Company: MFAN
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001055160-25-000018
Chunk: 50

Company: MFA FINANCIAL, INC.
Filing Date: 2025-11-06
Form: 10-Q
Item: Part I, Item 2
Chunk 50
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 underlying real estate collateral, past and expected delinquency status of the borrower as well as the level of interest rates.  For certain loans that were re-performing or non-performing when purchased and where the borrower has brought the loan current, but 

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nonetheless may be less likely to prepay due to weak credit history and/or high LTV, we believe these loans exhibit positive duration.  We estimate the duration of these residential whole loans using management’s assumptions.  

The fair value of our Business purpose and Non-QM loans is typically dependent on the value of the underlying real estate collateral, as well as the level of interest rates.  Because these loans are primarily newly or recently originated performing loans, we believe these investments exhibit positive duration.  Given the short duration of our Single-family and Multifamily transitional loans, we believe the fair value of these loans exhibits little sensitivity to changes in interest rates.  We estimate the duration of these Business purpose and Non-QM loans using management’s assumptions.

The fair value of our non-performing residential whole loans is typically dependent on the value of the underlying real estate collateral and the time required for collateral liquidation.  Since neither the value of the collateral nor the liquidation timeline is generally sensitive to interest rates, we believe their fair value exhibits little sensitivity to interest rates. We estimate the duration of our non-performing residential whole loans using management’s assumptions.

We estimate the duration of our Agency MBS using a third-party financial model, which takes into account key characteristics of securities, market data, and assumptions based on management’s view and observed empirical data.

We use derivative financial instruments, including Swaps, as part of our overall interest rate risk management strategy. Such instruments are used to economically hedge against future interest rate increases on our financing transactions.  While use of such derivatives does not extend the maturities of our borrowings under repurchase agreements, they do, in effect, lock in a fixed rate of interest over their term for a corresponding amount of our repurchase agreement financings that are hedged, or otherwise act as a hedge against changes in interest rates.    

Shock Table

The information presented in the following “Shock Table” projects the potential impact of sudden parallel changes in interest rates on our portfolio value, including the impact of Swaps and securitized debt and other fixed rate debt, based on the assets in our investment portfolio as of September 30, 2025.  All changes in value are measured as the percentage change from the projected portfolio value