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Table of Co n t e n t s

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, 2026

☐ 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 incorporation or organization)

(I.R.S. Employer Identification No.)

One Vanderbilt Ave., 48th Floor

New York

10017

(Address of principal executive offices)

(Zip Code)

(212) 207-6400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of Each Class	Trading Symbol(s)	Name of Each Exchange on Which Registered
Common Stock, par value $0.01 per share	MFA	New York Stock Exchange
7.50% Series B Cumulative Redeemable Preferred Stock, par value $0.01 per share	MFA/PB	New York Stock Exchange
6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share	MFA/PC	New York Stock Exchange
8.875% Senior Notes due 2029	MFAN	New York Stock Exchange
9.00% Senior Notes due 2029	MFAO	New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer

Accelerated filer

☐

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No x

101,596,232 shares of the registrant’s common stock, $0.01 par value, were outstanding as of April 30, 2026.

Table of Contents

MFA FINANCIAL, INC.

TABLE OF CONTENTS


		Page

PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements

	Consolidated Balance Sheets as of March 31, 2 026 (Unaudited) and December 31, 20 25	3

	Consolidated Statements of Operations (Unaudited) for the Three Months Ended March 31, 2026 and March 31, 2025	4

	Consolidated Statements of Comprehensive Income/(Loss) (Unaudited) for the Three Months Ended March 31, 2026 and March 31, 2025	5

	Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the Three Months Ended March 31, 2026 and March 31, 2025	6

	Consolidated Statements of Cash Flows (Unaudited) for the Three Months Ended March 31, 2026 and March 31, 2025	7

	Notes to the Unaudited Consolidated Financial Statements	8

	Note 1. Organization	8

	Note 2. Summary of Significant Accounting Policies	8

	Note 3. Residential Whole Loans	17

	Note 4. Securities, at Fair Value	23

	Note 5. Other Assets	26

	Note 6. Financing Agreements	30

	Note 7. Other Liabilities	34

	Note 8. Income Taxes	34

	Note 9. Commitments and Contingencies	36

	Note 10. Stockholders’ Equity	38

	Note 11. EPS Calculation	41

	Note 12. Equity Compensation and Other Benefit Plans	41

	Note 13. Fair Value of Financial Instruments	43

	Note 14. Use of Special Purpose Entities and Variable Interest Entities	49

	Note 15. Segment Reporting	51



Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	54

Item 3.	Quantitative and Qualitative Disclosures about Market Risk	80

Item 4.	Controls and Procedures	84

PART II. OTHER INFORMATION

Item 1.	Legal Proceedings	84

Item 1A.	Risk Factors	84

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	84

Item 3.	Defaults Upon Senior Securities	85

Item 4.	Mine Safety Disclosures	85

Item 5.	Other Information	85

Item 6.	Exhibits	85

Signatures		87


			2

Table of Contents


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)(2)	$	8,783,700	$	8,810,354
Securities, at fair value (2)	3,585,879		3,360,280
Cash and cash equivalents	221,573		213,211
Restricted cash	189,238		173,457
Other assets (2)	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

Commitments and contingencies (See Note 9)

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.

(2)See Note 6 for information regarding the Company’s pledged assets.

The accompanying notes are an integral part of the consolidated financial statements.


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MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED)
	Three Months Ended March 31,
(In Thousands, Except Per Share Amounts)	2026		2025
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

The accompanying notes are an integral part of the consolidated financial statements.


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MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) (UNAUDITED)
	Three Months Ended March 31,
(In Thousands)	2026		2025
Net income/(loss)	$	(984)	$	41,176
Other Comprehensive Income/(Loss):
Unrealized gains/(losses) on securities available-for-sale	(753)		(1,034)
Reclassification adjustment for securities sales included in net income/(loss)	—		(226)


Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk	—		—

Other Comprehensive Income/(Loss)	(753)		(1,260)
Comprehensive Income/(Loss) before preferred stock dividends	$	(1,737)	$	39,916
Dividends required on preferred stock	(10,424)		(8,219)
Comprehensive Income/(Loss) Available to Common Stock and Participating Securities	$	(12,161)	$	31,697

The accompanying notes are an integral part of the consolidated financial statements.


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MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED)
	Three Months Ended March 31, 2026
(In Thousands, Except Per Share Amounts)	Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share			Preferred Stock 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable - Liquidation Preference $25.00 per Share			Common Stock			Additional Paid-in Capital		Accumulated Deficit		Accumulated Other Comprehensive Income		Total
	Shares	Amount		Shares	Amount		Shares	Amount
Balance at December 31, 2025	8,125	$	81	11,286	$	113	101,663	$	1,017	$	3,718,350	$	(1,895,541)	$	3,675	$	1,827,695
Net Income/(Loss)	—	—		—	—		—	—		—		(984)		—		(984)
Issuance of preferred stock, net of expenses	61	1		100	1		—			3,425						3,427
Issuance of common stock, net of expenses	—	—		—	—		858	8		(9)		—		—		(1)
Repurchase of shares of common stock (1)	—	—		—	—		(925)	(9)		(9,028)		—		—		(9,037)
Equity based compensation expense	—	—		—	—		—	—		6,071		—		—		6,071
Change in accrued dividends attributable to stock-based awards	—	—		—	—		—	—		225		2,596		—		2,821
Dividends declared on common stock ($0.36 per share)	—	—		—	—		—	—		—		(36,574)		—		(36,574)
Dividends declared on Series B Preferred Stock ($0.46875 per share)	—	—		—	—		—	—		—		(3,821)		—		(3,821)
Dividends declared on Series C Preferred Stock ($0.57991 per share)	—	—		—			—	—		—		(6,603)		—		(6,603)
Dividends attributable to dividend equivalents	—	—		—	—		—	—		—		(2,884)		—		(2,884)
Change in unrealized gains on securities, net	—	—		—	—		—	—		—		—		(753)		(753)

Balance at March 31, 2026	8,186	$	82	11,386	$	114	101,596	$	1,016	$	3,719,034	$	(1,943,811)	$	2,922	$	1,779,357

(1)For the three months ended March 31, 2026 includes approximately $4.1 million (424,947 shares) surrendered for tax purposes related to equity-based compensation awards.


MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED)
	Three Months Ended March 31, 2025
	Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share			Preferred Stock 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable - Liquidation Preference $25.00 per Share			Common Stock			Additional Paid-in Capital		Accumulated Deficit		Accumulated Other Comprehensive Income		Total
(In Thousands, Except Per Share Amounts)	Shares	Amount		Shares	Amount		Shares	Amount
Balance at December 31, 2024	8,000	$	80	11,000	$	110	102,083	$	1,021	$	3,711,046	$	(1,879,941)	$	9,476	$	1,841,792
Net Income/(Loss)	—	—		—	—		—	—		—		41,176		—		41,176
Issuance of preferred stock, net of expenses	—	—		—	—		—	—		—		—		—		—
Issuance of common stock, net of expenses	—	—		—	—		1,081	11		(20)		—		—		(9)
Repurchase of shares of common stock (1)	—	—		—	—		(511)	(5)		(5,189)		—		—		(5,194)
Equity based compensation expense	—	—		—	—		—	—		5,791		—		—		5,791
Change in accrued dividends attributable to stock-based awards	—	—		—	—		—	—		1,296		431		—		1,727
Dividends declared on common stock ($0.36 per share)	—	—		—	—		—	—		—		(36,955)		—		(36,955)
Dividends declared on Series B Preferred Stock ($0.46875 per share)	—	—		—	—		—	—		—		(3,750)		—		(3,750)
Dividends declared on Series C Preferred Stock ($0.40625 per share)	—	—		—	—		—	—		—		(4,469)		—		(4,469)
Dividends attributable to dividend equivalents	—	—		—	—		—	—		—		(445)		—		(445)
Change in unrealized gains on securities, net	—	—		—	—		—	—		—		—		(1,260)		(1,260)

Balance at March 31, 2025	8,000	$	80	11,000	$	110	102,653	$	1,027	$	3,712,924	$	(1,883,953)	$	8,216	$	1,838,404

(1)For the three months ended March 31, 2025 includes approximately $4.9 million (482,079 shares) surrendered for tax purposes related to equity-based compensation awards.

