XML 39 R28.htm IDEA: XBRL DOCUMENT
v3.21.2

Securities, at Fair Value (Tables) | 9 Months Ended
--- | ---
Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract] |
Schedule of information about MBS and CRT Securities | The following tables present certain information about the Company’s residential mortgage securities at September 30, 2021 and December 31, 2020: September 30, 2021
(In Thousands) |  | Principal/ Current Face |  | Purchase Premiums |  | Accretable Purchase Discounts |  | Discount Designated as Credit Reserve (1) |  | Gross Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Net Unrealized Gain/(Loss) |  | Fair Value
Total residential mortgage securities (2)(4)(5) |  | $ | 102,307 |  |  | $ | 6,163 |  |  | $ | (59) |  |  | $ | (20,768) |  |  | $ | 87,643 |  |  | $ | 17,853 |  |  | $ | (8) |  |  | $ | 17,845 |  |  | $ | 105,488 |
December 31, 2020
(In Thousands) |  | Principal/ Current Face |  | Purchase Premiums |  | Accretable Purchase Discounts |  | Discount Designated as Credit Reserve (1) |  | Gross Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Net Unrealized Gain/(Loss) |  | Fair Value
Total residential mortgage securities (2)(3)(4)(5) |  | $ | 161,878 |  |  | $ | 3,022 |  |  | $ | (8,206) |  |  | $ | (21,437) |  |  | $ | 135,257 |  |  | $ | 26,926 |  |  | $ | (1,183) |  |  | $ | 25,743 |  |  | $ | 161,000 |
(1)Discount designated as Credit Reserve is generally not expected to be accreted into interest income. (2)Based on management’s current estimates of future principal cash flows expected to be received. (3)Includes RPL/NPL MBS, which at December 31, 2020 had a $55.0 million Principal/Current face, $46.9 million amortized cost and $53.9 million fair value. (4)At December 31, 2020, the Company expected to recover approximately 99% of the then-current face amount of Non-Agency MBS. (5)Amounts disclosed at September 30, 2021 includes CRT securities with a fair value of $68.0 million for which the fair value option has been elected. Such securities had $2.2 million gross unrealized gains and gross unrealized losses of approximately $8,000 at September 30, 2021. Amounts disclosed at December 31, 2020 includes CRT securities with a fair value of $66.2 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $551,000 and gross unrealized losses of approximately $322,000 at December 31, 2020.
Schedule of Sale of Residential Mortgage Securities | The following table presents information about the Company’s sales of its residential mortgage securities for the three and nine months ended September 30, 2021 and 2020. The Company has no continuing involvement with any of the sold securities.
|  | Three Months Ended September 30, 2021 |  | Three Months Ended September 30, 2020
(In Thousands) |  | Sales Proceeds |  | Gains/(Losses) |  | Sales Proceeds |  | Gains/(Losses)
Agency MBS |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Non-Agency MBS |  | — |  |  | — |  |  | 116 |  |  | 48 |
CRT Securities |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | — |  |  | $ | — |  |  | $ | 116 |  |  | $ | 48 |
|  | Nine Months Ended September 30, 2021 |  | Nine Months Ended September 30, 2020
(In Thousands) |  | Sales Proceeds |  | Gains/(Losses) |  | Sales Proceeds |  | Gains/(Losses)
Agency MBS |  | $ | — |  |  | $ | — |  |  | $ | 1,500,875 |  |  | $ | (19,291) |
Non-Agency MBS |  | — |  |  | — |  |  | 1,318,958 |  |  | 107,999 |
CRT Securities |  | — |  |  | — |  |  | 243,025 |  |  | (27,011) |
Total |  | $ | — |  |  | $ | — |  |  | $ | 3,062,858 |  |  | $ | 61,697 |
Schedule of Credit Losses | The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(Dollars In Thousands) |  | 2021 |  | 2020 |  | 2021 |  | 2020
Allowance for credit losses at beginning of period |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Current provision: |  |  |  |  |  |  |  |
Securities with no prior loss allowance |  | — |  |  | — |  |  | — |  |  | 344,269 |
Securities with a prior loss allowance |  | — |  |  | — |  |  | — |  |  | — |
Write-offs, including allowance related to securities the Company intended to sell |  | — |  |  | — |  |  | — |  |  | (344,269) |
Allowance for credit losses at end of period |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Schedule of impact of AFS on AOCI | The following table presents the impact of the Company’s AFS securities on its AOCI for the three and nine months ended September 30, 2021 and 2020:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) | 2021 |  | 2020 |  | 2021 |  | 2020
AOCI from AFS securities: |  |  |  |  |  |  |  |
Unrealized gain on AFS securities at beginning of period |  | $ | 66,163 |  |  | $ | 52,889 |  |  | $ | 79,607 |  |  | $ | 392,722 |
Unrealized (losses)/gains on securities available-for-sale |  | (8,029) |  |  | 15,082 |  |  | (21,473) |  |  | 408,585 |
