MFA Financial (NYSE: MFA) posts Q1 2026 GAAP loss, distributable earnings of $31.1M
Rhea-AI Filing Summary
MFA Financial, Inc. reported first quarter 2026 results showing a GAAP net loss available to common stock and participating securities of $(11.4) million, or $(0.11) per share, driven largely by fair value losses on loans and securities.
Non-GAAP Distributable earnings were $31.1 million, or $0.30 per basic share, and Distributable earnings prior to realized credit losses were $35.5 million, or $0.34 per share. MFA paid a common dividend of $0.36 per share and reported GAAP book value of $12.70 and economic book value of $13.22 per common share at March 31, 2026, producing a total economic return of (1.2)% for the quarter.
The residential investment portfolio increased to $12.5 billion, supported by acquisitions of $392.8 million of Agency MBS, $470.6 million of Non-QM loans, and $219 million of new business purpose loans through Lima One. MFA completed two Non-QM securitizations totaling $757.2 million UPB, maintained a debt/net equity ratio of 6.3x and recourse leverage of 2.7x, and ended the quarter with $221.6 million of unrestricted cash and $174.8 million of unpledged Agency MBS.
Positive
- None.
Negative
- None.
Insights
MFA posts GAAP loss but maintains dividend coverage via distributable earnings.
MFA generated a GAAP net loss to common of $(11.4) million in Q1 2026, mainly from fair value losses on loans and securities, even as net interest income was $59.2 million. Non-GAAP Distributable earnings of $31.1 million comfortably covered the $0.36 common dividend.
Book value pressure was modest: GAAP book value per share declined to $12.70 and economic book value to $13.22, with total economic return of (1.2)%. The portfolio grew to $12.5 billion, led by Non-QM loans of $5.5 billion and Agency MBS of $3.5 billion, while 60+ day delinquencies rose to 7.8% before easing to 7.3% after quarter-end.
Funding and risk metrics remained controlled, with a debt/net equity ratio of 6.3x, recourse leverage of 2.7x, and net effective duration of 0.96 years. Two Non-QM securitizations totaling $757.2 million UPB and $6.3 billion of securitized debt support term financing, while a $5.2 billion hedge book produced positive swap carry. Future disclosures in company filings may provide further detail on credit performance and spread movements.
8-K Event Classification
Key Figures
Key Terms
Distributable earnings financial
Distributable earnings prior to realized credit losses financial
Economic book value financial
Non-QM loans financial
business purpose loans financial
to-be-announced (TBA) market financial
Earnings Snapshot
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
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FORM
CURRENT REPORT
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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 May 5, 2026, announcing its financial results for the quarter ended March 31, 2026, 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 2026 first 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 May 5, 2026, announcing MFA’s financial results for the quarter ended March 31, 2026. |
| 99.2 | Additional information relating to MFA’s financial results for the quarter ended March 31, 2026. |
| 104 | Cover 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 Vice President and General Counsel | ||
Date: May 5, 2026
EXHIBIT INDEX
| Exhibit No. | Description |
| 99.1 | Press Release, dated May 5, 2026, announcing MFA Financial Inc.’s financial results for the quarter ended March 31, 2026. |
| 99.2 | Additional information relating to MFA Financial, Inc.’s financial results for the quarter ended March 31, 2026. |
| 104 | Cover 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 | |
| May 5, 2026 | NEW YORK METRO | |
| INVESTOR CONTACT: | InvestorRelations@mfafinancial.com 212-207-6488 www.mfafinancial.com |
NYSE: MFA |
| MEDIA CONTACT: | H/Advisors Abernathy Sydney Isaacs 713-343-0427 |
MFA Financial, Inc. Announces First Quarter 2026 Financial Results
NEW YORK--(BUSINESS WIRE)--MFA Financial, Inc. (NYSE:MFA) today provided its financial results for the first quarter ended March 31, 2026:
First Quarter 2026 Financial Results:
| · | MFA generated a GAAP net loss to common stockholders and participating securities for the first quarter of $(11.4) million, or $(0.11) per basic and diluted common share. | |
| · | Distributable earnings, a non-GAAP financial measure, were $31.1 million, or $0.30 per basic common share. Distributable earnings prior to realized credit losses, a non-GAAP financial measure, were $35.5 million, or $0.34 per basic common share. MFA paid a regular cash dividend of $0.36 per common share on April 30, 2026. | |
| · | GAAP book value at March 31, 2026 was $12.70 per common share. Economic book value, a non-GAAP financial measure, was $13.22 per common share. | |
| · | Total economic return was (1.2)% for the first quarter. | |
| · | MFA closed the quarter with $221.6 million of unrestricted cash and $174.8 million of unpledged Agency MBS. |
“We continued to make progress on our strategic initiatives during the first quarter of 2026 despite volatile market conditions and geopolitical developments,” said Craig Knutson, MFA’s Chief Executive Officer. “We grew our investment portfolio to $12.5 billion, issued two Non-QM securitizations and resolved $163 million of previously delinquent loans. We also announced our Manhattan office relocation that is expected to save $4 million annually. This quarter, we introduced a new non-GAAP measure of Distributable earnings prior to realized credit losses to provide additional clarity on our operating earnings without short term volatility from runoff transitional loan resolutions. Finally, we again repurchased over 500,000 shares of our common stock at accretive levels.”
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“We acquired over $1 billion of residential mortgage assets during the quarter,” added Bryan Wulfsohn, President and Chief Investment Officer. “Mortgage banking income generated by Lima One rose to $7.7 million, up 34% from the fourth quarter of 2025. We profitably sold $81 million of new single-family rental loans to third-party investors. With Lima’s origination pipeline at its highest level since 2024, we believe the business is well-positioned for success this year.”
Q1 2026 Portfolio Activity
| · | MFA’s residential investment portfolio rose to $12.5 billion at March 31, 2026 from $12.3 billion at December 31, 2025. | |
| · | MFA purchased $392.8 million of Agency MBS during the quarter, bringing its Agency MBS position to $3.5 billion. In addition, MFA entered into forward contracts in the “to-be-announced” (TBA) market with a notional amount of $300.0 million to acquire additional Agency MBS. | |
| · | Non-QM loan acquisitions totaled $470.6 million, bringing MFA’s Non-QM portfolio to $5.5 billion at March 31, 2026. | |
| · | Lima One funded $130.2 million of new business purpose loans with a maximum loan amount of $219.3 million. Further, $70.4 million of draws were funded on previously originated Transitional loans. Lima One generated $7.7 million of mortgage banking income. | |
| · | Portfolio runoff was $698.0 million. Asset dispositions included $80.9 million of newly-originated single-family rental (SFR) loans. MFA also sold 68 REO properties in the first quarter for aggregate net proceeds of $18.2 million. | |
| · | 60+ day delinquencies (measured as a percentage of UPB) for MFA’s residential loan portfolio increased to 7.8% at March 31, 2026 from 7.1% at December 31, 2025. Subsequent to quarter-end, delinquencies declined to 7.3%. | |
| · | MFA completed two loan securitizations during the quarter collateralized by $757.2 million UPB of Non-QM loans, bringing its total securitized debt to approximately $6.3 billion. | |
| · | MFA added a net $685.1 million of new interest rate hedges, maintaining the estimated net effective duration of its investment portfolio at 0.96 years. | |
| · | MFA’s Debt/Net Equity Ratio was 6.3x while recourse leverage was 2.7x at March 31, 2026. |
| 2 |
Webcast
MFA Financial, Inc. plans to host a live audio webcast of its investor conference call on Tuesday, May 5, 2026, at 11:00 a.m. (Eastern Time) to discuss its first quarter 2026 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 over $5 billion in dividends to stockholders since its initial public offering in 1998. MFA is an internally-managed, publicly-traded real estate investment trust.
The following tables present MFA’s asset allocation as of March 31, 2026, and the yield on average interest-earning assets, average cost of funds, impact of net Swap carry and net interest rate spread for the various asset types.
