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Real Estate Securities (Tables) | 3 Months Ended
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Mar. 31, 2016
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, 2016 and December 31, 2015. Table 8.1 – Fair Values of Real Estate Securities by Type
(In Thousands) |  | March 31, 2016 |  | December 31, 2015
Trading |  | $ | 221,571 |  |  | $ | 404,011 |
Available-for-sale |  | 698,356 |  |  | 829,245 |
Total Real Estate Securities |  | $ | 919,927 |  |  | $ | 1,233,256 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by collateral type at March 31, 2016 and December 31, 2015. Table 8.2 – Trading Securities by Collateral Type
(In Thousands) |  | March 31, 2016 |  | December 31, 2015
Senior Securities |  |  |  |
Prime |  | $ | 22,177 |  |  | $ | 248,570 |
Non-prime |  | 5,414 |  |  | 5,781 |
Total Senior Securities |  | 27,591 |  |  | 254,351 |
Subordinate Securities |  |  |  |
Prime mezzanine (1) |  | 144,317 |  |  | 136,140 |
Prime subordinate (2) |  | 49,663 |  |  | 13,520 |
Total Subordinate Securities (3) |  | 193,980 |  |  | 149,660 |
Total Trading Securities |  | $ | 221,571 |  |  | $ | 404,011 |
(1) | Mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later.
(2) | Subordinate securities includes less than $1 million of non-prime securities at both March 31, 2016, and December 31, 2015.
(3) | At March 31, 2016, and December 31, 2015, subordinate securities included $62 million and $25 million, respectively, of CRT securities.
Available for Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale securities by collateral type at March 31, 2016 and December 31, 2015. Table 8.3 – Available-for-Sale Securities by Collateral Type
(In Thousands) |  | March 31, 2016 |  | December 31, 2015
Senior Securities |  |  |  |
Prime |  | $ | 111,523 |  |  | $ | 210,993 |
Non-prime |  | 29,093 |  |  | 68,258 |
Total Senior Securities |  | 140,616 |  |  | 279,251 |
Re-REMIC Securities |  | 162,970 |  |  | 165,064 |
Subordinate Securities |  |  |  |
Prime mezzanine (1) |  | 225,787 |  |  | 224,624 |
Prime subordinate (2) |  | 168,983 |  |  | 160,306 |
Total Subordinate Securities |  | 394,770 |  |  | 384,930 |
Total AFS Securities |  | $ | 698,356 |  |  | $ | 829,245 |
(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, 2016, and December 31, 2015.
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, 2016 and December 31, 2015. Table 8.4 – Carrying Value of AFS Securities
March 31, 2016 |  | Senior |  |  |  |  |  |
(In Thousands) |  | Prime |  | Non-prime |  | Re-REMIC |  | Subordinate |  | Total
Principal balance |  | $ | 120,577 |  |  | $ | 31,781 |  |  | $ | 189,146 |  |  | $ | 504,228 |  |  | $ | 845,732 |
Credit reserve |  | (1,108 | ) |  | (687 | ) |  | (11,258 | ) |  | (35,494 | ) |  | (48,547 | )
Unamortized discount, net |  | (13,491 | ) |  | (3,262 | ) |  | (66,586 | ) |  | (136,291 | ) |  | (219,630 | )
Amortized cost |  | 105,978 |  |  | 27,832 |  |  | 111,302 |  |  | 332,443 |  |  | 577,555 |
Gross unrealized gains |  | 9,326 |  |  | 1,482 |  |  | 51,668 |  |  | 64,538 |  |  | 127,014 |
Gross unrealized losses |  | (3,781 | ) |  | (221 | ) |  | — |  |  | (2,211 | ) |  | (6,213 | )
Carrying Value |  | $ | 111,523 |  |  | $ | 29,093 |  |  | $ | 162,970 |  |  | $ | 394,770 |  |  | $ | 698,356 |
December 31, 2015 |  | Senior |  |  |  |  |  |
(In Thousands) |  | Prime |  | Non-prime |  | Re-REMIC |  | Subordinate |  | Total
