Company: MFAN
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0001055160-25-000007
Chunk: 131

Company: MFA FINANCIAL, INC.
Filing Date: 2025-05-06
Form: 10-Q
Item: Part I, Item 1
Chunk 131
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ITED CONSOLIDATED FINANCIAL STATEMENTSMARCH 31, 2025

The following table presents additional information for the three months ended March 31, 2025 and 2024 about the Company’s financing agreements with non-mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:Agreements with Non-mark-to-market Collateral ProvisionsThree Months Ended March 31,(In Thousands)20252024Balance at beginning of period$284,843 $469,424 Issuances— 67,942 Payment of principal(100,454)(138,317)Changes in unrealized losses— — Balance at end of period$184,389 $399,049 The following table presents additional information for the three months ended March 31, 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 March 31,(In Thousands)20252024Balance at beginning of period$19,782 $178,864 Issuances— — Payment of principal(8,239)(2,105)Changes in unrealized losses— — Balance at end of period$11,543 $176,759 

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Table of ContentsMFA FINANCIAL, INC.NOTES TO THE UNAUDITED CONSOLIDATED FINANCIAL STATEMENTSMARCH 31, 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 March 31, 2025 and December 31, 2024, dollars in thousands:March 31, 2025Fair Value (1)Valuation TechniqueUnobservable InputWeighted Average (2)RangeMinMax$7,074,347 Discounted cash flowDiscount rate7.3 %6.0 %20.0 %Prepayment rate14.7 %— %46.5 %Default rate1.6 %— %54.8 %Loss severity12.0 %— %100.