XML 109 R99.htm IDEA: XBRL DOCUMENT
v3.23.3

Fair Value of Financial Instruments - Fair Value Methodology (Details) $ in Thousands | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2023 USD ($) | Dec. 31, 2022 USD ($)
Nonperforming |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased performing loans, fair value | $ 699,311 | $ 795,894
Purchases excluded from level 2 fair value | 499 | 215
Nonperforming | Discounted cash flow |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased performing loans, fair value | 512,213 | 546,675
Nonperforming | Liquidation model |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased performing loans, fair value | 187,098 | 249,219
Simple average amount | $ 498 | $ 457
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.076 | 0.070
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.071 | 0.063
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.111 | 0.100
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.066 | 0.089
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.282 | 0.335
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.027 | 0.037
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.389 | 0.524
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.098 | 0.113
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Nonperforming | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 1.000 | 1.000
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Annual change in home prices | 3.30% | 6.90%
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Annual change in home prices | (0.20%) | (5.40%)
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Annual change in home prices | 12.60% | 59.70%
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Liquidation timeline (in years) | 2 years | 1 year 10 months 24 days
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Liquidation timeline (in years) | 1 month 6 days | 1 month 6 days
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Liquidation timeline (in years) | 4 years 6 months | 4 years 6 months
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Current value of underlying properties | $ 843 | $ 743
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Current value of underlying properties | 43 | 28
Nonperforming | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Current value of underlying properties | 4,720 | 4,000
Performing |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased performing loans, fair value | 6,093,612 | 4,880,321
Performing | Discounted cash flow |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased performing loans, fair value | 5,996,971 | 4,857,587
Performing | Liquidation model |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Purchased performing loans, fair value | $ 96,641 | $ 22,734
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.084 | 0.076
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.065 | 0.056
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Discount rate | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.248 | 0.227
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.076 | 0.079
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Prepayment rate | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.433 | 0.448
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.005 | 0.008
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Default rate | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.270 | 0.194
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.108 | 0.073
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.000 | 0.000
Performing | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Loss severity | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.984 | 1.000
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Discount rate | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Measurement input | 0.080 | 0.078
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Annual change in home prices | 2.30% | 3.20%
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Annual change in home prices | 0.00% | (1.00%)
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Annual change in home prices | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Annual change in home prices | 9.80% | 10.70%
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Liquidation timeline (in years) | 1 year 7 months 6 days | 1 year 10 months 24 days
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Liquidation timeline (in years) | 1 month 6 days | 9 months 18 days
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Liquidation timeline (in years) | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Liquidation timeline (in years) | 4 years | 4 years 2 months 12 days
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Weighted Average |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Current value of underlying properties | $ 1,567 | $ 1,319
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Minimum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Current value of underlying properties | 40 | 50
Performing | Residential whole loans, at fair value | Level 3 | Liquidation model | Current value of underlying properties | Maximum |  |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |  |
Current value of underlying properties | $ 5,500 | $ 2,850

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_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: | 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: | 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_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: |

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