operating segment Mortgage- Related Lima One Corporate Total (Dollars in millions) Assets Three months ended September 30, 2022 GAAP Net loss used in the calculation of basic EPS $ (18.7) $ (12.8) $ (31.9) $ (63.4) Adjustments: Unrealized gains and losses on: Residential wh