Table 1 - Asset Allocation
| At March 31, 2026 | Non-QM loans | Single-family rental loans | Single-family transitional loans | Multifamily transitional loans | Legacy RPL/NPL loans | Agency MBS | Other,
net (1) | Total | ||||||||||||||||||||||||
| (Dollars in Millions) | ||||||||||||||||||||||||||||||||
| Asset Amount | $ | 5,530 | $ | 1,195 | $ | 658 | $ | 407 | $ | 943 | $ | 3,529 | $ | 677 | $ | 12,939 | ||||||||||||||||
| Receivable/(Payable) for Unsettled Transactions | — | — | — | — | — | (42 | ) | — | (42 | ) | ||||||||||||||||||||||
| Financing Agreements with Non-mark-to-market Collateral Provisions | — | (17 | ) | (30 | ) | (18 | ) | — | — | — | (65 | ) | ||||||||||||||||||||
| Financing Agreements with Mark-to-market Collateral Provisions | (574 | ) | (247 | ) | (249 | ) | (211 | ) | (79 | ) | (3,095 | ) | (118 | ) | (4,573 | ) | ||||||||||||||||
| Securitized Debt | (4,362 | ) | (755 | ) | (285 | ) | (77 | ) | (786 | ) | — | (6 | ) | (6,271 | ) | |||||||||||||||||
| Senior Notes and Other secured financing | — | — | — | — | — | — | (209 | ) | (209 | ) | ||||||||||||||||||||||
| Net Equity Allocated | $ | 594 | $ | 176 | $ | 94 | $ | 101 | $ | 78 | $ | 392 | $ | 344 | $ | 1,779 | ||||||||||||||||
| Debt/Net Equity Ratio (2) | 8.3 | x | 5.8 | x | 6.0 | x | 3.0 | x | 11.1 | x | 8.0 | x | 6.3 | x | ||||||||||||||||||
| (1) | Includes $221.6 million of cash and cash equivalents, $189.2 million of restricted cash, $56.5 million of other securities, $50.4 million of Other loans and $20.6 million of capital contributions made to loan origination partners, as well as other assets and other liabilities. |
| (2) | Total Debt/Net Equity ratio represents the sum of borrowings under our financing agreements as a multiple of net equity allocated. |
| 3 |
Table 2 - Net Interest Spread
| For the Three-Month Period Ended | ||||||||||||
| March 31, 2026 | December 31, 2025 | March 31, 2025 | ||||||||||
| Non-QM Loans | ||||||||||||
| Net Yield (1) | 5.90 | % | 5.96 | % | 5.78 | % | ||||||
| Cost of Funding (2) | (5.07 | )% | (5.13 | )% | (5.08 | )% | ||||||
| Impact of net Swap carry (3) | 0.36 | % | 0.49 | % | 0.77 | % | ||||||
| Net Interest Spread | 1.19 | % | 1.32 | % | 1.47 | % | ||||||
| Business Purpose Loans | ||||||||||||
| Net Yield (1) | 7.12 | % | 7.50 | % | 8.09 | % | ||||||
| Cost of Funding (2) | (5.54 | )% | (5.82 | )% | (6.15 | )% | ||||||
| Impact of net Swap carry (3) | 0.32 | % | 0.44 | % | 0.45 | % | ||||||
| Net Interest Spread | 1.90 | % | 2.12 | % | 2.39 | % | ||||||
| Legacy RPL/NPL Loans | ||||||||||||
| Net Yield (1) | 7.93 | % | 7.42 | % | 7.01 | % | ||||||
| Cost of Funding (2) | (4.27 | )% | (4.29 | )% | (4.24 | )% | ||||||
| Impact of net Swap carry (3) | 0.36 | % | 0.48 | % | 0.31 | % | ||||||
| Net Interest Spread | 4.02 | % | 3.61 | % | 3.08 | % | ||||||
| Total Residential Whole Loans | ||||||||||||
| Net Yield (1) | 6.42 | % | 6.53 | % | 6.77 | % | ||||||
| Cost of Funding (2) | (5.09 | )% | (5.23 | )% | (5.36 | )% | ||||||
| Impact of net Swap carry (3) | 0.35 | % | 0.48 | % | 0.60 | % | ||||||
| Net Interest Spread | 1.68 | % | 1.78 | % | 2.01 | % | ||||||
| Securities, at fair value | ||||||||||||
| Net Yield (1) | 5.47 | % | 5.56 | % | 6.07 | % | ||||||
| Cost of Funding (2) | (3.84 | )% | (4.18 | )% | (4.58 | )% | ||||||
| Impact of net Swap carry (3) | 0.56 | % | 0.79 | % | 1.08 | % | ||||||
| Net Interest Spread | 2.19 | % | 2.17 | % | 2.57 | % | ||||||
| Total Balance Sheet | ||||||||||||
| Net Yield (1) | 6.08 | % | 6.20 | % | 6.52 | % | ||||||
| Cost of Funding (2) | (4.84 | )% | (5.05 | )% | (5.34 | )% | ||||||
| Impact of net Swap carry (3) | 0.40 | % | 0.54 | % | 0.66 | % | ||||||
| Net Interest Spread | 1.64 | % | 1.69 | % | 1.84 | % | ||||||
| (1) | Reflects annualized interest income divided by average amortized cost. Excludes servicing costs. |
| (2) | Reflects annualized interest expense divided by average balance of agreements with mark-to-market collateral provisions (repurchase agreements), agreements with non-mark-to-market collateral provisions, and securitized debt. |
| (3) | Reflects the difference between Swap interest income received and Swap interest expense paid on our Swaps. While we have not elected hedge accounting treatment for Swaps, and, accordingly, net Swap carry is not presented in interest expense in our consolidated statement of operations, we believe it is appropriate to allocate net Swap carry by asset class to reflect the economic impact of our Swaps on the net interest spread shown in the table above. |
The following table presents the activity for our residential mortgage asset portfolio for the three months ended March 31, 2026:
Table 3 - Investment Portfolio Activity Q1 2026
| (In Millions) | December 31, 2025 | Runoff (1) | Acquisitions & Originations (2) | Other (3) | March 31, 2026 | Change | ||||||||||||||||||
| Residential whole loans and REO | $ | 8,945 | $ | (570 | ) | $ | 671 | $ | (124 | ) | $ | 8,922 | $ | (23 | ) | |||||||||
| Securities, at fair value | 3,360 | (128 | ) | 393 | (39 | ) | 3,586 | 226 | ||||||||||||||||
| Total | $ | 12,305 | $ | (698 | ) | $ | 1,064 | $ | (163 | ) | $ | 12,508 | $ | 203 | ||||||||||
| (1) | Primarily includes principal repayments and sales of REO. |
| (2) | Includes draws on previously originated Transitional loans. |
| (3) | Primarily includes sales of residential whole loans and securities, changes in fair value and changes in the allowance for credit losses. |
The following tables present information on our investments in residential whole loans:
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Table 4 - Portfolio Composition/Residential Whole Loans
| Held at Carrying Value | Held at Fair Value | Total | ||||||||||||||||||||||
| (Dollars in Thousands) | March 31, 2026 | December 31, 2025 | March 31, 2026 | December 31, 2025 | March 31, 2026 | December 31, 2025 | ||||||||||||||||||
| Non-QM loans | $ | 559,568 | $ | 593,213 | $ | 4,971,820 | $ | 4,753,480 | $ | 5,531,388 | $ | 5,346,693 | ||||||||||||
| Business purpose loans: | ||||||||||||||||||||||||
| Single-family rental loans | $ | 81,553 | $ | 88,112 | $ | 1,115,056 | $ | 1,147,234 | $ | 1,196,609 | $ | 1,235,346 | ||||||||||||
| Single-family transitional loans (1) | 7,044 | 7,051 | 651,669 | 711,294 | 658,713 | 718,345 | ||||||||||||||||||
| Multifamily transitional loans | — | — | 406,610 | 489,637 | 406,610 | 489,637 | ||||||||||||||||||
| Total Business purpose loans | $ | 88,597 | $ | 95,163 | $ | 2,173,335 | $ | 2,348,165 | $ | 2,261,932 | $ | 2,443,328 | ||||||||||||
| Legacy RPL/NPL loans | 405,158 | 414,676 | 544,276 | 564,340 | 949,434 | 979,016 | ||||||||||||||||||
| Other loans | — | — | 50,383 | 51,022 | 50,383 | 51,022 | ||||||||||||||||||
| Allowance for Credit Losses | (9,437 | ) | (9,705 | ) | — | — | (9,437 | ) | (9,705 | ) | ||||||||||||||
| Total Residential whole loans | $ | 1,043,886 | $ | 1,093,347 | $ | 7,739,814 | $ | 7,717,007 | $ | 8,783,700 | $ | 8,810,354 | ||||||||||||
| Number of loans | 4,789 | 4,941 | 18,876 | 18,824 | 23,665 | 23,765 | ||||||||||||||||||
| (1) | Includes $293.2 million and $300.2 million of loans collateralized by new construction projects at origination as of March 31, 2026 and December 31, 2025, respectively. |
Table 5 - Yields and Average Balances/Residential Whole Loans
| For the Three-Month Period Ended | ||||||||||||||||||||||||||||||||||||
| March 31, 2026 | December 31, 2025 | March 31, 2025 | ||||||||||||||||||||||||||||||||||
| (Dollars in Thousands) | Interest | Average Balance | Average Yield | Interest | Average Balance | Average Yield | Interest | Average Balance | Average Yield | |||||||||||||||||||||||||||
