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Real Estate Securities (Tables)
 3 Months Ended
Mar. 31, 2018
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, 2018 and December 31, 2017.
Table 7.1 – Fair Values of Real Estate Securities by Type
(In Thousands)
 
March 31, 2018
 
December 31, 2017
Trading
 
$
907,432

 
$
968,844

Available-for-sale
 
450,288

 
507,666

Total Real Estate Securities
 
$
1,357,720

 
$
1,476,510
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by position and collateral type at March 31, 2018 and December 31, 2017.
Table 7.2 – Trading Securities by Position and Collateral Type
(In Thousands)
 
March 31, 2018
 
December 31, 2017
Senior
 
$
82,062

 
$
69,974

Mezzanine
 
537,831

 
563,475

Subordinate
 
287,539

 
335,395

Total Trading Securities
 
$
907,432

 
$
968,844
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, 2018 and December 31, 2017.
Table 7.3 – Available-for-Sale Securities by Position and Collateral Type
(In Thousands)
 
March 31, 2018
 
December 31, 2017
Senior (1)
 
$
165,610

 
$
179,864

Mezzanine
 
67,291

 
92,002

Subordinate
 
217,387

 
235,800

Total AFS Securities
 
$
450,288

 
$
507,666

(1)
Includes $38 million and $39 million of re-REMIC securities at March 31, 2018 and December 31, 2017, respectively. Re-REMIC securities were created through the resecuritization of certain senior security interests to provide additional credit support to those interests. These re-REMIC securities are therefore subordinate to the remaining senior security interests, but senior to any subordinate tranches of the securitization from which they were created.
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, 2018 and December 31, 2017.
Table 7.4 – Carrying Value of AFS Securities
March 31, 2018
 
 
 
 
 
 
(In Thousands)
 
Senior
 
Mezzanine
 
Subordinate
 
Total
Principal balance
 
$
172,026

 
$
67,995

 
$
312,914

 
$
552,935

Credit reserve
 
(8,206
)
 
—

 
(32,410
)
 
(40,616
)
Unamortized discount, net
 
(39,174
)
 
(6,959
)
 
(132,169
)
 
(178,302
)
Amortized cost
 
124,646


61,036

 
148,335

 
334,017

Gross unrealized gains
 
41,919

 
6,255

 
69,419

 
117,593

Gross unrealized losses
 
(955
)
 
—

 
(367
)
 
(1,322
)
Carrying Value
 
$
165,610


$
67,291

 
$
217,387

 
$
450,288

December 31, 2017
 
 
 
 
 
 
(In Thousands)
 
Senior
 
Mezzanine
 
Subordinate
 
Total
Principal balance
 
$
189,125

 
$
91,471

 
$
327,549

 
$
608,145

Credit reserve
 
(8,756
)
 
—

 
(37,793
)
 
(46,549
)
Unamortized discount, net
 
(44,041
)
 
(9,407
)
 
(130,305
)
 
(183,753
)
Amortized cost
 
136,328


82,064

 
159,451

 
377,843

Gross unrealized gains
 
44,771

 
9,938

 
76,481

 
131,190

Gross unrealized losses
 
(1,235
)
 
—

 
(132
)
 
(1,367
)
Carrying Value
 
$
179,864


$
92,002

 
$
235,800

 
$
507,666
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, 2018, 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, 2018
 
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
Beginning balance
 
$
46,549

 
$
183,753

Amortization of net discount
 
—

 
(4,060
)
Realized credit losses
 
(956
)
 
—

Acquisitions
 
2,536

 
1,635

Sales, calls, other
 
(767
)
 
(9,772
)
Transfers to (release of) credit reserves, net
 
(6,746
)
 
6,746

Ending Balance
 
$
40,616

 
$
178,302
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, 2018 and December 31, 2017.
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, 2018
 
$
12,799

 
$
(367
)
 
$
12,432

 
$
27,186

 
$
(955
)
 
$
26,231

December 31, 2017
 
8,637

 
(132
)
 
8,505

 
28,557

 
(1,235
)
 
27,322
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, 2018.
Table 7.7 – Significant Valuation Assumptions
March 31, 2018
 
Range for Securities
Prepayment rates
 
8%
-
20%
Projected losses
 
0.20%
-
5.25%
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, 2018 and 2017, 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)
 
2018
 
2017
Balance at beginning of period
 
$
21,037

 
$
28,261

Additions
 
 
 
 
Initial credit impairments
 
—

 
97

Reductions
 
 
 
 
Securities sold, or expected to sell
 
(99
)
 
(1,566
)
Securities with no outstanding principal at period end
 
(14
)
 
(402
)
Balance at End of Period
 
$
20,924

 
$
26,390
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, 2018 and 2017.
Table 7.9 – Gross Realized Gains and Losses on AFS Securities
 
 
Three Months Ended March 31,
(In Thousands)
 
2018
 
2017
Gross realized gains - sales
 
$
9,363

 
$
5,092

Gross realized gains - calls
 
—

 
611

Total Realized Gains on Sales and Calls of AFS Securities, net
 
$
9,363

 
$
5,703