Company Update SECOND QUARTER 2023 Q2 2022 Financial Snapshot 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," "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, ...

MFA Financial, Inc. (NYSE:MFA) Q2 2023 Earnings Conference Call August 3, 2023 11:00 AM ET Company Participants Hal Schwartz - Investor Relations Craig Knutson - President and Chief Executive Officer Steve Yarad - Chief Financial Officer Gudmundur Kristjansson - Co-Chief Investment Officer Bryan Wulfsohn - Co-Chief Investment Officer Conference Call Participants Bose George - KBW Steve Delaney - JMP Securities Doug Harter - Credit Suisse Eric Hagen - BTIG Operator Ladies and gentlemen, thank you for standin ...

___________________________________________________________________________ Table of Contents UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2023 or ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 1-13991 MFA FINANCIAL, INC. (Exact name of registrant as sp ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 ___________________________________________________________________________ FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2023 or ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 1-13991 MFA FINANCIAL, INC. (Exact name of registrant a ...

Financial Data and Key Metrics Changes - The economic book value increased by 3% in the first quarter of 2023, generating an economic return of 5.3% despite challenging conditions for mortgage REITs [47][48] - The cost of funds increased by less than 60 basis points over the last three quarters, while the yield on the purchased performing loan portfolio increased by almost 120 basis points during the same period [4][5] Business Line Data and Key Metrics Changes - The company acquired approximately $630 million of loans and securities in the first quarter, growing the portfolio by 6% to about $8.4 billion [15] - Lima One originated approximately $380 million in the first quarter, accounting for about 80% of the loan additions, with origination volumes showing encouraging trends [24][37] Market Data and Key Metrics Changes - The securitization market exhibited volatility, but the company was able to execute over $500 million in bonds through three securitizations at attractive borrowing costs [17][51] - The average loan-to-value (LTV) ratio for the loan portfolio was 59%, indicating strong credit fundamentals [14][37] Company Strategy and Development Direction - The company continues to prioritize liquidity, maintaining a cash position of over $360 million at quarter-end, and plans to adjust market pricing and yields on asset purchases [5] - The focus on credit quality remains fundamental, with a strategy targeting high-FICO borrowers and lower LTVs to create a resilient portfolio [26][37] Management's Comments on Operating Environment and Future Outlook - Management expressed concerns about the banking sector's liquidity and potential asset sales, indicating that banks may be less willing to extend credit in the short term [13] - The outlook for origination volume from Lima One is expected to increase, with projections of around $500 million for Q2 and $600 million for each quarter in the second half of the year, totaling approximately $2 billion for 2023 [9][19] Other Important Information - The company successfully sold 93 properties from its REO portfolio for $34 million, resulting in $5 million in gains, indicating effective management of its credit portfolio [39] - The company expanded its RTL financing capacity by over $400 million in the quarter, enhancing its ability to support BPL origination [50] Q&A Session Summary Question: What is the estimated range for origination volume from Lima for 2023? - Management expects origination volume to be around $500 million for Q2 and $600 million for each quarter in the second half of the year, totaling approximately $2 billion for 2023 [9][19] Question: Can you comment on the book value and any positive price adjustments? - The loan book was up approximately 1.5 points, primarily due to rates, and the overall book value increased by 3% [21][29]

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K (Mark One) ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2022 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 1-13991 MFA FINANCIAL, INC. (Exact name of registrant as specified in its charter) Maryland 13-3974868 (State or other jurisdiction of i ...

MFA Financial, Inc. (NYSE:MFA) Q4 2022 Earnings Conference Call February 23, 2023 10:00 AM ET Company Participants Harold Schwartz - Senior Vice President, General Counsel & Secretary Craig Knutson - President & Chief Executive Officer Gudmundur Kristjansson - Co-Chief Investment Officer Bryan Wulfsohn - Co-Chief Investment Officer Stephan Yarad - Chief Financial Officer Conference Call Participants Steve Delaney - JMP Securities Douglas Harter - Credit Suisse Bose George - KBW Eric Hagen - BTIG Operator La ...

