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Real Estate Securities (Tables)
 9 Months Ended
Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract]  
Fair Values of Real Estate Securities by Type
The following table presents the fair values of our real estate securities by type at September 30, 2016 and December 31, 2015.
Table 8.1 – Fair Values of Real Estate Securities by Type
(In Thousands)
 
September 30, 2016
 
December 31, 2015
Trading
 
$
341,269

 
$
404,011

Available-for-sale
 
595,641

 
829,245

Total Real Estate Securities
 
$
936,910

 
$
1,233,256
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by collateral type at September 30, 2016 and December 31, 2015.
Table 8.2 – Trading Securities by Collateral Type
(In Thousands)
 
September 30, 2016
 
December 31, 2015
Senior Securities
 
 
 
 
Prime
 
$
19,098

 
$
248,570

Non-prime
 
5,394

 
5,781

Total Senior Securities
 
24,492

 
254,351

Subordinate Securities
 
 
 
 
Prime mezzanine
 
194,832

 
136,140

Prime subordinate
 
121,945

 
13,520

Total Subordinate Securities
 
316,777

 
149,660

Total Trading Securities
 
$
341,269

 
$
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 September 30, 2016 and December 31, 2015.
Table 8.3 – Available-for-Sale Securities by Collateral Type
(In Thousands)
 
September 30, 2016
 
December 31, 2015
Senior Securities
 
 
 
 
Prime
 
$
63,469

 
$
210,993

Non-prime
 
7,821

 
68,258

Total Senior Securities
 
71,290

 
279,251

Re-REMIC Securities
 
161,234

 
165,064

Subordinate Securities
 
 
 
 
Prime mezzanine
 
177,468

 
224,624

Prime subordinate
 
185,649

 
160,306

Total Subordinate Securities
 
363,117

 
384,930

Total AFS Securities
 
$
595,641

 
$
829,245
Carrying Value of Residential Available for Sale Securities
The following table presents the components of carrying value (which equals fair value) of AFS securities at September 30, 2016 and December 31, 2015.
Table 8.4 – Carrying Value of AFS Securities
September 30, 2016
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
68,288

 
$
9,372

 
$
180,754

 
$
460,981

 
$
719,395

Credit reserve
 
(1,483
)
 
(641
)
 
(10,452
)
 
(35,037
)
 
(47,613
)
Unamortized discount, net
 
(6,116
)
 
(1,635
)
 
(59,146
)
 
(135,829
)
 
(202,726
)
Amortized cost
 
60,689

 
7,096

 
111,156

 
290,115

 
469,056

Gross unrealized gains
 
4,860

 
725

 
50,078

 
74,041

 
129,704

Gross unrealized losses
 
(2,080
)
 
—

 
—

 
(1,039
)
 
(3,119
)
Carrying Value
 
$
63,469

 
$
7,821

 
$
161,234

 
$
363,117

 
$
595,641

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 nine months ended September 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 September 30, 2016
 
Nine Months Ended September 30, 2016
 
 
Credit
Reserve
 
Unamortized
Discount, Net
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
 
 
Beginning balance
 
$
44,943

 
$
207,574

 
$
48,869

 
$
237,107

Amortization of net discount
 
—

 
(6,124
)
 
—

 
(20,531
)
Realized credit losses
 
(329
)
 
—

 
(3,397
)
 
—

Acquisitions
 
2,136

 
2,982

 
7,381

 
9,018

Sales, calls, other
 
—

 
(843
)
 
(4,382
)
 
(24,031
)
Impairments
 
—

 
—

 
305

 
—

Transfers to (release of) credit reserves, net
 
863

 
(863
)
 
(1,163
)
 
1,163

Ending Balance
 
$
47,613

 
$
202,726

 
$
47,613

 
$
202,726
Components of Fair Value of Available for Sale Securities Securities by Holding Periods
The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at September 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)
 
 
 
 
 
 
September 30, 2016
 
$
3,117

 
$
(127
)
 
$
2,990

 
$
67,091

 
$
(2,992
)
 
$
64,099

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 September 30, 2016.
Table 8.7 – Significant Valuation Assumptions
September 30, 2016
 
Range for Securities
Prepayment rates
 
8%
-
20%
Projected losses
 
—%
-
9%
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 September 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 September 30,
 
Nine Months Ended September 30,
(In Thousands)
 
2016
 
2015
 
2016
 
2015
Balance at beginning of period
 
$
28,198

 
$
32,696

 
$
28,277

 
$
33,849

Additions
 
 
 
 
 
 
 
 
Initial credit impairments
 
—

 
226

 
291

 
226

Reductions
 
 
 
 
 
 
 
 
Securities sold, or expected to sell
 
—

 
—

 
(261
)
 
(348
)
Securities with no outstanding principal at period end
 
—

 
(446
)
 
(109
)
 
(1,251
)
Balance at End of Period
 
$
28,198

 
$
32,476

 
$
28,198

 
$
32,476
Gross Realized Gains and Losses on 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 nine months ended September 30, 2016 and 2015.
Table 8.9 – Gross Realized Gains and Losses on AFS Securities
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
(In Thousands)
 
2016
 
2015
 
2016
 
2015
Gross realized gains - sales
 
$
1,990

 
$
4,053

 
$
22,395

 
$
14,315

Gross realized gains - calls
 
—

 
1,607

 
1,210

 
1,967

Gross realized losses - sales
 
—

 
—

 
(2,293
)
 
—

Gross realized losses - calls
 
—

 
(112
)
 
—

 
(112
)
Total Realized Gains on Sales and Calls of AFS
Securities, net
 
$
1,990

 
$
5,548

 
$
21,312

 
$
16,170