Reclassification adjustment for MBS sales included in net income |  | — |  |  | (60) |  |  | — |  |  | (389,127) |
Reclassification adjustment for impairment included in net income |  | — |  |  | — |  |  | — |  |  | (344,269) |
Change in AOCI from AFS securities |  | (8,029) |  |  | 15,022 |  |  | (21,473) |  |  | (324,811) |
Balance at end of period |  | $ | 58,134 |  |  | $ | 67,911 |  |  | $ | 58,134 |  |  | $ | 67,911 |
Schedule of interest income on MBS, CRT Securities and MSR Related Assets | The following table presents the components of interest income on the Company’s Securities, at fair value for the three and nine months ended September 30, 2021 and 2020:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2021 |  | 2020 |  | 2021 |  | 2020
Agency MBS |  |  |  |  |  |  |  |
Coupon interest |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 14,038 |
Effective yield adjustment (1) |  | — |  |  | — |  |  | — |  |  | (5,186) |
Interest income |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 8,852 |
Legacy Non-Agency MBS |  |  |  |  |  |  |  |
Coupon interest |  | $ | — |  |  | $ | 42 |  |  | $ | 14 |  |  | $ | 18,222 |
Effective yield adjustment (2)(3) |  | — |  |  | 6 |  |  | 670 |  |  | 10,564 |
Interest income |  | $ | — |  |  | $ | 48 |  |  | $ | 684 |  |  | $ | 28,786 |
RPL/NPL MBS |  |  |  |  |  |  |  |
Coupon interest |  | $ | — |  |  | $ | 811 |  |  | $ | 373 |  |  | $ | 7,622 |
Effective yield adjustment (1)(4) |  | — |  |  | 94 |  |  | 8,136 |  |  | 449 |
Interest income |  | $ | — |  |  | $ | 905 |  |  | $ | 8,509 |  |  | $ | 8,071 |
CRT securities |  |  |  |  |  |  |  |
Coupon interest |  | $ | 931 |  |  | $ | 956 |  |  | $ | 2,774 |  |  | $ | 6,063 |
Effective yield adjustment (2) |  | 1,364 |  |  | 420 |  |  | 3,152 |  |  | (94) |
Interest income |  | $ | 2,295 |  |  | $ | 1,376 |  |  | $ | 5,926 |  |  | $ | 5,969 |
MSR-related assets |  |  |  |  |  |  |  |
Coupon interest |  | $ | 1,595 |  |  | $ | 2,991 |  |  | $ | 6,044 |  |  | $ | 23,332 |
Effective yield adjustment (1)(2)(5) |  | 6,739 |  |  | 3,250 |  |  | 21,270 |  |  | 6,857 |
Interest income |  | $ | 8,334 |  |  | $ | 6,241 |  |  | $ | 27,314 |  |  | $ | 30,189 |
(1) Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or in the instrument’s contractual cash flows, depending on the relevant accounting standards. (3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $670,000 during the nine months ended September 30, 2021. (4) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $8.1 million and $277,000 during the nine months ended September 30, 2021 and 2020, respectively. (5) Includes $4.0 million and $12.4 million of accretion income recognized during the three and nine months ended September 30, 2021, respectively due to the impact of the redemption at par of MSR-related assets that had been held at amortized cost basis below par due to an impairment charge recorded in the first quarter of 2020.

X
- Definition Tabular disclosure of the impact of available-for-sale securities on accumulated other comprehensive income. + References No definition available. + Details
Name: | mfa_ScheduleOfAccumulatedOtherComprehensiveIncomeMortgageBackedSecuritiesTableTextBlock
Namespace Prefix: | mfa_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Schedule of Sale of Residential Mortgage Securities [Table Text Block] + References No definition available. + Details
Name: | mfa_ScheduleofSaleofResidentialMortgageSecuritiesTableTextBlock
Namespace Prefix: | mfa_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of allowance for credit loss on investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=124269663&loc=SL82922900-210455 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleAllowanceForCreditLossTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of fair value of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale), in unrealized loss position, without allowance for credit loss. Includes beneficial interest in securitized financial asset. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 55 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=121590138&loc=SL82922954-210456 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123581744&loc=d3e27290-111563 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 326 -SubTopic 30 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=124269663&loc=SL82922888-210455 + Details
Name: | us-gaap_DebtSecuritiesAvailableForSaleUnrealizedLossPositionFairValueTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of interest income and income classified as other. + References No definition available. + Details
Name: | us-gaap_InterestAndOtherIncomeTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration