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Real Estate Securities (Tables)

12 Months Ended

Dec. 31, 2018

Investments, Debt and Equity Securities [Abstract]

Fair Values of Real Estate Securities by Collateral Type and Entity

The following table presents the fair values of our real estate securities by type at December 31, 2018 and December 31, 2017.

Table 9.1 – Fair Values of Real Estate Securities by Type

(In Thousands)		December 31, 2018				December 31, 2017
Trading		$	1,118,612			$	968,844
Available-for-sale		333,882				507,666
Total Real Estate Securities		$	1,452,494			$	1,476,510

Trading Securities by Collateral Type

The following table presents the fair value of trading securities by position and collateral type at December 31, 2018 and December 31, 2017.

Table 9.2 – Trading Securities by Position and Collateral Type

(In Thousands)		December 31, 2018				December 31, 2017
Senior		$	158,670			$	69,974
Mezzanine		610,819				563,475
Subordinate		349,123				335,395
Total Trading Securities		$	1,118,612			$	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 December 31, 2018 and December 31, 2017.

Table 9.3 – Available-for-Sale Securities by Position and Collateral Type

(In Thousands)		December 31, 2018				December 31, 2017
Senior		$	87,615			$	179,864
Mezzanine		36,407				92,002
Subordinate		209,860				235,800
Total AFS Securities		$	333,882			$	507,666

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 December 31, 2018 and December 31, 2017.

Table 9.4 – Carrying Value of AFS Securities

December 31, 2018
(In Thousands)		Senior				Mezzanine				Subordinate				Total
Principal balance		$	91,736			$	36,852			$	302,524			$	431,112
Credit reserve		(7,790		)		—				(33,580		)		(41,370		)
Unamortized discount, net		(18,460		)		(3,697		)		(129,043		)		(151,200		)
Amortized cost		65,486				33,155				139,901				238,542
Gross unrealized gains		22,178				3,252				70,458				95,888
Gross unrealized losses		(49		)		—				(499		)		(548		)
Carrying Value		$	87,615			$	36,407			$	209,860			$	333,882

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 years ended December 31, 2018 and 2017, in unamortized discount and designated credit reserves on residential AFS securities.

Table 9.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities

		Year Ended December 31, 2018								Year Ended December 31, 2017
		Credit Reserve				Unamortized Discount, Net				Credit Reserve				Unamortized Discount, Net
(In Thousands)
Beginning balance		$	46,549			$	183,753			$	47,473			$	198,112
Amortization of net discount		—				(14,098		)		—				(18,795		)
Realized credit losses		(2,165		)		—				(4,187		)		—
Acquisitions		6,315				2,716				9,118				13,080
Sales, calls, other		(1,850		)		(28,739		)		(3,404		)		(12,106		)
Impairments		89				—				1,011				—
Transfers to (release of) credit reserves, net		(7,568		)		7,568				(3,462		)		3,462
Ending Balance		$	41,370			$	151,200			$	46,549			$	183,753

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 December 31, 2018 and December 31, 2017.

Table 9.6 – 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)
December 31, 2018		$	12,923			$	(499	)		$	12,424			$	7,464			$	(49	)		$	7,415
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 December 31, 2018.

Table 9.7 – Significant Valuation Assumptions

December 31, 2018		Range for Securities
Prepayment rates		6	%	-	8%
Projected losses		0.20	%	-	1%

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 December 31, 2018, 2017, and 2016 for which a portion of an OTTI was recognized in other comprehensive income.

Table 9.8 – Activity of the Credit Component of Other-than-Temporary Impairments

		Years Ended December 31,
(In Thousands)		2018				2017				2016
Balance at beginning of period		$	21,037			$	28,261			$	28,277
Additions
Initial credit impairments		76				178				346
Subsequent credit impairments		—				47				8
Reductions
Securities sold, or expected to sell		(1,218		)		(4,898		)		(261		)
Securities with no outstanding principal at period end		(1,243		)		(2,551		)		(109		)
Balance at End of Period		$	18,652			$	21,037			$	28,261

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 years ended December 31, 2018, 2017, and 2016.

Table 9.9 – Gross Realized Gains and Losses on AFS Securities

		Years Ended December 31,
(In Thousands)		2018				2017				2016
Gross realized gains - sales		$	27,127			$	13,927			$	23,598
Gross realized gains - calls		43				677				1,210
Gross realized losses - sales		(129		)		—				(2,293		)
Gross realized losses - calls		—				(497		)		—
Total Realized Gains on Sales and Calls of AFS Securities, net		$	27,041			$	14,107			$	22,515

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