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 9) 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. At December 31, 2014, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 25 days and an effective repricing period of 21 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 December 31, 2015 and 2014:



(Dollars in Thousands)	December 31, 2015			December 31, 2014
Repurchase agreement borrowings secured by Agency MBS	$	2,727,542		$	5,177,835
Fair value of Agency MBS pledged as collateral under repurchase agreements	$	2,881,049		$	5,462,566
Weighted average haircut on Agency MBS (1)	4.67		%	4.79		%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS (2)	$	1,960,222		$	2,233,236
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements (2)(3)	$	2,818,968		$	3,491,312
Weighted average haircut on Legacy Non-Agency MBS (1)	25.42		%	28.88		%
Repurchase agreement borrowings secured by RPL/NPL MBS (2)	$	2,080,163		$	130,919
Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements (2)	$	2,625,866		$	160,688
Weighted average haircut on RPL/NPL MBS (1)	21.37		%	20.00		%
Repurchase agreements secured by U.S. Treasuries	$	504,760		$	507,114
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements	$	507,443		$	512,105
Weighted average haircut on U.S. Treasuries (1)	1.60		%	1.62		%
Repurchase agreements secured by CRT securities (2)	$	128,465		$	75,960
Fair value of CRT securities pledged as collateral under repurchase agreements (2)	$	170,352		$	94,610
Weighted average haircut on CRT securities (1)	25.04		%	25.00		%
Repurchase agreements secured by residential whole loans	$	487,750		$	142,324
Fair value of residential whole loans pledged as collateral under repurchase agreements	$	684,136		$	212,986
Weighted average haircut on residential whole loans (1)	27.69		%	33.43		%

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

(2) Does not reflect Legacy Non-Agency MBS, RPL/NPL MBS, CRT securities and repurchase agreement borrowings that were components of Linked Transactions at December 31, 2014. As previously discussed, new accounting guidance effective January 1, 2015 prospectively eliminated the use of Linked Transaction accounting. (See Note 6)

(3) Includes $570.5 million and $1.275 billion of Legacy Non-Agency MBS acquired from consolidated VIEs at December 31, 2015 and 2014, respectively, that are eliminated from the Company’s consolidated balance sheets.

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 December 31, 2015 and 2014:



	December 31, 2015				December 31, 2014
Time Until Interest Rate Reset	Balance		Weighted Average Interest Rate		Balance (1)		Weighted Average Interest Rate
(Dollars in Thousands)
Within 30 days	$	7,054,483	1.44	%	$	7,144,737	0.72	%
Over 30 days to 3 months	734,955		1.79		1,000,313		1.12
Over 3 months to 12 months	99,464		2.36		122,338		1.98
Total	$	7,888,902	1.48	%	$	8,267,388	0.79	%

(1) At December 31, 2014, the Company had repurchase agreements of $1.520 billion that were linked to securities purchased and accounted for as Linked Transactions, and as such, the linked repurchase agreements are not included in the above table. As previously discussed, new accounting guidance effective January 1, 2015 prospectively eliminated the use of Linked Transaction accounting. (See Note 6)

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 December 31, 2015 and does not reflect the impact of derivative contracts that hedge such repurchase agreements:



	December 31, 2015
Contractual Maturity	Agency MBS		Legacy Non-Agency MBS		RPL/NPL MBS		U.S. Treasuries		CRT Securities		Residential Whole Loans		Total		Weighted Average Interest Rate
(Dollars in Thousands)
Overnight	$	—	$	—	$	—	$	—	$	—	$	—	$	—	—	%
Within 30 days	2,563,741		892,341		1,670,586		504,760		110,921		—		5,742,349		1.27
Over 30 days to 3 months	163,801		613,131		143,705		—		17,544		—		938,181		1.71
Over 3 months to 12 months	—		454,750		265,872		—		—		293,641		1,014,263		2.19
Over 12 months	—		—		—		—		—		194,109		194,109		3.11
Total	$	2,727,542	$	1,960,222	$	2,080,163	$	504,760	$	128,465	$	487,750	$	7,888,902	1.48	%

Gross amount of recognized liabilities for repurchase agreements in Note 10													$	7,888,902
Amounts related to repurchase agreements not included in offsetting disclosure in Note 10													$	—

The Company had repurchase agreements with 27 and 25 counterparties at December 31, 2015 and 2014, 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 December 31, 2015:



	December 31, 2015
Counterparty	Counterparty Rating (1)	Amount at Risk (2)		Weighted Average Months to Maturity for Repurchase Agreements	Percent of Stockholders’ Equity
(Dollars in Thousands)
Credit Suisse	BBB+/Aa2/A	$	410,814	1	13.8	%
Wells Fargo (3)	AA-/Aa2/AA	334,613		6	11.3
RBC (4)	AA-/Aa3/AA	327,400		2	11.0
UBS (5)	A/A1/A	214,107		19	7.2
Goldman Sachs	BBB+/A3/A	152,055		9	5.1

(1) As rated at December 31, 2015 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 $269.7 million at risk with Wells Fargo Bank, NA and $64.9 million at risk with Wells Fargo Securities LLC.

(4) Includes $309.8 million at risk with RBC Barbados, $10.7 million at risk with Royal Bank of Canada and $6.8 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 December 31, 2015, MFA Insurance had $1.500 billion in outstanding long-term secured FHLB advances with a weighted average borrowing rate of 0.50% and a weighted average term to maturity of 4.79 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. (See Note 18) Interest payable on outstanding FHLB advances at December 31, 2015 totaled approximately $508,000, and is included in Accrued interest payable on the Company’s consolidated balance sheets.