Exhibit 99.1 

MFA

FINANCIAL, INC.

One Vanderbilt Ave

New York, New York 10017 

MFA Financial, Inc. Announces First Quarter 2022 Financial Results

NEW YORK - MFA Financial, Inc. (NYSE:MFA) today provided its financial results for the first quarter ended March 31, 2022.

First Quarter 2022 financial results update:

Commenting on the first quarter 2022, Craig Knutson, MFA’s CEO and President said, “The first quarter of 2022 was an extremely challenging period for fixed income investors, and exceptionally so for mortgage investors, including MFA. The magnitude of rate sell-off, particularly in the short end of the yield curve, was the most dramatic witnessed in over 30 years, eclipsing even the rate increases in early 1994. We proactively addressed this challenge by taking steps to further hedge our exposure to interest rate risk, as well as bolster our cash position. Specifically, we added $1.5 billion in interest rate swaps and completed additional securitizations. While higher absolute rates and materially wider spreads on securitized mortgage assets pressured mortgage loan pricing, the additional risk management measures taken did mitigate the impact of the rate environment and resulted in a moderate book value decline for MFA. Further, we continued to take advantage of the strong housing market, with another record quarter for loan originations at Lima One and reductions in our REO portfolio. Additionally, we executed two Non-QM securitizations in March and two Business Purpose loan securitizations in April. While these executions were wider than those achieved in 2021, we demonstrated that the securitization market remains a viable durable financing source, and these transactions generated added liquidity and freed up additional balance sheet capacity.

Mr. Knutson added “During the quarter our cash position increased by more than $100 million and was approximately $410 million at quarter-end. Overall leverage increased, mainly due to declines in asset values and additional securitized debt, but remains relatively low at 3.1 times debt to equity. Excluding securitized debt, our recourse leverage is 1.9 times debt to equity. Our net interest income for the first quarter was $63.1 million, down from $70.1 million in Q4 2021, but our Q4 interest income was bolstered by the pay-off of an MSR bond that produced an approximately $8.2 million gain. We reported a GAAP loss of ($0.86) per common share in the first quarter, as earnings were negatively impacted by market value decreases in our loan portfolio held at fair value. Our GAAP book value decreased $1.28 or 6.7% to $17.84 per share, and our Economic book value declined $1.77 or 8.6% to $18.81 per share. The latter measure was impacted by declines in prices of loans held at carrying value.”

Mr. Knutson continued, “We have introduced a new non-GAAP metric, Distributable Earnings, to provide a measure of earnings that primarily eliminates non-cash, unrealized gains and losses that impact our GAAP earnings. For the first quarter of 2022, MFA’s Distributable Earnings were $66 million or $0.62 per common share. Finally, we repurchased 3.2 million shares of our common stock at an average price of $17.15 during the first quarter, and an additional 2.8 million shares subsequent to quarter end as of April 29 at an average price of $14.48. These share repurchases are accretive to both earnings and book value.” 

Q1 2022 Portfolio Activity

MFA’s residential mortgage investment portfolio increased by approximately $330 million during the first quarter. Loan acquisitions were $1.2 billion, including$617.4 million of Non-QM loans and $589.4 million of funded originations (including draws on Rehabilitation loans) of Business Purpose loans.

At March 31, 2022, our investments in residential whole loans totaled $8.3 billion. Of this amount, $6.8 billion are Purchased Performing Loans, $496.9 million are Purchased Credit Deteriorated Loans and $1.0 billion are Purchased Non-performing Loans. During the quarter, we recognized approximately $99.5 million of Interest Income on residential whole loans in our consolidated statements of operations, representing a yield of 4.94%. Purchased Performing Loans generated a yield of 4.18%, Purchased Credit Deteriorated Loans generated a yield of 6.79% and Purchased Non-performing Loans generated a yield of 9.82%. Additional acquisitions of Purchased Performing Loans drove a sequential quarterly increase in interest income from our residential whole loan portfolio of approximately $9.2 million. Overall delinquency rates across our residential whole loan portfolio were lower than the prior quarter, particularly on Business Purpose loans which saw declines in absolute dollar amounts of delinquencies as well as when measured as a percentage of the unpaid principal balance. In addition, the amount of Purchased Credit Deteriorated Loans that were 90 or more days delinquent, measured as a percentage of the unpaid principal balance, remained unchanged during the quarter and was 18.3% at March 31, 2022. The percentage amount of Purchased Non-performing Loans that were 90 or more days delinquent increased to 43.0% at March 31, 2022 from 42.4% at December 31, 2021, but declined in absolute dollar terms by approximately 6.5%.

