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Real Estate Securities (Tables)
 9 Months Ended
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