v3.20.4
Counterparty Risk (Tables)
 12 Months Ended
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. StateDecember 31, 2020December 31, 2019
California43.1 %46.6 %
Florida14.8 %11.9 %
Texas10.2 %11.9 %
Colorado3.1 %3.2 %
Massachusetts2.6 %2.9 %
Oregon2.2 %2.2 %
Arizona2.0 %2.4 %
Nevada1.9 %1.6 %
Illinois1.8 %1.7 %
Utah1.7 %1.9 %
New York1.6 %1.3 %
Washington1.4 %1.6 %
New Jersey1.4 %1.1 %
Georgia1.3 %0.7 %
North Carolina1.1 %0.8 %
Maryland1.0 %1.1 %
Other8.8 %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. StateDecember 31, 2020December 31, 2019
Florida23.8 %31.7 %
New York15.2 %17.7 %
Connecticut11.2 %8.2 %
Missouri7.9 %4.6 %
Ohio7.3 %— %
California5.9 %— %
Massachusetts6.1 %4.7 %
New Jersey5.8 %13.3 %
Arizona4.3 %3.8 %
Virginia4.2 %6.8 %
Indiana2.8 %2.1 %
North Carolina2.2 %1.8 %
Nevada1.9 %1.5 %
Tennessee— %1.5 %
Illinois1.4 %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 ExposureNumber 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 brokers63,147 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 ExposureNumber 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 brokers79,829 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 Canada19%
% 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 Stanley37%
J.P. Morgan Securities LLC30%
% 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 LLC25%
Bank of America Securities26%
CS First Boston Limited34%
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:
CounterpartyAs of
December 31, 2018
Bank of New York Mellon Corporation64%
Deutsche Bank Securities5%
Bank of America Securities2%
Morgan Stanley Institutional Liquidity Fund—Government Portfolio10%
BlackRock Liquidity Funds FedFund Portfolio9%
Goldman Sachs Financial Square Funds—Government Fund9%
Lakeland Bank Inc.1%