公司更新 2022年第三季度 草案 10/27 公司更新 2022年第三季度

2 第二季度202 2財務快照 前瞻性statements When used in this presentation or other written or oral communications， statements which are not historical in nature， including those containing words such as “將，“ ”相信，“ ”預期，“ ”預期，“ ”估計，“ ”計劃，“ ”繼續，“ ”意圖，“ ”應該，“ ”可以，“ ”將，“ ”可能，” the negative of these words or similar expressions， 旨在 確定 “forward - looking statements” within the meaning of Section 27 A of the Securities Act of 1933 ， 經修訂的 and Section 21 E of the Securities Exchange Act of 1934 ， 經修訂的 、 經修訂的 和 經修訂的 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， 財務 狀況、 流動資金、 運營結果 、 plans and objectives . Among the important factors that could cause our actual results to differ materially from those projected in any forward - looking statements we make are ： changes in inflation and interest rates and the market (i . e . ， fair) value of MFA’s residential whole loans， Mortgage - Backed Securities (“ MBS “) ， securitized debt and other assets , as well as changes in the value of liabilities accounted for at fair value through earnings， the effectiveness of hedging transactions ； changes in the prepayment rates on residential mortgage assets， an increase of which could result in a reduction of the yield on certain investments in MFA’s portfolio and could require MFA to reinvest the proceeds received by it{Br}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{Br}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， 包括 成本、 期限 和 其他 條款、 任何此類 借款的 ； 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， 包括，但 不限於 , 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， 止贖 和 清算 ； the timing and amount of distributions to stockholders， which are declared and paid at the discretion of MFA’s Board of Directors and will depend on， 在 其他 中， MFA的 應納税所得額， its financial results and overall financial condition and liquidity， maintenance of it s qualification as a real estate investment trust (REIT) 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 修訂了 (或 《投資 公司 法案》), 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， 哪個 依賴於 、 以及其他 件事， the supply of loans offered for sale in the market ； targeted or expected returns on MFA’s investments in recently - originated loans， 其中 的 性能 ， similar to MFA’s other mortgage loan investments， 主題 ， 其他 事項， 提前還款 風險、 credit risk and financing cost associated with such investments ；差異 risks associated with the ongoing operation of Lima One Holdings， LLC (包括，沒有 限制的 ， unanticipated expenditures relating to or liabilities arising from its operation (including， 以及其他 事物， a failure to realize management’s assumptions regarding expected growth in business purpose loan (BPL) origination volumes and credit risks underlying BPLs, including changes in the default rates and management’s assumptions regarding default rates on the BPLs originated by Lima One ) ； expected returns on MFA’s investments in nonperforming residential whole loans (“NPLs”)， 受哪些 影響 受、 在其他 中， the length of time required to foreclose upon， 銷售、 liquidate or otherwise reach a resolution of the property underlying the NPL， 住宅 價格 價值、 amounts advanced to carry the asset (e . g . ， 税、 保險、 維護 費用、 etc . on the underlying property) and the amount ultimately realized upon resolution of the asset ； risks associated with MFA’s investments in MSR - related assets， 包括 服務、 監管 和 經濟 風險、 risks associated with our investments in loan originators ； and risks associated with investing in real estate assets generally ， including changes in business conditions and the general economy ； 和 其他風險， uncertainties and factors described in the annual， quarterly and current reports that MFA files with the SEC . All forward - looking statements are based on beliefs， assumptions and expectations of MFA’s future performance, taking into account all information currently available . Readers and listeners are cautioned not to place undue reliance on these forward - looking statements， which speak only as of the date on which they are made . New risks and uncertainties arise over time and it is not possible to predict those events Or how they may affect MFA . Except as required by law， MFA 不是義務 ， 和 不打算 ， update or revise any forward - looking statements， whether as a result of new information， future events or otherwise .

3 MFA概覽 3 $2.0B 總股本 $76.30 累計股息 領先的混合抵押貸款房地產投資信託基金在管理住宅抵押貸款資產方面擁有豐富的經驗 through economic cycles $9.5B Total資產自上市以來 1998年 於2022年9月30日在紐約證券交易所上市 a a s2022年9月30日的2022 65% 21% 14% Equity allocation (As) 全部貸款 現金 其他 紐約證券交易所：mfa

4 Q 3 202 2 f inancial snapshot 1. Economic book值和Distributable e arnings are n on - GAAP financial測量。請參閲幻燈片 17 和 18 以瞭解有關這些 的計算以及與其可比GAAP衡量標準的對賬的更多信息。 2.槓桿率的計算方法為 債務除以淨股本，其中 d EBT包括 所有融資負債 。 追索權槓桿率是相同的計算方法，除 債務不包括證券化債務。 MFA通過過去一年進行的對衝和證券化活動保護了第三季度的賬面價值 $15.31 $15.82 第三季度interest income $ 52.3 million GAAP淨虧損of ($0.62) per common share Distributable earnings 1 $0.28 per普通股 股息 $ 每股 普通股 公認會計原則 賬面價值 經濟 每股賬面價值 每股 普通股 $4.34億 可觀 無限制現金 3.6倍 1.7倍追索權槓桿率 槓桿率 2 4

5 影響 結果的關鍵項目： 在複雜的 環境中駕馭 活動投資組合 管理 1.包括固定的 - 利率債務，以及通過利率互換進行經濟對衝的可變利率債務。 · 第三季度GAAP結果反映了持續的市場 波動性 通過積極的投資組合管理 賬面價值有限下降 · 跨資產類別貸款的進一步證券化，將追索權標誌 - 降至 - 市場 (MTM)融資 併產生可觀的流動性 · $ 第三季度發行的證券化債務和 在 10月發行的額外1.6億美元的證券化債務 保持了 對利率變化的低敏感度 投資組合 淨期限為 0.92； 此外，在2022年9月30日，99 %的融資 有效固定了 - 利率 1 保持了可觀的 現金狀況，在 季度 - 末， $4 3400萬 無限制現金， 在MFA的所有權下，利馬繼續保持較低的 追索權槓桿率，為1.7倍。持續強勁的origination volume and credit performance. Current origination pipeline has average coupon over 10% · 經驗豐富的 信貸組合繼續受益於累積的 房價 升值 和貸款攤銷

6 Balance sheet strength ： Steps在過去12個月中採取措施鞏固資產負債表 · 將非 - MTM融資增加到總資產的71% - 截至9月30日，2022 · 將有效的固定 - 利率融資從38%增加到99 % · 發行了$ 3.0b 非 - 有追索權的證券化債務 11 證券化 增加了3.2B美元的利率互換名義價值，固定支付率為1.69%，可變接收 利率為2.98%，2022年。 SOFR的增加將增加可變的 收款率 · 總加權平均融資成本在2022年9月30日為3.6% (包括掉期的影響) 與2022年6月30日的3.3%相比 在2022年9月30日 · 在9月30日保持了4.34億美元的實質性無限制現金， 2022 資產負債表指標 Q3 2021 Q4 2021 Q1 2022 Q2 2022 Q3 2022 12 month change % non - MTM financing 54% 58% 57% 63% 71% +17% % of effective固定利率 - 利率融資 38% 58% 78% 95% 99% +61% Securitized debt Par未償還($M) $2,050 $2,645 $2,920 $3,532 $4,116 +$2,067 Swap名義($M) - $900 $2,400 $3,160 $3,160 +$3,160 Cash餘額($M) $526 $305 $411 $386 $ 434 - $92