| Non-QM loans | $ | 81,539 | $ | 5,526,191 | 5.90 | % | $ | 79,960 | $ | 5,369,775 | 5.96 | % | $ | 65,264 | $ | 4,516,610 | 5.78 | % | ||||||||||||||||||
| Business purpose loans: | ||||||||||||||||||||||||||||||||||||
| Single-family rental loans | $ | 19,513 | $ | 1,237,745 | 6.31 | % | $ | 19,611 | $ | 1,265,698 | 6.20 | % | $ | 22,397 | $ | 1,395,001 | 6.42 | % | ||||||||||||||||||
| Single-family transitional loans | 15,554 | 702,710 | 8.85 | % | 17,398 | 768,729 | 9.05 | % | 25,818 | 1,056,813 | 9.77 | % | ||||||||||||||||||||||||
| Multifamily transitional loans | 8,449 | 504,127 | 6.70 | % | 12,123 | 586,047 | 8.27 | % | 19,954 | 920,372 | 8.67 | % | ||||||||||||||||||||||||
| Total business purpose loans | $ | 43,516 | $ | 2,444,582 | 7.12 | % | $ | 49,132 | $ | 2,620,474 | 7.50 | % | $ | 68,169 | $ | 3,372,186 | 8.09 | % | ||||||||||||||||||
| Legacy RPL/NPL loans | 17,573 | 886,001 | 7.93 | % | 16,933 | 912,422 | 7.42 | % | 17,379 | 991,086 | 7.01 | % | ||||||||||||||||||||||||
| Other loans | 463 | 60,608 | 3.06 | % | 418 | 61,696 | 2.71 | % | 498 | 65,130 | 3.06 | % | ||||||||||||||||||||||||
| Total Residential whole loans | $ | 143,091 | $ | 8,917,382 | 6.42 | % | $ | 146,443 | $ | 8,964,367 | 6.53 | % | $ | 151,310 | $ | 8,945,012 | 6.77 | % | ||||||||||||||||||
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Table 6 - Credit-related Metrics/Residential Whole Loans
March 31, 2026
| Unpaid Principal | Weighted Average | Weighted Average Term to | Weighted Average | Weighted Average | Aging by UPB | 60+ | 60+ | ||||||||||||||||||||||||||||||
| Asset | Fair | Balance | Coupon | Maturity | LTV | Original | Past Due Days | DQ | LTV | ||||||||||||||||||||||||||||
| (Dollars In Thousands) | Amount | Value | (“UPB”) | (1) (2) | (Months) | Ratio (3) | FICO (4) | Current | 30-59 | 60-89 | 90+ | % | (5) | ||||||||||||||||||||||||
| Non-QM loans | $ | 5,529,980 | $ | 5,516,866 | $ | 5,523,570 | 6.73 | % | 337 | 64 | % | 739 | $ | 5,155,462 | $ | 144,082 | $ | 56,001 | $ | 168,025 | 4.1 | % | 65 | % | |||||||||||||
| Business purpose loans: | |||||||||||||||||||||||||||||||||||||
| Single-family rental | $ | 1,195,847 | $ | 1,198,564 | $ | 1,207,006 | 6.32 | % | 308 | 66 | % | 740 | $ | 1,151,373 | $ | 23,905 | $ | 4,376 | $ | 27,352 | 2.6 | % | 68 | % | |||||||||||||
| Single-family transitional (5) | 657,557 | 658,032 | 673,850 | 10.24 | % | 6 | 68 | % | 751 | 547,992 | 19,455 | 16,980 | 89,423 | 15.8 | % | 82 | % | ||||||||||||||||||||
| Multifamily transitional (5) | 406,610 | 406,610 | 458,228 | 10.22 | % | 1 | 83 | % | 748 | 300,737 | 19,998 | 55,999 | 81,494 | 30.0 | % | 126 | % | ||||||||||||||||||||
| Total business purpose loans | $ | 2,260,014 | $ | 2,263,206 | $ | 2,339,084 | 8.22 | % | 70 | % | $ | 2,000,102 | $ | 63,358 | $ | 77,355 | $ | 198,269 | 11.8 | % | |||||||||||||||||
| Legacy RPL/NPL loans | 943,323 | 960,882 | 1,067,717 | 5.08 | % | 243 | 53 | % | 646 | 760,712 | 103,744 | 44,596 | 158,665 | 19.0 | % | 59 | % | ||||||||||||||||||||
| Other loans | 50,383 | 50,383 | 58,879 | 3.43 | % | 305 | 63 | % | 757 | 57,574 | 1,305 | — | — | —% | —% | ||||||||||||||||||||||
| Residential whole loans, total or weighted average | $ | 8,783,700 | $ | 8,791,337 | $ | 8,989,250 | 6.92 | % | 64 | % | $ | 7,973,850 | $ | 312,489 | $ | 177,952 | $ | 524,959 | 7.8 | % | |||||||||||||||||
| (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. Certain Transitional Loans contain contractual features which increase the loan’s interest rate following an event of default. The weighted average coupon presented is calculated based on each loan’s coupon rate without regard to post-default rate adjustments. |
| (2) | For the quarter ended March 31, 2026, the gross coupon was 6.86% for Non-QM loans, 6.35% for Single-family rental loans, 10.25% for Single-family transitional loans, 10.23% for Multifamily transitional loans, and 5.09% for Legacy RPL/NPL loans. |
| (3) | 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 are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. |
| (4) | Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. |
| (5) | For Single-family and Multifamily transitional loans that are less than 90 days delinquent, the LTV presented is generally 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, as of the most recent date available, which may be the origination date. For Single-family and Multifamily transitional loans that are 90 or more days delinquent, as well as certain performing loans for which an after repaired valuation was not available, the LTV presented is the ratio of the current unpaid principal balance of the loan to the estimated as-is value of the collateral securing the related loan as of the most recent date available, which may be the origination date. |
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 as of March 31, 2026. All changes in value are measured as the percentage change from the projected portfolio value under the base interest rate scenario as of March 31, 2026.
| Change in Interest Rates | Percentage Change in Net Portfolio Value | Percentage Change in Total Stockholders' Equity | ||||||
| +100 Basis Point Increase | (1.27 | )% | (9.69 | )% | ||||
| + 50 Basis Point Increase | (0.56 | )% | (4.24 | )% | ||||
| Actual as of March 31, 2026 | — | % | — | % | ||||
| - 50 Basis Point Decrease | 0.40 | % | 3.05 | % | ||||
| -100 Basis Point Decrease | 0.64 | % | 4.90 | % | ||||
| 6 |
MFA FINANCIAL, INC.
CONSOLIDATED BALANCE SHEETS
| (In Thousands, Except Per Share Amounts) | March 31, 2026 | December 31, 2025 | ||||||
| (Unaudited) | ||||||||
| Assets: | ||||||||
| Residential whole loans, net ($7,739,814 and $7,717,007 held at fair value, respectively) (1) | $ | 8,783,700 | $ | 8,810,354 | ||||
| Securities, at fair value | 3,585,879 | 3,360,280 | ||||||
| Cash and cash equivalents | 221,573 | 213,211 | ||||||
| Restricted cash | 189,238 | 173,457 | ||||||
| Other assets | 449,181 | 489,147 | ||||||
| Total Assets | $ | 13,229,571 | $ | 13,046,449 | ||||
| Liabilities: | ||||||||
| Financing agreements ($5,920,250 and $5,956,057 held at fair value, respectively) | $ | 11,117,578 | $ | 10,940,014 | ||||
| Other liabilities | 332,636 | 278,740 | ||||||
| Total Liabilities | $ | 11,450,214 | $ | 11,218,754 | ||||
| Stockholders’ Equity: | ||||||||
| Preferred stock, $0.01 par value; 7.5% Series B cumulative redeemable; 12,050 and 12,050 shares authorized, respectively; 8,186 and 8,125 shares issued and outstanding, respectively ($204,643 and $203,132 aggregate liquidation preference, respectively) | $ | 82 | $ | 81 | ||||
| Preferred stock, $0.01 par value; 6.5% Series C fixed-to-floating rate cumulative redeemable; 16,650 and 16,650 shares authorized, respectively; 11,386 and 11,286 shares issued and outstanding, respectively ($284,648 and $282,148 aggregate liquidation preference, respectively) | 114 | 113 | ||||||
| Common stock, $0.01 par value; 866,300 and 866,300 shares authorized, respectively; 101,596 and 101,663 shares issued and outstanding, respectively | 1,016 | 1,017 | ||||||
| Additional paid-in capital, in excess of par | 3,719,034 | 3,718,350 | ||||||
| Accumulated deficit | (1,943,811 | ) | (1,895,541 | ) | ||||
| Accumulated other comprehensive income | 2,922 | 3,675 | ||||||
| Total Stockholders’ Equity | $ | 1,779,357 | $ | 1,827,695 | ||||
| Total Liabilities and Stockholders’ Equity | $ | 13,229,571 | $ | 13,046,449 | ||||
| (1) | Includes approximately $7.4 billion and $7.6 billion of Residential whole loans transferred to consolidated variable interest entities (“VIEs”) at March 31, 2026 and December 31, 2025, respectively. Such assets can be used only to settle the obligations of each respective VIE. |