Principal balance |  | $ | 217,605 |  |  | $ | 75,591 |  |  | $ | 189,782 |  |  | $ | 490,249 |  |  | $ | 973,227 |
Credit reserve |  | (1,305 | ) |  | (5,101 | ) |  | (10,332 | ) |  | (32,131 | ) |  | (48,869 | )
Unamortized discount, net |  | (22,079 | ) |  | (8,395 | ) |  | (71,670 | ) |  | (134,963 | ) |  | (237,107 | )
Amortized cost |  | 194,221 |  |  | 62,095 |  |  | 107,780 |  |  | 323,155 |  |  | 687,251 |
Gross unrealized gains |  | 20,263 |  |  | 6,249 |  |  | 57,284 |  |  | 63,205 |  |  | 147,001 |
Gross unrealized losses |  | (3,491 | ) |  | (86 | ) |  | — |  |  | (1,430 | ) |  | (5,007 | )
Carrying Value |  | $ | 210,993 |  |  | $ | 68,258 |  |  | $ | 165,064 |  |  | $ | 384,930 |  |  | $ | 829,245 |
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | The following table presents the changes for the three months ended March 31, 2016, in unamortized discount and designated credit reserves on residential AFS securities. Table 8.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
|  | Three Months Ended March 31, 2016
|  | Credit Reserve |  | Unamortized Discount, Net
(In Thousands) |  |
Beginning balance |  | $ | 48,869 |  |  | $ | 237,107 |
Amortization of net discount |  | — |  |  | (8,068 | )
Realized credit losses |  | (1,955 | ) |  | — |
Acquisitions |  | 4,383 |  |  | 5,110 |
Sales, calls, other |  | (4,252 | ) |  | (13,017 | )
Transfers to (release of) credit reserves, net |  | 1,502 |  |  | (1,502 | )
Ending Balance |  | $ | 48,547 |  |  | $ | 219,630 |
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, 2016 and December 31, 2015. Table 8.6 – Components of Fair Value of Residential AFS Securities by Holding Periods
|  | Less Than 12 Consecutive Months |  | 12 Consecutive Months or Longer
|  | Amortized Cost |  | Unrealized Losses |  | Fair Value |  | Amortized Cost |  | Unrealized Losses |  | Fair Value
(In Thousands) |  |  |  |  |  |
March 31, 2016 |  | $ | 39,132 |  |  | $ | (1,350 | ) |  | $ | 37,782 |  |  | $ | 76,241 |  |  | $ | (4,863 | ) |  | $ | 71,378 |
December 31, 2015 |  | 87,718 |  |  | (1,972 | ) |  | 85,746 |  |  | 77,539 |  |  | (3,035 | ) |  | 74,504 |
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, 2016. Table 8.7 – Significant Valuation Assumptions
|  | Range for Securities |
March 31, 2016 |  | Prime |  |  | Non-prime |
Prepayment rates |  | 10 - 20 | % |  | 12 - 15 | %
Projected losses |  | 0 - 9 | % |  | 5 | %
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, 2016 and 2015, for which a portion of an OTTI was recognized in other comprehensive income. Table 8.8 – Activity of the Credit Component of Other-than-Temporary Impairments
|  | Three Months Ended March 31,
(In Thousands) |  | 2016 |  | 2015
Balance at beginning of period |  | $ | 28,277 |  |  | $ | 33,849 |
Reductions |  |  |  |
Securities sold, or expected to sell |  | (226 | ) |  | (95 | )
Securities with no outstanding principal at period end |  | (109 | ) |  | (805 | )
Balance at End of Period |  | $ | 27,942 |  |  | $ | 32,949 |
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, 2016 and 2015. Table 8.9 – Gross Realized Gains and Losses on AFS Securities
|  | Three Months Ended March 31,
(In Thousands) |  | 2016 |  | 2015
Gross realized gains - sales |  | $ | 11,419 |  |  | $ | 4,306 |
Gross realized losses - sales |  | (2,173 | ) |  | — |
Total Realized Gains on Sales and Calls of AFS Securities, net |  | $ | 9,246 |  |  | $ | 4,306 |

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