The accompanying notes are an integral part of the consolidated financial statements.


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MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)
	Three Months Ended March 31,
(In Thousands)	2026		2025
Cash Flows From Operating Activities:
Net income/(loss)	$	(984)	$	41,176
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities:
Net (gain)/loss on residential whole loans	32,092		(55,757)

Impairment and other net (gain)/loss on securities and other portfolio investments, net	38,271		(21,188)
Net (gain)/loss on real estate owned	3,029		1,497
Accretion of purchase discounts and amortization of purchase premiums on residential whole loans and securities	3,151		741
Provision/(reversal of provision) for credit losses on residential whole loans and other assets	(241)		145
Net (gain)/loss on derivatives used for risk management purposes	(26,767)		44,842
Net (gain)/loss on securitized debt measured at fair value through earnings	(22,901)		18,575

Net margin received/(paid) for derivatives used for risk management purposes	13,485		(83,136)
Net other non-cash (gains)/losses included in net income	7,253		12,061
(Increase)/decrease in other assets	23,612		30,747
Increase/(decrease) in other liabilities	1,070		(4,267)
Net cash provided by/(used in) operating activities	$	71,070	$	(14,564)
Cash Flows From Investing Activities:
Purchases and origination of residential whole loans, loan related investments and capitalized advances	$	(675,729)	$	(607,825)
Proceeds from sales of residential whole loans	85,791		72,261
Principal payments on residential whole loans and loan related investments	551,547		586,807

Purchases of securities	(350,944)		(299,642)
Proceeds from sales of securities and other assets	1,561		2,617
Principal payments on securities	128,077		32,512

Proceeds from sales of real estate owned	26,287		24,308

Other investing activities	7,796		(62,584)
Net cash provided by/(used in) investing activities	$	(225,614)	$	(251,546)
Cash Flows From Financing Activities:
Principal payments on financing agreements with mark-to-market collateral provisions	$	(797,391)	$	(406,558)
Proceeds from borrowings under financing agreements with mark-to-market collateral provisions	1,057,410		699,300
Principal payments on other collateralized financing agreements	(813,830)		(444,264)
Proceeds from borrowings under other collateralized financing agreements	797,120		341,077
Payments made for other collateralized financing agreement related costs	(2,953)		(2,154)



Payments made for settlements and unwinds of Swaps	(6,759)		—
Proceeds from issuance of preferred stock, net of expenses	3,427		—
Proceeds from issuances of common stock, net of expenses	(10)		(20)

Payments made for the repurchase of common stock	(9,033)		(5,189)


Dividends paid on preferred stock	(10,424)		(8,219)
Dividends paid on common stock and dividend equivalents	(38,870)		(35,881)
Net cash provided by/(used in) financing activities	$	178,687	$	138,092
Net increase/(decrease) in cash, cash equivalents and restricted cash	$	24,143	$	(128,018)
Cash, cash equivalents and restricted cash at beginning of period	$	386,668	$	601,312
Cash, cash equivalents and restricted cash at end of period	$	410,811	$	473,294

Supplemental Disclosure of Cash Flow Information
Cash paid for interest	$	132,301	$	122,604

Non-cash Investing and Financing Activities:
Transfer from residential whole loans to real estate owned	$	25,252	$	25,448

Dividends and dividend equivalents declared and unpaid	$	37,725	$	37,400
Payable for unsettled investment purchases	$	41,843	$	31,048
Increase/(decrease) in right-of-use lease asset from lease modification	$	(32,581)	$	—
Increase/(decrease) in lease liability from lease modification	$	(36,027)	$	—

The accompanying notes are an integral part of the consolidated financial statements.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

1. Organization

MFA Financial, Inc. (the “Company”) was incorporated in Maryland on July 24, 1997 and began operations on April 10, 1998. The Company has elected to be treated as a real estate investment trust (“REIT”) for U.S. federal income tax purposes. In order to maintain its qualification as a REIT, the Company must comply with a number of requirements under federal tax law, including that it must distribute at least 90% of its annual REIT taxable income to its stockholders. The Company has elected to treat certain of its subsidiaries as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business (see Note 8).

2. Summary of Significant Accounting Policies

(a) Basis of Presentation and Consolidation

The interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2025. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2026 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2026 should not be construed as indicative of the results to be expected for the full year.

The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas: impairment, valuation allowances and loss allowances on residential whole loans (see Note 3), certain securities designated as available-for- sale (“AFS”) (see Note 4), certain Other assets (see Note 5), valuation of Securities, at fair value (see Notes 4 and 13), income recognition and valuation of residential whole loans (see Notes 3 and 13), valuation of financing agreements (Notes 6 and 13), and valuation of derivative instruments (see Notes 5(e) and 13). In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest (see Note 8), and litigation liability (Note 9(e)). Actual results could differ from those estimates.

The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans. Certain prior period amounts have been reclassified to conform to the current period presentation.

(b) Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs)

Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions or originated by our indirect wholly owned subsidiary, Lima One Capital, LLC (together with its parent company, Lima One Holdings, LLC, “Lima One”). The accounting model utilized by the Company is determined at the time each loan package is initially acquired or each loan is originated. Prior to the second quarter of 2021, the Company typically elected the fair value option on loans that were 60 or more days delinquent at purchase. All other loans purchased prior to the second quarter of 2021 were typically held at carrying value. Starting in the second quarter of 2021, the Company began to elect the fair value option for all loans originated or acquired. The accounting model initially applied to loan originations and acquisitions is not permitted to be subsequently changed. Consequently, the Company is not permitted to retroactively apply fair value accounting to loans held at carrying value acquired in periods prior to the second quarter of 2021.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

The Company’s residential whole loans pledged as collateral against financing agreements are included in the consolidated balance sheets with amounts pledged disclosed in Note 6. Purchases and sales of residential whole loans are recorded on the settlement date.

The Company’s residential whole loans are primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) business purpose loans primarily originated by Lima One, to finance (or refinance) non-owner occupied one-to-four family residential properties that are rented to one or more tenants (“Single-family rental loans”), (iii) short-term business purpose loans primarily originated by Lima One, collateralized by residential properties made to non-occupant borrowers that generally intend to rehabilitate or construct residential housing and then refinance or sell the properties (“Single-family transitional loans”), (iv) short-term business purpose loans primarily originated by Lima One, collateralized by multifamily properties, typically with a loan balance below $10 million, made to non-occupant borrowers that generally intend to moderately rehabilitate or stabilize and then refinance or sell the properties (“Multifamily transitional loans,” collectively with Single-family transitional loans, “Transitional loans,” also sometimes referred to as “Rehabilitation loans” or “Fix and Flip loans” and, collectively with Single-family rental loans, “Business purpose loans”), (v) loans primarily secured by residential real estate that were generally either non-performing or re-performing at acquisition (“Legacy RPL/NPL loans”) and (vi) loans on investor properties that conform to the standards for purchase by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (“Agency eligible investor loans,” which are included in “Other loans”). Residential whole loans are initially recorded at their purchase price (or amount funded for originated loans). Interest income is accrued based on each loan’s current interest bearing balance and current interest rate. Interest income on loans acquired at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related servicing costs.

For loans acquired prior to the second quarter of 2021 for which the fair value option was not elected, an allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all credit losses expected over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower.

Income recognition is suspended, and interest accruals are reversed against income, for loans at the earlier of the date on which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans, interest income is recorded when interest payments are received. Interest accruals are resumed when the loan becomes contractually current. A loan is written off when it is no longer realizable and/or it is legally discharged.

