v3.19.3
Counterparty Risk (Tables)
 9 Months Ended
Sep. 30, 2019
Risks and Uncertainties [Abstract]  
Schedules of Exposure to Counterparty Risk
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as of September 30, 2019:
Property Location by State
 
Percentage of Total Outstanding Unpaid Principal Balance
Florida
 
24.4
%
New York
 
17.3
%
Connecticut
 
16.6
%
New Jersey
 
13.0
%
Virginia
 
6.6
%
Massachusetts
 
4.6
%
North Carolina
 
3.8
%
Arizona
 
3.7
%
Indiana
 
2.1
%
Pennsylvania
 
1.6
%
Nevada
 
1.4
%
Tennessee
 
1.4
%
Louisiana
 
1.3
%
Illinois
 
1.2
%
Other
 
1.0
%
 
 
100.0
%
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as of September 30, 2019:
Property Location by State
 
Percentage of Total Outstanding Unpaid Principal Balance
California
 
48.9
%
Florida
 
12.9
%
Texas
 
12.1
%
Colorado
 
3.7
%
Arizona
 
2.7
%
Utah
 
1.9
%
Oregon
 
1.8
%
Washington
 
1.7
%
Nevada
 
1.6
%
Massachusetts
 
1.5
%
Illinois
 
1.4
%
New York
 
1.4
%
Maryland
 
1.1
%
Other
 
7.3
%
 
 
100.0
%
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.
Schedule Of Percentage Of Total Collateral On Reverse Repurchase Agreements [Table Text Block]
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%
% Of Total Deposits With Dealers Held As Collateral
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%
% Of Total Receivable For Securities Sold
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%
Schedule of Cash and Cash Equivalents
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%