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Repurchase Agreements and Other Advances
 9 Months Ended
Sep. 30, 2017
Disclosure of Repurchase Agreements [Abstract]  
Repurchase Agreements and Other Advances
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(l) and 7)  At September 30, 2017, 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 eleven months, 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 September 30, 2017 and December 31, 2016:
(Dollars in Thousands)
 
September 30,
2017
 
December 31,
2016
Repurchase agreement borrowings secured by Agency MBS
 
$
2,671,245

 
$
3,095,020

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
2,888,156

 
$
3,280,689

Weighted average haircut on Agency MBS (1)
 
4.62
%
 
4.67
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,361,866

 
$
1,690,937

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements (2)
 
$
1,848,134

 
$
2,317,708

Weighted average haircut on Legacy Non-Agency MBS (1)
 
22.40
%
 
24.01
%
Repurchase agreement borrowings secured by RPL/NPL MBS
 
$
798,508

 
$
1,943,572

Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements
 
$
1,005,757

 
$
2,433,711

Weighted average haircut on RPL/NPL MBS (1)
 
21.58
%
 
20.98
%
Repurchase agreements secured by U.S. Treasuries
 
$
474,726

 
$
504,572

Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
 
$
475,688

 
$
510,767

Weighted average haircut on U.S. Treasuries (1)
 
1.39
%
 
1.60
%
Repurchase agreements secured by CRT securities 
 
$
413,172

 
$
271,205

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
530,833

 
$
357,488

Weighted average haircut on CRT securities (1)
 
22.05
%
 
23.22
%
Repurchase agreements secured by MSR related assets
 
$
268,819

 
$
135,112

Fair value of MSR related assets pledged as collateral under repurchase agreements
 
$
412,674

 
$
226,780

Weighted average haircut on MSR related assets (1)
 
33.76
%
 
41.40
%
Repurchase agreements secured by residential whole loans (3)
 
$
883,366

 
$
832,060

Fair value of residential whole loans pledged as collateral under repurchase agreements
 
$
1,273,955

 
$
1,175,088

Weighted average haircut on residential whole loans (1)
 
28.35
%
 
25.03
%
 
(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 $259,000 and $210,000 of unamortized debt issuance costs at September 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 September 30, 2017 and December 31, 2016:

 
 
September 30, 2017
 
December 31, 2016
 Balance 
 
Weighted Average Interest Rate
Balance
 
Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
6,378,566

 
2.15
%
 
$
7,284,062

 
1.77
%
Over 30 days to 3 months
 
493,136

 
2.42

 
1,188,416

 
1.91

Total repurchase agreements
 
6,871,702

 
2.17
%
 
8,472,478

 
1.79
%
Less debt issuance costs
 
259

 
 
 
210

 
 
Total repurchase agreements less debt
  issuance costs
 
$
6,871,443

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

 
 
September 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
 
$
—

 
$
2,590,020

 
$
81,225

 
$
—

 
$
—

 
$
2,671,245

Legacy Non-Agency MBS
 
—

 
746,798

 
478,331

 
136,737

 
—

 
1,361,866

RPL/NPL MBS
 
—

 
359,471

 
316,638

 
122,399

 
—

 
798,508

U.S. Treasuries
 
—

 
474,726

 
—

 
—

 
—

 
474,726

CRT securities
 
—

 
409,123

 
4,049

 
—

 
—

 
413,172

MSR related assets
 
—

 
268,819

 
—

 
—

 
—

 
268,819

Residential whole loans
 
—

 
—

 
—

 
821,770

 
61,596

 
883,366

Total (1)
 
$
—

 
$
4,848,957

 
$
880,243

 
$
1,080,906

 
$
61,596

 
$
6,871,702

 
 
 
 
 
 
 
 
 
 
 
 
 
Weighted Average Interest Rate
 
—
%
 
1.83
%
 
2.56
%
 
3.31
%
 
3.68
%
 
2.17
%
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross amount of recognized liabilities for repurchase agreements in Note 8
 
$
6,871,702

Amounts related to repurchase agreements not included in offsetting disclosure in Note 8
 
$
—



(1)
Excludes $259,000 of unamortized debt issuance costs at September 30, 2017.

The Company had repurchase agreements with 31 counterparties at both September 30, 2017 and December 31, 2016. 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, 2017:
 
 
 
September 30, 2017
 
 
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-
 
$
325,023

 
6
 
10.0
%
Credit Suisse (4)
 
BBB+/Aa2/A-
 
235,579

 
2
 
7.2

UBS (5)
 
A+/A1/A+
 
167,329

 
8
 
5.1


(1)
As rated at September 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 $313.8 million at risk with Wells Fargo Bank, NA and $11.2 million at risk with Wells Fargo Securities LLC.
(4)
Includes $9.7 million at risk with Credit Suisse AG, Cayman Islands and $225.9 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.