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Real Estate Securities (Tables)
 12 Months Ended
Dec. 31, 2019
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, 2019 and December 31, 2018.
Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands)
 
December 31, 2019
 
December 31, 2018
Trading
 
$
860,540

 
$
1,118,612

Available-for-sale
 
239,334

 
333,882

Total Real Estate Securities
 
$
1,099,874

 
$
1,452,494
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by position and collateral type at December 31, 2019 and December 31, 2018.
Table 9.2 – Trading Securities by Position
(In Thousands)
 
December 31, 2019
 
December 31, 2018
Senior
 
$
150,067

 
$
158,670

Mezzanine
 
538,489

 
610,819

Subordinate
 
171,984

 
349,123

Total Trading Securities
 
$
860,540

 
$
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 December 31, 2019 and December 31, 2018.
Table 9.3 – Available-for-Sale Securities by Position
(In Thousands)
 
December 31, 2019
 
December 31, 2018
Senior
 
$
25,792

 
$
87,615

Mezzanine
 
13,687

 
36,407

Subordinate
 
199,855

 
209,860

Total AFS Securities
 
$
239,334

 
$
333,882
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, 2019 and December 31, 2018.
Table 9.4 – Carrying Value of AFS Securities
December 31, 2019
 
 
 
 
 
 
 
 
(In Thousands)
 
Senior
 
Mezzanine
 
Subordinate
 
Total
Principal balance
 
$
26,331

 
$
13,512

 
$
264,234

 
$
304,077

Credit reserve
 
(533
)
 
—

 
(32,407
)
 
(32,940
)
Unamortized discount, net
 
(10,427
)
 
(527
)
 
(113,301
)
 
(124,255
)
Amortized cost
 
15,371

 
12,985

 
118,526

 
146,882

Gross unrealized gains
 
10,450

 
702

 
81,329

 
92,481

Gross unrealized losses
 
(29
)
 
—

 
—

 
(29
)
Carrying Value
 
$
25,792

 
$
13,687

 
$
199,855

 
$
239,334

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 years ended December 31, 2019 and 2018, 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, 2019
 
Year Ended December 31, 2018
 
 
Credit
Reserve
 
Unamortized
Discount, Net
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
 
 
Beginning balance
 
$
41,370

 
$
151,200

 
$
46,549

 
$
183,753

Amortization of net discount
 
—

 
(7,921
)
 
—

 
(14,098
)
Realized credit losses
 
(2,606
)
 
—

 
(2,165
)
 
—

Acquisitions
 
3,712

 
1,910

 
6,315

 
2,716

Sales, calls, other
 
(9,453
)
 
(21,017
)
 
(1,850
)
 
(28,739
)
Impairments
 
—

 
—

 
89

 
—

Transfers to (release of) credit reserves, net
 
(83
)
 
83

 
(7,568
)
 
7,568

Ending Balance
 
$
32,940

 
$
124,255

 
$
41,370

 
$
151,200
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, 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)
 
 
 
 
 
 
December 31, 2019
 
$
—

 
$
—

 
$
—

 
$
5,830

 
$
(29
)
 
$
5,801

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 December 31, 2019.
Table 9.7 – Significant Valuation Assumptions
December 31, 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 December 31, 2019, 2018, and 2017 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)
 
2019
 
2018
 
2017
Balance at beginning of period
 
$
18,652

 
$
21,037

 
$
28,261

Additions
 
 
 
 
 
 
Initial credit impairments
 
—

 
76

 
178

Subsequent credit impairments
 
—

 
—

 
47

Reductions
 
 
 
 
 
 
Securities sold, or expected to sell
 
(77
)
 
(1,218
)
 
(4,898
)
Securities with no outstanding principal at period end
 
(4,417
)
 
(1,243
)
 
(2,551
)
Balance at End of Period
 
$
14,158

 
$
18,652

 
$
21,037
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, 2019, 2018, and 2017.
Table 9.9 – Gross Realized Gains and Losses on AFS Securities
 
 
Years Ended December 31,
(In Thousands)
 
2019
 
2018
 
2017
Gross realized gains - sales
 
$
17,582

 
$
27,127

 
$
13,927

Gross realized gains - calls
 
6,239

 
43

 
677

Gross realized losses - sales
 
—

 
(129
)
 
—

Gross realized losses - calls
 
—

 
—

 
(497
)
Total Realized Gains on Sales and Calls of AFS Securities, net
 
$
23,821

 
$
27,041

 
$
14,107