Company: MFAN
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001055160-25-000013
Chunk: 51

Company: MFA FINANCIAL, INC.
Filing Date: 2025-08-06
Form: 10-Q
Item: Part I, Item 2
Chunk 51
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 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 June 30, 2025.  All changes in value are measured as the percentage change from the projected portfolio value under the base interest rate scenario as of June 30, 2025. 

Change in Interest RatesChange in Estimated Net Portfolio Value (1)(2)Percentage Change in Portfolio ValuePercentage Change in Total Stockholders' Equity(Dollars in Thousands)   +100 Basis Point Increase$(156,402)(1.32)%(8.58)% + 50 Basis Point Increase$(68,607)(0.58)%(3.77)%Actual as of June 30, 2025$— — %— % - 50 Basis Point Decrease$49,418 0.42 %2.71 % -100 Basis Point Decrease$79,648 0.67 %4.37 %

(1)Assets in our portfolio include residential whole loans and REO, securities, other portfolio investments, goodwill, intangibles, receivables, and cash and cash equivalents and restricted cash. 

(2)Change in estimated net portfolio value includes the effect of our Swaps, securitized debt, and other fixed-rate debt.

Certain assumptions have been made in connection with the calculation of the information set forth in the Shock Table and, as such, there can be no assurance that assumed events will occur or that other events will not occur that would affect the outcomes.  The base interest rate scenario