Charge-offs to the allowance for loan losses occur when losses are confirmed through the receipt of cash or other consideration from the completion of a sale; when a modification or restructuring takes place in which we grant a concession to a borrower or agree to a discount in full or partial satisfaction of the loan; when we take ownership and control of the underlying collateral in full satisfaction of the loan; when loans are reclassified as other investments; or when significant collection efforts have ceased and it is highly likely that a loss has been realized.

The aggregate allowance for credit losses is equal to the sum of the losses expected over the life of each respective loan. Expected losses are generally calculated based on the estimated probability of default and loss severity of loans in the portfolio, which involves projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The expected losses in these projected cash flows are not discounted. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The default and severity rates were applied to the estimated amount of loans outstanding during each future period, based on contractual terms and expected prepayments. Expected prepayments are estimated based on historical experience and current and expected future economic conditions, including market interest rates. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. The Company forecasts future economic conditions based on forecasts provided by an external preparer of economic forecasts, as well as its own knowledge of the market and its portfolio. The Company may consider multiple scenarios and select the one that it believes results in the most reasonable estimate of expected losses. The Company may apply qualitative adjustments to these results as further described in Note 3. For certain loans where foreclosure has been deemed to be probable, loss estimates are based on whether the value of the underlying collateral is sufficient to recover the carrying value of the loan. This methodology has not changed significantly from the calculation of the allowance for credit losses in prior periods, although certain modeling factors have been refined over time and the data utilized has, in some cases, been updated to better align with actual and expected loss experiences.

Certain Legacy RPL/NPL loans acquired by the Company for which the Company did not elect the fair value option are accounted for as credit deteriorated as they have experienced a deterioration in credit quality since origination and prior to our purchase and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with loan-to-value ratios (“LTVs”) of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit deteriorated are initially recorded at their purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion/amortization of interest income, less principal and interest cash flows received. These credit deteriorated loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of accretion/amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy.

Loans Held-for-Sale

For loans for which the fair value option was not elected, once a decision has been made to sell loans previously classified as held for investment, such loans are considered held-for-sale and are carried at the lower of cost or fair value.

Residential Whole Loans at Fair Value

Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition or origination. The Company generally considers accounting for these loans at fair value to be more reflective of the expected pattern of returns from these loans under current economic conditions. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from third-parties that specialize in providing valuations of residential mortgage loans and trading activity observed in the marketplace. Subsequent changes in fair value are reported in current period earnings and presented in Net gain/(loss) on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations.

Interest income is recorded on these loans based on their yield and is presented as part of interest income in the Company’s consolidated statements of operations. Cash outflows associated with loan-related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period. Income and costs associated with originating loans on which the fair value option was elected are recorded in other income and expense, respectively, in the period in which they are earned or incurred.

Residential Mortgage Securities

The Company has invested in residential mortgage-backed securities (“MBS”) that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). In addition, the Company has investments in credit risk transfer (“CRT”) securities that are issued by or sponsored by Fannie Mae and Freddie Mac.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company.

Term Notes Backed by Mortgage Servicing Rights (“MSR”) Collateral

The Company had invested in term notes that are issued by special purpose vehicles (“SPV”) that acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considered payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes was also mitigated by structural credit support in the form of over-collateralization. Credit support was also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that was intended to provide for payment of interest and principal to the holders of the term notes if cash flows generated by the underlying MSRs were insufficient. During the second quarter of 2025, the term notes backed by MSR collateral were repaid in full.

Designation

Securities that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as AFS. Such securities, which include term notes backed by MSR collateral and certain CRT securities, are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for loan losses is recognized, as discussed below) and reported in accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity.

Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method.

The Company has elected the fair value option for its Agency and Non-Agency MBS and certain of its CRT securities. These securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income/(Loss), net on the Company’s consolidated statements of operations.

Revenue Recognition, Premium Amortization and Discount Accretion

Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Premiums and discounts associated with MBS not assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method based upon current expected future cash flows. Any adjustment to yield is made on a prospective basis.

Determination of Fair Value for Securities

In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity (see Note 13). For term notes backed by MSR collateral, other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes if cash flows generated by the related underlying MSR collateral are insufficient.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

Allowance for Credit Losses

When the fair value of an AFS security is less than its amortized cost basis at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a writedown through charges to earnings equal to the entire difference between the investment’s amortized cost basis and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change (see Note 4).

Balance Sheet Presentation

The Company’s securities pledged as collateral against financing agreements and derivatives are included on the consolidated balance sheets with the fair value of the securities pledged disclosed in Notes 6 and 5, respectively. Purchases and sales of securities are recorded on the trade date.

(d) Cash and Cash Equivalents

Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its financing counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at March 31, 2026 and December 31, 2025. At March 31, 2026 and December 31, 2025, the Company had cash and cash equivalents of $221.6 million and $213.2 million, respectively. At March 31, 2026 and December 31, 2025, the Company had $201.7 million and $181.3 million, respectively, of investments in overnight money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. In addition, deposits in FDIC insured accounts generally exceed insured limits (see Notes 6 and 13).

(e) Restricted Cash

Restricted cash primarily represents the Company’s cash collections held in connection with certain of the Company’s financing agreements, derivative financial instruments, consolidated securitization trusts and/or loan servicing activities that are not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to financing agreements, derivative financial instrument counterparties and/or trust obligations or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of financing agreements, Swaps and/or securitizations. The Company had aggregate restricted cash of $189.2 million and $173.5 million at March 31, 2026 and December 31, 2025, respectively (see Notes 5(e), 6 and 13).

(f) Goodwill & Intangible Assets

At March 31, 2026 and December 31, 2025, the Company had goodwill of $61.1 million, which represents the excess of the fair value of consideration paid over the fair value of net assets acquired in connection with the acquisition of Lima One, and other intangible assets of $2.3 million and $2.6 million, respectively (net of amortization), primarily comprised of customer relationships (fully amortized as of June 30, 2025), non-competition agreements (fully amortized as of June 30, 2022), trademarks and trade names, and internally developed software recognized as part of the acquisition of Lima One (see Note 5(b)). The intangible assets are amortized over their expected useful lives, which ranged from one to ten years at acquisition. Goodwill, which is not subject to amortization, and intangible assets are tested for impairment at least annually, or more frequently under certain circumstances that could reduce the fair value of the Lima One reporting unit (a component of the Lima One segment) below its carrying amount. Through March 31, 2026, the Company had not recognized any impairment against its goodwill or intangible assets. Goodwill and intangible assets are included in Other assets on the Company’s consolidated balance sheets.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

(g) Real Estate Owned (“REO”)

REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. Generally, REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income/(Loss), net on the Company’s consolidated statements of operations (see Note 5).

Certain multifamily REO properties and Commercial properties held within unconsolidated VIEs acquired by the Company are not immediately available for sale because we generally intend to stabilize the operations at such properties. Therefore, each property is measured at fair value at acquisition and then depreciated over the expected useful life. The amounts reported in the balance sheet at any given period represent the amortized cost basis of the property until there is a planned sale, at which point the carrying value would be updated to fair value less estimated selling costs.

(h) Leases and Depreciation

Leases

The Company records its operating lease liabilities and operating lease right-of-use assets on its consolidated balance sheets. The operating lease liabilities are equal to the present value of the remaining fixed lease payments (excluding real estate tax and operating expense escalations) discounted at the Company’s estimated incremental borrowing rate at the date of lease commencement, and the operating lease right-of-use assets are equal to the operating lease liabilities adjusted for lease incentives and initial direct costs. As lease payments are made, the operating lease liabilities are reduced to the present value of the remaining lease payments and the operating lease right-of-use assets are reduced by the difference between the lease expense (straight-lined over the lease term) and the theoretical interest expense amount (calculated using the incremental borrowing rate at the date of lease commencement). See Notes 5 and 9 for further discussion on leases.

Leasehold Improvements, Real Estate and Other Depreciable Assets

Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five to fifteen years at the time of purchase. Multifamily REO properties have estimated useful lives of 30 years at the time of acquisition and Commercial properties held within unconsolidated VIEs have estimated useful lives of 39 years.