Lima One had a third consecutive quarter of record origination volumes, funding more than $526 million of business purpose loans with a maximum loan amount of $660 million, and generating approximately $14.5 million of origination, servicing, and other fee income.

For the first quarter, a reversal of the provision for credit losses of $3.5 million was recorded on residential whole loans held at carrying value, primarily reflecting continued run-off of the carrying value portfolio and adjustments to certain macro-economic and loan prepayment speed assumptions used in our credit loss forecasts. The total allowance for credit losses recorded on residential whole loans held at carrying value at March 31, 2022 was $35.5 million. Early in the first quarter we increased our position in interest rate swaps to a notional amount of $2.4 billion and have maintained this position despite executing over $1 billion of securitizations in March and April of 2022. At March 31, 2022, these swaps had a weighted average fixed pay interest rate of 1.29% and a weighted average variable receive interest rate of 0.29%. After including the impact of these swaps and other derivatives that have been entered into for economic hedging purposes, as well as the effect of securitized and other fixed rate debt, we estimate that the net effective duration of our investment portfolio at March 31, 2022 was 1.09.

Our Purchased Non-performing Loans and certain of our Purchased Performing Loans are measured at fair value as a result of the election of the fair value option at acquisition, with changes in the fair value and other non-interest related income from these loans recorded in Other income, net each period. For the first quarter, net losses of $288.4 million were recorded, primarily reflecting unrealized fair value changes in the underlying loans. These losses were partially offset by $94.1 million of gains on derivatives used for risk management purposes (which include positions in swaps and short TBAs), as well as $64.1 million of mark-to-market gains on securitized debt held at fair value through earnings. 

We also continued to take advantage of a strong housing market to reduce our REO portfolio, selling 135 properties in the first quarter for aggregate proceeds of $41.5 million and generating $8.7 million of gains. Our REO portfolio was $145.6 million at March 31, 2022, a 34% decrease since March 31, 2021.

At the end of the first quarter, MFA held approximately $250 million of Securities, at fair value, including $154 million of MSR-related assets and $96 million of CRT securities.

General and Administrative and other expenses

For the three months ended March 31, 2022, MFA’s costs for compensation and benefits and other general and administrative expenses were $28.3 million. Expenses this quarter include $12.2 million compensation and other general and administrative expenses recorded at Lima One. 

Stock Repurchase Program

On March 11, 2022, the Company’s Board authorized a stock repurchase program under which the Company may repurchase up to $250 million of its common stock through the end of 2023. Including the purchases made through April 29, 2022, there is approximately $209.7 million of remaining capacity under the authorization as of such date. 

The following table presents MFA’s asset allocation as of March 31, 2022, and the first quarter 2022 yield on average interest-earning assets, average cost of funds and net interest rate spread for the various asset types. 

Table 1 - Asset Allocation 

The following table presents the activity for our residential mortgage asset portfolio for the three months ended March 31, 2022: 

Table 2 - Investment Portfolio Activity Q1 2022

The following tables present information on our investments in residential whole loans.