[PART I. FINANCIAL INFORMATION](index=2&type=section&id=PART%20I.%20FINANCIAL%20INFORMATION) [Financial Statements](index=3&type=section&id=Item%201.%20Financial%20Statements) This section presents the unaudited consolidated financial statements, detailing a net loss of $55.0 million for Q3 2022 and changes in assets and equity Consolidated Balance Sheet Summary (Unaudited) | (In Thousands) | September 30, 2022 | December 31, 2021 | | :--- | :--- | :--- | | **Total Assets** | **$9,519,846** | **$9,139,688** | | Residential whole loans, net | $8,194,049 | $7,913,000 | | Cash and cash equivalents | $434,086 | $304,696 | | **Total Liabilities** | **$7,485,915** | **$6,596,840** | | Financing agreements | $7,289,440 | $6,378,782 | | **Total Stockholders' Equity** | **$2,033,931** | **$2,542,848** | Consolidated Statements of Operations Summary (Unaudited) | (In Thousands, Except Per Share) | Three Months Ended Sep 30, 2022 | Three Months Ended Sep 30, 2021 | Nine Months Ended Sep 30, 2022 | Nine Months Ended Sep 30, 2021 | | :--- | :--- | :--- | :--- | :--- | | Net Interest Income | $52,293 | $61,816 | $167,925 | $171,770 | | Other (Loss)/Income, net | ($64,191) | $94,446 | ($248,155) | $150,413 | | **Net (Loss)/Income** | **($55,018)** | **$132,511** | **($238,291)** | **$284,747** | | **Basic (Loss)/Earnings per Share** | **($0.62)** | **$1.12** | **($2.54)** | **$2.33** | | **Diluted (Loss)/Earnings per Share** | **($0.62)** | **$1.08** | **($2.54)** | **$2.28** | [Note 3. Residential Whole Loans](index=23&type=section&id=Note%203.%20Residential%20Whole%20Loans) The residential whole loan portfolio increased to $8.2 billion, primarily comprising performing, non-performing, and credit-deteriorated loans Residential Whole Loan Portfolio Breakdown (As of Sep 30, 2022) | Loan Category | Held at Carrying Value (In Thousands) | Held at Fair Value (In Thousands) | Total (In Thousands) | | :--- | :--- | :--- | :--- | | Purchased Performing Loans | $1,434,596 | $5,468,403 | $6,902,999 | | Purchased Credit Deteriorated Loans | $480,679 | $0 | $480,679 | | Purchased Non-Performing Loans | $0 | $847,563 | $847,563 | | Allowance for Credit Losses | ($37,192) | $0 | ($37,192) | | **Total Residential Whole Loans** | **$1,878,083** | **$6,315,966** | **$8,194,049** | - The allowance for credit losses on residential whole loans held at carrying value decreased from **$39.4 million** at the end of 2021 to **$37.2 million** as of September 30, 2022[91](index=91&type=chunk) [Note 4. Securities, at Fair Value](index=29&type=section&id=Note%204.%20Securities%2C%20at%20Fair%20Value) The company's securities portfolio at fair value decreased to $227.4 million, primarily consisting of MSR-related assets and CRT securities Securities Portfolio Summary | (In Millions) | Fair Value (Sep 30, 2022) | Fair Value (Dec 31, 2021) | | :--- | :--- | :--- | | Term Notes Backed by MSR-Related Collateral | $148.2 | $153.8 | | CRT Securities | $79.2 | $102.9 | | **Total Securities, at Fair Value** | **$227.4** | **$256.7** | - During the nine months ended September 30, 2022, the company sold CRT securities for approximately **$15.7 million**, realizing gains of **$84,000**[109](index=109&type=chunk) No securities were sold in the same period of 2021 [Note 6. Financing Agreements](index=35&type=section&id=Note%206.%20Financing%20Agreements) Total financing agreements increased to $7.3 billion, with a weighted average cost of funding rising to 3.60% as of September 30, 2022 Financing Agreements Breakdown (As of Sep 30, 2022) | Financing Type | Fair Value / Carrying Value (In Thousands) | Weighted Average Cost of Funding | | :--- | :--- | :--- | | Agreements with mark-to-market collateral provisions | $2,124,791 | 4.22% | | Agreements with non-mark-to-market collateral provisions | $1,104,849 | 5.46% | | Securitized debt | $3,832,311 | 3.00% | | Convertible senior notes | $227,489 | 6.94% | | **Total Financing agreements** | **$7,289,440** | **3.60%** | - The company had financing agreements with **12 counterparties** at September 30, 2022 The largest counterparty exposures as a percentage of stockholders' equity were with Barclays Bank (**15.7%**), Wells Fargo (**11.8%**), and Credit Suisse (**9.2%**)[144](index=144&type=chunk) [Note 10. Stockholders' Equity](index=43&type=section&id=Note%2010.%20Stockholders%27%20Equity) This note details stockholders' equity, including preferred and common stock dividends, and the company's stock repurchase program activities - On March 11, 2022, the Board authorized a new stock repurchase program for up to **$250 million** of its common stock through the end of 2023, replacing a prior authorization[174](index=174&type=chunk) - During the nine months ended September 30, 2022, the company repurchased **6,476,746 shares** of common stock at a total cost of approximately **$102.1 million**[177](index=177&type=chunk) No shares were repurchased in Q3 2022 - As of September 30, 2022, the company was permitted to purchase an additional **$202.5 million** of its common stock under the March 2022 Repurchase Authorization[177](index=177&type=chunk) [Note 15. Segment Reporting](index=58&type=section&id=Note%2015.