(i) Loan Securitization and Other Debt Issuance Costs

Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. These costs may include underwriting, rating agency, legal, accounting, diligence, bank and other fees. Such costs, which reflect deferred charges (unless the debt is recorded at fair value, as discussed below), are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For certain financing agreements, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and, in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of operations. To the extent that the Company has elected the fair value option for the related debt liability, these costs are expensed at the closing of the transaction.

(j) Mortgage servicing rights (“MSRs”)

MSRs represent the contractual right to service residential mortgage loans. The Company generally recognizes MSRs created through the sale of loans it originates. Under the accounting guidance for transfers and servicing, the Company initially measures a mortgage servicing asset that qualifies for separate recognition at fair value on the date of transfer. The Company has elected to record its investments at fair value in order to provide users of the financial statements with better information regarding the effects


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

of prepayment risk and other market factors on MSRs. Under this election, the Company records a valuation adjustment on its MSRs on a quarterly basis to recognize the changes in fair value in net income. MSRs are aggregated into pools as applicable; each pool of MSRs is accounted for in the aggregate. Income from MSRs, other than valuation adjustments, is recorded in Lima One mortgage banking income; valuation adjustments are recorded in Impairment and other net gain/(loss) on securities and other portfolio investments. Fair value is generally determined by discounting the expected future cash flows using discount rates that incorporate the market risks and liquidity premium specific to the MSRs.

(k) Financing Agreements

The Company finances the majority of its residential mortgage assets with financing agreements that include securitized debt, repurchase agreements and other forms of collateralized financing. Under repurchase agreements, the Company sells assets to a lender and agrees to repurchase the same assets in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements and other forms of collateralized financing, the Company pledges its assets as collateral to secure the borrowing, in an amount which is equal to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, the Company is required to repay the loan including any accrued interest and concurrently receives back its pledged collateral from the lender. With the consent of the lender, the Company may renew a repurchase financing at the then prevailing financing terms. Margin calls, whereby a lender requires that the Company pledge additional assets or cash as collateral to secure borrowings under its repurchase financing with such lender, are routinely experienced by the Company when the value of the assets pledged as collateral declines as a result of principal amortization and prepayments or due to changes in market interest rates, spreads or other market conditions. The Company also may make margin calls on counterparties when collateral values increase.

Should a counterparty decide not to renew a financing arrangement at maturity, the Company must either refinance elsewhere or be in a position to satisfy the obligation. If, during the term of a financing, a lender should default on its obligation, the Company might experience difficulty recovering its pledged assets which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged by the Company to such lender, including accrued interest receivable on such collateral (see Notes 6 and 13).

The Company has elected the fair value option on certain of its financing agreements. These agreements are reported at their fair value, with changes in fair value being recorded in earnings each period (or OCI, to the extent the change results from a change in instrument specific credit risk), as further detailed in Note 6. Interest expense on such financing agreements is recorded based on the current stated interest rate and outstanding principal balance in effect for the related agreement.

(l) Equity-Based Compensation

Compensation expense for equity-based awards that are subject to vesting conditions, is recognized ratably over the vesting period of such awards, based upon the fair value of such awards at the grant date.

The Company has made annual grants of restricted stock units (“RSUs”) under the Company’s Equity Compensation Plan (the “Equity Plan”), certain of which cliff vest after a three-year period, subject only to continued employment, and others of which cliff vest after a three-year period, subject to both continued employment and the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total shareholder return (“TSR”) during that three-year period, as well as the TSR of the Company relative to the TSR of a group of peer companies (over the three-year period) selected by the Compensation Committee of the Company’s Board of Directors (the “Compensation Committee”) at the date of grant. The features in these awards related to the attainment of TSR over a specified period constitute a “market condition,” which impacts the amount of compensation expense recognized for these awards. Specifically, the uncertainty regarding the achievement of the market condition was reflected in the grant date fair value of the RSUs, which is recognized as compensation expense over the relevant vesting period. The amount of compensation expense recognized is not dependent on whether the market condition was or will be achieved.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

(m) Earnings per Common Share (“EPS”)

Basic EPS is computed using the two-class method, which includes the weighted-average number of shares of common stock outstanding during the period and an estimate of other securities that participate in dividends, if any, to arrive at total common equivalent shares. In applying the two-class method, earnings are allocated to both shares of common stock and estimated securities that participate in dividends based on their respective weighted-average shares outstanding for the period. In calculating basic EPS, no adjustment is made to income available to common stockholders for forfeitable dividends or dividend equivalents. For the diluted EPS calculation, common equivalent shares are further adjusted for the effect of RSUs outstanding that are unvested and have dividends that are subject to forfeiture, using the treasury stock method. Under the treasury stock method, common equivalent shares are calculated assuming that all dilutive common stock equivalents are exercised and the proceeds, along with future compensation expenses associated with such instruments (if any), are used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period.

(n) Comprehensive Income/(Loss)

The Company’s comprehensive income/(loss) available to common stock and participating securities includes net income, the change in net unrealized gains/(losses) on its AFS securities and derivative hedging instruments (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of AOCI for sold AFS securities and terminated hedging relationships, as well as the portion of unrealized gains/(losses) on its financing agreements held at fair value related to instrument-specific credit risk, and is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock.

(o) Derivative Financial Instruments

The Company may use derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. The objective of the Company’s risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios.

The Company has entered into interest rate swap agreements and ERIS swap futures (collectively, “Swaps”) that are not designated as hedges for accounting purposes. Changes in the fair value of the Company’s Swaps not designated in hedging transactions are recorded in Other Income/(Loss), net on the Company’s consolidated statements of operations.

The Company has also entered into forward contracts in the Agency MBS “to-be-announced” market (“TBA securities”) for the purchase of a generic pool of Agency MBS at a predetermined price, face amount, issuer, coupon and maturity based on an agreed upon future date. The specific Agency MBS to be delivered per the contract are not known until shortly before the settlement date. These transactions in TBA securities are accounted for as derivative financial instruments because it is not probable that the Company will physically settle the contract. Prior to settlement, the Company may choose to move the settlement date to a later date or terminate the contract and purchase a specific pool of Agency MBS. The Company did not apply hedge accounting to its TBA securities. Accordingly, TBA securities were recorded on the Company’s balance sheets at fair value in Other assets, with realized and unrealized changes in fair value each period recorded in Other income, net in the Company’s consolidated statements of operations.

(p) Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities

The Company’s presentation of fair value for its financial assets and liabilities is determined within a framework that stipulates that the fair value of a financial asset or liability is an exchange price in an orderly transaction between market participants to sell the asset or transfer the liability in the market in which the reporting entity would transact for the asset or liability, that is, the principal or most advantageous market for the asset or liability. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the asset or owes the liability. This definition of fair value focuses on exit price and prioritizes the use of market-based inputs over entity-specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three-level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date.

In addition to the financial instruments that it is required to report at fair value, the Company has elected the fair value option for certain of its financial assets and liabilities at the time of acquisition or issuance. Subsequent changes in the fair value of these financial instruments are generally reported in Other Income/(Loss), net, in the Company’s consolidated statements of operations. A


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

decision to elect the fair value option for an eligible financial instrument, which may be made on an instrument by instrument basis, is irrevocable (see Notes 2(b), 2(c), 3, 4, and 13).

(q) Variable Interest Entities

An entity is referred to as a VIE if it meets at least one of the following criteria: (i) the entity has equity that is insufficient to permit the entity to finance its activities without the additional subordinated financial support of other parties; or (ii) as a group, the holders of the equity investment at risk lack (a) the power to direct the activities of an entity that most significantly impact the entity’s economic performance; (b) the obligation to absorb the expected losses; or (c) the right to receive the expected residual returns; or (iii) the holders of the equity investment at risk have disproportional voting rights and the entity’s activities are conducted on behalf of the investor that has disproportionately few voting rights.

The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE.

The Company has entered into several financing transactions which resulted in the Company forming entities to facilitate these transactions. In determining the accounting treatment to be applied to these transactions, the Company concluded that the entities used to facilitate these transactions are VIEs and that they should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfers of the underlying assets would qualify as sales or should be accounted for as secured financings under GAAP (see Note 14).

The Company also includes on its consolidated balance sheets certain financial assets and liabilities that are acquired/issued by trusts and/or other special purpose entities that have been evaluated as being required to be consolidated by the Company under the applicable accounting guidance.

The Company also has investments in certain VIEs, in which it is not considered to be the primary beneficiary and which are therefore not consolidated, but the VIEs are considered equity method investments. Each of these VIEs own a commercial property upon which the Company has foreclosed, as further described in Note 5.

(r) Offering Costs Related to Issuance and Redemption of Preferred Stock

Offering costs related to the issuance of preferred stock are recorded as a reduction in Additional paid-in capital, a component of Stockholders’ Equity, at the time such preferred stock is issued. On redemption of preferred stock, any excess of the fair value of the consideration transferred to the holders of the preferred stock over the carrying amount of the preferred stock in the Company’s consolidated balance sheets is included in the determination of Net Income Available to Common Stock and Participating Securities in the calculation of EPS.

(s) New Accounting Standards and Interpretations

As of March 31, 2026, there were no new accounting standards or interpretations adopted by the Company that had a material effect on its consolidated financial statements in the first quarter of 2026.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

3. Residential Whole Loans

Included on the Company’s consolidated balance sheets at March 31, 2026 and December 31, 2025 are approximately $8.8 billion and $8.8 billion, respectively, of residential whole loans generally arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Starting in the second quarter of 2021, the Company elected the fair value option for all loan acquisitions, including loans originated by Lima One subsequent to its acquisition by the Company. Prior to the second quarter of 2021, the fair value option was typically elected only for loans that were 60 or more days delinquent at purchase.

The following table presents the components of the Company’s Residential whole loans, and the accounting model designated at March 31, 2026 and December 31, 2025:


	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) (2)	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.

(2)No loans were held-for-sale as of March 31, 2026 and December 31, 2025. There were no gains/(losses) on held-for-sale loans for three months ended March 31, 2026. As of March 31, 2025, $2.1 million of loans were held-for-sale and for the three months ended March 31, 2025, the Company recorded a $0.5 million loss on these loans resulting from the adjustment of their carrying value to the lower of cost of market.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

The following tables present additional information regarding the Company’s Residential whole loans:

March 31, 2026


	Asset Amount		Fair Value		Unpaid Principal Balance (“UPB”)		Weighted Average Coupon (1) (2)		Weighted Average Term to Maturity (Months)	Weighted Average LTV Ratio (3)		Weighted Average Original FICO (4)	Aging by UPB								60+ Days Past Due %
(Dollars In Thousands)															Past Due Days
													Current		30-59		60-89		90+
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	%
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	%
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	%
Multifamily transitional (5)	406,610		406,610		458,228		10.22	%	1	83	%	748	300,737		19,998		55,999		81,494		30.0	%
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	%
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	%

December 31, 2025


	Asset Amount		Fair Value		Unpaid Principal Balance (“UPB”)		Weighted Average Coupon (1) (2)		Weighted Average Term to Maturity (Months)	Weighted Average LTV Ratio (3)		Weighted Average Original FICO (4)	Aging by UPB								60+ Days Past Due %
(Dollars In Thousands)															Past Due Days
													Current		30-59		60-89		90+
Non-QM loans	$	5,344,968	$	5,332,533	$	5,322,321	6.74	%	337	64	%	738	$	4,929,485	$	170,509	$	47,154	$	175,173	4.2	%
Business purpose loans:
Single-family rental	$	1,234,428	$	1,237,464	$	1,246,745	6.34	%	311	66	%	740	$	1,193,041	$	22,309	$	4,165	$	27,230	2.5	%
Single-family transitional (5)	717,303		717,702		732,059		10.31	%	6	69	%	750	599,798		48,180		2,535		81,546		11.5	%
Multifamily transitional (5)	489,637		489,637		531,804		10.17	%	1	64	%	749	399,686		44,523		32,905		54,690		16.5	%
Total Business purpose loans	$	2,441,368	$	2,444,803	$	2,510,608	8.31	%		66	%		$	2,192,525	$	115,012	$	39,605	$	163,466	8.1	%
Legacy RPL/NPL loans	972,996		992,120		1,097,698		5.09	%	245	54	%	646	757,826		125,621		47,620		166,631		19.5	%
Other loans	51,022		51,022		59,283		3.43	%	308	63	%	757	59,283		—		—		—		—	%
Residential whole loans, total or weighted average	$	8,810,354	$	8,820,478	$	8,989,910	6.98	%		64	%		$	7,939,119	$	411,142	$	134,379	$	505,270	7.1	%

(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. For the quarter ended December 31, 2025, the gross coupon was 6.88% for Non-QM loans, 6.37% for Single-family rental loans, 10.32% for Single-family transitional loans, 10.18% for Multifamily transitional loans, and 5.10% 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.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

Sales of Residential Whole Loans

During the first quarter of 2026, Residential whole loans with an unpaid principal balance of $78.9 million were sold, realizing gains, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized gains, of $2.7 million. Upon sale, the Company reversed $1.2 million of previously recognized unrealized gains, resulting in a net gain on sale of $1.5 million during the first quarter of 2026.

During the first quarter of 2025, Single-family rental loans with an unpaid principal balance of $67.6 million were sold, realizing gains, before the impact of economic hedging gains/losses and the reversal of previously recognized unrealized gains, of $1.9 million. Upon sale, the Company reversed $1.2 million of previously recognized unrealized gains, resulting in a net gain of $0.7 million during the first quarter of 2025.

Allowance for Credit Losses

The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential whole loans, at carrying value:


	Three Months Ended March 31, 2026
(In Thousands)		Non-QM loans		Single-family rental loans		Single-family transitional loans (1)		Legacy RPL/NPL loans (2)		Totals
Allowance for credit losses at December 31, 2025		$	1,725	$	918	$	1,042	$	6,020	$	9,705
Current provision/(reversal)		(317)		(156)		114		118		(241)
Write-offs		—		—		—		(27)		(27)
Allowance for credit losses at March 31, 2026		$	1,408	$	762	$	1,156	$	6,111	$	9,437


	Three Months Ended March 31, 2025
(In Thousands)		Non-QM loans		Single-family rental loans		Single-family transitional loans (1)		Legacy RPL/NPL loans (2)		Totals
Allowance for credit losses at December 31, 2024		$	2,125	$	366	$	1,389	$	6,785	$	10,665
Current provision/(reversal)		(197)		614		(88)		(184)		145
Write-offs		—		—		(436)		(180)		(616)
Allowance for credit losses at March 31, 2025		$	1,928	$	980	$	865	$	6,421	$	10,194

(1)Includes $3.8 million and $11.0 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2026 and 2025, respectively.

(2)Includes $26.7 million and $37.0 million of loans that were assessed for credit losses based on a collateral dependent methodology as of March 31, 2026 and 2025, respectively.

Estimates of credit losses under credit losses on financial instruments (“CECL”) are highly sensitive to changes in assumptions, and current economic conditions have increased the difficulty of accurately forecasting future conditions.

The carrying value of Residential whole loans on nonaccrual status as of March 31, 2026 and December 31, 2025 was $584.8 million and $579.9 million, respectively. During the three months ended March 31, 2026, the Company recognized $2.7 million of interest income on loans on nonaccrual status, including $1.8 million on its portfolio of loans which were non-performing at acquisition. At March 31, 2026 and December 31, 2025, there were approximately $25.0 million and $25.7 million, respectively, of loans held at carrying value on nonaccrual status that did not have an associated allowance for credit losses because they were determined to be collateral dependent and the estimated fair value of the related collateral exceeded the carrying value of each loan, respectively.

