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Real Estate Securities (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 2016 and December 31, 2015.
Table 8.1 – Fair Values of Real Estate Securities by Type
(In Thousands)
 
June 30, 2016
 
December 31, 2015
Trading
 
$
273,531

 
$
404,011

Available-for-sale
 
610,270

 
829,245

Total Real Estate Securities
 
$
883,801

 
$
1,233,256
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by collateral type at June 30, 2016 and December 31, 2015.
Table 8.2 – Trading Securities by Collateral Type
(In Thousands)
 
June 30, 2016
 
December 31, 2015
Senior Securities
 
 
 
 
Prime
 
$
17,710

 
$
248,570

Non-prime
 
5,422

 
5,781

Total Senior Securities
 
23,132

 
254,351

Subordinate Securities
 
 
 
 
Prime mezzanine
 
164,521

 
136,140

Prime subordinate
 
85,878

 
13,520

Total Subordinate Securities
 
250,399

 
149,660

Total Trading Securities
 
$
273,531

 
$
404,011
Available for Sale Securities by Collateral Type
The following table presents the fair value of our available-for-sale securities by collateral type at June 30, 2016 and December 31, 2015.
Table 8.3 – Available-for-Sale Securities by Collateral Type
(In Thousands)
 
June 30, 2016
 
December 31, 2015
Senior Securities
 
 
 
 
Prime
 
$
65,195

 
$
210,993

Non-prime
 
8,129

 
68,258

Total Senior Securities
 
73,324

 
279,251

Re-REMIC Securities
 
165,707

 
165,064

Subordinate Securities
 
 
 
 
Prime mezzanine
 
202,268

 
224,624

Prime subordinate
 
168,971

 
160,306

Total Subordinate Securities
 
371,239

 
384,930

Total AFS Securities
 
$
610,270

 
$
829,245
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 June 30, 2016 and December 31, 2015.
Table 8.4 – Carrying Value of AFS Securities
June 30, 2016
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
70,717

 
$
10,137

 
$
188,404

 
$
474,487

 
$
743,745

Credit reserve
 
(987
)
 
(622
)
 
(9,352
)
 
(33,982
)
 
(44,943
)
Unamortized discount, net
 
(6,614
)
 
(1,813
)
 
(64,484
)
 
(134,663
)
 
(207,574
)
Amortized cost
 
63,116

 
7,702

 
114,568

 
305,842

 
491,228

Gross unrealized gains
 
4,503

 
426

 
51,139

 
67,242

 
123,310

Gross unrealized losses
 
(2,423
)
 
—

 
—

 
(1,845
)
 
(4,268
)
Carrying Value
 
$
65,196

 
$
8,128

 
$
165,707

 
$
371,239

 
$
610,270

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 and six months ended June 30, 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 June 30, 2016
 
Six Months Ended June 30, 2016
 
 
Credit
Reserve
 
Unamortized
Discount, Net
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
 
 
Beginning balance
 
$
48,547

 
$
219,630

 
$
48,869

 
$
237,107

Amortization of net discount
 
—

 
(6,339
)
 
—

 
(14,407
)
Realized credit losses
 
(1,113
)
 
—

 
(3,068
)
 
—

Acquisitions
 
862

 
926

 
5,245

 
6,036

Sales, calls, other
 
(130
)
 
(10,171
)
 
(4,382
)
 
(23,188
)
Transfers to (release of) credit reserves, net
 
(3,528
)
 
3,528

 
(2,026
)
 
2,026

Ending Balance
 
$
44,943

 
$
207,574

 
$
44,943

 
$
207,574
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 June 30, 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)
 
 
 
 
 
 
June 30, 2016
 
$
14,148

 
$
(789
)
 
$
13,359

 
$
68,117

 
$
(3,479
)
 
$
64,638

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 June 30, 2016.
Table 8.7 – Significant Valuation Assumptions
 
 
Range for Securities
 
June 30, 2016
 
Prime
 
 
Non-prime
 
Prepayment rates
 
8
-
15
%
 

 
N/A
 
Projected losses
 
0
-
9
%
 
 
 
N/A
 
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 June 30, 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 June 30,
 
Six Months Ended June 30,
(In Thousands)
 
2016
 
2015
 
2016
 
2015
Balance at beginning of period
 
$
27,942

 
$
32,949

 
$
28,277

 
$
33,849

Additions
 
 
 
 
 
 
 
 
Initial credit impairments
 
291

 
—

 
291

 
—

Reductions
 
 
 
 
 
 
 
 
Securities sold, or expected to sell
 
(35
)
 
(253
)
 
(261
)
 
(348
)
Securities with no outstanding principal at period end
 
—

 
—

 
(109
)
 
(805
)
Balance at End of Period
 
$
28,198

 
$
32,696

 
$
28,198

 
$
32,696
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 and six months ended June 30, 2016 and 2015.
Table 8.9 – Gross Realized Gains and Losses on AFS Securities
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
(In Thousands)
 
2016
 
2015
 
2016
 
2015
Gross realized gains - sales
 
$
8,986

 
$
5,956

 
$
20,405

 
$
10,262

Gross realized gains - calls
 
1,210

 
360

 
1,210

 
360

Gross realized losses - sales
 
(120
)
 
—

 
(2,293
)
 
—

Total Realized Gains on Sales and Calls of AFS Securities, net
 
$
10,076

 
$
6,316

 
$
19,322

 
$
10,622