Company: MFAN
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001055160-25-000013
Chunk: 138

Company: MFA FINANCIAL, INC.
Filing Date: 2025-08-06
Form: 10-Q
Item: Part I, Item 1
Chunk 138
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 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.

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

The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of June 30, 2025 and December 31, 2024, on the consolidated balance sheets by the valuation hierarchy, as previously described:Fair Value at June 30, 2025 (In Thousands)Level 1Level 2Level 3TotalAssets:Residential whole loans, at fair value$— $51,458 $7,577,177 $7,628,635 Securities, at fair value— 1,829,809 — 1,829,809 Total assets carried at fair value$— $1,881,267 $7,577,177 $9,458,444 Liabilities:Agreements with non-mark-to-market collateral provisions$— $— $76,880 $76,880 Agreements with mark-to-market collateral provisions— — 197,424 197,424 Securitized debt— 5,374,319 — 5,374,319 Total liabilities carried at fair value$— $5,374,319 $274,304 $5,648,623 Fair Value at