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Real Estate Securities (Tables) | 6 Months Ended
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Jun. 30, 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 June 30, 2017 and December 31, 2016. Table 7.1 – Fair Values of Real Estate Securities by Type
(In Thousands) |  | June 30, 2017 |  | December 31, 2016
Trading |  | $ | 668,561 |  |  | $ | 445,687 |
Available-for-sale |  | 549,942 |  |  | 572,752 |
Total Real Estate Securities |  | $ | 1,218,503 |  |  | $ | 1,018,439 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at June 30, 2017 and December 31, 2016. Table 7.2 – Trading Securities by Position and Collateral Type
(In Thousands) |  | June 30, 2017 |  | December 31, 2016
Senior Securities |  | $ | 48,633 |  |  | $ | 37,067 |
Subordinate Securities |  |  |  |
Mezzanine |  | 377,286 |  |  | 256,226 |
Subordinate |  | 242,642 |  |  | 152,394 |
Total Subordinate Securities |  | 619,928 |  |  | 408,620 |
Total Trading Securities |  | $ | 668,561 |  |  | $ | 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 June 30, 2017 and December 31, 2016. Table 7.3 – Available-for-Sale Securities by Position and Collateral Type
(In Thousands) |  | June 30, 2017 |  | December 31, 2016
Senior Securities |  | $ | 128,329 |  |  | $ | 136,546 |
Re-REMIC Securities |  | 73,337 |  |  | 85,479 |
Subordinate Securities |  |  |  |
Mezzanine |  | 136,036 |  |  | 163,715 |
Subordinate |  | 212,240 |  |  | 187,012 |
Total Subordinate Securities |  | 348,276 |  |  | 350,727 |
Total AFS Securities |  | $ | 549,942 |  |  | $ | 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 June 30, 2017 and December 31, 2016. Table 7.4 – Carrying Value of AFS Securities
June 30, 2017 |  |  |  |  |  |  |  |
(In Thousands) |  | Senior |  | Re-REMIC |  | Subordinate |  | Total
Principal balance |  | $ | 134,042 |  |  | $ | 81,235 |  |  | $ | 458,256 |  |  | $ | 673,533 |
Credit reserve |  | (3,622 | ) |  | (5,913 | ) |  | (38,053 | ) |  | (47,588 | )
Unamortized discount, net |  | (35,257 | ) |  | (15,153 | ) |  | (141,653 | ) |  | (192,063 | )
Amortized cost |  | 95,163 |  |  | 60,169 |  |  | 278,550 |  |  | 433,882 |
Gross unrealized gains |  | 34,993 |  |  | 13,168 |  |  | 70,365 |  |  | 118,526 |
Gross unrealized losses |  | (1,827 | ) |  | — |  |  | (639 | ) |  | (2,466 | )
Carrying Value |  | $ | 128,329 |  |  | $ | 73,337 |  |  | $ | 348,276 |  |  | $ | 549,942 |
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 and six months ended June 30, 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 June 30, 2017 |  | Six Months Ended June 30, 2017
|  | Credit Reserve |  | Unamortized Discount, Net |  | Credit Reserve |  | Unamortized Discount, Net
(In Thousands) |  |  |  |
Beginning balance |  | $ | 49,226 |  |  | $ | 196,931 |  |  | $ | 47,473 |  |  | $ | 198,112 |
Amortization of net discount |  | — |  |  | (4,805 | ) |  | — |  |  | (10,066 | )
Realized credit losses |  | (1,521 | ) |  | — |  |  | (2,437 | ) |  | — |
Acquisitions |  | 872 |  |  | 884 |  |  | 6,591 |  |  | 8,643 |
Sales, calls, other |  | (1,101 | ) |  | (963 | ) |  | (3,261 | ) |  | (5,649 | )
Impairments |  | 128 |  |  | — |  |  | 245 |  |  | — |
Transfers to (release of) credit reserves, net |  | (16 | ) |  | 16 |  |  | (1,023 | ) |  | 1,023 |
Ending Balance |  | $ | 47,588 |  |  | $ | 192,063 |  |  | $ | 47,588 |  |  | $ | 192,063 |
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 June 30, 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) |  |  |  |  |  |
June 30, 2017 |  | $ | 6,884 |  |  | $ | (176 | ) |  | $ | 6,708 |  |  | $ | 56,793 |  |  | $ | (2,290 | ) |  | $ | 54,503 |
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 June 30, 2017. Table 7.7 – Significant Valuation Assumptions
June 30, 2017 |  | Range for Securities
Prepayment rates |  | 8% | - | 18%
Projected losses |  | 0.25% | - | 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 June 30, 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 June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2017 |  | 2016 |  | 2017 |  | 2016
Balance at beginning of period |  | $ | 26,390 |  |  | $ | 27,942 |  |  | $ | 28,261 |  |  | $ | 28,277 |
Additions |  |  |  |  |  |  |  |
Initial credit impairments |  | 81 |  |  | 291 |  |  | 178 |  |  | 291 |
Subsequent credit impairments |  | 47 |  |  | — |  |  | 47 |  |  | — |
Reductions |  |  |  |  |  |  |  |
Securities sold, or expected to sell |  | (716 | ) |  | (35 | ) |  | (2,282 | ) |  | (261 | )
Securities with no outstanding principal at period end |  | — |  |  | — |  |  | (402 | ) |  | (109 | )
Balance at End of Period |  | $ | 25,802 |  |  | $ | 28,198 |  |  | $ | 25,802 |  |  | $ | 28,198 |
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 six months ended June 30, 2017 and 2016. Table 7.9 – Gross Realized Gains and Losses on AFS Securities
|  | Three Months Ended June 30, |  | Six Months Ended June 30,
(In Thousands) |  | 2017 |  | 2016 |  | 2017 |  | 2016
Gross realized gains - sales |  | $ | 2,555 |  |  | $ | 8,986 |  |  | $ | 7,647 |  |  | $ | 20,405 |
Gross realized gains - calls |  | 66 |  |  | 1,210 |  |  | 677 |  |  | 1,210 |
Gross realized losses - sales |  | — |  |  | (120 | ) |  | — |  |  | (2,293 | )
Gross realized losses - calls |  | (497 | ) |  | — |  |  | (497 | ) |  | — |
Total Realized Gains on Sales and Calls of AFS Securities, net |  | $ | 2,124 |  |  | $ | 10,076 |  |  | $ | 7,827 |  |  | $ | 19,322 |

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- Definition Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62557-112803 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 7 -URI http://asc.fasb.org/extlink&oid=73527792&loc=d3e27337-111563 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=73527792&loc=d3e27198-111563 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62586-112803 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=73527792&loc=d3e27161-111563 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=73527792&loc=d3e27357-111563 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=73527792&loc=d3e27290-111563 + Details
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- Definition Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=73527792&loc=d3e27340-111563 + Details
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