During the three months ended March 31, 2026, the Company granted one loan modification in its carrying value loan portfolio which gave the borrower an interest rate reduction. The interest rate reduction was 3.05%. As of March 31, 2026, the carrying value of this loan was approximately $0.11 million. As of March 31, 2026, this modification was not delinquent for more than 30 days.

During the past 12 months, the Company granted five loan modifications in its carrying value loan portfolio, which gave borrowers term extensions, with one of them including an interest rate reduction. The average increase in weighted average life was 2 months, and the interest rate reduction was 3.05%. As of March 31, 2026, the carrying value of these loans was approximately $0.50 million. As of March 31, 2026, only one of these loans was 120+ days delinquent.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

The following table presents certain additional credit-related information regarding our Residential whole loans, at carrying value:


	Amortized Cost Basis by Origination Year and LTV Bands
(In Thousands)	2026 - 2022		Prior		Total
Non-QM loans
LTV <= 80% (1)	$	—	$	554,905	$	554,905
LTV > 80% (1)	—		4,663		4,663
Total Non-QM loans	$	—	$	559,568	$	559,568
Three Months Ended March 31, 2026 Gross write-offs	$	—	$	—	$	—
Business purpose loans
LTV <= 80% (1)	$	—	$	86,449	$	86,449
LTV > 80% (1)	—		2,148		2,148
Total Business purpose loans	$	—	$	88,597	$	88,597
Three Months Ended March 31, 2026 Gross write-offs	$	—	$	—	$	—
Legacy RPL/NPL loans
LTV <= 80% (1)	$	—	$	362,741	$	362,741
LTV > 80% (1)	—		42,417		42,417
Total Legacy RPL/NPL loans	$	—	$	405,158	$	405,158
Three Months Ended March 31, 2026 Gross write-offs	$	—	$	27	$	27
Total LTV <= 80% (1)	$	—	$	1,004,095	$	1,004,095
Total LTV > 80% (1)	—		49,228		49,228
Total Residential whole loans, at carrying value	$	—	$	1,053,323	$	1,053,323
Three Months Ended March 31, 2026 Total Gross write-offs	$	—	$	27	$	27

(1)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. For Single-family and Multifamily transitional loans, the LTV presented is 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, where available. For certain Single-family transitional loans, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV is not meaningful.

The following table presents vintage information regarding our Residential whole loans, at fair value:


	Fair Value by Origination Year
(In Thousands)	2026		2025		2024		2023		2022		Prior		Total
Non-QM loans	$	276,125	$	1,748,183	$	859,328	$	494,540	$	501,547	$	1,092,097	$	4,971,820
Single-family rental loans	60,283		2,467		38,899		208,025		477,377		328,005		1,115,056
Single-family transitional loans	61,404		339,121		147,913		86,221		13,704		3,306		651,669
Multifamily transitional loans	—		—		50,308		154,758		135,064		66,480		406,610
Legacy RPL/NPL loans	—		—		—		—		—		544,276		544,276
Other loans	—		—		—		—		—		50,383		50,383
Total Residential whole loans, at fair value	$	397,812	$	2,089,771	$	1,096,448	$	943,544	$	1,127,692	$	2,084,547	$	7,739,814


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

The following table presents realized credit losses, net of recoveries, on liquidated residential whole loans or residential whole loans that were transferred to REO, recognized in Other, net:


	Three Months Ended March 31,
(In Thousands)	2026		2025
Non-QM loans	$	(151)	$	(137)
Single-family rental loans	(27)		(1,196)
Single-family transitional loans	(3,325)		(2,173)
Multifamily transitional loans	(347)		(169)
Legacy RPL/NPL loans	(523)		(56)
Other loans	—		—
Total Residential whole loans	$	(4,373)	$	(3,731)

The following tables present certain information regarding the LTVs of the Company’s Residential whole loans that are 60 days or more delinquent:


	March 31, 2026
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Non-QM loans	$	219,769	$	224,026	65	%
Business purpose loans:
Single-family rental loans	$	30,163	$	31,728	68	%
Single-family transitional loans	92,333		106,403		82	%
Multifamily transitional loans	85,748		137,493		126	%
Total Business purpose loans	$	208,244	$	275,624
Legacy RPL/NPL loans	185,018		203,261		59	%
Other loans	—		—		—	%
Total Residential whole loans	$	613,031	$	702,911


	December 31, 2025
(Dollars In Thousands)	Carrying Value / Fair Value		UPB		LTV (1)
Non-QM loans	$	218,793	$	222,327	64	%
Business purpose loans:
Single-family rental loans	$	29,967	$	31,395	68	%
Single-family transitional loans	70,821		84,081		83	%
Multifamily transitional loans	54,884		87,595		68	%
Total Business purpose loans	$	155,672	$	203,071
Legacy RPL/NPL loans	197,511		214,251		60	%
Other loans	—		—		—	%
Total Residential whole loans	$	571,976	$	639,649


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

The following tables present the components of interest income on the Company’s Residential whole loans:


	Held at Carrying Value				Held at Fair Value				Total
	Three Months Ended March 31,				Three Months Ended March 31,				Three Months Ended March 31,
(In Thousands)	2026		2025		2026		2025		2026		2025
Non-QM loans	$	8,185	$	10,086	$	73,354	$	55,178	$	81,539	$	65,264
Business purpose loans:
Single-family rental loans	$	1,635	$	1,900	$	17,878	$	20,497	$	19,513	$	22,397
Single-family transitional loans	(60)		1,714		15,614		24,104		15,554		25,818
Multifamily transitional loans	—		—		8,449		19,954		8,449		19,954
Total Business purpose loans	$	1,575	$	3,614	$	41,941	$	64,555	$	43,516	$	68,169
Legacy RPL/NPL loans	6,409		7,042		11,164		10,337		17,573		17,379
Other loans	—		—		463		498		463		498
Total Residential whole loans	$	16,169	$	20,742	$	126,922	$	130,568	$	143,091	$	151,310

The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings:


	Three Months Ended March 31,
(In Thousands)	2026		2025
Non-QM loans	$	(19,385)	$	45,196
Business purpose loans:
Single-family rental loans	$	1,451	$	17,831
Single-family transitional loans	(2,106)		(9,149)
Multifamily transitional loans	(9,936)		(1,935)
Total Business purpose loans	$	(10,591)	$	6,747
Legacy RPL/NPL loans	(4,573)		949
Other loans	(212)		1,488
Total Residential whole loans	$	(34,761)	$	54,380


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

4. Securities, at Fair Value

Agency MBS

Agency MBS are guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae.

The following table presents certain information regarding the composition of the Company’s Agency MBS portfolio:

March 31, 2026


(Dollars in Thousands)	Current Face		Weighted Average Purchase Price		Weighted Average Market Price		Fair Value		Weighted Average Loan Age (Months)	CPR (1)
30-Year Fixed Rate:
4.50% Coupon	$	53,397	97.9	%	96.7	%	$	51,632	7	—	%
5.00% Coupon	1,070,668		99.6	%	98.9	%	1,058,649		7	3.8	%
5.50% Coupon	2,144,718		100.3	%	100.8	%	2,161,061		14	13.5	%
6.00% Coupon	247,077		100.1	%	102.3	%	252,877		29	22.3	%
6.50% Coupon	4,996		101.0	%	103.8	%	5,186		28	17.6	%
Total	$	3,520,856	100.1	%	100.2	%	$	3,529,405	13	11.5	%

December 31, 2025


(Dollars in Thousands)	Current Face		Weighted Average Purchase Price		Weighted Average Market Price		Fair Value		Weighted Average Loan Age (Months)	CPR (1)
30-Year Fixed Rate:
5.00% Coupon	$	859,115	99.5	%	100.1	%	$	860,163	5	4.1	%
5.50% Coupon	2,123,143		100.2	%	101.7	%	2,159,949		12	15.0	%
6.00% Coupon	269,129		100.1	%	103.1	%	277,489		26	18.1	%
6.50% Coupon	5,373		101.0	%	104.3	%	5,603		25	8.2	%
Total	$	3,256,760	100.0	%	101.4	%	$	3,303,204	11	12.9	%

(1)Reflects the average of the one month CPR for the number of months the security was held during the most recent three month period.

