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Borrowings (Tables)
 3 Months Ended
Mar. 31, 2018
Debt Disclosure [Abstract]  
Schedule of Borrowings
The following tables summarize certain characteristics of our borrowings at March 31, 2018 and December 31, 2017. Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans.
$ in thousands
March 31, 2018
 
 
 
 
Weighted
 
 
Weighted
 
Average
 
 
Average
 
Remaining
Amount
 
Interest
 
Maturity
Outstanding
 
Rate
 
(days)
Repurchase Agreements:
 
 
 
 
 
Agency RMBS
10,864,430

 
1.88
%
 
26

CMBS
1,482,869

 
2.97
%
 
13

Non-Agency RMBS
882,571

 
3.09
%
 
24

GSE CRT
681,267

 
3.02
%
 
26

Total Repurchase Agreements
13,911,137

 
2.13
%
 
25

Secured Loans
1,650,000

 
1.88
%
 
2,227

Total Borrowings
15,561,137

 
2.10
%
 
259


$ in thousands
December 31, 2017
 
 
 
 
Weighted
 
 
Weighted
 
Average
 
 
Average
 
Remaining
Amount
 
Interest
 
Maturity
Outstanding
 
Rate
 
(days)
Repurchase Agreements:
 
 
 
 
 
Agency RMBS
11,111,755

 
1.58
%
 
25

CMBS
1,396,330

 
2.61
%
 
9

Non-Agency RMBS
915,225

 
2.77
%
 
31

GSE CRT
657,491

 
2.78
%
 
24

Total Repurchase Agreements
14,080,801

 
1.82
%
 
25

Secured Loans
1,650,000

 
1.52
%
 
2,317

Exchangeable Senior Notes (1)
143,410

 
5.00
%
 
74

Total Borrowings
15,874,211

 
1.82
%
 
263

(1)
The carrying value of exchangeable senior notes was $143.2 million as of December 31, 2017. The carrying value was net of unamortized debt issuance costs of $179,000 as of December 31, 2017.
Schedule of Maturities of Outstanding Borrowings
The following table shows the aggregate amount of maturities of our outstanding borrowings:
$ in thousands
As of
Borrowings maturing within:
March 31, 2018
4/1/2018 - 3/31/2019
13,911,137

4/1/2019 - 3/31/2020
300,000

4/1/2020 - 3/31/2021
100,000

4/1/2021 - 3/31/2022
—

4/1/2022 - 3/31/2023
—

Thereafter
1,250,000

Total
15,561,137
Schedule of Repurchase Agreements by Counterparties
The following tables summarize certain characteristics of our repurchase agreements and secured loans at March 31, 2018 and December 31, 2017.
March 31, 2018
 
 
 
 
 
$ in thousands
Amount Outstanding
 
Percent of Total Amount Outstanding
 
MBS and GSE CRT Pledged as Collateral (1)
Repurchase Agreement Counterparties:
 
 
 
 
 
HSBC
1,948,586

 
12.5
%
 
2,057,152

ING Financial Markets
1,411,676

 
9.1
%
 
1,489,621

RBC
1,098,363

 
7.1
%
 
1,329,727

E D & F Man Capital Markets
1,033,231

 
6.6
%
 
1,094,262

Industrial and Commercial Bank of China
987,568

 
6.3
%
 
1,042,653

Mirae Asset Securities
914,219

 
5.9
%
 
968,612

MUFG Securities
855,183

 
5.5
%
 
934,365

Citigroup
772,117

 
5.0
%
 
903,677

Amherst Pierpont Securities
571,116

 
3.7
%
 
612,022

JP Morgan
435,886

 
2.8
%
 
512,237

KGS-Alpha Capital Markets
435,707

 
2.8
%
 
467,214

South Street Securities
413,073

 
2.7
%
 
441,763

Societe Generale
379,575

 
2.4
%
 
482,370

BNP Paribas Securities
328,194

 
2.1
%
 
363,539

Goldman Sachs
311,477

 
2.0
%
 
405,701

Mizuho Securities
293,858

 
1.9
%
 
312,521

Guggenheim Liquidity Services
285,860

 
1.8
%
 
302,122

Natixis Securities
277,765

 
1.8
%
 
310,830

Bank of Nova Scotia
275,727

 
1.8
%
 
287,766

All other counterparties (2)
881,956

 
5.6
%
 
1,050,432

Total Repurchase Agreement Counterparties
13,911,137

 
89.4
%
 
15,368,586

Secured Loans Counterparty:
 
 
 
 
 
FHLBI
1,650,000

 
10.6
%
 
1,916,895

Total
15,561,137

 
100.0
%
 
17,285,481

(1)
Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017.
(2)
Represents amounts outstanding with seven counterparties.

December 31, 2017
 
 
 
 
 
$ in thousands
Amount Outstanding
 
Percent of Total Amount Outstanding
 
MBS and GSE CRT Pledged as Collateral (1)
Repurchase Agreement Counterparties:
 
 
 
 
 
HSBC
1,745,684

 
11.2
%
 
1,839,411

ING Financial Markets
1,482,603

 
9.4
%
 
1,571,061

RBC
1,144,856

 
7.3
%
 
1,375,285

Industrial and Commercial Bank of China
1,038,844

 
6.6
%
 
1,102,543

E D & F Man Capital Markets
1,028,437

 
6.5
%
 
1,085,429

Mirae Asset Securities
958,756

 
6.1
%
 
1,018,664

MUFG Securities
865,201

 
5.5
%
 
936,071

Citigroup
724,094

 
4.6
%
 
841,977

Amherst Pierpont Securities
722,080

 
4.6
%
 
764,713

KGS-Alpha Capital Markets
461,098

 
2.9
%
 
491,313

JP Morgan
451,941

 
2.9
%
 
523,590

Societe Generale
386,737

 
2.5
%
 
495,093

BNP Paribas Securities
348,340

 
2.2
%
 
388,091

South Street Securities
332,623

 
2.1
%
 
354,689

Goldman Sachs
324,152

 
2.1
%
 
419,713

Mizuho Securities
310,835

 
2.0
%
 
330,555

Guggenheim Liquidity Services
306,081

 
1.9
%
 
322,452

Bank of Nova Scotia
289,705

 
1.8
%
 
301,715

Natixis Securities
275,764

 
1.8
%
 
302,291

All other counterparties (2)
882,970

 
5.5
%
 
1,058,759

Total Repurchase Agreement Counterparties
14,080,801

 
89.5
%
 
15,523,415

Secured Loans Counterparty:
 
 
 
 
 
FHLBI
1,650,000

 
10.5
%
 
1,927,496

Total
15,730,801

 
100.0
%
 
17,450,911


(1)
Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017.
(2)
Represents amounts outstanding with seven counterparties.
Schedule of Retirements of Exchangeable Senior Notes
The following table summarizes retirements of the Notes during the three months ended March 31, 2018 and 2017.
$ in thousands
Three Months Ended March 31,
 
2018
 
2017
Reacquisition price
143,433

 
153,750

Less: Par value of Notes retired during the period
(143,410
)
 
(150,000
)
Add: Write off of unamortized debt issuance cost associated with Notes retired during the period
3

 
961

Net loss on extinguishment of debt
26

 
4,711