Residential Whole Loans at March 31, 2022 and December 31, 2021:

Table 3 - Portfolio composition

Table 4 - Yields and average balances

Table 5 - Net Interest Spread

Table 6 - 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:

Table 7 - Credit related metrics/Residential Whole Loans

March 31, 2022

December 31, 2021

Table 8 - LTV 90+ Days Delinquencies

The following table presents certain information regarding the Company’s Residential whole loans that are 90 days or more delinquent:

Table 9 - Shock Table

The information presented in the following “Shock Table” projects the potential impact of sudden parallel changes in interest rates on the value of our portfolio, including the impact of Swaps and short positions in TBA securities (if any), over the next 12 months based on the assets in our investment portfolio at March 31, 2022. Changes in portfolio value are measured as the percentage change when comparing the projected portfolio value to the base interest rate scenario at March 31, 2022.

Webcast

MFA Financial, Inc. plans to host a live audio webcast of its investor conference call on Wednesday, May 4, 2022, at 10:00 a.m. (Eastern Time) to discuss its first quarter 2022 financial results. The live audio webcast will be accessible to the general public over the internet at http://www.mfafinancial.com through the “Webcasts & Presentations” link on MFA’s home page. To listen to the conference call over the internet, please go to the MFA website at least 15 minutes before the call to register and to download and install any needed audio software. Earnings presentation materials will be posted on the MFA website prior to the conference call and an audio replay will be available on the website following the call.

Cautionary Language Regarding Forward-Looking Statements

When used in this press release or other written or oral communications, statements which are not historical in nature, including those containing words such as “will,” “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “could,” “would,” “may,” the negative of these words or similar expressions, are intended to identify “forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, and, as such, may involve known and unknown risks, uncertainties and assumptions. These forward-looking statements include information about possible or assumed future results with respect to our business, financial condition, liquidity, results of operations, plans and objectives.  Statements regarding the following subjects, among others, may be forward-looking: changes in interest rates and the market (i.e., fair) value of MFA’s residential whole loans, MBS and other assets; changes in the prepayment rates on residential mortgage assets, an increase of which could result in a reduction of the yield on certain investments in MFA’s portfolio and could require MFA to reinvest the proceeds received by it as a result of such prepayments in investments with lower coupons, while a decrease in which could result in an increase in the interest rate duration of certain investments in MFA’s portfolio making their valuation more sensitive to changes in interest rates and could result in lower forecasted cash flows; credit risks underlying MFA’s assets, including changes in the default rates and management’s assumptions regarding default rates on the mortgage loans in MFA’s residential whole loan portfolio; MFA’s ability to borrow to finance its assets and the terms, including the cost, maturity and other terms, of any such borrowings; implementation of or changes in government regulations or programs affecting MFA’s business; MFA’s estimates regarding taxable income, the actual amount of which is dependent on a number of factors, including, but not limited to, changes in the amount of interest income and financing costs, the method elected by MFA to accrete the market discount on residential whole loans and the extent of prepayments, realized losses and changes in the composition of MFA’s residential whole loan portfolios that may occur during the applicable tax period, including gain or loss on any MBS disposals and whole loan modifications, foreclosures and liquidations; the timing and amount of distributions to stockholders, which are declared and paid at the discretion of MFA’s Board and will depend on, among other things, MFA’s taxable income, its financial results and overall financial condition and liquidity, maintenance of its REIT qualification and such other factors as MFA’s Board deems relevant; MFA’s ability to maintain its qualification as a REIT for federal income tax purposes; MFA’s ability to maintain its exemption from registration under the Investment Company Act of 1940, as amended (or the “Investment Company Act”), including statements regarding the concept release issued by the Securities and Exchange Commission (“SEC”) relating to interpretive issues under the Investment Company Act with respect to the status under the Investment Company Act of certain companies that are engaged in the business of acquiring mortgages and mortgage-related interests; MFA’s ability to continue growing its residential whole loan portfolio, which is dependent on, among other things, the supply of loans offered for sale in the market; expected returns on MFA’s investments in nonperforming residential whole loans (“NPLs”), which are affected by, among other things, the length of time required to foreclose upon, sell, liquidate or otherwise reach a resolution of the property underlying the NPL, home price values, amounts advanced to carry the asset (e.g., taxes, insurance, maintenance expenses, etc. on the underlying property) and the amount ultimately realized upon resolution of the asset; targeted or expected returns on MFA’s investments in recently-originated loans, the performance of which is, similar to MFA’s other mortgage loan investments, subject to, among other things, differences in prepayment risk, credit risk and financing cost associated with such investments; risks associated with MFA’s investments in MSR-related assets, including servicing, regulatory and economic risks, risks associated with our investments in loan originators, risks associated with investing in real estate assets, including changes in business conditions and the general economy and risks associated with the integration and ongoing operation of Lima One Holdings, LLC (including, without limitation, unanticipated expenditures relating to or liabilities arising from the transaction and/or the inability to obtain, or delays in obtaining, expected benefits (including expected growth in loan origination volumes) from the transaction). These and other risks, uncertainties and factors, including those described in the annual, quarterly and current reports that MFA files with the SEC, could cause MFA’s actual results to differ materially from those projected in any forward-looking statements it makes. All forward-looking statements are based on beliefs, assumptions and expectations of MFA’s future performance, taking into account all information currently available. Readers are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date on which they are made. New risks and uncertainties arise over time and it is not possible to predict those events or how they may affect MFA. Except as required by law, MFA is not obligated to, and does not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

