Company: MFAN
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0001055160-25-000007
Chunk: 251

Company: MFA FINANCIAL, INC.
Filing Date: 2025-05-06
Form: 10-Q
Item: Part I, Item 8
Chunk 251
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 had $54.7 million and $54.6 million, respectively, of term notes issued by SPVs that have 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 is 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.  At March 31, 2025, these term notes had an amortized cost of $51.6 million, gross unrealized gains of approximately $3.1 million, a weighted average yield of 17.8% and a weighted average term to maturity of 0.59 years.  At December 31, 2024, the term notes had an amortized cost of $50.6 million, gross unrealized gains of approximately $3.9 million, a weighted average yield of 14.0% and a weighted average term to maturity of 0.83 years.  The issuer of the notes had a one-time option to extend the maturity of the notes for an additional two years, subject to satisfaction of certain conditions, which was exercised in October 2023.  The coupon stepped up by 0.75% at the time of the extension.CRT SecuritiesCRT 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, 2025 and December 31, 2024, the Company had $64.5 million and $67.6 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).

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Table of ContentsMFA FINANCIAL, INC.NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTSMARCH 31, 2025

Non-Agency MBSNon-Agency MBS