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Real Estate Securities (Tables)
 3 Months Ended
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