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Real Estate Securities (Tables) | 9 Months Ended
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Sep. 30, 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 September 30, 2019 and December 31, 2018. Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands) |  | September 30, 2019 |  | December 31, 2018
Trading |  | $ | 1,013,785 |  |  | $ | 1,118,612 |
Available-for-sale |  | 271,641 |  |  | 333,882 |
Total Real Estate Securities |  | $ | 1,285,426 |  |  | $ | 1,452,494 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at September 30, 2019 and December 31, 2018. Table 9.2 – Trading Securities by Position
(In Thousands) |  | September 30, 2019 |  | December 31, 2018
Senior |  | $ | 149,634 |  |  | $ | 158,670 |
Mezzanine |  | 644,571 |  |  | 610,819 |
Subordinate |  | 219,580 |  |  | 349,123 |
Total Trading Securities |  | $ | 1,013,785 |  |  | $ | 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 September 30, 2019 and December 31, 2018. Table 9.3 – Available-for-Sale Securities by Position
(In Thousands) |  | September 30, 2019 |  | December 31, 2018
Senior |  | $ | 33,457 |  |  | $ | 87,615 |
Mezzanine |  | 13,967 |  |  | 36,407 |
Subordinate |  | 224,217 |  |  | 209,860 |
Total AFS Securities |  | $ | 271,641 |  |  | $ | 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 September 30, 2019 and December 31, 2018. Table 9.4 – Carrying Value of AFS Securities
September 30, 2019 |  |  |  |  |  |
(In Thousands) |  | Senior |  | Mezzanine |  | Subordinate |  | Total
Principal balance |  | $ | 34,272 |  |  | $ | 13,729 |  |  | $ | 291,207 |  |  | $ | 339,208 |
Credit reserve |  | (588 | ) |  | — |  |  | (33,623 | ) |  | (34,211 | )
Unamortized discount, net |  | (12,346 | ) |  | (552 | ) |  | (119,756 | ) |  | (132,654 | )
Amortized cost |  | 21,338 |  |  | 13,177 |  |  | 137,828 |  |  | 172,343 |
Gross unrealized gains |  | 12,131 |  |  | 790 |  |  | 86,389 |  |  | 99,310 |
Gross unrealized losses |  | (12 | ) |  | — |  |  | — |  |  | (12 | )
Carrying Value |  | $ | 33,457 |  |  | $ | 13,967 |  |  | $ | 224,217 |  |  | $ | 271,641 |
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 and nine months ended September 30, 2019, in unamortized discount and designated credit reserves on AFS securities. Table 9.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
|  | Three Months Ended September 30, 2019 |  | Nine Months Ended September 30, 2019
|  | Credit Reserve |  | Unamortized Discount, Net |  | Credit Reserve |  | Unamortized Discount, Net
(In Thousands) |  |  |  |
Beginning balance |  | $ | 34,849 |  |  | $ | 137,282 |  |  | $ | 41,370 |  |  | $ | 151,200 |
Amortization of net discount |  | — |  |  | (1,834 | ) |  | — |  |  | (5,823 | )
Realized credit losses |  | (694 | ) |  | — |  |  | (1,874 | ) |  | — |
Acquisitions |  | 734 |  |  | 399 |  |  | 2,198 |  |  | 1,103 |
Sales, calls, other |  | (800 | ) |  | (3,071 | ) |  | (7,197 | ) |  | (14,112 | )
(Release of) transfers to credit reserves, net |  | 122 |  |  | (122 | ) |  | (286 | ) |  | 286 |
Ending Balance |  | $ | 34,211 |  |  | $ | 132,654 |  |  | $ | 34,211 |  |  | $ | 132,654 |
Components of Fair Value of Available for Sale Securities by Holding Periods | The following table presents the components comprising the total carrying value of AFS securities that were in a gross unrealized loss position at September 30, 2019 and December 31, 2018. Table 9.6 – Components of Fair Value of 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) |  |  |  |  |  |
September 30, 2019 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 6,254 |  |  | $ | (12 | ) |  | $ | 6,242 |
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 September 30, 2019. Table 9.7 – Significant Valuation Assumptions
September 30, 2019 |  | Range for Securities
Prepayment rates |  | 15% | - | 15%
Projected losses |  | 1% | - | 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 September 30, 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 September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2019 |  | 2018 |  | 2019 |  | 2018
Balance at beginning of period |  | $ | 18,580 |  |  | $ | 20,967 |  |  | $ | 18,652 |  |  | $ | 21,037 |
Additions |  |  |  |  |  |  |  |
Initial credit impairments |  | — |  |  | 33 |  |  | — |  |  | 76 |
Reductions |  |  |  |  |  |  |  |
Securities sold, or expected to sell |  | (6 | ) |  | (927 | ) |  | (20 | ) |  | (1,026 | )
Securities with no outstanding principal at period end |  | — |  |  | (1,229 | ) |  | (58 | ) |  | (1,243 | )
Balance at End of Period |  | $ | 18,574 |  |  | $ | 18,844 |  |  | $ | 18,574 |  |  | $ | 18,844 |
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 nine months ended September 30, 2019 and 2018. Table 9.9 – Gross Realized Gains and Losses on AFS Securities
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2019 |  | 2018 |  | 2019 |  | 2018
Gross realized gains - sales |  | $ | 3,656 |  |  | $ | 7,275 |  |  | $ | 13,143 |  |  | $ | 21,312 |
Gross realized gains - calls |  | 1,058 |  |  | — |  |  | 5,084 |  |  | 43 |
Gross realized losses - sales |  | — |  |  | — |  |  | — |  |  | (3 | )
Total Realized Gains on Sales and Calls of AFS Securities, net |  | $ | 4,714 |  |  | $ | 7,275 |  |  | $ | 18,227 |  |  | $ | 21,352 |

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