Repurchase Agreements and Other Advances |
Repurchase Agreements and Other Advances Repurchase Agreements
The Company’s repurchase agreements are accounted for as secured borrowings and are collateralized by the Company’s MBS, U.S. Treasury securities (obtained as part of a reverse repurchase agreement), CRT securities, residential whole loans and cash, and bear interest that is generally LIBOR-based. (See Notes 2(k) and 7) At September 30, 2016, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 20 days and an effective repricing period of 13 months, including the impact of related Swaps. At December 31, 2015, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 21 days and an effective repricing period of 18 months, including the impact of related Swaps. The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at September 30, 2016 and December 31, 2015: | | | | | | | | | | (Dollars in Thousands) | | September 30, 2016 | | December 31, 2015 | Repurchase agreement borrowings secured by Agency MBS | | $ | 3,356,803 |
| | $ | 2,727,542 |
| Fair value of Agency MBS pledged as collateral under repurchase agreements | | $ | 3,521,966 |
| | $ | 2,881,049 |
| Weighted average haircut on Agency MBS (1) | | 4.61 | % | | 4.67 | % | Repurchase agreement borrowings secured by Legacy Non-Agency MBS | | $ | 1,786,248 |
| | $ | 1,960,222 |
| Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements (2) | | $ | 2,545,212 |
| | $ | 2,818,968 |
| Weighted average haircut on Legacy Non-Agency MBS (1) | | 24.18 | % | | 25.84 | % | Repurchase agreement borrowings secured by 3 Year Step-up securities | | $ | 1,963,760 |
| | $ | 2,080,163 |
| Fair value of 3 Year Step-up securities pledged as collateral under repurchase agreements | | $ | 2,523,227 |
| | $ | 2,625,866 |
| Weighted average haircut on 3 Year Step-up securities (1) | | 23.01 | % | | 21.05 | % | Repurchase agreements secured by U.S. Treasuries | | $ | 500,930 |
| | $ | 504,760 |
| Fair value of U.S. Treasuries pledged as collateral under repurchase agreements | | $ | 506,182 |
| | $ | 507,443 |
| Weighted average haircut on U.S. Treasuries (1) | | 1.59 | % | | 1.60 | % | Repurchase agreements secured by CRT securities | | $ | 241,606 |
| | $ | 128,465 |
| Fair value of CRT securities pledged as collateral under repurchase agreements | | $ | 320,852 |
| | $ | 170,352 |
| Weighted average haircut on CRT securities (1) | | 23.53 | % | | 25.04 | % | Repurchase agreements secured by residential whole loans (3) | | $ | 633,616 |
| | $ | 487,750 |
| Fair value of residential whole loans pledged as collateral under repurchase agreements | | $ | 896,946 |
| | $ | 684,136 |
| Weighted average haircut on residential whole loans (1) | | 25.69 | % | | 27.69 | % |
| | (1) | Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. |
(2) Includes $186.4 million and $570.5 million of Legacy Non-Agency MBS acquired from consolidated VIEs at September 30, 2016 and December 31, 2015, respectively, that are eliminated from the Company’s consolidated balance sheets. (3) Excludes $207,000 and $1.3 million of unamortized debt issuance costs at September 30, 2016 and December 31, 2015, respectively.
