Company: MFAN
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001055160-25-000018
Chunk: 52

Company: MFA FINANCIAL, INC.
Filing Date: 2025-11-06
Form: 10-Q
Item: Part I, Item 2
Chunk 52
---
 impact on portfolio value was approximated using estimated net effective duration (i.e., the price sensitivity to changes in interest rates), including the effect of securitized and other fixed rate debt, of 0.98 which is the weighted average of 3.20 for our Residential whole loans, 3.32 for our Securities investments, (2.37) for our derivative and other hedging transactions and securitized and other fixed rate debt, and zero for our Other assets and cash and cash equivalents.  Estimated convexity (i.e., the approximate change in duration relative to the change in interest rates) of the portfolio was (0.55), which is the weighted average of (0.31) for our Residential whole loans, zero for 

87  

our derivative and other hedging transactions and securitized and other fixed rate debt, (1.76) for our Securities and zero for our Other assets and cash and cash equivalents. 

Credit Risk

We are exposed to credit risk through our credit sensitive residential mortgage investments, in particular residential whole loans and certain of our securities investments. We do not believe we are exposed to credit risk in our Agency MBS portfolio.  

Our exposure to credit risk from our credit sensitive investments is discussed in more detail below:

Residential Whole Loans

We are exposed to credit risk from our investments in residential whole loans.  Credit risk on our residential whole loans is mitigated through our process to underwrite the loan before it is acquired and/or originated and includes an assessment of the borrower’s financial condition and ability to repay the loan, nature of the collateral and relatively low LTV, including after-repair LTV for the majority of our Single-family and Multifamily transitional loans.  Given the extent of home price appreciation that has occurred since the majority of our loans collateralized by single-family homes were acquired or originated, we estimate that current LTVs have decreased significantly, further mitigating the risk of material credit losses on this portfolio.   As a result of higher capitalization rates and an increasing supply of multifamily units in certain markets, we estimate that current LTVs on certain of our Multifamily transitional loans may have increased since origination, increasing the risk of credit losses on this portfolio. 

Our investment process for Legacy RPL/NPL loans is focused on quantifying and pricing credit risk.  Legacy RPL/NPL loans are acquired at purchase prices that are generally discounted to the contractual loan balances based on a number of factors, including the impaired credit history of the