MFA FINANCIAL, INC.
CONSOLIDATED BALANCE SHEETS

MFA FINANCIAL, INC.
CONSOLIDATED STATEMENTS OF OPERATIONS

Reconciliation of GAAP Net Income to non-GAAP Distributable Earnings

“Distributable earnings” is a non-GAAP financial measure of our operating performance, within the meaning of Regulation G and Item 10(e) of Regulation S-K, as promulgated by the Securities and Exchange Commission. Distributable earnings is determined by adjusting GAAP net income/(loss) by removing certain unrealized gains and losses, primarily on residential mortgage investments, associated debt, and hedges that are, in each case, accounted for at fair value through earnings, as well as certain non-cash expenses and securitization-related transaction costs. Management believes that the adjustments made to GAAP earnings result in the removal of (i) income or expenses that are driven by changes in market valuations and are not reflective of the longer term performance of our investment portfolio, (ii) certain non-cash expenses, and (iii) expense items required to be recognized solely due to the election of the fair value option on certain related residential mortgage assets and associated liabilities. Distributable earnings is one of the factors that our Board of Directors considers when evaluating distributions to our shareholders. Accordingly, we believe that the adjustments to compute Distributable earnings specified below provide investors and analysts with additional information to evaluate our financial results.

Distributable earnings should be used in conjunction with results presented in accordance with GAAP. Distributable earnings does not represent and should not be considered as a substitute for net income or cash flows from operating activities, each as determined in accordance with GAAP, and our calculation of this measure may not be comparable to similarly titled measures reported by other companies.

The following table provides a reconciliation of our GAAP net (loss)/income used in the calculation of basic EPS to our non-GAAP Distributable earnings for the quarters ended March 31, 2022 and 2021:

Reconciliation of GAAP Book Value per Common Share to non-GAAP Economic Book Value per Common Share

“Economic book value” is a non-GAAP financial measure of our financial position. To calculate our Economic book value, our portfolios of Residential whole loans and securitized debt held at carrying value are adjusted to their fair value, rather than the carrying value that is required to be reported under the GAAP accounting model applied to these financial instruments. These adjustments are also reflected in the table below in our end of period stockholders’ equity. Management considers that Economic book value provides investors with a useful supplemental measure to evaluate our financial position as it reflects the impact of fair value changes for all of our residential mortgage investments and certain associated financing arrangements, irrespective of the accounting model applied for GAAP reporting purposes. Economic book value does not represent and should not be considered as a substitute for Stockholders’ Equity, as determined in accordance with GAAP, and our calculation of this measure may not be comparable to similarly titled measures reported by other companies.

The following table provides a reconciliation of our GAAP book value per common share to our non-GAAP Economic book value per common share as of the quarterly periods below: