Company: MFAN
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001055160-25-000018
Chunk: 110

Company: MFA FINANCIAL, INC.
Filing Date: 2025-11-06
Form: 10-Q
Item: Part I, Item 1
Chunk 110
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 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.  The following table presents certain additional information about the Company’s commercial mortgage loans as of September 30, 2025 and December 31, 2024:(Dollars In Thousands)Fair Value / Carrying ValueUPBWeighted Average CouponWeighted Average Term to Maturity (Months)UPB 60+ Days DelinquentWeighted Average LTV RatioCommercial Loans - September 30, 2025$6,947 $9,385 11.26 %0$9,385 142 %Commercial Loans - December 31, 2024$7,435 $9,385 11.48 %0$4,875 82 %

(e) Derivative Instruments  SwapsThe 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 September 30, 2025, 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. 

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Table of ContentsMFA FINANCIAL, INC.NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTSSEPTEMBER 30, 2025

The following table presents the assets pledged as collateral against the Company’s Swaps:(In Thousands)September 30,2025December 31,2024Agency MBS, at fair value$33,032 $44,411 Restricted Cash20,478 16,567  As of September 30, 202