Repurchase Agreements and Other Advances

Repurchase Agreements

The Company’s repurchase agreements are accounted for as secured borrowings and bear interest that is generally LIBOR-based. (See Notes 2(k) and 7) At June 30, 2017, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 18 days and an effective repricing period of one month, including the impact of related Swaps. At December 31, 2016, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 19 days and an effective repricing period of 12 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 June 30, 2017 and December 31, 2016:



(Dollars in Thousands)	June 30, 2017			December 31, 2016
Repurchase agreement borrowings secured by Agency MBS	$	2,882,272		$	3,095,020
Fair value of Agency MBS pledged as collateral under repurchase agreements	$	3,101,432		$	3,280,689
Weighted average haircut on Agency MBS (1)	4.56		%	4.67		%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS	$	1,464,693		$	1,690,937
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements (2)	$	1,980,719		$	2,317,708
Weighted average haircut on Legacy Non-Agency MBS (1)	22.52		%	24.01		%
Repurchase agreement borrowings secured by 3 Year Step-up securities	$	1,217,086		$	2,035,351
Fair value of 3 Year Step-up securities pledged as collateral under repurchase agreements	$	1,567,914		$	2,574,691
Weighted average haircut on 3 Year Step-up securities (1)	22.68		%	21.70		%
Repurchase agreements secured by U.S. Treasuries	$	368,877		$	504,572
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements	$	370,837		$	510,767
Weighted average haircut on U.S. Treasuries (1)	1.59		%	1.60		%
Repurchase agreements secured by CRT securities	$	400,813		$	271,205
Fair value of CRT securities pledged as collateral under repurchase agreements	$	517,067		$	357,488
Weighted average haircut on CRT securities (1)	22.12		%	23.22		%
Repurchase agreements secured by residential whole loans (3)	$	656,914		$	832,060
Fair value of residential whole loans pledged as collateral under repurchase agreements	$	960,218		$	1,175,088
Weighted average haircut on residential whole loans (1)	26.26		%	25.03		%
Repurchase agreements secured by other investments	$	50,556		$	43,333
Fair value of other investments pledged as collateral under repurchase agreements	$	100,201		$	85,800
Weighted average haircut on other investments (1)	50.00		%	50.00		%


(1)	Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.

(2) Includes $172.4 million of Legacy Non-Agency MBS acquired from consolidated VIEs that are eliminated from the Company’s consolidated balance sheets at December 31, 2016.

(3) Excludes $367,000 and $210,000 of unamortized debt issuance costs at June 30, 2017 and December 31, 2016, 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 June 30, 2017 and December 31, 2016:



	June 30, 2017				December 31, 2016
	Balance		Weighted Average Interest Rate		Balance		Weighted Average Interest Rate
Time Until Interest Rate Reset	Balance		Weighted Average Interest Rate		Balance		Weighted Average Interest Rate
(Dollars in Thousands)
Within 30 days	$	6,569,128	2.09	%	$	7,284,062	1.77	%
Over 30 days to 3 months	472,083		2.54		1,188,416		1.91
Total repurchase agreements	7,041,211		2.12	%	8,472,478		1.79	%
Less debt issuance costs	367				210
Total repurchase agreements less debt issuance costs	$	7,040,844			$	8,472,268

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 June 30, 2017, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:



	June 30, 2017
Contractual Maturity	Overnight			Within 30 Days			Over 30 Days to 3 Months			Over 3 Months to 12 Months			Over 12 months			Total
(Dollars in Thousands)
Agency MBS	$	—		$	2,882,272		$	—		$	—		$	—		$	2,882,272
Legacy Non-Agency MBS	—			840,386			330,789			293,518			—			1,464,693
3 Year Step-up securities	—			703,932			96,754			416,400			—			1,217,086
U.S. Treasuries	—			368,877			—			—			—			368,877
CRT securities	—			356,273			44,540			—			—			400,813
Residential whole loans	—			—			131,599			497,370			27,945			656,914
Other investments	—			50,556			—			—			—			50,556
Total (1)	$	—		$	5,202,296		$	603,682		$	1,207,288		$	27,945		$	7,041,211

Weighted Average Interest Rate	—		%	1.83		%	2.82		%	2.98		%	3.60		%	2.12		%

Gross amount of recognized liabilities for repurchase agreements in Note 8																$	7,041,211
Amounts related to repurchase agreements not included in offsetting disclosure in Note 8																$	—


(1)	Excludes $367,000 of unamortized debt issuance costs at June 30, 2017.

The Company had repurchase agreements with 32 and 31 counterparties at June 30, 2017 and December 31, 2016, 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 June 30, 2017:



	June 30, 2017
	Counterparty Rating (1)	Amount at Risk (2)		Weighted Average Months to Maturity for Repurchase Agreements	Percent of Stockholders’ Equity
Counterparty	Counterparty Rating (1)	Amount at Risk (2)			Percent of Stockholders’ Equity
(Dollars in Thousands)
Wells Fargo (3)	AA-/Aa2/AA	$	224,842	6	6.9	%
Credit Suisse (4)	BBB+/Aa2/A-	217,279		3	6.6
UBS (5)	A+/A1/A+	167,384		11	5.1


(1)	As rated at June 30, 2017 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 $212.3 million at risk with Wells Fargo Bank, NA and $12.6 million at risk with Wells Fargo Securities LLC.


(4)	Includes $9.9 million at risk with Credit Suisse AG, Cayman Islands and $207.3 million at risk with Credit Suisse. Counterparty ratings are not published for Credit Suisse AG, Cayman Islands.

(5) Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements.

FHLB Advances

In January 2016, the FHFA released its final rule amending its regulation on FHLB membership, which, among other things, provided termination rules for then current captive insurance members. As a result of such regulation, MFA Insurance was required to repay all of its outstanding FHLB advances by February 19, 2017 and its FHLB membership was terminated on such date. At December 31, 2016, MFA Insurance had $215.0 million in outstanding long-term secured FHLB advances with a weighted average borrowing rate of 0.78%. Interest payable on outstanding FHLB advances at December 31, 2016 totaled approximately $42,000 and was included in Other liabilities on the Company’s consolidated balance sheets.