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Real Estate Securities (Tables)
 3 Months Ended
Mar. 31, 2017
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 March 31, 2017 and December 31, 2016.
Table 7.1 – Fair Values of Real Estate Securities by Type
(In Thousands)
 
March 31, 2017
 
December 31, 2016
Trading
 
$
591,152

 
$
445,687

Available-for-sale
 
574,788

 
572,752

Total Real Estate Securities
 
$
1,165,940

 
$
1,018,439
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by position and collateral type at March 31, 2017 and December 31, 2016.
Table 7.2 – Trading Securities by Position and Collateral Type
(In Thousands)
 
March 31, 2017
 
December 31, 2016
Senior Securities
 
$
38,890

 
$
37,067

Subordinate Securities
 
 
 
 
Mezzanine
 
353,823

 
256,226

Subordinate
 
198,439

 
152,394

Total Subordinate Securities
 
552,262

 
408,620

Total Trading Securities
 
$
591,152

 
$
445,687
Available-for-Sale Securities by Collateral Type
The following table presents the fair value of our available-for-sale securities by position and collateral type at March 31, 2017 and December 31, 2016.
Table 7.3 – Available-for-Sale Securities by Position and Collateral Type
(In Thousands)
 
March 31, 2017
 
December 31, 2016
Senior Securities
 
$
137,209

 
$
136,546

Re-REMIC Securities
 
73,730

 
85,479

Subordinate Securities
 
 
 
 
Mezzanine
 
153,777

 
163,715

Subordinate
 
210,072

 
187,012

Total Subordinate Securities
 
363,849

 
350,727

Total AFS Securities
 
$
574,788

 
$
572,752
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 March 31, 2017 and December 31, 2016.
Table 7.4 – Carrying Value of AFS Securities
March 31, 2017
 
 
 
 
 
 
 
 
(In Thousands)
 
Senior
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
144,676

 
$
81,935

 
$
477,706

 
$
704,317

Credit reserve
 
(4,521
)
 
(5,609
)
 
(39,096
)
 
(49,226
)
Unamortized discount, net
 
(38,156
)
 
(16,507
)
 
(142,268
)
 
(196,931
)
Amortized cost
 
101,999


59,819

 
296,342

 
458,160

Gross unrealized gains
 
37,078

 
13,911

 
68,319

 
119,308

Gross unrealized losses
 
(1,868
)
 
—

 
(812
)
 
(2,680
)
Carrying Value
 
$
137,209


$
73,730

 
$
363,849

 
$
574,788

December 31, 2016
 
 
 
 
 
 
 
 
(In Thousands)
 
Senior
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
148,862

 
$
95,608

 
$
456,359

 
$
700,829

Credit reserve
 
(4,814
)
 
(6,857
)
 
(35,802
)
 
(47,473
)
Unamortized discount, net
 
(41,877
)
 
(19,613
)
 
(136,622
)
 
(198,112
)
Amortized cost
 
102,171


69,138

 
283,935

 
455,244

Gross unrealized gains
 
36,304

 
16,341

 
68,032

 
120,677

Gross unrealized losses
 
(1,929
)
 
—

 
(1,240
)
 
(3,169
)
Carrying Value
 
$
136,546


$
85,479

 
$
350,727

 
$
572,752
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, 2017, in unamortized discount and designated credit reserves on residential AFS securities.
Table 7.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
 
 
Three Months Ended March 31, 2017
 
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
Beginning balance
 
$
47,473

 
$
198,112

Amortization of net discount
 
—

 
(5,261
)
Realized credit losses
 
(916
)
 
—

Acquisitions
 
5,719

 
7,759

Sales, calls, other
 
(2,160
)
 
(4,686
)
Impairments
 
117

 
—

Transfers to (release of) credit reserves, net
 
(1,007
)
 
1,007

Ending Balance
 
$
49,226

 
$
196,931
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 March 31, 2017 and December 31, 2016.
Table 7.6 – 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, 2017
 
$
25,900

 
$
(322
)
 
$
25,578

 
$
58,656

 
$
(2,358
)
 
$
56,298

December 31, 2016
 
15,772

 
(330
)
 
15,442

 
60,035

 
(2,839
)
 
57,196
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, 2017.
Table 7.7 – Significant Valuation Assumptions
March 31, 2017
 
Range for Securities
Prepayment rates
 
8%
-
18%
Projected losses
 
—%
-
8%
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, 2017 and 2016, for which a portion of an OTTI was recognized in other comprehensive income.
Table 7.8 – Activity of the Credit Component of Other-than-Temporary Impairments
 
 
Three Months Ended March 31,
(In Thousands)
 
2017
 
2016
Balance at beginning of period
 
$
28,261

 
$
28,277

Additions
 
 
 
 
Initial credit impairments
 
97

 
—

Reductions
 
 
 
 
Securities sold, or expected to sell
 
(1,566
)
 
(226
)
Securities with no outstanding principal at period end
 
(402
)
 
(109
)
Balance at End of Period
 
$
26,390

 
$
27,942
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 months ended March 31, 2017 and 2016.
Table 7.9 – Gross Realized Gains and Losses on AFS Securities
 
 
Three Months Ended March 31,
(In Thousands)
 
2017
 
2016
Gross realized gains - sales
 
$
5,092

 
$
11,419

Gross realized gains - calls
 
611

 
—

Gross realized losses - sales
 
—

 
(2,173
)
Total Realized Gains on Sales and Calls of AFS
Securities, net
 
$
5,703

 
$
9,246