Counterparty Risk (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022 and December 31, 2021:


Property Location by U.S. State	September 30, 2022		December 31, 2021
California	34.2	%	40.2	%
Florida	16.6	%	14.9	%
Texas	10.5	%	11.9	%
Utah	3.5	%	2.9	%
Arizona	3.0	%	2.1	%
North Carolina	2.6	%	1.8	%
Georgia	2.4	%	1.5	%
Tennessee	2.3	%	1.6	%
Pennsylvania	2.1	%	0.9	%
Massachusetts	1.9	%	2.2	%
Nevada	1.9	%	1.9	%
New Jersey	1.8	%	1.1	%
Illinois	1.7	%	2.0	%
Washington	1.7	%	1.5	%
Colorado	1.6	%	2.0	%
New York	1.3	%	1.7	%
Oregon	1.3	%	1.8	%
Maryland	1.0	%	0.7	%
Connecticut	0.9	%	1.2	%
Other	7.7	%	6.1	%
	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 September 30, 2022 and December 31, 2021:


Property Location by U.S. State	September 30, 2022		December 31, 2021
Florida	20.8	%	32.3	%
Texas	11.7	%	—	%
New York	10.6	%	13.5	%
Arizona	9.3	%	9.3	%
Georgia	6.7	%	—	%
New Jersey	5.4	%	5.1	%
Michigan	4.8	%	4.9	%
Massachusetts	4.8	%	—	%
Illinois	4.1	%	—	%
Ohio	4.0	%	7.3	%
Oklahoma	3.6	%	—	%
North Carolina	3.3	%	5.9	%
Tennessee	2.3	%	7.7	%
Connecticut	1.9	%	3.5	%
New Hampshire	1.9	%	3.5	%
Louisiana	1.3	%	—	%
Pennsylvania	1.3	%	—	%
Rhode Island	1.1	%	—	%
Missouri	—	%	7.0	%
Other	1.1	%	—	%
	100.0	%	100.0	%

The following table summarizes the Company's exposure to counterparty risk as of September 30, 2022 and December 31, 2021.

September 30, 2022:


	Amount of Exposure		Number of Counterparties with Exposure	Maximum Percentage of Exposure to a Single Counterparty(1)
	(In thousands)
Cash and cash equivalents	$	175,230	7	56.8	%
Collateral on repurchase agreements held by dealers(2)	3,488,212		24	24.5	%
Due from brokers	86,957		20	29.7	%
Receivable for securities sold(3)	32,094		7	44.6	%

(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of September 30, 2022.

(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, 2021:


	Amount of Exposure		Number of Counterparties with Exposure	Maximum Percentage of Exposure to a Single Counterparty(1)
	(In thousands)
Cash and cash equivalents	$	92,661	9	46.9	%
Collateral on repurchase agreements held by dealers(2)	2,822,847		23	33.5	%
Due from brokers	93,549		19	29.1	%
Receivable for securities sold(3)	11,014		3	50.7	%

(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of December 31, 2022.

(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.