$4.1 $1.1 $2.0 $0.0 $1.0 $2.0 $3.0 $4.0 $5.0 $6.0 $7.0 $8.0 1 Loan financing ($ B) Securitized債務 非MTM MTM $0.0 $0.1 $0.2 $0.3 $0.4 $0.5 $0.6 $0.7 $0.8 $0.9 $1.0 0-3個月 3至6個月 6至12個月 超過12個月 貸款 按到期日融資date ($B) MTM Non-MTM 7 Balance 表 實力 ： MFA繼續 優先 非 - MTM 和較長期貸款 融資 · 不包括證券化債務，截至2022年9月30日， 到期超過6個月的 $2.0B (或 65%) 到期超過6個月且 $ 0.7b (或 23%) 到期超過12個月的 貸款融資 $5.2B非 - MTM 貸款融資2022年 · 貸款融資條款(包括預付款利率和跨指數利差)按合同固定到到期日 · MFA目前在所有貸款產品 類型中有大約14億美元的未使用融資能力

具有 嵌入HPA的經驗貸款 投資組合 8 1.當前的LTV反映貸款攤銷和自收購以來估計的房價升值或貶值。Zillow Home Value Ind ex (ZHVI)用於估計更新後的LTV 。 2.貸款收購時的LTV和基於維修後價值(ARV)的當前LTV。 3.其他包括機構合格投資者貸款和經驗豐富的履約貸款。 4. 遺留RPL/NPL貸款 由購買的信用惡化貸款和購買的非信用不良貸款組成 - 履約貸款。這些貸款是以平均收購價格o f 80.8%. MFA’s seasoned loan portfolio has benefited from strong home price appreciation (HPA) and loan amortization，獲得的 with an HPA - adjusted LTV of just 57 % Residential整體貸款type UPB ($M) Weighted average loan年齡 (月) UPB loan acquisition Current LTV 1 (9/30/22) %的LTV，目前為 LTV> 80% Accumulated HPA since acquisition Non - QM $3,669 18 66% 55% 3% 19% Single - family rental 1,436 12 70% 60% 0% 16% Fix - and - Flip loans 2 1,262 8 67% 62% 1% 10% Other 3 1,104 31 60% 51% 1% 14% Total purchased執行loans $7,471 17 66% 57% 2% 16% Legacy RPL/NPL 4 $1,494 195 93% 59% 19% 56% Total residential Whole l oans $8,965 47 71% 57% 5% 23%

9 Q 3 2022 p ortfolio highlights · 在本季度收購了 $ 7.1億 貸款 · 購買貸款的縮減資產收購，特別是非 - Q 3 貸款 收購包括 $ 5.2億 出資發起和提取的業務 目的 利馬ONE 和 $ 1.79億 非 - QM貸款 · 資產收購被投資組合運行抵消 - 資產收購估值下降 · 降低了本季度的利率風險 和追索權 槓桿 完成了三次 證券化，出售的債券達7.5億美元 。 證券化債務餘額在本季度增加了 $ 584m • C ompleted one additional securitization post{Br}- 季度 - 結束 ， 出售債券of $ 160M Portfolio composition - 9/30/22 1.其他包括符合機構資格的投資者貸款、經驗豐富的履約貸款、REO和證券。 2. 商業用途貸款 由 $ 1.3億美元的固定 - 和 - 翻轉 貸款和 1.3億美元的單户租賃貸款組成。2022. 非 - QM 貸款$34億 業務 用途 貸款$26億 (2) 傳統RPL和 不良貸款 $1.3 B 其他13億美元 (1)

10 非 - QM投資 投資組合 s 統計( 9 /30/22 ) Total UPB ( $M ) $ 3，6 69 Average b alance $ 509， 670 waLTV 1 65% 當前ltv 2 55% wa FICO 73 3 WA c oupon 5. 21 % Hybrid ARM’s 2 6 % Fixed r ate 7 4 % Purchase 51% Cash - o ut r efinance 38% 3 - m onth CPR 12 % Top 2 s tates CA 5 8 % FL 14% Q1 2021 第二季度2021 第三季度2021 第四季度 2021 2022年第1季度 2022年第2季度 第三季度2022 Loan c ount 5,442 5,390 5,846 6,706 7,240 7,137 7,199 Total UPB ( $M ) 2,290 2,363 2,738 3,361 3,671 3,637 3,669 % c urrent 88% 90% 92% 94% 94% 95% 96% %30 d ays 4% 3% 2% 2% 3% 2% 1% %60+ d ays 8% 8% 5% 4% 3% 3%{Br}2% WA LTV 63% 64% 64% 66% 65% 65% 65% · 在本季度購買了$ 1.79億至 QM貸款 ，低於第二季度的2.2億美元 · 該季度購買的貸款的加權平均票面利率為7.61% 完成了 3.43億美元的額外證券化 UPB貸款。在過去12個月中，我們證券化了15億美元的貸款 資產組合 信貸表現持續改善，拖欠天數超過60天 ， decreasing to 2% Quarter highlights 1.的計算方法是當前未償還本金餘額(UPB)除以貸款相關資產的評估價值。 2. 當前貸款餘額反映了貸款自收購以來的攤銷和預計房價升值或貶值。Zillow Home V ALU e指數(ZHVI)用於估計更新後的LTV。

11 商業用途貸款： FIX - 和 - Flip(住宅過渡貸款) 投資組合 s 統計數據( 9 /30/22 ) UPB ($M) $1,262 未提取的commitments ($M) $543 Maximum loan a mount($M) $ 1，805 WA passthrough rate 7.56% WA ARV - LTV 1 66% WA Current ARV - LTV 2 62% WA as - is/purchased LTV 3 69% WA FICO 745 wa 貸款年限 (月) 9 第三季度收益率 6.87% 3 - 月還款率 43% 60+ 天delinquent 6 % Quarter highlights 1 . WA arv - ltv ：維修後貸款與初始價值的加權平均。 2. wa當前arv - ltv 反映貸款攤銷和自收購以來估計的房價升值或貶值。Zillow 房屋價值指數 (Zhvi) 用於評估更新後的LTV。 3.Wa as - 是/購買LTV：加權平均值，因為 - 是發端時的價值或購買價值(如果可用)。 住宅過渡貸款(RTL)投資組合 在2022年9月30日增長了超過2.15億美元，達到 $ 1.3B UPB , 比2022年第二季度增長21% · 收購了 $2.61億 UPB($ 4.91億最高 貸款金額)的RTL貸款(全部由Lima One發起)，並在 第三季度從我們的RTL投資組合中提取了1.07億美元的資金 第三季度 · 6.87% 第三季度的收益率 增加了約6.5億美元在 第 季度 72%的即時融資is non - mark - to - market · 60天以上拖欠率在 季度 - 結束時，拖欠率從8%降至6%。基本上所有拖欠貸款都是在2020年4月之前發放的， 75% 是利馬以外的發起人 }利馬一號發起的貸款佔MFA RTL投資組合的94%。60 + 利馬一號發起的貸款的日拖欠率為 低於2 % · 自成立以來在我們的 RTL貸款中收取了約860萬美元的違約利息和延期費用

12 商業用途貸款：單户租賃loans SFR p ortfolio s tatistics( 9 /30/22 ) UPB ($M) $ 1,436 WA LTV 69% Current LTV 1 60% WA FICO 737 wa dscr 2 1.51x WA coupon 5.66% WA loan a ge (months) 12 Hybrid ARM 20% 第三季度收益率 5.46% 3 - 月CPR 9% 60+ 天delinquent 2% Quarter highlights 1. Current LTV反映貸款攤銷情況和自收購以來估計的房價升值或貶值。Zillow 房屋價值指數 (ZHVI) 用於評估更新後的LTV。 2. WA DSCR：加權平均償債覆蓋率 比率。 SFR投資組合表現強勁，提供誘人的 收益率和良好的信用表現 · 投資組合在 第三季度 收購了$ 152m 第三季度SFR貸款 ，全部由利馬發起 一筆仍在積極證券化我們的SFR貸款 · 第四筆證券化 於2022年7月完成，約2.15億美元的 貸款證券化 已證券化 · 第五筆證券化於2022年10月完成，大約2.35億美元的貸款證券化了 · is non - mark - to - market continues要增加的SFR融資額 證券化之後， 大約 93%的SFR financing is non - mark - to - market

