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Real Estate Securities (Tables)
 3 Months Ended
Mar. 31, 2015
Investments, Debt and Equity Securities [Abstract]  
Fair Values of Real Estate Securities
The following table presents the fair values of our real estate securities by type at March 31, 2015 and December 31, 2014.
(In Thousands)
 
March 31, 2015
 
December 31, 2014
Trading
 
$
106,837

 
$
111,606

Available-for-sale
 
1,178,406

 
1,267,624

Total Real Estate Securities
 
$
1,285,243

 
$
1,379,230
Trading Securities by Collateral Type
The following table presents trading securities by collateral type at March 31, 2015 and December 31, 2014.
(In Thousands)
 
March 31, 2015
 
December 31, 2014
Senior Securities
 
 
 
 
Prime
 
$
65,809

 
$
93,802

Non-prime
 
7,454

 
7,951

Total Senior Securities
 
73,263

 
101,753

Prime Subordinate Securities
 
33,574

 
9,853

Total Trading Securities
 
$
106,837

 
$
111,606
Available for Sale Securities by Collateral Type
The following table presents the fair value of our available-for-sale securities held at Redwood by collateral type at March 31, 2015 and December 31, 2014.
(In Thousands)
 
March 31, 2015
 
December 31, 2014
Senior Securities
 
 
 
 
Prime
 
$
297,872

 
$
307,813

Non-prime
 
174,874

 
179,744

Total Senior Securities
 
472,746

 
487,557

Re-REMIC Securities
 
169,239

 
168,347

Subordinate Securities
 
 
 
 
Prime Mezzanine (1)
 
370,391

 
448,838

Subordinate (2)
 
166,030

 
162,882

Total Subordinate Securities
 
536,421

 
611,720

Total AFS Securities
 
$
1,178,406

 
$
1,267,624

(1) Mezzanine includes securities initially rated AA, A and BBB- and issued in 2012 or later.
(2) Subordinate securities includes less than $1 million of non-prime securities at both March 31, 2015, and December 31, 2014.
Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities
The following table presents the components of carrying value (which equals fair value) of AFS securities at March 31, 2015 and December 31, 2014.
Carrying Value of AFS Securities
March 31, 2015
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
302,046

 
$
190,790

 
$
194,296

 
$
648,490

 
$
1,335,622

Credit reserve
 
(2,830
)
 
(9,027
)
 
(12,667
)
 
(39,060
)
 
(63,584
)
Unamortized discount, net
 
(32,645
)
 
(29,791
)
 
(79,401
)
 
(144,545
)
 
(286,382
)
Amortized cost
 
266,571

 
151,972

 
102,228

 
464,885

 
985,656

Gross unrealized gains
 
33,313

 
22,984

 
67,011

 
72,328

 
195,636

Gross unrealized losses
 
(2,012
)
 
(82
)
 
—

 
(792
)
 
(2,886
)
Carrying Value
 
$
297,872

 
$
174,874

 
$
169,239

 
$
536,421

 
$
1,178,406

December 31, 2014
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
311,573

 
$
196,258

 
$
195,098

 
$
742,150

 
$
1,445,079

Credit reserve
 
(3,660
)
 
(9,644
)
 
(15,202
)
 
(41,561
)
 
(70,067
)
Unamortized discount, net
 
(34,782
)
 
(31,491
)
 
(79,611
)
 
(150,458
)
 
(296,342
)
Amortized cost
 
273,131

 
155,123

 
100,285

 
550,131

 
1,078,670

Gross unrealized gains
 
35,980

 
24,682

 
68,062

 
63,026

 
191,750

Gross unrealized losses
 
(1,298
)
 
(61
)
 
—

 
(1,437
)
 
(2,796
)
Carrying Value
 
$
307,813

 
$
179,744

 
$
168,347

 
$
611,720

 
$
1,267,624
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities
The following table presents the changes for the three ended March 31, 2015, in unamortized discount and designated credit reserves on residential AFS securities.
Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
 
 
Three Months Ended March 31, 2015
 
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
Beginning balance
 
$
70,067

 
$
296,342

Amortization of net discount
 
—

 
(9,838
)
Realized credit losses
 
(2,945
)
 
—

Acquisitions
 
—

 
2,672

Sales, calls, other
 
—

 
(6,332
)
Impairments
 
—

 
—

Transfers to (release of) credit reserves, net
 
(3,538
)
 
3,538

Ending Balance
 
$
63,584

 
$
286,382
Components of Carrying Value of Available for Sale Securities in Unrealized Loss Position
The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at March 31, 2015 and December 31, 2014.
 
 
Less Than 12 Consecutive Months
 
12 Consecutive Months or Longer
 
 
Amortized
Cost
 
Unrealized
Losses
 
Fair
Value
 
Amortized
Cost
 
Unrealized
Losses
 
Fair
(In Thousands)
 
 
 
 
 
 
March 31, 2015
 
$
143,665

 
$
(1,798
)
 
$
141,867

 
$
36,468

 
$
(1,088
)
 
$
35,380

December 31, 2014
 
126,681

 
(1,374
)
 
125,307

 
70,676

 
(1,422
)
 
69,254
Summary of Significant Valuation Assumptions for Available for Sale Securities
The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at March 31, 2015.
Significant Valuation Assumptions
 
 
Range for Securities
March 31, 2015
 
Prime
 
Non-prime
Prepayment rates
 
8 - 16%
 
10 - 10%
Projected losses
 
1 - 18%
 
14 - 18%
Activity of Credit Component of Other-than-Temporary Impairments
The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at March 31, 2015 and 2014, for which a portion of an OTTI was recognized in other comprehensive income.
Activity of the Credit Component of Other-than-Temporary Impairments
 
 
Three Months Ended March 31,
(In Thousands)
 
2015
 
2014
Balance at beginning of period
 
$
33,849

 
$
37,149

Additions
 
 
 
 
Initial credit impairments
 
—

 
71

Subsequent credit impairments
 
—

 
42

Reductions
 
 
 
 
Securities sold, or expected to sell
 
(95
)
 
—

Securities with no outstanding principal at period end
 
(805
)
 
(1,476
)
Balance at End of Period
 
$
32,949

 
$
35,786
Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities
The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three months ended March 31, 2015 and 2014.
 
 
Three Months Ended March 31,
(In Thousands)
 
2015
 
2014
Gross realized gains - sales
 
$
4,306

 
$
—

Gross realized gains - calls
 
—

 
987

Gross realized losses - sales
 
—

 
—

Gross realized losses - calls
 
—

 
—

Total Realized Gains on Sales and Calls of AFS Securities, net
 
$
4,306

 
$
987