Term Notes Backed by MSR Collateral

During the second quarter of 2025, the term notes backed by MSR collateral were repaid in full. Prior to repayment, the Company had term notes issued by SPVs that had acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes was considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes.

CRT Securities

CRT securities are debt obligations issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. At March 31, 2026 and December 31, 2025, the Company had $34.6 million and $34.9 million, respectively, of CRT securities. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements (see Note 6).

Non-Agency MBS

Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. At March 31, 2026, and December 31, 2025, the Company had $21.8 million and $22.1 million, respectively, of Non-Agency MBS. These securities were acquired on the de-consolidation of certain trusts that held previously securitized Agency Eligible investor loans.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

The following tables present certain information about the Company’s Agency MBS and other Securities:

March 31, 2026


(In Thousands)	Principal/Current Face		Purchase Premiums		Accretable Purchase Discounts		Discount Designated as Credit Reserve (1)		Gross Amortized Cost Basis		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)		Fair Value
Agency MBS	$	3,520,856	$	15,445	$	(13,919)	$	—	$	3,522,382	$	21,538	$	(14,515)	$	7,023	$	3,529,405
Other Securities (2)(3)(4)	59,645		4,669		(4,516)		(7,191)		52,607		4,235		(368)		3,867		56,474
Total residential mortgage securities (2)(3)(4)	$	3,580,501	$	20,114	$	(18,435)	$	(7,191)	$	3,574,989	$	25,773	$	(14,883)	$	10,890	$	3,585,879

December 31, 2025


(In Thousands)	Principal/Current Face		Purchase Premiums		Accretable Purchase Discounts		Discount Designated as Credit Reserve (1)		Gross Amortized Cost Basis		Gross Unrealized Gains		Gross Unrealized Losses		Net Unrealized Gain/(Loss)		Fair Value
Agency MBS	$	3,256,760	$	13,996	$	(13,070)	$	—	$	3,257,686	$	45,539	$	(21)	$	45,518	$	3,303,204
Other Securities (2)(3)(4)	59,919		4,009		(4,657)		(7,191)		52,080		5,231		(235)		4,996		57,076
Total residential mortgage securities (2)(3)(4)	$	3,316,679	$	18,005	$	(17,727)	$	(7,191)	$	3,309,766	$	50,770	$	(256)	$	50,514	$	3,360,280

(1)Discount designated as Credit Reserve is generally not expected to be accreted into interest income.

(2)Based on management’s current estimates of future principal cash flows expected to be received.

(3)Amounts disclosed at March 31, 2026 includes CRT securities with a fair value of $21.5 million for which the fair value option has been elected. Such securities had approximately $0.7 million gross unrealized gains and no gross unrealized losses at March 31, 2026. Amounts disclosed at December 31, 2025 include CRT securities with a fair value of $21.7 million for which the fair value option has been elected. Such securities had approximately $0.9 million gross unrealized gains and no gross unrealized losses at December 31, 2025.

(4)Amounts disclosed at March 31, 2026 include Non-Agency MBS with a fair value of $21.8 million for which the fair value option has been elected. Such securities had approximately $0.6 million gross unrealized gains and $0.4 million gross unrealized losses at March 31, 2026. Amounts disclosed at December 31, 2025 include Non-Agency MBS with a fair value of $22.1 million for which the fair value option has been elected. Such securities had approximately $0.6 million gross unrealized gains and $0.2 million gross unrealized losses at December 31, 2025.

Sales of Residential Mortgage Securities

During the first quarter of 2026, the Company did not sell any of its residential mortgage securities.

During the first quarter of 2025, the Company sold a CRT security for approximately $2.6 million, realizing a gain of $0.2 million.

Impairment and Other Net Gain/(Loss) on Securities and Other Portfolio Investments

The following table presents the components of Impairment and other net gain/(loss) on securities and other portfolio investments, which is presented in Other Income/(Loss), net in the consolidated statements of operations:


	Three Months Ended March 31,
(In Thousands)	2026		2025
Net unrealized gain/(loss) on securities	$	(38,871)	$	20,201
Net realized gain/(loss) from the sale of securities	—		234
Impairment of securities	—		—
Total Impairment and other net gain/(loss) on securities	(38,871)		20,435
Net unrealized gain/(loss) on other portfolio investments	3,427		753
Net realized gain/(loss) on other portfolio investments	(2,826)		(9)
Reversal of impairment/(impairment) other portfolio investments	—		—
Total Impairment and other net gain/(loss) on securities and other portfolio investments	$	(38,270)	$	21,179


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

Unrealized Losses on Residential Mortgage Securities

There were no gross unrealized losses on the Company’s AFS securities (whose changes in fair value are recorded through OCI) at March 31, 2026.

There were no allowances for credit losses recorded with respect to the Company’s AFS securities for any of the periods presented. The Company did not recognize an allowance for credit losses through earnings related to its AFS securities for the three months ended March 31, 2026 and 2025.

Impact of AFS Securities on AOCI

The following table presents the impact of the Company’s AFS securities (whose changes in fair value are recorded through OCI) on its AOCI:


	Three Months Ended March 31,
(In Thousands)	2026		2025
AOCI from AFS securities:
Unrealized gain on AFS securities at beginning of period	$	3,675	$	9,476
Unrealized gain/(loss) on securities available-for-sale	(753)		(1,034)
Reclassification adjustment for MBS sales included in net income	—		(226)

Change in AOCI from AFS securities	(753)		(1,260)
Balance at end of period	$	2,922	$	8,216

Interest Income on Securities, at Fair Value

The following table presents the components of interest income on the Company’s Securities, at fair value:


	Three Months Ended March 31,
(In Thousands)	2026		2025
Agency MBS
Coupon interest	$	44,406	$	20,919
Effective yield adjustment (1)(2)	(289)		1
Interest income	$	44,117	$	20,920










Other MBS
Coupon interest	$	834	$	1,528
Effective yield adjustment (1)(2)	802		127
Interest income	$	1,636	$	1,655
Term notes backed by MSR collateral
Coupon interest	$	—	$	1,093
Effective yield adjustment (2)	—		1,002
Interest income	$	—	$	2,095

(1)Includes amortization of premium paid net of accretion of purchase discount. Interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity.

(2)The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or in the instrument’s contractual cash flows, depending on the relevant accounting standards.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

5. Other Assets

The following table presents the components of the Company’s Other assets at March 31, 2026 and December 31, 2025:


(In Thousands)	March 31, 2026		December 31, 2025


REO	$	138,651	$	135,035
Commercial REO	12,237		19,885
Goodwill	61,076		61,076
Intangibles, net (1)	2,300		2,600
Capital contributions made to loan origination partners	20,587		20,182
Commercial loans	4,510		6,079
Interest receivable	109,773		111,118
Other loan related receivables	8,072		8,874
Lease right-of-use asset (2)	9,604		42,810
Other	82,371		81,488
Total Other Assets	$	449,181	$	489,147

(1)Net of aggregate accumulated amortization of $25.7 million and $25.4 million as of March 31, 2026 and December 31, 2025, respectively.

(2)An estimated incremental borrowing rate of 6.5% and 7.5% was used in connection with the Company’s primary operating lease as of March 31, 2026 and December 31, 2025, respectively, and an estimated incremental borrowing rate of 8.0% was used in connection with Lima One’s headquarters lease (see Notes 2 and 9).

(a) Real Estate Owned and Commercial REO

The following table summarizes the aggregate carrying value of REO properties by loan source prior to foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement.


