| 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 March 31, 2018, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 15 days and an effective repricing period of 9 months, including the impact of related Swaps. At December 31, 2017, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 16 days and an effective repricing period of 11 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 March 31, 2018 and December 31, 2017: | | | | | | | | | | (Dollars in Thousands) | | March 31,
2018 | | December 31,
2017 | Repurchase agreement borrowings secured by Agency MBS | | $ | 2,339,009 |
| | $ | 2,501,340 |
| Fair value of Agency MBS pledged as collateral under repurchase agreements | | $ | 2,531,106 |
| | $ | 2,705,754 |
| Weighted average haircut on Agency MBS (1) | | 4.63 | % | | 4.65 | % | Repurchase agreement borrowings secured by Legacy Non-Agency MBS | | $ | 1,441,393 |
| | $ | 1,256,033 |
| Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements | | $ | 1,897,016 |
| | $ | 1,652,983 |
| Weighted average haircut on Legacy Non-Agency MBS (1) | | 21.36 | % | | 21.87 | % | Repurchase agreement borrowings secured by RPL/NPL MBS | | $ | 569,271 |
| | $ | 567,140 |
| Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements | | $ | 733,409 |
| | $ | 726,540 |
| Weighted average haircut on RPL/NPL MBS (1) | | 22.20 | % | | 22.05 | % | Repurchase agreements secured by U.S. Treasuries | | $ | 220,912 |
| | $ | 470,334 |
| Fair value of U.S. Treasuries pledged as collateral under repurchase agreements | | $ | 220,814 |
| | $ | 472,095 |
| Weighted average haircut on U.S. Treasuries (1) | | 1.33 | % | | 1.47 | % | Repurchase agreements secured by CRT securities | | $ | 467,103 |
| | $ | 459,058 |
| Fair value of CRT securities pledged as collateral under repurchase agreements | | $ | 590,551 |
| | $ | 595,900 |
| Weighted average haircut on CRT securities (1) | | 21.38 | % | | 22.16 | % | Repurchase agreements secured by MSR related assets | | $ | 292,820 |
| | $ | 317,255 |
| Fair value of MSR related assets pledged as collateral under repurchase agreements | | $ | 432,468 |
| | $ | 482,158 |
| Weighted average haircut on MSR related assets (1) | | 30.72 | % | | 33.19 | % | Repurchase agreements secured by residential whole loans (2) | | $ | 1,228,447 |
| | $ | 1,043,747 |
| Fair value of residential whole loans pledged as collateral under repurchase agreements | | $ | 1,706,627 |
| | $ | 1,474,704 |
| Weighted average haircut on residential whole loans (1) | | 25.97 | % | | 26.10 | % |
| | (1) | Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. |
(2) Excludes $95,000 and $206,000 of unamortized debt issuance costs at March 31, 2018 and December 31, 2017, 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 March 31, 2018 and December 31, 2017:
| | | | | | | | | | | | | | | | | | March 31, 2018 | | December 31, 2017 | Balance | | Weighted Average Interest Rate | Balance | | Weighted Average Interest Rate | Time Until Interest Rate Reset | (Dollars in Thousands) | | | | | | | | | Within 30 days | | $ | 6,239,087 |
| | 2.74 | % | | $ | 6,161,008 |
| | 2.39 | % | Over 30 days to 3 months | | 319,868 |
| | 3.04 |
| | 453,899 |
| | 2.76 |
| Total repurchase agreements | | 6,558,955 |
| | 2.76 | % | | 6,614,907 |
| | 2.42 | % | Less debt issuance costs | | 95 |
| | | | 206 |
| | | Total repurchase agreements less debt issuance costs | | $ | 6,558,860 |
| | | | $ | 6,614,701 |
| | |
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 March 31, 2018, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2018 | 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 | | $ | — |
| | $ | 2,339,009 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 2,339,009 |
| Legacy Non-Agency MBS | | — |
| | 810,835 |
| | 282,660 |
| | 347,898 |
| | — |
| | 1,441,393 |
| RPL/NPL MBS | | — |
| | 554,524 |
| | — |
| | 14,747 |
| | — |
| | 569,271 |
| U.S. Treasuries | | — |
| | 220,912 |
| | — |
| | — |
| | — |
| | 220,912 |
| CRT securities | | — |
| | 467,103 |
| | — |
| | — |
| | — |
| | 467,103 |
| MSR related assets | | — |
| | 292,820 |
| | — |
| | — |
| | — |
| | 292,820 |
| Residential whole loans | | — |
| | 321,355 |
| | — |
| | 907,092 |
| | — |
| | 1,228,447 |
| Total (1) | | $ | — |
| | $ | 5,006,558 |
| | $ | 282,660 |
| | $ | 1,269,737 |
| | $ | — |
| | $ | 6,558,955 |
| | | | | | | | | | | | | | Weighted Average Interest Rate | | — | % | | 2.52 | % | | 3.04 | % | | 3.63 | % | | — | % | | 2.76 | % | | | | | | | | | | | | | | Gross amount of recognized liabilities for repurchase agreements in Note 8 | | $ | 6,558,955 |
| Amounts related to repurchase agreements not included in offsetting disclosure in Note 8 | | $ | — |
|
| | (1) | Excludes $95,000 of unamortized debt issuance costs at March 31, 2018. |
The Company had repurchase agreements with 29 and 31 counterparties at March 31, 2018 and December 31, 2017. 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 March 31, 2018: | | | | | | | | | | | | | | | March 31, 2018 | | | Counterparty Rating (1) | | Amount at Risk (2) | | Weighted Average Months to Maturity for Repurchase Agreements | | Percent of Stockholders’ Equity | Counterparty | | | | | (Dollars in Thousands) | | | | | | | | | Goldman Sachs (3) | | BBB+/A3/A | | $ | 239,962 |
| | 3 | | 7.4 | % | Wells Fargo (4) | | A+/Aa2/AA- | | 239,439 |
| | 4 | | 7.4 |
| Credit Suisse (5) | | BBB+/Aa2/A- | | 219,755 |
| | 3 | | 6.8 |
| RBC (6) | | AA-/A1/AA | | 177,174 |
| | 1 | | 5.5 |
|
| | (1) | As rated at March 31, 2018 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 $178.5 million at risk with Goldman Sachs Lending Partners and $61.4 million at risk with Goldman Sachs Bank USA. |
| | (4) | Includes $230.3 million at risk with Wells Fargo Bank, NA and $9.2 million at risk with Wells Fargo Securities LLC. |
| | (5) | Includes $115.4 million at risk with Credit Suisse AG, Cayman Islands and $104.4 million at risk with Credit Suisse. Counterparty ratings are not published for Credit Suisse AG, Cayman Islands. |
| | (6) | Includes $157.6 million at risk with RBC Barbados, $15.0 million at risk with Royal of Canada and $4.5 million at risk with RBC New York. Counterparty ratings are not published for RBC Barbados and RBS Capital Market LLC. |
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. |