XML 106 R96.htm IDEA: XBRL DOCUMENT
v3.23.2

Fair Value of Financial Instruments - Fair Value Methodology (Details) $ in Thousands | 6 Months Ended | 12 Months Ended
--- | --- | ---
Jun. 30, 2023 USD ($) | Dec. 31, 2022 USD ($)
Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased loans | $ 739,189 | $ 795,894
Purchases excluded from level 2 fair value | 523 | 215
Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased loans | 5,702,253 | 4,880,321
Purchases excluded from level 2 fair value | 39,000 |
Discounted cash flow | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased loans | 537,510 | 546,675
Discounted cash flow | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased loans | 5,634,049 | 4,857,587
Liquidation model | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased loans | 201,679 | 249,219
Simple average amount | 472 | 457
Liquidation model | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased loans | $ 68,204 | $ 22,734
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Fair value inputs, annual change in home prices | (3.10%) | (5.40%)
Liquidation timeline (in years) | 1 month 6 days | 1 month 6 days
Fair value inputs, value of underlying property | $ 28 | $ 28
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Fair value inputs, annual change in home prices | (3.20%) | (1.00%)
Liquidation timeline (in years) | 9 months 18 days | 9 months 18 days
Fair value inputs, value of underlying property | $ 44 | $ 50
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Fair value inputs, annual change in home prices | 12.00% | 59.70%
Liquidation timeline (in years) | 4 years 6 months | 4 years 6 months
Fair value inputs, value of underlying property | $ 4,720 | $ 4,000
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Fair value inputs, annual change in home prices | 8.70% | 10.70%
Liquidation timeline (in years) | 4 years 2 months 12 days | 4 years 2 months 12 days
Fair value inputs, value of underlying property | $ 4,500 | $ 2,850
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.063 | 0.063
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.065 | 0.056
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.110 | 0.100
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.455 | 0.227
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.071 | 0.070
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.076
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.291 | 0.335
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.419 | 0.448
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.076 | 0.089
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.092 | 0.079
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.307 | 0.524
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.260 | 0.194
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.028 | 0.037
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.009 | 0.008
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 1.000 | 1.000
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 1.000 | 1.000
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.101 | 0.113
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.110 | 0.073
Annual change in home prices | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Fair value inputs, annual change in home prices | 3.50% | 6.90%
Annual change in home prices | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Fair value inputs, annual change in home prices | 2.20% | 3.20%
Liquidation timeline (in years) | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Liquidation timeline (in years) | 1 year 10 months 24 days | 1 year 10 months 24 days
Liquidation timeline (in years) | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Liquidation timeline (in years) | 1 year 9 months 18 days | 1 year 10 months 24 days
Current value of underlying properties | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Fair value inputs, value of underlying property | $ 787 | $ 743
Current value of underlying properties | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Fair value inputs, value of underlying property | $ 1,607 | $ 1,319

X
- Definition Certain Loans Acquired In Transfer Not Accounted For As Debt Securities Acquired During Period At Acquisition At Fair Value Excluding Unsettled Purchases, Simple Average Amount + References No definition available. + Details
Name: | mfa_CertainLoansAcquiredInTransferNotAccountedForAsDebtSecuritiesAcquiredDuringPeriodAtAcquisitionAtFairValueExcludingUnsettledPurchasesSimpleAverageAmount
Namespace Prefix: | mfa_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Certain Loans Acquired In Transfer Not Accounted For As Debt Securities Acquired During Period At Acquisition At Fair Value, Level 3, Excluding Loan Purchase Price + References No definition available. + Details
Name: | mfa_CertainLoansAcquiredInTransferNotAccountedForAsDebtSecuritiesAcquiredDuringPeriodAtAcquisitionAtFairValueLevel3ExcludingLoanPurchasePrice
Namespace Prefix: | mfa_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Certain Loans Acquired In Transfer Not Accounted For As Debt Securities Acquired During Period At Acquisition At Fair Value, Purchases Excluded From Level 3 Fair Value Methodology Disclosures + References No definition available. + Details
Name: | mfa_CertainLoansAcquiredInTransferNotAccountedForAsDebtSecuritiesAcquiredDuringPeriodAtAcquisitionAtFairValuePurchasesExcludedFromLevel3FairValueMethodologyDisclosures
Namespace Prefix: | mfa_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Fair Value Inputs, Annual Change in Home Prices + References No definition available. + Details
Name: | mfa_FairValueInputsAnnualChangeinHomePrices
Namespace Prefix: | mfa_
Data Type: | dtr-types1:percentItemType
Balance Type: | na
Period Type: | duration

X
- Definition Fair Value Inputs, Liquidation Timeline + References No definition available. + Details
Name: | mfa_FairValueInputsLiquidationTimeline
Namespace Prefix: | mfa_
Data Type: | xbrli:durationItemType
Balance Type: | na
Period Type: | duration

X
- Definition Fair Value Inputs, Value of Underlying Property + References No definition available. + Details
Name: | mfa_FairValueInputsValueofUnderlyingProperty
Namespace Prefix: | mfa_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | duration

X
- Definition Value of input used to measure alternative investment. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(2) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
Name: | us-gaap_AlternativeInvestmentMeasurementInput
Namespace Prefix: | us-gaap_
Data Type: | xbrli:decimalItemType
Balance Type: | na
Period Type: | instant

X
- Definition Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-3 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisLineItems
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Details
Name: | us-gaap_FinancialInstrumentPerformanceStatusAxis=us-gaap_NonperformingFinancingReceivableMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FinancialInstrumentPerformanceStatusAxis=us-gaap_PerformingFinancingReceivableMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_ValuationTechniqueAxis=us-gaap_IncomeApproachValuationTechniqueMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_ValuationTechniqueAxis=mfa_LiquidationModelMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FairValueByAssetClassAxis=us-gaap_LoansReceivableMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FairValueByFairValueHierarchyLevelAxis=us-gaap_FairValueInputsLevel3Member
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | srt_RangeAxis=srt_MinimumMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | srt_RangeAxis=srt_MaximumMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MeasurementInputTypeAxis=us-gaap_MeasurementInputDiscountRateMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | srt_RangeAxis=srt_WeightedAverageMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MeasurementInputTypeAxis=us-gaap_MeasurementInputPrepaymentRateMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MeasurementInputTypeAxis=us-gaap_MeasurementInputDefaultRateMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MeasurementInputTypeAxis=us-gaap_MeasurementInputLossSeverityMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MeasurementInputTypeAxis=mfa_MeasurementInputAnnualChangeInHomePricesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MeasurementInputTypeAxis=mfa_MeasurementInputLiquidationTimelineMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MeasurementInputTypeAxis=mfa_MeasurementInputCurrentValueOfUnderlyingPropertiesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |