Company: MFAN
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001055160-25-000013
Chunk: 141

Company: MFA FINANCIAL, INC.
Filing Date: 2025-08-06
Form: 10-Q
Item: Part I, Item 1
Chunk 141
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 has utilized Level 3 inputs to determine fair value as of June 30, 2025 and December 31, 2024, dollars in thousands:June 30, 2025Fair Value (1)Valuation TechniqueUnobservable InputWeighted Average (2)RangeMinMax$7,208,812 Discounted cash flowDiscount rate7.0 %5.8 %20.0 %Prepayment rate15.7 %— %49.7 %Default rate1.6 %— %63.1 %Loss severity11.9 %0.5 %100.0 %$308,927 Liquidation modelDiscount rate8.5 %8.0 %15.0 %Annual change in home prices2.8 %— %9.2 %Liquidation timeline (in years)1.70.84.5Current value of underlying properties (3)$658$19$10,000$7,517,739 (1)Excludes approximately $59.4 million of Residential whole loans, at fair value, with a UPB of $96.2 million, which were marked-to-market, but not based on a model, at June 30, 2025. (2)Amounts are weighted based on the fair value of the underlying loan.(3)Amounts represent simple average values of the properties underlying residential whole loans held at fair value.December 31, 2024Fair Value (1)Valuation TechniqueUnobservable InputWeighted Average (2)RangeMinMax$7,070,535 Discounted cash flowDiscount rate7.6 %6.2 %20.0 %Prepayment rate13.7 %— %58.3 %Default rate1.8 %— %54.3 %Loss severity12.3 %— %100.0 %$343,683 Liquidation modelDiscount rate8.8 %8.0 %20.0 %Annual change in home prices3.2 %— %9.7 %Liquidation timeline (in years)1.70.14.5Current value of underlying properties (3)$618$21$8,500$7,414,218 (1)Excludes approximately $44.9 million of Residential whole loans, at fair value, with a UPB of $