| 7 |
| Three Months Ended March 31, |
||||||||
| (In Thousands, Except Per Share Amounts) | 2026 | 2025 | ||||||
| (Unaudited) | (Unaudited) | |||||||
| Interest Income: | ||||||||
| Residential whole loans | $ | 143,091 | $ | 151,310 | ||||
| Securities, at fair value | 45,753 | 24,670 | ||||||
| Other interest-earning assets | 491 | 398 | ||||||
| Cash and cash equivalent investments | 2,591 | 4,127 | ||||||
| Interest Income | $ | 191,926 | $ | 180,505 | ||||
| Interest Expense: | ||||||||
| Asset-backed and other collateralized financing arrangements | $ | 127,811 | $ | 118,431 | ||||
| Other interest expense | 4,925 | 4,537 | ||||||
| Interest Expense | $ | 132,736 | $ | 122,968 | ||||
| Net Interest Income | $ | 59,190 | $ | 57,537 | ||||
| Reversal/(Provision) for Credit Losses on Residential Whole Loans | $ | 242 | $ | (145 | ) | |||
| Reversal/(Provision) for Credit Losses on Other Assets | — | — | ||||||
| Net Interest Income after Reversal/(Provision) for Credit Losses | $ | 59,432 | $ | 57,392 | ||||
| Other Income/(Loss), net: | ||||||||
| Net gain/(loss) on residential whole loans measured at fair value through earnings | $ | (34,761 | ) | $ | 54,380 | |||
| Impairment and other net gain/(loss) on securities and other portfolio investments | (38,270 | ) | 21,179 | |||||
| Net gain/(loss) on real estate owned | (2,981 | ) | (1,508 | ) | ||||
| Net gain/(loss) on derivatives used for risk management purposes | 30,726 | (31,055 | ) | |||||
| Net gain/(loss) on securitized debt measured at fair value through earnings | 19,845 | (21,931 | ) | |||||
| Lima One mortgage banking income | 7,660 | 5,437 | ||||||
| Net realized gain/(loss) on residential whole loans held at carrying value | — | (539 | ) | |||||
| Other, net | 1,896 | (1,451 | ) | |||||
| Other Income/(Loss), net | $ | (15,885 | ) | $ | 24,512 | |||
| Operating and Other Expense: | ||||||||
| Compensation and benefits | $ | 22,159 | $ | 23,257 | ||||
| Other general and administrative expense | 12,154 | 10,291 | ||||||
| Loan servicing, financing and other related costs | 9,918 | 7,252 | ||||||
| Amortization of intangible assets | 300 | 800 | ||||||
| Operating and Other Expense | $ | 44,531 | $ | 41,600 | ||||
| Income/(loss) before income taxes | $ | (984 | ) | $ | 40,304 | |||
| Provision for/(benefit from) income taxes | $ | — | $ | (872 | ) | |||
| Net Income/(Loss) | $ | (984 | ) | $ | 41,176 | |||
| Less Preferred Stock Dividend Requirement | $ | 10,424 | $ | 8,219 | ||||
| Net Income/(Loss) Available to Common Stock and Participating Securities | $ | (11,408 | ) | $ | 32,957 | |||
| Basic Earnings/(Loss) per Common Share | $ | (0.11 | ) | $ | 0.32 | |||
| Diluted Earnings/(Loss) per Common Share | $ | (0.11 | ) | $ | 0.31 | |||
| 8 |
Segment Reporting
At March 31, 2026, 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 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- Related Assets | Lima One | Corporate | Total | ||||||||||||
| Three months ended March 31, 2026 | ||||||||||||||||
| Interest Income | $ | 148,188 | $ | 42,137 | $ | 1,601 | $ | 191,926 | ||||||||
| Interest Expense | 101,262 | 26,906 | 4,568 | 132,736 | ||||||||||||
| Net Interest Income/(Expense) | $ | 46,926 | $ | 15,231 | $ | (2,967 | ) | $ | 59,190 | |||||||
| Reversal/(Provision) for Credit Losses on Residential Whole Loans | 242 | — | — | 242 | ||||||||||||
| Reversal/(Provision) for Credit Losses on Other Assets | — | — | — | — | ||||||||||||
| Net Interest Income/(Expense) after Reversal/(Provision) for Credit Losses | $ | 47,168 | $ | 15,231 | $ | (2,967 | ) | $ | 59,432 | |||||||
| Net gain/(loss) on residential whole loans measured at fair value through earnings | $ | (24,237 | ) | $ | (10,524 | ) | $ | — | $ | (34,761 | ) | |||||
| Impairment and other net gain/(loss) on securities and other portfolio investments | (38,688 | ) | 13 | 405 | (38,270 | ) | ||||||||||
| Net gain on real estate owned | 383 | (3,364 | ) | — | (2,981 | ) | ||||||||||
| Net gain/(loss) on derivatives used for risk management purposes | 28,064 | 2,662 | — | 30,726 | ||||||||||||
| Net gain/(loss) on securitized debt measured at fair value through earnings | 16,134 | 3,711 | — | 19,845 | ||||||||||||
| Lima One mortgage banking income | — | 7,660 | — | 7,660 | ||||||||||||
| Net realized gain/(loss) on residential whole loans held at carrying value | — | — | — | — | ||||||||||||
| Other, net | 929 | (2,901 | ) | 3,868 | 1,896 | |||||||||||
| Other Income/(Loss), net | $ | (17,415 | ) | $ | (2,743 | ) | $ | 4,273 | $ | (15,885 | ) | |||||
| Compensation and benefits | $ | — | $ | 8,882 | $ | 13,277 | $ | 22,159 | ||||||||
| Other general and administrative expense | — | 4,313 | 7,841 | 12,154 | ||||||||||||
| Loan servicing, financing and other related costs | 3,609 | 2,354 | 3,955 | 9,918 | ||||||||||||
| Amortization of intangible assets | — | 300 | — | 300 | ||||||||||||
| Income/(loss) before income taxes | $ | 26,144 | $ | (3,361 | ) | $ | (23,767 | ) | $ | (984 | ) | |||||
| Provision for/(benefit from) income taxes | — | — | — | — | ||||||||||||
| Net Income/(Loss) | $ | 26,144 | $ | (3,361 | ) | $ | (23,767 | ) | $ | (984 | ) | |||||
| Less Preferred Stock Dividend Requirement | $ | — | $ | — | $ | 10,424 | $ | 10,424 | ||||||||
| Net Income/(Loss) Available to Common Stock and Participating Securities | $ | 26,144 | $ | (3,361 | ) | $ | (34,191 | ) | $ | (11,408 | ) | |||||
| 9 |
| (Dollars in Thousands) | Mortgage- Related Assets | Lima One | Corporate | Total | ||||||||||||
| March 31, 2026 | ||||||||||||||||
| Total Assets | $ | 10,507,268 | $ | 2,469,863 | $ | 252,440 | $ | 13,229,571 | ||||||||
| December 31, 2025 | ||||||||||||||||
| Total Assets | $ | 10,128,088 | $ | 2,632,740 | $ | 285,621 | $ | 13,046,449 | ||||||||
Reconciliation of GAAP Net Income to non-GAAP Distributable Earnings and non-GAAP Distributable Earnings Prior to Realized Credit Losses
“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. Beginning in the first quarter of 2026, losses/(gains) recognized in GAAP Net income/(loss) related to the extinguishment of debt were also included in the adjustments for Securitized debt held at fair value and Securitization-related transaction costs. Prior periods have been revised to reflect the current presentation. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from Distributable earnings. 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.
Beginning in the first quarter of 2026, we have also reported a non-GAAP “Distributable earnings prior to realized credit losses” metric, whereby an adjustment is made to reported Distributable earnings to exclude realized credit losses, net of recoveries for all residential whole loans held at fair value. Prior periods have been revised to reflect the current presentation. Management believes Distributable earnings prior to realized credit losses provides users of our financial statements with meaningful information to consider in addition to Net income/(loss) and cash flows from operating activities in accordance with GAAP. Distributable earnings prior to realized credit losses is one of the factors that our Board of Directors considers when evaluating distributions to our shareholders. As the timing of a realized credit loss on a loan can differ significantly from when the initial fair value adjustment with respect to a loan is reflected in GAAP net income/(loss), management believes that adjusting Distributable earnings for the realized credit losses described above can help readers better understand the operating results of our business prior to the impact of realized credit losses, as well as evaluate and compare the performance of our Company and our peers.
