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Real Estate Securities (Tables)

3 Months Ended

Mar. 31, 2019

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, 2019 and December 31, 2018.

Table 9.1 – Fair Values of Real Estate Securities by Type

(In Thousands)		March 31, 2019				December 31, 2018
Trading		$	1,255,224			$	1,118,612
Available-for-sale		287,928				333,882
Total Real Estate Securities		$	1,543,152			$	1,452,494

Trading Securities by Collateral Type

The following table presents the fair value of trading securities by position and collateral type at March 31, 2019 and December 31, 2018.

Table 9.2 – Trading Securities by Position

(In Thousands)		March 31, 2019				December 31, 2018
Senior		$	182,883			$	158,670
Mezzanine		730,855				610,819
Subordinate		341,486				349,123
Total Trading Securities		$	1,255,224			$	1,118,612

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, 2019 and December 31, 2018.

Table 9.3 – Available-for-Sale Securities by Position

(In Thousands)		March 31, 2019				December 31, 2018
Senior		$	47,755			$	87,615
Mezzanine		31,133				36,407
Subordinate		209,040				209,860
Total AFS Securities		$	287,928			$	333,882

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, 2019 and December 31, 2018.

Table 9.4 – Carrying Value of AFS Securities

March 31, 2019
(In Thousands)		Senior				Mezzanine				Subordinate				Total
Principal balance		$	48,527			$	31,002			$	292,680			$	372,209
Credit reserve		(1,382		)		—				(33,452		)		(34,834		)
Unamortized discount, net		(15,853		)		(3,280		)		(122,880		)		(142,013		)
Amortized cost		31,292				27,722				136,348				195,362
Gross unrealized gains		16,495				3,411				72,734				92,640
Gross unrealized losses		(32		)		—				(42		)		(74		)
Carrying Value		$	47,755			$	31,133			$	209,040			$	287,928

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

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, 2019, 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

		Three Months Ended March 31, 2019
		Credit Reserve				Unamortized Discount, Net
(In Thousands)
Beginning balance		$	41,370			$	151,200
Amortization of net discount		—				(1,930		)
Realized credit losses		(166		)		—
Acquisitions		677				354
Sales, calls, other		(6,392		)		(8,266		)
(Release of) transfers to credit reserves, net		(655		)		655
Ending Balance		$	34,834			$	142,013

Components of Fair Value of Available for Sale 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, 2019 and December 31, 2018.

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)
March 31, 2019		$	2			$	(2	)		$	—			$	11,360			$	(72	)		$	11,288
December 31, 2018		12,923				(499		)		12,424				7,464				(49		)		7,415

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, 2019.

Table 9.7 – Significant Valuation Assumptions

March 31, 2019		Range for Securities
Prepayment rates		6%	-	12%
Projected losses		0.20%	-	7%

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, 2019 and 2018, 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

		Three Months Ended March 31,
(In Thousands)		2019				2018
Balance at beginning of period		$	18,652			$	21,037
Reductions
Securities sold, or expected to sell		—				(99		)
Securities with no outstanding principal at period end		—				(14		)
Balance at End of Period		$	18,652			$	20,924

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, 2019 and 2018.

Table 9.9 – Gross Realized Gains and Losses on AFS Securities

		Three Months Ended March 31,
(In Thousands)		2019				2018
Gross realized gains - sales		$	6,660			$	9,363
Gross realized gains - calls		4,026				—
Total Realized Gains on Sales and Calls of AFS Securities, net		$	10,686			$	9,363

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-Publisher FASB
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