v3.20.4

Counterparty Risk (Tables) | 12 Months Ended
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Dec. 31, 2020
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 residential mortgage loans as a percentage of total outstanding unpaid principal balance as of December 31, 2020 and 2019:
Property Location by U.S. State |  | December 31, 2020 |  | December 31, 2019
California |  | 43.1 | % |  | 46.6 | %
Florida |  | 14.8 | % |  | 11.9 | %
Texas |  | 10.2 | % |  | 11.9 | %
Colorado |  | 3.1 | % |  | 3.2 | %
Massachusetts |  | 2.6 | % |  | 2.9 | %
Oregon |  | 2.2 | % |  | 2.2 | %
Arizona |  | 2.0 | % |  | 2.4 | %
Nevada |  | 1.9 | % |  | 1.6 | %
Illinois |  | 1.8 | % |  | 1.7 | %
Utah |  | 1.7 | % |  | 1.9 | %
New York |  | 1.6 | % |  | 1.3 | %
Washington |  | 1.4 | % |  | 1.6 | %
New Jersey |  | 1.4 | % |  | 1.1 | %
Georgia |  | 1.3 | % |  | 0.7 | %
North Carolina |  | 1.1 | % |  | 0.8 | %
Maryland |  | 1.0 | % |  | 1.1 | %
Other |  | 8.8 | % |  | 7.1 | %
|  | 100.0 | % |  | 100.0 | %
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of December 31, 2020 and 2019:
Property Location by U.S. State |  | December 31, 2020 |  | December 31, 2019
Florida |  | 23.8 | % |  | 31.7 | %
New York |  | 15.2 | % |  | 17.7 | %
Connecticut |  | 11.2 | % |  | 8.2 | %
Missouri |  | 7.9 | % |  | 4.6 | %
Ohio |  | 7.3 | % |  | — | %
California |  | 5.9 | % |  | — | %
Massachusetts |  | 6.1 | % |  | 4.7 | %
New Jersey |  | 5.8 | % |  | 13.3 | %
Arizona |  | 4.3 | % |  | 3.8 | %
Virginia |  | 4.2 | % |  | 6.8 | %
Indiana |  | 2.8 | % |  | 2.1 | %
North Carolina |  | 2.2 | % |  | 1.8 | %
Nevada |  | 1.9 | % |  | 1.5 | %
Tennessee |  | — | % |  | 1.5 | %
Illinois |  | 1.4 | % |  | 1.2 | %
Other |  | — | % |  | 1.1 | %
|  | 100.0 | % |  | 100.0 | %
The following table summarizes the Company's exposure to counterparty risk as of December 31, 2020 and 2019. December 31, 2020:
|  | Amount of Exposure |  | Number of Counterparties with Exposure |  | Maximum Percentage of Exposure to a Single Counterparty(1)
|  | (In thousands) |  |  |  |
Cash and cash equivalents |  | $ | 111,647 |  |  | 8 |  |  | 40.1 | %
Collateral on repurchase agreements held by dealers(2) |  | 1,860,059 |  |  | 24 |  |  | 15.3 | %
Due from brokers |  | 63,147 |  |  | 22 |  |  | 28.9 | %
Receivable for securities sold(3) |  | 1,416 |  |  | 2 |  |  | 94.5 | %
(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 Consolidated Balance Sheet. December 31, 2019:
|  | Amount of Exposure |  | Number of Counterparties with Exposure |  | Maximum Percentage of Exposure to a Single Counterparty(1)
|  | (In thousands) |  |  |  |
Cash and cash equivalents |  | $ | 72,302 |  |  | 11 |  |  | 42.2 | %
Collateral on repurchase agreements held by dealers(2) |  | 2,793,696 |  |  | 28 |  |  | 13.8 | %
Due from brokers |  | 79,829 |  |  | 24 |  |  | 30.9 | %
Receivable for securities sold(3) |  | 69,995 |  |  | 5 |  |  | 62.3 | %
(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 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%

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