Distributable earnings and Distributable earnings prior to realized credit losses should be used in conjunction with results presented in accordance with GAAP. Distributable earnings and Distributable earnings prior to realized credit losses do 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 these measures may not be comparable to similarly titled measures reported by other companies.
| 10 |
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 and non-GAAP Distributable Earnings Prior to Realized Credit Losses for the quarterly periods below:
| Quarter Ended | ||||||||||||||||||||
| (In Thousands, Except Per Share Amounts) | March 31, 2026 | December 31, 2025 | September 30, 2025 | June 30, 2025 | March 31, 2025 | |||||||||||||||
| GAAP Net income/(loss) used in the calculation of basic EPS | $ | (11,726 | ) | $ | 43,402 | $ | 37,082 | $ | 22,424 | $ | 32,751 | |||||||||
| Adjustments: | ||||||||||||||||||||
| Unrealized and realized gains and losses on: | ||||||||||||||||||||
| Residential whole loans held at fair value | 34,761 | (4,405 | ) | (41,293 | ) | (33,612 | ) | (54,380 | ) | |||||||||||
| Securities held at fair value | 38,872 | (14,898 | ) | (17,798 | ) | (4,008 | ) | (20,201 | ) | |||||||||||
| Residential whole loans and securities at carrying value | — | (1,399 | ) | (668 | ) | 343 | 305 | |||||||||||||
| Interest rate swaps and ERIS swap futures | (20,007 | ) | 657 | 14,826 | 32,565 | 44,842 | ||||||||||||||
| Securitized debt held at fair value | (22,901 | ) | (1,586 | ) | 21,303 | 3,712 | 18,575 | |||||||||||||
| Other portfolio investments | (1,938 | ) | 582 | 462 | (2,637 | ) | (744 | ) | ||||||||||||
| Expense items: | ||||||||||||||||||||
| Amortization of intangible assets | 300 | 300 | 300 | 800 | 800 | |||||||||||||||
| Equity based compensation | 6,329 | 1,880 | 1,861 | 2,274 | 6,052 | |||||||||||||||
| Securitization-related transaction costs | 3,926 | 2,584 | 3,712 | 1,890 | 1,768 | |||||||||||||||
| Depreciation | 3,466 | 1,045 | 1,328 | 1,087 | 879 | |||||||||||||||
| Total adjustments | 42,808 | (15,240 | ) | (15,967 | ) | 2,414 | (2,104 | ) | ||||||||||||
| Distributable earnings | $ | 31,082 | $ | 28,162 | $ | 21,115 | $ | 24,838 | $ | 30,647 | ||||||||||
| Adjustment – realized credit losses on Residential whole loans at fair value, net of recoveries | 4,373 | 3,003 | 10,052 | 9,812 | 3,731 | |||||||||||||||
| Distributable earnings prior to realized credit losses | $ | 35,455 | $ | 31,165 | $ | 31,167 | $ | 34,650 | $ | 34,378 | ||||||||||
| GAAP earnings/(loss) per basic common share | $ | (0.11 | ) | $ | 0.42 | $ | 0.36 | $ | 0.22 | $ | 0.32 | |||||||||
| Distributable earnings per basic common share | $ | 0.30 | $ | 0.27 | $ | 0.20 | $ | 0.24 | $ | 0.30 | ||||||||||
| Distributable earnings prior to realized credit losses per basic common share | $ | 0.34 | $ | 0.30 | $ | 0.30 | $ | 0.33 | $ | 0.33 | ||||||||||
| Weighted average common shares for basic earnings per share | 104,253 | 103,061 | 103,683 | 103,705 | 103,777 | |||||||||||||||
| 11 |
Reconciliation of GAAP Book Value per Common Share to non-GAAP Economic Book 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) | March 31, 2026 | December 31, 2025 | September 30, 2025 | June 30, 2025 | March 31, 2025 | |||||||||||||||
| GAAP Total Stockholders’ Equity | $ | 1,779.4 | $ | 1,827.7 | $ | 1,821.5 | $ | 1,822.1 | $ | 1,838.4 | ||||||||||
| Preferred Stock, liquidation preference | (489.3 | ) | (485.3 | ) | (479.9 | ) | (475.0 | ) | (475.0 | ) | ||||||||||
| GAAP Stockholders’ Equity for book value per common share | 1,290.1 | 1,342.4 | 1,341.6 | 1,347.1 | 1,363.4 | |||||||||||||||
| Adjustments: | ||||||||||||||||||||
| Fair value adjustment to Residential whole loans, at carrying value | 7.6 | 10.1 | 8.7 | 1.8 | (6.3 | ) | ||||||||||||||
| Fair value adjustment to Securitized debt, at carrying value | 45.2 | 45.7 | 48.5 | 57.1 | 63.1 | |||||||||||||||
| Stockholders’ Equity including fair value adjustments to Residential whole loans and Securitized debt held at carrying value (Economic book value) | $ | 1,342.9 | $ | 1,398.2 | $ | 1,398.8 | $ | 1,406.0 | $ | 1,420.2 | ||||||||||
| GAAP book value per common share | $ | 12.70 | $ | 13.20 | $ | 13.13 | $ | 13.12 | $ | 13.28 | ||||||||||
| Economic book value per common share | $ | 13.22 | $ | 13.75 | $ | 13.69 | $ | 13.69 | $ | 13.84 | ||||||||||
| Number of shares of common stock outstanding | 101.6 | 101.7 | 102.2 | 102.7 | 102.7 | |||||||||||||||
| 12 |
Cautionary Note Regarding Forward-Looking Statements
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, including the current tensions in international trade and the performance of the labor, housing, real estate, mortgage finance and 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 current U.S. 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 loan originators; the failure to realize the expected expense savings resulting from the anticipated relocation of our corporate headquarters in New York City; 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.
| 13 |
Exhibit 99.2
Earnings Presentation FIRST QUARTER 2026
2 Q3 202 2 Financial Snapshot Forward - looking statements 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 27 A of the Securities Act of 1933 , as amended, and Section 21 E 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, including the current tensions in international trade and the performance of the labor, housing, real estate, mortgage finance and 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 current U . S . 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 ; the failure to realize the expected expense savings resulting from the anticipated relocation of our corporate headquarters in New York City ; 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 .
Q3 202 2 Financial Snapshot Hybrid mortgage REIT with extensive experience in managing residential mortgage assets through economic cycles See page 21 for endnotes Q1 Financial Highlights GAAP Book Value $12.70 per common share Economic Book Value 1 $13.22 per common share Total Economic Return 2 (1.2)% Q1 2026 Recourse Leverage 3 2.7x as of March 31, 2026 Key Metrics GAAP Net Income 4 $(0.11) per common share Distributable Earnings 5 $0.30 per common share Distributable earnings prior to realized credit losses 6 $0.34 per common share Dividend Yield 13.9% as of May 1, 2026 Financial Metrics Agency MBS $693M acquired in Q1 7 Non - QM Loans $471M acquired in Q1 Business Purpose Loans $219M originated in Q1 8 Liquidity 9 $396M as of March 31, 2026 Portfolio Highlights
4 Q1 Strategic Actions Update Initiative Higher Capital Deployment x Resolved $163M of previously delinquent loans in Q1, unlocking additional capital x Introduced new non - GAAP measure to provide clarity into operating earnings prior to impact of realized credit losses x Signed office lease to relocate corporate headquarters x Relocation is expected to reduce run - rate G&A expenses by approximately $4M per year x Repurchased over 500,000 common shares at significant discount to Economic Book Value x Funded primarily by ATM issuance of Series B and C preferred stock x Origination pipeline reached its highest level since 2024 x Wholesale channel and multifamily lending relaunch underway Progress Growth of Lima One Resolution of Non - Performing Loans Expense Reductions x Grew investment portfolio to $12.5B x Re - securitized $413M of seasoned Non - QM loans, unlocking approximately $40M of capital and additional financing capacity Share Repurchases
5 □ Acquired $1.1B of residential mortgage assets, growing investment portfolio to $12.5B from $12.3B ▪ Added $393M of Agency MBS and $300M TBA position ▪ Purchased $471M of Non - QM loans ▪ Lima One originated $219M 8 of new business purpose loans □ Principal repayments and asset sales of $779M ▪ Sold $81M of newly - originated SFR loans ▪ Liquidated $18M of REO properties □ Current rate environment continues to provide opportunities to add new assets at attractive yields ▪ Average coupon on all loans acquired in Q1 was 7.7% ▪ Incremental ROE for new investments expected to be mid - teens □ Loan portfolio 60+ day delinquency rate was 7.8% ▪ Subsequent to quarter - end, delinquencies declined to 7.3% Q Q1 Portfolio Highlights Investment Portfolio at March 31 10 Q1 Portfolio Activity Non - QM Loans $5.5B Agency MBS $3.5B Multifamily Transitional Loans $0.4B Other $0.3B Legacy RPL/NPL $0.9B Single - family Rental Loans $1.2B Single - family Transitional Loans $0.7B
6 $0.0 $1.0 $2.0 $3.0 $4.0 $5.0 $6.0 $7.0 $8.0 $9.0 $10.0 $11.0 $12.0 Agency Repo MTM Financing Non - MTM Financing Securitized Debt Other 91% 84% 52% 24% 98% 1% 6% 8% 9% 15% 42% 68% 2% Non-QM loans Single-family Rental Loans Single-family Transitional Loans Multifamily Transitional Loans Legacy RPL/NPL Loans Securitized Debt Non-MTM Financing MTM Financing □ Recourse leverage 3 rose to 2.7x from 2.5x ▪ Increase driven by higher allocation toward Agency MBS □ Continued emphasis on non - mark - to - market (non - MTM) 11 borrowing against our loan portfolio □ Issued two Non - QM securitizations in March ▪ Securitized $345M of newly originated loans ▪ Re - securitized $413M of seasoned loans after calling two prior issuances, unlocking nearly $40M of capital and additional financing capacity while reducing MTM borrowing by $64M □ $5.2B interest rate derivatives position at March 31 ▪ Net addition of $685M of new hedges expiring in 3 - 10 years ▪ Generated net positive carry of $11M □ Net portfolio duration estimated to be 0.96 at March 31 Q1 Liability Highlights Loan Portfolio Financing Sources Liability Activity $ 6.9 B Non - MTM All Liabilities ($B) $4.6B MTM
7 Single - family Rental Gain - on - sale Income $ 2.7 M Single - family Transitional New Bridge Loans $ 16 M Q3 202 2 Financial Snapshot Q1 Lima One Highlights New Rehab Loans $ 39 M New Construction Loans $90 M Total Origination Volume 8 $ 219 M Rental Loans Sold $8 1M Rental Loans Originated $ 74 M □ Monthly submissions and origination pipeline reached the highest levels since 2024 □ Mortgage banking income rose to $7.7M, up 34% from Q4 □ Wholesale channel and multifamily lending relaunch underway Other Highlights Average Coupon 9.7 % for Q1 originations Average Coupon 6.6 % for Q1 originations
8 $2.4B $1.8B $2.3B $1.8B $0.5B $0.1B $0.1B <50% 50-60% 60-70% 70-80% 80-90% 90-100% >100 % Prior to 2021 19% 2021 19% 2022 13% 2023 10% 2024 12% 2025 23% 2026 4% Q3 202 2 Financial Snapshot Q1 Loan Portfolio Credit Metrics LTV by Loan Product Type 12 LTV Distribution 12 State Concentration 13 60+ Day Delinquency Rate Coupon Distribution Origination Year 7.5% 7.5% 7.3% 6.8% 7.1% 7.8% Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 $1.9B $1.1B $1.4B $2.0B $1.1B $0.6B $0.9B <5% 5%-6% 6%-7% 7%-8% 8%-9% 9%-10% >10% CA 31% FL 15% TX 6% NY 4% GA 4% Other 40% 60% 59% 68% 83% 49% 61% Non-QM Loans SFR Loans Single-family Transitional Loans Multifamily Transitional Loans Legacy RPL/NPL Loans Total
9 Q3 202 2 Financial Snapshot Q1 Loan Portfolio Statistics Total 14 Legacy RPL/NPL Loans Multifamily Transitional Loans Single - family Transitional Loans Single - family Rental Loans Non - QM Loans as of March 31, 2026 Portfolio Statistics $9.0B $1.1B $458M $674M $1.2B $5.5B UPB $380K $187K $3.6M $420K $226K $516K Average loan balance 7.01% 5.09% 10.23% 10.25% 6.35% 6.86% Gross coupon 6.42% 7.93% 6.70% 8.85% 6.31% 5.90% Quarterly yield 61% 49% 83% 68% 59% 60% LTV 12 730 646 748 751 740 739 Original FICO score 56 237 36 13 44 31 Loan age (months) 9 CPR 6 CPR 44 CPR 65 CPR 10 CPR 16 CPR 3 - month prepayment rate 15 7.8% 19.0% 30.0% 15.8% 2.6% 4.1% 60+ days delinquent $139M $47M $30M $37M $13M $12M REO properties 16 as of March 31, 2026 Additional Statistics $297M - $20M $277M - - Unfunded Commitments 17 99% 100% 100% 100% 100% 99% First lien position 87% 84% 100% 100% 77% 88% Fixed rate 13% 16% - - 23% 12% Hybrid ARMs 45% 34% 68% 45% 16% 52% Purchase 38% 33% 12% 16% 70% 37% Cash - out refinance - - 77% 27% - - Extended UPB 18 □ Non - QM Loans: ▪ Acquired $471M of new loans with average LTV of 68% and average coupon of 7.0% ▪ Issued two securitizations and called two prior issuances □ Single - family Rental Loans: ▪ Lima One originated $ 74 M of loans with average LTV of 67% and average coupon of 6.6% ▪ Sold $81M of newly - originated loans □ Single - family Transitional Loans: ▪ Lima One originated $ 145 M of new loans 8 ▪ $176M of principal repayments □ Multifamily Transitional Loans: ▪ $71M of principal repayments ▪ Resolved $20M of previously delinquent loans in Q1 and additional $82M since quarter - end □ Legacy RPL/NPL Loans: ▪ 96% of loans purchased between 2014 - 2019 are performing, paid in full, REO or liquidated ▪ Portfolio LTV has declined to 49% due to home price appreciation and principal amortization Q1 2026 Highlights
10 Q3 202 2 Financial Snapshot Q1 Agency MBS Highlights □ Acquired $3 93M of Agency MBS and $300M TBA position ▪ Purchases primarily consisted of low pay - up (premium to TBA price) specified pools ▪ Opportunistically established $300M notional TBA position in late March to acquire additional securities at local wide spreads □ Complementary to our less liquid, more credit - sensitive assets ▪ Expected levered returns in the mid - teens Highlights as of March 31, 2026 Portfolio Statistics $3.52B Current face $3.53B Fair value $300M TBA position (notional) 5.37% Average coupon 5.36% Quarterly yield 13 Loan age (months) 11.5% 3 - month CPR 100.1% Purchase price Agency MBS Spread 19 Monthly CPR Coupon Distribution Specified Pool Type 0 50 100 150 200 250 300 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022 2024 2026 Spread as of 5/1/2026 Bank - Originated 10% High LTV 60% Other 30% 11% 11% 13% January February March 5.0% Coupon 5.5% Coupon 6.0% Coupon Other
11 Appendix James Casebere , Landscape with Houses ( Dutchess County, NY) #2, 2010 (detail)
12 MFA Overview □ MFA Financial, Inc. (NYSE: MFA) is an internally managed real estate investment trust (REIT) that invests in U.S. residential mo rtgage loans and mortgage - backed securities □ MFA focuses primarily on mortgage subsectors in which it tries to avoid direct competition with banks and government - sponsored enterprises □ MFA owns and actively manages a diversified portfolio of non - qualified mortgage (Non - QM) loans, business purpose loans (BPLs), r e - performing/non - performing loans (Legacy RPL/NPLs) and agency mortgage - backed securities (MBS) □ In 2021, MFA acquired Lima One Capital, a leading nationwide BPL originator and servicer with over $11B 8 in originations since its formation in 2010 □ MFA originates BPLs directly through Lima One and acquires Non - QM loans through flow and mini - bulk arrangements with a select gr oup of originators with which it holds strong relationships □ MFA operates a leading residential credit securitization platform with over $13B of issuance since inception □ MFA has deep expertise in residential credit as well as a long history of investing in new asset classes when compelling oppo rtu nities arise □ Since its IPO in 1998, MFA has distributed over $ 5B of dividends to its stockholders
13 □ No state concentration above 15% and no borrower concentration above 2% □ Lima One is an industry - leading business purpose lender wholly - owned by MFA and headquartered in Greenville, S.C. □ Lima operates an efficient and scalable platform with over 2 00 employees, including in - house sales, underwriting, servicing and construction management teams □ Lima provides MFA with access to organically - created, high - yielding loans, substantially below the cost to purchase from third - party lenders □ Lima has originated over $8 B since MFA’s acquisition in 2021 and over $11B since its formation in 2010 8 Lima One: Leading Nationwide BPL Originator and Servicer Fully Integrated BPL Platform □ Lima One offers a diverse selection of both short - term and long - term financing solutions to experienced real estate investors across the U.S. □ Products include rehab loans, construction loans, bridge loans, single - family rental loans and multifamily loans Product Offerings Origination Volume Since MFA’s Acquisition Geographic and Borrower Diversity Concentration 10% to 15% 5% to 10% Below 5% No loans FL - $1B $2B $3B $4B $5B $6B $7B $8B $9B Q3 2021 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 Q3 2024 Q4 2024 Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026
