Company: MFAN
Filing Date: 2025-02-20
Form Type: 10-K
Source: 0001055160-25-000004
Chunk: 115

Company: MFA FINANCIAL, INC.
Filing Date: 2025-02-20
Form: 10-K
Item: Item 5
Chunk 115
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SwapsVariation margin payments on the Company’s Swaps are treated as a legal settlement of the exposure under the related Swap contract, the effect of which reduces what would have otherwise been reported as the fair value of the Swap, generally to zero. The Company receives prices from pricing services to validate the fair value of the Swaps. Changes to the valuation methodologies used with respect to the Company’s financial instruments are reviewed by management to ensure any such changes result in appropriate exit price valuations.  The Company will refine its valuation methodologies as markets and products develop and pricing methodologies evolve.  The methods described above may produce fair value estimates that may not be indicative of net realizable value or reflective of future fair values.  Furthermore, while the Company believes its valuation methods are appropriate and consistent with those used by market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date.  The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced.  The Company reviews the classification of its financial instruments within the fair value hierarchy on a quarterly basis, and management may conclude that its financial instruments should be reclassified to a different level in the future.  The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of December 31, 2024 and 2023, on the consolidated balance sheets by the valuation hierarchy, as previously described:Fair Value at December 31, 2024 (In Thousands)Level 1Level 2Level 3TotalAssets:Residential whole loans, at fair value$— $52,073 $7,459,137 $7,511,210 Securities, at fair value— 1,537,513 — 1,537,513 Total assets carried at fair value$— $1,589,586 $7,459,137 $9,048,723 Liabilities:Agreements with non-mark-to-market collateral provisions$— $— $284,843 $284,843 Agreements with mark-to-market collateral provisions— — 19,782 19,782 Securitized debt— 5,211,380 — 5,211,380 Total liabilities carried at fair value$— $5,211,380 $304