Company: MFAN
Filing Date: 2025-02-20
Form Type: 10-K
Source: 0001055160-25-000004
Chunk: 42

Company: MFA FINANCIAL, INC.
Filing Date: 2025-02-20
Form: 10-K
Item: Item 8
Chunk 42
---
.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.         December 31, 2023Fair Value (1)Valuation TechniqueUnobservable InputWeighted Average (2)RangeMinMax$7,045,862 Discounted cash flowDiscount rate7.9 %6.2 %29.2 %Prepayment rate10.1 %— %46.4 %Default rate0.6 %— %39.5 %Loss severity10.8 %— %100.0 %$291,518 Liquidation modelDiscount rate8.0 %8.0 %8.0 %Annual change in home prices3.7 %(0.4)%12.7 %Liquidation timeline (in years)1.90.14.5Current value of underlying properties (3)$531$24$5,500$7,337,380 (1)Excludes approximately $14.7 million of Residential whole loans, at fair value, with a UPB of $15.9 million, which were marked-to-market, but not based on a model at December 31, 2023 and approximately $103.7 million of Residential whole loans, at fair value for which the closing of the purchase transaction had not occurred as of that period end.(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 to changes