13 傳統Non - Performing 1 and Re - Performing 2 Loans Non - Performing L oans (NPL) · 我 mprov 通過將貸款返還給履約或 已支付 - 已支付 - 完整狀態 為不良貸款組合提供 結果Br}· A 在市場狀況保持有利的情況下，大舉清算REO物業。 過去12個月 ， 出售了 $ 1.59億 房產，根據UPB在購買時計算的淨收益為 $ 31m · ，截至 9月30日，在購買時未履行 - 的貸款中有39%正在履行或已全額償還，2022 · 76%的MFA修改貸款今天正在履行或已全額償還 re - 履行貸款 (RPL) · 剩餘UPB$ 8 05M · 8 2 % 截至2022年9月30日，平均拖欠天數少於60天。 60天以上的拖欠貸款中有45筆 % 正在償還 · 由於房價大幅上漲和本金償還 · 組合LTV已降至 5 2 % ， 穩定的投資組合，平均貸款年限16 years 1. Non - P erforming at購買定義為大於或等於60天 拖欠 2.包括購買的信用惡化(PCD)和某些其他貸款，購買為 Re - 執行 L OAN ，但出於會計目的不被歸類為PCD貸款。 3 截至 2022年9月30日執行 定義為拖欠60天以下或在2022年6月全額支付P&I付款 。 Acquisition Year 2014 2015 2016 2017 2018 2019 Total UPB p urchased($ M ) 161 620 280 716 497 227 2, 502 Status 9 /30/2022 Performing 3 /PIF 39% 29% 31% 42% 52% 40% 39% Liquidation/REO 55% 59% 63% 42% 35% 33% 47% Non - p Erforming 6% 12% 6% 16% 13% 27% 14% Total 100% 100% 100% 100% 100% 100% 100% Remaining UPB ($ M ) 35 137 49 246 196 121 785 0% 5% 10% 15% 20% 25% Mar-17 Sep-17 Mar-18 Sep-18 Mar-19 Sep-19 Mar-20 Sep-20 Mar-21 Sep-21 Mar-22 Sep-22 RPL portfolio CPR (voluntary預付款 ) 3個月 1個月

14 附錄 James Casebere ，帶房景觀 ( 紐約州達奇斯縣)#2,2010( 詳細信息)

15 MFA 概述 · MFA Financial，Inc.是一家領先的專業金融公司，投資和融資住宅抵押貸款 資產 資產 住宅抵押貸款資產組合包括過渡性和定期業務 P 抵押貸款(Bpls)，非 - QM，Re - 履行貸款和 住房抵押貸款證券 2021年第三季度MFA收購了利馬一號，利馬一號是全國領先的 發起人 和 服務商，自 成立以來，以超過60億美元的價格收購了利馬一號， MFA直接通過利馬一號發起BPLS，還通過流程和小型 - 選定的發起人 組 收購了整個 貸款 與其關係密切的 · 領先的住宅信貸證券化平臺，截至2022年，發行額超過23億美元，自2020年9月以來達到60億美元。

16 · 利馬一號是MFA的全資子公司，是一個 行業領先的、 完全集成的 商業用途貸款平臺，集房屋承保、服務和 建築管理於一體。所有貸款產品的證券化執行到位 · LIMA One為全美有經驗的房地產投資者提供多樣化的短期和長期融資解決方案 - - 單一家庭和 小額餘額多家庭過渡性和租賃貸款 市場 · 自成立以來超過6.0億美元的BPL貸款 · 後續貸款 12 - 個月開始 卷 $ 25B至 2022年第3季度， 自2021年第三季度收購以來產生的 超過$ 2.9億 Lima One為MFA提供了有機創建的 高收益 貸款， 大大低於從第三方購買 的成本 Lima One： 領先的BPL發起人和服務商