The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at September 30, 2016 and December 31, 2015:
| | | | | | | | | | | | | | | | | | September 30, 2016 | | December 31, 2015 | Balance | | Weighted Average Interest Rate | Balance | | Weighted Average Interest Rate | Time Until Interest Rate Reset | (Dollars in Thousands) | | | | | | | | | Within 30 days | | $ | 7,538,487 |
| | 1.46 | % | | $ | 7,054,483 |
| | 1.44 | % | Over 30 days to 3 months | | 760,615 |
| | 2.07 |
| | 734,955 |
| | 1.79 |
| Over 3 months to 12 months | | 183,861 |
| | 2.20 |
| | 99,464 |
| | 2.36 |
| Total repurchase agreements | | 8,482,963 |
| | 1.53 | % | | 7,888,902 |
| | 1.48 | % | Less debt issuance costs | | 207 |
| | | | 1,280 |
| | | Total repurchase agreements less debt issuance costs | | $ | 8,482,756 |
| | | | $ | 7,887,622 |
| | |
The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at September 30, 2016, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2016 | Contractual Maturity | | Agency MBS | | Legacy Non-Agency MBS | | 3 Year Step-up Securities | | U.S. Treasuries | | CRT Securities | | Residential Whole Loans | | Total (1) | | Weighted Average Interest Rate | (Dollars in Thousands) | | | | | | | | | | | | | | | | | Overnight | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | — | % | Within 30 days | | 3,298,352 |
| | 943,047 |
| | 1,293,714 |
| | 500,930 |
| | 237,731 |
| | 83,302 |
| | 6,357,076 |
| | 1.26 |
| Over 30 days to 3 months | | 58,451 |
| | 533,077 |
| | 219,699 |
| | — |
| | 3,875 |
| | — |
| | 815,102 |
| | 2.09 |
| Over 3 months to 12 months | | — |
| | 310,124 |
| | 450,347 |
| | — |
| | — |
| | 550,314 |
| | 1,310,785 |
| | 2.49 |
| Over 12 months | | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| Total | | $ | 3,356,803 |
| | $ | 1,786,248 |
| | $ | 1,963,760 |
| | $ | 500,930 |
| | $ | 241,606 |
| | $ | 633,616 |
| | $ | 8,482,963 |
| | 1.53 | % | | | | | | | | | | | | | | | | | | Gross amount of recognized liabilities for repurchase agreements in Note 8 | | $ | 8,482,963 |
| | | Amounts related to repurchase agreements not included in offsetting disclosure in Note 8 | | $ | — |
| | |
| | (1) | Excludes $207,000 of unamortized debt issuance costs at September 30, 2016. |
The Company had repurchase agreements with 28 and 27 counterparties at September 30, 2016 and December 31, 2015, respectively. The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2016: | | | | | | | | | | | | | | | September 30, 2016 | | | Counterparty Rating (1) | | Amount at Risk (2) | | Weighted Average Months to Maturity for Repurchase Agreements | | Percent of Stockholders’ Equity | Counterparty | | | | | (Dollars in Thousands) | | | | | | | | | Wells Fargo (3) | | AA-/Aa2/AA | | $ | 366,482 |
| | 5 | | 12.1 | % | RBC (4) | | AA-/Aa3/AA | | 266,617 |
| | 2 | | 8.8 |
| Credit Suisse | | BBB+/Aa2/A- | | 266,047 |
| | 1 | | 8.8 |
| Goldman Sachs | | BBB+/A3/A | | 211,824 |
| | 3 | | 7.0 |
| UBS (5) | | A+/A1/A+ | | 167,084 |
| | 11 | | 5.5 |
|
| | (1) | As rated at September 30, 2016 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities. |
| | (2) | The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities. |
| | (3) | Includes $287.9 million at risk with Wells Fargo Bank, NA and $78.6 million at risk with Wells Fargo Securities LLC. |
| | (4) | Includes $225.3 million at risk with RBC Barbados, $35.3 million at risk with Royal Bank of Canada and $6.0 million at risk with RBC Capital Markets LLC. Counterparty ratings are not published for RBC Barbados and RBC Capital Markets LLC. |
| | (5) | Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements. |
FHLB Advances
As of September 30, 2016 and December 31, 2015, MFA Insurance had $215.0 million and $1.5 billion in outstanding long-term secured FHLB advances with a weighted average borrowing rate of 0.54% and 0.50%, respectively. At September 30, 2016, the FHLB advances had a weighted average term to maturity of 3.94 years. However, MFA Insurance is required by recent amendments to FHLB membership regulations to terminate its membership and repay the outstanding advances by February 19, 2017. Interest payable on outstanding FHLB advances at September 30, 2016 and December 31, 2015 totaled approximately $25,000 and $508,000, respectively, and is included in Other liabilities on the Company’s consolidated balance sheets.
|