v3.21.2

Counterparty Risk (Tables)

9 Months Ended

Sep. 30, 2021

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 September 30, 2021 and December 31, 2020:

Property Location by U.S. State						September 30, 2021						December 31, 2020
California						41.2		%				43.1		%
Florida						15.0		%				14.8		%
Texas						11.7		%				10.2		%
Colorado						2.6		%				3.1		%
Utah						2.6		%				1.7		%
Arizona						2.3		%				2.0		%
Massachusetts						2.3		%				2.6		%
Illinois						2.2		%				1.8		%
Nevada						1.8		%				1.9		%
New York						1.7		%				1.6		%
Oregon						1.6		%				2.2		%
Washington						1.6		%				1.4		%
North Carolina						1.6		%				1.1		%
Georgia						1.2		%				1.3		%
Connecticut						1.2		%				0.9		%
New Jersey						1.0		%				1.4		%
Maryland						0.8		%				1.0		%
Other						7.6		%				7.9		%
						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 September 30, 2021 and December 31, 2020:

Property Location by U.S. State						September 30, 2021						December 31, 2020
Florida						26.6		%				23.8		%
New York						20.2		%				15.2		%
Connecticut						7.0		%				11.2		%
Missouri						6.8		%				7.9		%
Arizona						6.2		%				4.3		%
Ohio						5.9		%				7.3		%
North Carolina						5.7		%				2.2		%
New Jersey						5.0		%				5.8		%
California						4.7		%				5.9		%
Michigan						4.7		%				—		%
New Hampshire						3.4		%				—		%
Indiana						2.3		%				2.8		%
Nevada						1.5		%				1.9		%
Massachusetts						—		%				6.1		%
Virginia						—		%				4.2		%
Illinois						—		%				1.4		%
						100.0		%				100.0		%

The following table summarizes the Company's exposure to counterparty risk as of September 30, 2021 and December 31, 2020.

September 30, 2021:

						Amount of Exposure						Number of Counterparties with Exposure						Maximum Percentage of Exposure to a Single Counterparty(1)
						(In thousands)
Cash and cash equivalents						$	103,617					8						29.2		%
Collateral on repurchase agreements held by dealers(2)						2,443,429						24						28.2		%
Due from brokers						89,983						22						30.6		%
Receivable for securities sold(3)						26,992						3						49.3		%

(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 Condensed Consolidated Balance Sheet.

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 Condensed Consolidated Balance Sheet.

X

- References

No definition available.

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- Definition

Tabular disclosure of the nature of a concentration, a benchmark to which it is compared, and the percentage that the risk is to the benchmark.

+ References

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