Company: MFAN
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001055160-25-000018
Chunk: 144

Company: MFA FINANCIAL, INC.
Filing Date: 2025-11-06
Form: 10-Q
Item: Part I, Item 1
Chunk 144
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163)(154,989)(245,126)(359,901)Changes in unrealized losses— — — — Balance at end of period$39,717 $222,263 $39,717 $222,263 The following table presents additional information for the three and nine months ended September 30, 2025 and 2024 about the Company’s financing agreements with mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:Agreements with Mark-to-market Collateral ProvisionsThree Months Ended September 30,Nine Months Ended September 30,(In Thousands)2025202420252024Balance at beginning of period$197,424 $290,228 $19,782 $178,864 Issuances— 12,323 191,050 126,924 Payment of principal(131,809)(108,427)(145,217)(111,664)Changes in unrealized losses— — — — Balance at end of period$65,615 $194,124 $65,615 $194,124 

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Table of ContentsMFA FINANCIAL, INC.NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTSSEPTEMBER 30, 2025

Fair Value Methodology for Level 3 Financial InstrumentsResidential Whole Loans, at Fair ValueThe following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of September 30, 2025 and December 31, 2024, dollars in thousands:September 30, 2025Fair Value (1)Valuation TechniqueUnobservable InputWeighted Average (2)RangeMinMax$7,276,067 Discounted cash flowDiscount rate6.7 %5.7 %20.0 %Prepayment rate17.0 %— %51.0 %Default rate1.7 %— %68.8 %Loss severity11.7 %— %100.0 %$312,558 Liquidation modelDiscount rate8.7 %8.0 %20.0 %Annual change in home prices2.4 %(2.6)%9.3 %Liquidation