%20Segment%20Reporting) The company operates through Mortgage-Related Assets and Lima One segments, both reporting net losses in Q3 2022, alongside corporate activities Segment Net Loss for Q3 2022 (In Thousands) | Segment | Net Interest Income | Total Other (Loss)/Income, net | Net Loss | | :--- | :--- | :--- | :--- | | Mortgage-Related Assets | $42,626 | ($54,717) | ($18,674) | | Lima One | $12,027 | ($8,258) | ($12,805) | | Corporate | ($2,360) | ($1,216) | ($23,539) | | **Total** | **$52,293** | **($64,191)** | **($55,018)** | - Total assets for the Mortgage-Related Assets segment were **$6.6 billion**, while the Lima One segment had total assets of **$2.4 billion** as of September 30, 2022[242](index=242&type=chunk) [Management's Discussion and Analysis of Financial Condition and Results of Operations](index=63&type=section&id=Item%202.%20Management%27s%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) Management discusses Q3 2022 as a challenging period due to rising interest rates, resulting in a net loss and a decline in book value - The third quarter of 2022 was characterized as an "extremely challenging period" for fixed income and mortgage investors due to further increases in interest rates and wider mortgage and credit spreads[265](index=265&type=chunk) - The company's strategic response included prioritizing liquidity, managing hedging activities, and completing additional loan securitizations to reduce reliance on financing with recourse mark-to-market provisions[265](index=265&type=chunk) Q3 2022 Key Financial Metrics | Metric | Q3 2022 | Q2 2022 | | :--- | :--- | :--- | | Net Loss per Common Share | ($0.62) | ($1.06) | | Distributable Earnings per Common Share (Non-GAAP) | $0.28 | $0.46 | | GAAP Book Value per Common Share | $15.31 | $16.42 | | Economic Book Value per Common Share (Non-GAAP) | $15.82 | $17.25 | - During Q3 2022, the company completed **three securitizations** with a total unpaid principal balance of **$893.1 million** to secure longer-term, non-recourse, non-mark-to-market financing[272](index=272&type=chunk) [Quantitative and Qualitative Disclosures about Market Risk](index=96&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) This section details the company's market risks, including interest rate, credit, liquidity, and prepayment risks, and their potential impact on the portfolio Interest Rate Sensitivity Analysis (Shock Table) | Change in Interest Rates | Estimated % Change in Net Interest Income | Estimated % Change in Portfolio Value | | :--- | :--- | :--- | | +100 Basis Points | 1.58% | (1.18)% | | +50 Basis Points | 0.68% | (0.53)% | | **Actual at Sep 30, 2022** | **—** | **—** | | -50 Basis Points | (0.16)% | 0.40% | | -100 Basis Points | (1.88)% | 0.68% | - The company's primary credit risk relates to its residential whole loans The portfolio's top five state concentrations by unpaid principal balance are **California (33.5%)**, **Florida (11.0%)**, **New York (5.7%)**, **Texas (5.3%)**, and **Georgia (4.2%)**[421](index=421&type=chunk)[427](index=427&type=chunk) - Liquidity risk arises from financing long-maturity assets with shorter-term borrowings As of September 30, 2022, the company had **$434.1 million** of cash and cash equivalents and **$39.2 million** of unencumbered residential whole loans to manage this risk[431](index=431&type=chunk)[433](index=433&type=chunk) [Controls and Procedures](index=101&type=section&id=Item%204.%20Controls%20and%20Procedures) Management, including the CEO and CFO, evaluated the company's disclosure controls and procedures and concluded they were effective as of September 30, 2022 - The Chief Executive Officer and Chief Financial Officer concluded that the company's disclosure controls and procedures were effective as of September 30, 2022[437](index=437&type=chunk) - No changes in internal control over financial reporting occurred during the quarter that materially affected, or are reasonably likely to materially affect, its internal control[438](index=438&type=chunk) [PART II. OTHER INFORMATION](index=102&type=section&id=PART%20II.%20OTHER%20INFORMATION) [Legal Proceedings](index=102&type=section&id=Item%201.%20Legal%20Proceedings) The company reports that there are no material pending legal proceedings to which it is a party or to which its assets are subject - There are no material pending legal proceedings involving the company[441](index=441&type=chunk) [Risk Factors](index=102&type=section&id=Item%201A.%20Risk%20Factors) The company states there have been no material changes from the risk factors previously disclosed in its Annual Report on Form 10-K for the year ended December 31, 2021 - No material changes from the risk factors set forth in the 2021 Form 10-K have been identified[442](index=442&type=chunk) [Unregistered Sales of Equity Securities and Use of Proceeds](index=102&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) This section details the company's stock repurchase activities, including a new $250 million program and shares repurchased during the period - A stock repurchase program of up to **$250 million** was authorized by the Board on March 11, 2022[443](index=443&type=chunk) - During the nine months ended September 30, 2022, the company repurchased **6,476,746 shares** for approximately **$102.1 million**[445](index=445&type=chunk)[446](index=446&type=chunk) No share repurchase activity occurred in the third quarter of 2022 - As of September 30, 2022, **$202.5 million** remained available for future repurchases under the program[445](index=445&type=chunk)

