Company: MFAN
Filing Date: 2025-02-20
Form Type: 10-K
Source: 0001055160-25-000004
Chunk: 187

Company: MFA FINANCIAL, INC.
Filing Date: 2025-02-20
Form: 10-K
Item: Item 8
Chunk 187
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,729 The following table presents additional information for the years ended December 31, 2024 and 2023 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 ProvisionsYear Ended December 31,(In Thousands)20242023Balance at beginning of period$469,424 $578,879 Issuances216,189 508,510 Payment of principal(400,770)(617,965)Change in unrealized losses— — Balance at end of period$284,843 $469,424 The following table presents additional information for the years ended December 31, 2024 and 2023 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 ProvisionsYear Ended December 31,(In Thousands)20242023Balance at beginning of period$178,864 $884,495 Issuances127,422 192,560 Payment of principal(286,504)(898,191)Balance at end of period$19,782 $178,864 

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Table of ContentsMFA FINANCIAL, INC.NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTSDecember 31, 2024

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 December 31, 2024 and 2023: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