17 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, certain realized gains and losses, 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 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 . The following table provides a reconciliation of GAAP net (loss)/income used in the calculation of basic EPS to our non - GAAP Distributable earnings for the quarterly periods presented . ( $ i n m illions, e xcept p er s hare a mounts) Q 3 2022 Q2 2022 Q1 2022 Q4 2021 Q3 2021 GAAP Net (loss)/income used in the calculation of basic EPS $ ( 63.4 ) $ (108.8) $ (91.3) $ 35.7 $ 123.9 Adjustments: Unrealized gains and losses on: Residential whole loans held at fair value 291.8 218.2 287.9 42.6 (20.5) Securities held at fair value ( 1.5 ) 1.5 2.9 0.4 (0.5) Interest rate swaps ( 108 . 9 ) (31.8) (80.8) (0.1) — Securitized debt held at fair value ( 100 . 8 ) (84.3) (62.9) (6.1) (0.9) Investments in loan origination partners 2.0 39.2 0.8 (24.0) (48.9) Expense items: Amortization of intangible assets 1.3 3.3 3.3 3.3 3.3 Equity based compensation 2.7 3.5 2.6 2.3 2.3 Securitization - related transaction costs 5.0 6.4 3.2 5.2 — Total adjustments $ 91.6 $ 155.9 $ 157.2 $ 23.5 $ (65.2) Distributable earnings $ 28.2 $ 47.2 $ 66.0 $ 59.3 $ 58.7 GAAP (loss)/earnings per basic common share $ ( 0 . 62 ) $ (1.06) $ (0.86) $ 0.33 $ 1.12 Distributable earnings per basic common share $ 0.28 $ 0.46 $ 0.62 $ 0.54 $ 0.53 Weighted average common shares for basic earnings per share 10 1 . 8 102.5 106.6 109.5 110.2

18 Reconciliation of GAAP book value to Economic book value “Economic book value” is a non - GAAP financial measure of our financial position . To calculate our Economic book value, our portfolios of Residential whole loans and securitized debt( 1 ) held at carrying value are adjusted to their fair value, rather than the carrying value that is required to be reported under the GAAP accounting model applied to these financial instruments . These adjustments are also reflected in the table below in our end of period stockholders’ equity . Management considers that Economic book value provides investors with a useful supplemental measure to evaluate our financial position as it reflects the impact of fair value changes for all of our investment activities, irrespective of the accounting model applied for GAAP reporting purposes . Economic book value does not represent and should not be considered as a substitute for Stockholders’ Equity, as determined in accordance with GAAP, and our calculation of this measure may not be comparable to similarly titled measures reported by other companies . The following table provides a reconciliation of GAAP book value per common share to our non - GAAP Economic book value per common share as of the end of each quarter since Q 3 2021 . ($ i n millions, except per share amounts) 9 /30/22 6/30/22 3/31/22 12/31/21 9/30/21 GAAP Total Stockholders’ Equity $ 2,033.9 $ 2,146.4 $ 2,349.0 $ 2,542.8 $ 2,601.1 Preferred Stock, liquidation preference (475.0 ) (475.0 ) (475.0 ) (475.0 ) (475.0 ) GAAP Stockholders’ Equity for book value per common share $ 1, 558 . 9 $ 1,671.4 $ 1,874.0 $ 2,067.8 $ 2,126.1 Adjustments: Fair value adjustment to Residential whole loans, at carrying value (58.2) 9.5 54.0 153.5 198.8 Fair value adjustment to Securitized debt, at carrying value (1) 109.6 75.4 47.7 4.3 (8.0 ) Stockholders’ Equity including fair value adjustments to Residential whole loans and Securitized debt held at carrying value (Economic book value ) (1) $ 1,610.3 $ 1,756.3 $ 1,975.7 $ 2,225.6 $ 2,316.9 GAAP book value per common share $ 15.31 $ 16.42 $ 17.84 $ 19.12 $ 19.29 Economic book value per common share (1) $ 15.82 $ 17.25 $ 18.81 $ 20.58 $ 21.02 Number of shares of common stock outstanding 101.8 101.8 105.0 108.1 110.2 1. Economic book value per common share for periods prior to December 31, 2021 have been restated to include the impact of fa ir value changes of securitized debt held at carrying value.

