Company: MFAN
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0001055160-25-000007
Chunk: 132

Company: MFA FINANCIAL, INC.
Filing Date: 2025-05-06
Form: 10-Q
Item: Part I, Item 1
Chunk 132
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0 %$312,376 Liquidation modelDiscount rate8.5 %8.0 %15.0 %Annual change in home prices3.6 %— %8.7 %Liquidation timeline (in years)1.80.14.5Current value of underlying properties (3)$623$19$8,500$7,386,723 (1)Excludes approximately $92.2 million of Residential whole loans, at fair value, with a UPB of $141.9 million, which were marked-to-market, but not based on a model, at March 31, 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 $78.2 million, which were marked-to-market, but not based on a model at December 31, 2024.(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.Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant increase or decrease in the fair value of residential whole loans.  Loans valued using a discounted cash flow model are most sensitive to changes in the discount rate assumption, while loans valued using the liquidation model technique are most sensitive