Financial Data and Key Metrics Changes - MFA Financial reported a GAAP loss of $63.4 million or $0.52 per common share for Q3 2022, while distributable earnings were $28.2 million or $0.28 per common share [29] - The book value declined by 6.8% to $15.31 per common share, and economic book value decreased by 8.3% to $15.82 [30] - The leverage ratio at the end of the quarter was 3.6 times, with recourse leverage at 1.7 times [30] Business Line Data and Key Metrics Changes - Loan acquisitions decreased to $710 million in Q3 2022, with a focus on higher yield investments [32] - Business purpose loans (BPL) sourced through Lima One accounted for $520 million in new originations and rehab draws [32] - The average loan-to-value (LTV) for new acquisitions was about 67%, with average FICO scores around 743 [32] Market Data and Key Metrics Changes - Agency mortgage spreads reached as wide as plus 190 basis points versus 10-year treasuries, indicating a challenging market environment [11] - The market discount to unpaid principal balance on MFA's $6.8 billion purchase performing loan portfolio was approximately $668 million [20] - The company ended Q3 2022 with approximately $434 million in cash, prioritizing liquidity amid market volatility [22] Company Strategy and Development Direction - MFA Financial is focused on maintaining substantial liquidity and has fortified its balance sheet with non-marked to market financing [27] - The company has increased its interest rate swaps position to $3.2 billion to manage duration and mitigate book value decline [16][19] - The strategy includes selective loan acquisitions and a cautious approach to capital deployment, prioritizing liquidity over aggressive investments [62][88] Management's Comments on Operating Environment and Future Outlook - The management noted that the financial markets remain volatile, with inflation numbers disappointing and market participants cautious [8][9] - There is an expectation of continued market volatility due to geopolitical tensions and financial stresses in other countries [9] - Management emphasized the importance of liquidity and a strong balance sheet in the current environment, indicating that maintaining these priorities is crucial for future stability [88] Other Important Information - The company has executed nine securitizations totaling over $2.7 billion, effectively locking in 99% of its asset-based financing costs [18] - The credit quality of the loan portfolio has improved, with delinquency rates remaining low [45] - MFA has reduced its real estate owned (REO) portfolio by 141 properties, achieving $20 million in net gains [49] Q&A Session Summary Question: What are the levered ROEs on new investments? - Management indicated that ROEs on securitized loans are around 10% for SFR and mid-double digits for RTL loans, with a focus on maintaining high yield loans to absorb volatility [53][56] Question: How is the company balancing stock buybacks and maintaining liquidity? - Management stated that while stock buybacks are considered, the priority remains on liquidity and shoring up the balance sheet due to market volatility [62][88] Question: What is the outlook for loan originations going forward? - Management expects loan originations to decline to the low $400 million range in Q4 due to higher rates and tighter underwriting standards [77] Question: How does the company handle delinquent loans in securitizations? - Management clarified that delinquent loans remain in the securitization trust unless there is an underwriting defect, and prepayment penalties exist but are evaluated on a case-by-case basis [92][93]

Company Update Company Update THIRD QUARTER 2022 DRAFT 10/27 FINANCIAL, INC. 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," "should," "could," "would," "may," the negative of these words or similar expressions, are intended to identify "forward-looking stateme ...