14 $0.24 $0.20 $0.27 $0.30 $0.33 $0.30 $0.30 $0.34 Q2 2025 Q3 2025 Q4 2025 Q1 2026 Distributable Earnings Distributable Earnings prior to realized credit losses Select Financial Metrics Asset Yield and Effective Cost of Funds Net Interest Income GAAP and Economic Book Value 1 (per share) Net Interest Spread Net Interest Margin Distributable Earnings 5,6 (per share) $13.12 $13.13 $13.20 $12.70 $13.69 $13.69 $13.75 $13.22 Q2 2025 Q3 2025 Q4 2025 Q1 2026 GAAP Book Value Economic Book Value 1.98% 1.86% 1.69% 1.64% Q2 2025 Q3 2025 Q4 2025 Q1 2026 $61M $57M $55M $59M Q2 2025 Q3 2025 Q4 2025 Q1 2026 6.66% 6.50% 6.20% 6.08% 4.68% 4.64% 4.51% 4.44% Q2 2025 Q3 2025 Q4 2025 Q1 2026 Asset Yield Effective Cost of Funds 2.73% 2.57% 2.31% 2.23% Q2 2025 Q3 2025 Q4 2025 Q1 2026
15 MFA Securitizations Outstanding Callable Date WAC of Underlying Loans Weighted Average Coupon (WAC) of Outstanding Bonds Sold Outstanding Balance of Bonds Sold ($M) Original UPB Sold (%) 21 Bonds Sold ($M) Current Collateral UPB ($M) 20 Original Collateral UPB ($M) 20 Settlement Date Loan Product Type Securitization Name Currently Callable 6.62% 3.25% 54 95% 373 73 391 Sep - 20 Non - QM MFRA 2020 - NQM1 Currently Callable 6.75% 2.70% 77 94% 535 112 570 Oct - 20 Non - QM MFRA 2020 - NQM2 Currently Callable 6.22% 2.19% 64 94% 359 86 381 Dec - 20 Non - QM MFRA 2020 - NQM3 Currently Callable 7.26% 2.06% 25 91% 198 44 217 Feb - 21 SFR MFRA 2021 - INV1 Currently Callable 6.29% 1.92% 83 94% 371 106 394 Apr - 21 Non - QM MFRA 2021 - NQM1 20% Clean - up Call 5.10% 1.52% 190 92% 435 242 473 Jun - 21 RPL MFRA 2021 - RPL1 Currently Callable 5.25% 1.45% 104 96% 277 116 289 Aug - 21 Non - QM MFRA 2021 - NQM2 N/A 3.27% 1.43% N/A 95% 297 243 312 Oct - 21 Agency Eligible MFRA 2021 - AEINV1 Currently Callable 5.12% 2.26% 155 92% 260 179 284 Nov - 21 SFR MFRA 2021 - INV2 N/A 3.46% 1.52% N/A 95% 323 270 340 Dec - 21 Agency Eligible MFRA 2021 - AEINV2 Currently Callable 5.14% 4.85% 109 86% 204 142 237 Mar - 22 Non - QM MFRA 2022 - CHM1 Currently Callable 4.59% 4.16% 181 93% 310 204 333 Mar - 22 Non - QM MFRA 2022 - NQM1 Currently Callable 4.80% 4.05% 139 87% 224 171 258 Apr - 22 SFR MFRA 2022 - INV1 Currently Callable 4.27% 4.00% 268 74% 398 390 541 Jun - 22 Non - QM MFRA 2022 - NQM2 Currently Callable 4.97% 3.43% 187 91% 307 205 336 Jul - 22 RPL MFRA 2022 - RPL1 Currently Callable 5.61% 4.95% 112 79% 169 157 214 Jul - 22 SFR MFRA 2022 - INV2 Currently Callable 6.57% 6.00% 111 68% 160 172 235 Oct - 22 SFR MFRA 2022 - INV3 Currently Callable 6.82% 6.10% 88 75% 154 137 204 Feb - 23 SFR MFRA 2023 - INV1 May - 26 5.27% 4.66% 205 83% 309 268 372 May - 23 Non - QM MFRA 2023 - NQM2 Sep - 26 8.00% 7.08% 148 89% 191 171 215 Sep - 23 SFR MFRA 2023 - INV2 Aug - 26 7.72% 6.76% 192 89% 343 235 387 Sep - 23 Non - QM MFRA 2023 - NQM3 Dec - 26 7.90% 6.38% 154 91% 268 180 295 Dec - 23 Non - QM MFRA 2023 - NQM4 Apr - 27 8.03% 6.74% 186 91% 331 220 365 Apr - 24 Non - QM MFRA 2024 - NQM1 May - 26 10.42% 7.25% 164 80% 164 205 205 May - 24 Transitional MFRA 2024 - RTL2 30% Clean - up Call 5.06% 4.26% 220 85% 259 245 303 Jul - 24 RPL MFRA 2024 - RPL1 Aug - 27 8.35% 5.43% 179 94% 321 199 340 Sep - 24 Non - QM MFRA 2024 - NQM2 Currently Callable 5.26% 6.33% 253 72% 306 308 424 Oct - 24 NPL MFRA 2024 - NPL1 Oct - 26 10.36% 5.97% 202 81% 202 250 250 Nov - 24 Transitional MFRA 2024 - RTL3 Dec - 27 7.85% 5.90% 273 93% 354 299 380 Dec - 24 Non - QM MFRA 2024 - NQM3 Feb - 28 7.44% 5.60% 229 93% 283 250 305 Mar - 25 Non - QM MFRA 2025 - NQM1 May - 28 7.50% 5.77% 238 92% 291 262 318 May - 25 Non - QM MFRA 2025 - NQM2 Jul - 28 7.54% 5.43% 299 92% 322 327 350 Aug - 25 Non - QM MFRA 2025 - NQM3 Sep - 28 7.56% 5.32% 329 95% 351 350 371 Sep - 25 Non - QM MFRA 2025 - NQM4 Nov - 28 7.31% 5.25% 404 95% 424 426 446 Dec - 25 Non - QM MFRA 2025 - NQM5 Feb - 29 7.07% 5.12% 326 94% 326 344 345 Mar - 26 Non - QM MFRA 2026 - NQM1 Mar - 29 5.84% 5.51% 385 93% 385 412 413 Mar - 26 Non - QM MFRA 2026 - NQMR1 6.45% 5.03% 6,333 89% 10,784 8,000 12,093 Total
16 8.3% 7.4% 16.5% 30.0% Q2 2025 Q3 2025 Q4 2025 Q1 2026 Q3 202 2 Financial Snapshot Supplemental Loan Portfolio Data Product Type Origination Year Product Type Origination Year 60+ Day Delinquency by Asset Class (% and UPB) Resolution Status 22 Non - QM Loans Single - family Rental Loans Single - family Transitional Loans Multifamily Transitional Loans Legacy RPL/NPL $195M $ 209 M $ 222 M $224M $50M $40M $ 31 M $ 32 M $116M $103M $84M $106M $63M $ 47 M $88M $137M $239M $217M $214M $203M Non - Performing 4% PIF 36% Liquidated/REO 35% Performing 25% 20.6% 19.2% 19.5% 19.0% Q2 2025 Q3 2025 Q3 2025 Q1 2026 Ground - up Construction Loans 45% Rehab Loans 32% Bridge Loans 23% 13.1% 12.8% 11.5% 15.8% Q2 2025 Q3 2025 Q4 2025 Q1 2026 3.8% 3.2% 2.5% 2.6% Q2 2025 Q3 2025 Q4 2025 Q1 2026 4.0% 4.1% 4.2% 4.1% Q2 2025 Q3 2025 Q4 2025 Q1 2026 Bank Statement 42% DSCR 27% Full Doc 11% Asset Depletion 4% Other 16% Prior to 2022 36% 2022 40% 2023 16% 2024 - 2025 3% 2026 5% 2021 15% 2022 33% 2023 40% 2024 12%
17 “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 . Beginning in the first quarter of 2026 , losses/(gains) recognized in GAAP Net income/(loss) related to the extinguishment of debt were also included in the adjustments for Securitized debt held at fair value and Securitization - related transaction costs . Prior periods have been revised to reflect the current presentation . Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from Distributable earnings . 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 . Beginning in the first quarter of 2026, we have also reported a Distributable earnings prior to realized credit losses metric , w hereby an adjustment is made to reported Distributable Earnings to exclude realized credit losses, net of recoveries for all res idential whole loans held at fair value. Prior periods have been revised to reflect the current presentation. Management believes Distributable earnings prior to realized credit losses pro vides users of our financial statements with meaningful information to consider in addition to Net income/(loss) and cash flo ws from operating activities in accordance with GAAP. Distributable earnings prior to realized credit losses is one of the factors that our Board of Directors considers when evalu ati ng distributions to our shareholders. As the timing of a realized credit loss on a loan can differ significantly from when th e i nitial fair value adjustment with respect to a loan is reflected in GAAP net income/(loss), management believes that adjusting Distributable earnings for the realized credit losses de scribed above can help readers better understand the operating results of our business prior to the impact of realized credit lo sses, as well as evaluate and compare the performance of our Company and our peers. Distributable earnings and Distributable earnings prior to realized credit losses should be used in conjunction with results pre sented in accordance with GAAP. Distributable earnings and Distributable earnings prior to realized credit losses do not repr ese nt 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 these mea sures may not be comparable to similarly titled measures reported by other companies. The following table provides a reconciliation of GAAP net (loss)/income used in the calculation of basic EPS to our non - GAAP Dis tributable earnings for the quarterly periods presented. Reconciliation of GAAP Net Income to non - GAAP Distributable Earnings and Distributable Earnings Prior to Realized Credit Losses Q1 2025 Q2 2025 Q3 2025 Q4 2025 Q1 2026 ($ in millions, except per share amounts) $32.8 $22.4 $37.0 $43.4 ($11.7) GAAP Net income/(loss) used in the calculation of basic EPS Adjustments: Unrealized and realized gains and losses on: (54.4) (33.6) (41.3) (4.4) 34.8 Residential whole loans held at fair value (20.2) (4.0) (17.8) (14.9) 38.8 Securities held at fair value 0.3 0.3 (0.7) (1.4) - Residential whole loans and securities at carrying value 44.8 32.5 14.8 0.7 (20.0) Interest rate swaps and ERIS swap futures 18.5 3.7 21.3 (1.6) (22.9) Securitized debt held at fair value (0.7) (2.6) 0.5 0.6 (1.9) Other portfolio investments Expense items: 0.8 0.8 0.3 0.3 0.3 Amortization of intangible assets 6.1 2.3 1.9 1.9 6.3 Equity based compensation 1.8 1.9 3.7 2.6 3.9 Securitization - related transaction costs 0.9 1.1 1.3 1.0 3.5 Depreciation ($2.1) $2.4 ($16.0) ($15.2) $42.8 Total adjustments $30.7 $24.8 $21.0 $28.2 $31.1 Distributable earnings 3.7 9.8 10.1 3.0 4.4 Adjustment - realized credit losses on Residential whole loans at fair value, net of recoveries $34.4 $34.6 $31.1 $31.2 $35.5 Distributable earnings prior to credit losses $0.32 $0.22 $0.36 $0.42 ($0.11) GAAP earnings/(loss) per basic common share $0.30 $0.24 $0.20 $0.27 $0.30 Distributable earnings per basic common share $0.33 $0.33 $0.30 $0.30 $0.34 Distributable earnings prior to credit losses per basic common share 103.8 103.7 103.7 103.1 104.3 Weighted average common shares for basic earnings per share
18 Reconciliation of GAAP Book Value to Economic Book Value “Economic book value” is a non - GAAP financial measure of our financial position . To calculate our Economic book value, our portfolios of Residential whole loans and securitized debt held at carrying value are adjusted to their fair value, rather than the carrying value that is required to be reported under the GAAP accounting model applied to these financial instruments . These adjustments are also reflected in the table below in our end of period stockholders’ equity . Management considers that Economic book value provides investors with a useful supplemental measure to evaluate our financial position as it reflects the impact of fair value changes for all of our investment activities, irrespective of the accounting model applied for GAAP reporting purposes . Economic book value does not represent and should not be considered as a substitute for Stockholders’ Equity, as determined in accordance with GAAP, and our calculation of this measure may not be comparable to similarly titled measures reported by other companies . The following table provides a reconciliation of GAAP book value per common share to our non - GAAP Economic book value per common share as of the end of each quarter since Q 4 2024 . 3/31/25 6/30/25 9/30/25 12/31/25 3/31/26 ($ i n millions, except per share amounts) $1,838.4 $1,822.1 $1,821.5 $1,827.7 $1,779.4 GAAP Total Stockholders’ Equity (475.0) (475.0) (479.9) (485.3) (489.3) Preferred Stock, liquidation preference $1,363.4 $1,347.1 $1,341.6 $1,342.4 $1,290.1 GAAP Stockholders’ Equity for book value per common share Adjustments: (6.3) 1.8 8.7 10.1 7.6 Fair value adjustment to Residential whole loans, at carrying value 63.1 57.1 48.5 45.7 45.2 Fair value adjustment to Securitized debt, at carrying value $1,420.2 $1,406.0 $1,398.8 $1,398.2 $1,342.9 Stockholders’ Equity including fair value adjustments to Residential whole loans and Securitized debt held at carrying value (Economic book value ) $13.28 $13.12 $13.13 $13.20 $12.70 GAAP book value per common share $13.84 $13.69 $13.69 $13.75 $13.22 Economic book value per common share 102.7 102.7 102.2 101.7 101.6 Number of shares of common stock outstanding
19 Book Value and Economic Book Value Rollforward Economic GAAP $13.75 $13.20 Book value per common share as of 12/31/25 (0.11) (0.11) Net income available to common shareholders (0. 36) (0. 36) Common stock dividends declared (0.03) (0.03) Fair value changes attributable to residential mortgage securities and other (0.03) — Change in fair value of residential whole loans reported at carrying value under GAAP — — Change in fair value of securitized debt at carrying value under GAAP $ 13.22 $ 12.70 Book value per common share as of 3/31/26
20 GAAP Segment Reporting Total Corporate Lima One Mortgage - Related Assets (Dollars in m illions) Three months ended 3/31/26 $191.9 $1.6 $42.1 $148.2 Interest Income 132.7 4.5 26.9 101.3 Interest Expense $59.2 $(2.9) $15.2 $46.9 Net Interest Income /(Expense) 0.2 - - 0.2 (Provision)/Reversal of Provision for Credit Losses on Residential Whole Loans $59.4 $(2.9) $15.2 $47.1 Net Interest Income /(Expense) after Reversal of Provision/( Provision ) for Credit Losses (34.7) - (10.5) (24.2) Net gain/(loss) on residential whole loans measured at fair value through earnings (38.3) 0.4 - (38.7) Impairment and other net gain on securities and other portfolio investments (3.0) - (3.4) 0.4 Net gain /(loss) on real estate owned 30.8 - 2.7 28.1 Net gain/(loss) on derivatives used for risk management purposes 19.8 - 3.7 16.1 Net gain/(loss) on securitized debt measured at fair value through earnings 7.7 - 7.7 - Lima One mortgage banking income - - - - Net realized gain/(loss) on residential whole loans held at carrying value 1.9 3.9 (2.9) 0.9 Other, net $(15.8) $4.3 $(2.7) $(17.4) Total Other Income/(Loss) , net 22.2 13.3 8.9 - Compensation and benefits 12.1 7.8 4.3 - General and administrative expenses 10.0 4.0 2.4 3.6 Loan servicing, financing, and other related costs 0.3 - 0.3 - Amortization of intangible assets $(1.0) $(23.7) $(3.4) $26.1 Income/(loss) before income taxes - - - - Provision for/(benefit from) income taxes $(1.0) $(23.7) $(3.4) $26.1 Net Income/(Loss) 10.4 10.4 - - Less Preferred Stock Dividend Requirement $(11.4) $(34.1) $(3.4) $26.1 Net Income/( Loss ) Available to Common Stock and Participating Securities
21 Endnotes 1) Economic book value (EBV) is a non - GAAP financial measure. Refer to slide 18 for further information regarding the calculation of this measure and a reconciliation to GAAP book value. 2) Total economic return is calculated as the quarterly change in EBV plus common dividends declared during the quarter divided by EBV at the start of the quarter. 3) Recourse leverage is the ratio of MFA’s financing liabilities (excluding non - recourse debt) to net equity. Including securitize d debt, MFA’s overall leverage ratio at March 31, 2026 was 6.3x. 4) GAAP net income is presented per basic and diluted common share. 5) Distributable earnings is a non - GAAP financial measure. Refer to slide 17 for further information regarding the calculation of this measure and a reconciliation to GAAP net income. Distributable earn in gs is presented per basic common share. 6) Distributable earnings prior to realized credit losses is a non - GAAP financial measure. Refer to slide 17 for further informatio n regarding the calculation of this measure and a reconciliation to GAAP net income. 7) Includes $393M of Agency MBS plus forward contracts in the TBA securities market with a notional amount of $300M. 8) Origination amount is based on the maximum loan amount, which includes amounts initially funded plus any committed but undraw n a mounts. $130M of funded originations occurred during Q1 2026 and $70M of draws were funded during Q1 2026 on previously originated Transitional loans. 9) Liquidity includes $221.6M of unrestricted cash and $174.8M of unpledged Agency MBS at March 31, 2026. 10) Amounts presented reflect the aggregation of fair value and carrying value amounts as presented in MFA’s consolidated balance sh eet at March 31, 202 6 . 11) Non - MTM refers to financing arrangements not subject to margin calls based on changes in the fair value of the financed resident ial whole loans. Such agreements may experience changes in advance rates or collateral eligibility due to factors such as changes in the delinquency status of the financed residential whole loans. 12) Loan - to - value (LTV) ratio reflects principal amortization and estimated home price appreciation (or depreciation) . Zillow Home Value Index (ZHVI) is utilized to estimate updated LTVs for Non - QM, SFR and Legacy RPL/NPL assets. For Transitional loans, LTV reflects either the current unpaid principal balance (UPB) divided by the most re cen t as - is property valuation available, which may be at the time of origination, or the maximum UPB divided by the most recent after repaired value (ARV) available, which may be at the time of origination. 13) State concentration measured by loan balance. All states in “Other” category have concentrations below 4%. 14) Includes Agency - eligible investor loans, which had a fair value of $50M as of March 31, 2026. 15) CPR includes all principal repayments. 16) Balance sheet carrying value of real estate owned (REO) properties at March 31, 2026. 17) Undrawn construction funds for performing Transitional loans at March 31, 2026. Borrowers must be current in order to receive unfunded commitments. 18) Percentage of Transitional loan portfolios extended beyond original maturity date at March 31, 2026. 19) Current coupon Agency MBS spread over blended 5Y and 10Y Treasury yields. Data sourced from Bloomberg and presented in basis poi nts. 20) Collateral UPB includes cash for Transitional loan securitizations. 21) Bonds sold relative to certificates issued. 22) Represents status at March 31, 2026 of all Legacy RPL/NPL loans ever acquired. Non - performing status includes all active loans greater than 60 days delinquen t. Liquidated/REO status includes both sold and active REO properties as well as short payoff liquidations and loans sold to third - parties.