v3.19.3

Counterparty Risk | 9 Months Ended
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Sep. 30, 2019
Risks and Uncertainties [Abstract] |
Counterparty Risk | Counterparty Risk The Company is exposed to concentrations of counterparty risk. It seeks to mitigate such risk by diversifying its exposure among various counterparties, when appropriate. The following table summarizes the Company's exposure to counterparty risk as of September 30, 2019.
|  | Amount of Exposure |  | Number of Counterparties with Exposure |  | Maximum Percentage of Exposure to a Single Counterparty(1)
|  | (In thousands) |  |  |  |
Cash and cash equivalents |  | $ | 33,251 |  |  | 11 |  |  | 51.2 | %
Collateral on repurchase agreements held by dealers(2) |  | 2,388,197 |  |  | 26 |  |  | 14.7 | %
Due from brokers |  | 66,162 |  |  | 23 |  |  | 28.5 | %
Receivable for securities sold(3) |  | 205,359 |  |  | 7 |  |  | 43.1 | %
(1) | Each counterparty is a large creditworthy financial institution.
(2) | Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements.
(3) | Included in Investment related receivables on the Condensed Consolidated Balance Sheet.
Counterparty Risk As of December 31, 2018, investments with an aggregate value of approximately $1.79 billion were held with dealers as collateral for various reverse repurchase agreements. The investments held as collateral include securities in the amount of $86.7 million that were sold prior to period end but for which such sale had not yet settled as of December 31, 2018. The following table details the percentage of such collateral held by counterparties who hold greater than 15% of the aggregate $1.79 billion in collateral for various reverse repurchase agreements as of December 31, 2018. In addition to the below, unencumbered investments, on a settlement date basis, of approximately $13.3 million were held in custody at the Bank of New York Mellon Corporation as of December 31, 2018.
Dealer |  | % of Total Collateral on Reverse Repurchase Agreements
Royal Bank of Canada |  | 19%
The following table details the percentage of collateral amounts held by dealers who hold greater than 15% of the Company's Due from Brokers, included as of December 31, 2018:
Dealer |  | % of Total Due from Brokers
Morgan Stanley |  | 37%
J.P. Morgan Securities LLC |  | 30%
The following table details the percentage of amounts held by dealers who hold greater than 15% of the Company's Receivable for securities sold as of December 31, 2018:
Dealer |  | % of Total Receivable for Securities Sold
J.P. Morgan Securities LLC |  | 25%
Bank of America Securities |  | 26%
CS First Boston Limited |  | 34%
In addition, the Company held cash and cash equivalents of $44.7 million as of December 31, 2018. The below table details the concentration of cash and cash equivalents held by each counterparty:
Counterparty |  | As of December 31, 2018
Bank of New York Mellon Corporation |  | 64%
Deutsche Bank Securities |  | 5%
Bank of America Securities |  | 2%
Morgan Stanley Institutional Liquidity Fund—Government Portfolio |  | 10%
BlackRock Liquidity Funds FedFund Portfolio |  | 9%
Goldman Sachs Financial Square Funds—Government Fund |  | 9%
Lakeland Bank Inc. |  | 1%

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- Definition The entire disclosure for any concentrations existing at the date of the financial statements that make an entity vulnerable to a reasonably possible, near-term, severe impact. This disclosure informs financial statement users about the general nature of the risk associated with the concentration, and may indicate the percentage of concentration risk as of the balance sheet date. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 275 -URI http://asc.fasb.org/topic&trid=2134479 + Details
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