(Dollars In Thousands)	March 31, 2026		December 31, 2025
Non-QM loans	$	12,192	$	12,066
Business purpose loans	79,791		80,822
Legacy RPL/NPL loans	46,668		42,147
Total	$	138,651	$	135,035
Number of properties	302		322

At March 31, 2026, $138.7 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement. In addition, formal foreclosure proceedings were in process with respect to $42.5 million of residential whole loans held at carrying value and $216.0 million of residential whole loans held at fair value at March 31, 2026.

The following table presents the activity in the Company’s REO for the three months ended March 31, 2026 and 2025:


	Three Months Ended March 31,
(Dollars In Thousands)	2026		2025
Balance at beginning of period	$	135,035	$	130,854
Adjustments to record at lower of cost or fair value	(4,018)		(3,213)
Transfer from residential whole loans (1)	25,252		25,448
Purchases and capital improvements, net	25		136
Disposals and other (2)	(17,643)		(22,591)
Balance at end of period	$	138,651	$	130,634
Number of properties	302		402

(1)During the three months ended March 31, 2026 and 2025, the Company recognized $(0.2) million and $0.0 million of gains/(losses), respectively, on Residential whole loans in Other Income/(Loss), net associated with the transfer of loans to REO.

(2)During the three months ended March 31, 2026 and 2025, the Company sold 68 and 94 REO properties for consideration of $18.2 million and $24.2 million, realizing net gains of approximately $0.6 million and $1.7 million, respectively. These amounts are included in Other Income/(Loss), net on the Company’s consolidated statements of operations.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

Commercial REO

In the third quarter of 2024, the Company received 75% and 49% interests, respectively, in two VIEs through foreclosure of a multifamily property and a senior living facility underlying delinquent commercial mortgage loans. Each of these entities was determined to be a VIE but the Company was not determined to be the primary beneficiary; as a result, the investments in the entities are considered equity method investments. Each entity accounts for its respective commercial REO property (the “Commercial REO”) similarly to the manner in which the Company accounts for its residential REO. The entities generally do not own any other significant assets or carry any significant liabilities, except that the two entities contain properties encumbered by third-party financing. As of December 31, 2025, one property was considered held-for-investment and one property was considered held-for-sale. During the three months ended March 31, 2026, the senior living facility property considered held-for-sale was sold for net proceeds of $17.4 million, with the Company’s share of the net realized gain totaling $0.4 million.

(b) Goodwill and Intangible Assets

On July 1, 2021, the Company completed the acquisition of Lima One. In connection with the acquisition of Lima One, the Company identified and recorded goodwill of $61.1 million and finite-lived intangible assets totaling $28.0 million. For the Lima One reporting unit, through the most recent testing date (October 1, 2025), no impairment has been recorded since the goodwill was initially recognized as the estimated fair value of the reporting unit has consistently exceeded its carrying value. Key assumptions used in the valuation included loan origination volume, expense levels, discount rates and capitalization multiples, all of which are subject to variability in the current market.

The amortization period for each of the finite lived intangible assets and the activity for the three months ended March 31, 2026 is summarized in the table below:


(Dollars in Thousands)	Carrying Value at December 31, 2025		Amortization Three months ended March 31, 2026		Carrying Value at March 31, 2026		Amortization Period (Years) (1)
Trademarks / Trade Names	$	2,200	$	(100)	$	2,100	10
Internally Developed Software	400		(200)		200		5
Total Identified Intangibles	$	2,600	$	(300)	$	2,300

(1)Amortization is calculated on a straight-line basis over the amortization period.

The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom the Company sources residential mortgage loans through both flow arrangements and bulk purchases. At March 31, 2026, the carrying value of these investments (including adjustments for impairments or mark-to-market changes) was $20.6 million, including $5.5 million of common equity (including partnership interests) and $15.1 million of preferred equity.

During the three months ended March 31, 2026 and 2025, there were no impairment charges recorded by the Company on its investments in loan origination partners.

Prior to December 31, 2024, the Company had elected to account for certain of these investments pursuant to the fair value option, where changes in estimated fair value were recorded on the statement of operations. Such changes in estimated fair value resulted in gains (losses) being recorded of $0.4 million and $0.8 million during the three months ended March 31, 2026 and 2025, respectively.

For certain of the Company’s investments, the interests acquired to date by the Company generally do not have a readily determinable fair value. Consequently, the Company accounts for these interests (including any acquired options and warrants) in loan originators initially at cost. The carrying value of these investments will be adjusted if it is determined that an impairment has occurred or if there has been a subsequent observable transaction in either the investee company’s equity securities or a similar security that provides evidence to support an adjustment to the carrying value. In addition, for certain partners, options or warrants have also been acquired that provide the Company the ability to increase the level of its investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results.


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

(d) Commercial Mortgage Loans

As of December 31, 2025, the Company owned two participations in commercial mortgage bridge loans, which are accounted for at fair value under the fair value option, and are classified as Level 3 fair value measurements in the fair value hierarchy. Each of the participations is 75% of the total UPB of the related loans and the remaining interest in each loan was retained by the originator of such loan. The commercial mortgage loans are collateralized by one multifamily property and one office property. The commercial mortgage loans are first liens and bear variable interest rates. During the three months ended March 31, 2026, the commercial mortgage loan secured by the office property was sold for $1.6 million, realizing losses, before the impact of the reversal of previously recognized unrealized losses, of $2.8 million. Upon sale, the Company reversed $3.0 million of previously recognized unrealized losses, resulting in a net gain on sale of $0.2 million. Only the commercial mortgage loan secured by the multifamily property remains as of March 31, 2026.

The following table presents certain additional information about the Company’s commercial mortgage loans as of March 31, 2026 and December 31, 2025:


(Dollars In Thousands)	Fair Value / Carrying Value		UPB		Weighted Average Coupon (1)		Weighted Average Term to Maturity (Months)	UPB 60+ Days Delinquent		Weighted Average LTV Ratio
Commercial Loans - March 31, 2026	$	4,510	$	4,510	10.58	%	0	$	4,510	80	%
Commercial Loans - December 31, 2025	$	6,079	$	9,385	10.60	%	0	$	9,385	189	%

(1)Commercial 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.

(e) Derivative Instruments

Swaps

The Company’s derivative instruments include both interest rate swap agreements and ERIS swap futures, which are used to economically hedge the interest rate risk associated with certain borrowings. Pursuant to these arrangements, the Company agreed to pay a fixed rate of interest and receive a variable interest rate, generally based on the Secured Overnight Financing Rate (“SOFR”), on the notional amount of the Swap. At March 31, 2026, none of the Company’s Swaps were designated as hedges for accounting purposes.

Variation margin payments on the Company’s Swaps are treated as a legal settlement of the exposure under the related Swap contract, the effect of which reduces what would have otherwise been reported as the fair value of the Swap, generally to zero.

The following table presents the assets pledged as collateral against the Company’s Swaps:


(In Thousands)	March 31, 2026		December 31, 2025
Agency MBS, at fair value	$	30,693	$	32,015
Restricted Cash	31,683		24,317


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MFA FINANCIAL, INC.

NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTS

MARCH 31, 2026

As of March 31, 2026, the Company had Swaps with an aggregate notional amount of $5.2 billion and an average maturity of approximately 49 months with a maximum term of approximately 120 months. The following table presents information about the Company’s Swaps at March 31, 2026 and December 31, 2025:


	March 31, 2026						December 31, 2025
Maturity (1)	Notional Amount (2)		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (3)		Notional Amount (2)		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (3)
(Dollars in Thousands)

Within 30 days	$	—	—	%	—	%	$	—	—	%	—	%
Over 30 days to 3 months	—		—		—		—		—		—
Over 3 months to 6 months	—		—		—		—		—		—
Over 6 months to 12 months	1,300,000		1.42		3.68		450,000		1.12		3.87
Over 12 months to 24 months	215,000		2.93		3.68		1,065,000		1.85		3.87
Over 24 months to 36 months	415,000		3.24		3.68		341,500		3.23		3.87
Over 36 months to 48 months	332,800		2.96		3.68		332,800		2.96

MFA FINANCIAL, INC. 10-Q