19 Book value and economic book value rollforward GAAP Economic Book value per common share as of 6/30/22 $16.42 $17.25 Net income available to common shareholders (0.62) ( 0 .6 2 ) Common stock dividends declared (0.44) (0.44) Impact of share repurchases — — Fair value changes attributable to residential mortgage securities and MSR term notes, and other ( 0.0 5) ( 0.0 5) Change in fair value of residential whole loans reported at carrying value under GAAP — ( 0. 66 ) Change in fair value of securitized debt at carrying value under GAAP — 0.34 Book value per common share as of 09/30/22 $ 15 . 31 $ 15 . 82

20 GAAP segment reporting (Dollars in m illions) Mortgage - Related Assets Lima One Corporate Total Three months ended September 30, 2022 Interest Income $ 90.4 $ 31.9 $ 1.6 $ 123.9 Interest Expense 47.8 19.9 3.9 71.6 Net Interest Income $ 42.6 $ 12.0 $ ( 2 . 4 ) $ 52. 3 Provision for Credit Losses on Residential Whole Loans $ ( 0 . 5 ) $ (0.1) $ — $ ( 0 . 6 ) Net Interest Income after Provision for Credit Losses $ 4 2.1 $ 12.0 $ ( 2.4 ) $ 51.7 Net mark - to - market and other net loss on residential whole loans measured at fair value $ ( 227.0 ) $ ( 64.8 ) $ — $ ( 291.9 ) Net gain on derivatives used for risk management purposes 86.9 24.9 — 111.8 Net mark - to - market on securitized debt at fair value 79.5 19.4 — 98.9 Net gain on real estate owned 3.9 — — 3.9 Lima One - origination, servicing and other fee income — 12.4 — 1 2 . 4 Other (loss)/income, net 2.1 ( 0.1 ) (1.2) 0.8 Total Other Loss, net $ ( 5 4.7 ) $ ( 8.3 ) $ (1.2) $ ( 64.2 ) General and administrative expenses (including compensation) $ — $ 14.9 $ 14.9 $ 29. 9 Loan servicing, financing, and other related costs 6. 1 0.3 5.0 1 1 . 4 Amortization of intangible assets — 1.3 — 1 .3 Net Loss $ ( 18.7 ) $ ( 12.8 ) $ ( 23.5 ) $ ( 55.0 ) Less Preferred Stock Dividend Requirement $ — $ — $ 8.2 $ 8.2 Net Loss Available to Common Stock and Participating Securities $ ( 18.7 ) $ ( 12.8 ) $ ( 31.8 ) $ ( 63.2 )

21 Distributable earnings by operating segment (Dollars in m illions ) Mortgage - Related Assets Lima One Corporate Total Three months ended September 30, 2022 GAAP Net loss used in the calculation of basic EPS $ ( 18.7 ) $ ( 12.8 ) $ ( 31.9 ) $ ( 63.4 ) Adjustments: Unrealized gains and losses on: Residential whole loans held at fair value 226.9 64.9 — 291.8 Securities held at fair value ( 1.5 ) — — (1.5) Interest rate swaps ( 84.8 ) ( 2 4.2 ) — ( 108.9 ) Securitized debt held at fair value ( 80.9 ) ( 19. 9 ) — ( 100.8 ) Investments in loan origination partners — — 2.0 2.0 Expense items: Amortization of intangible assets — 1.3 — 1.3 Equity based compensation — 0.1 2.6 2.7 Securitization - related transaction costs — — 5.0 5.0 Total adjustments $ 59.7 $ 22.3 $ 9.6 $ 91.6 Distributable earnings $ 41.0 $ 9.5 $ ( 22.3 ) $ 28.2