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Real Estate Securities (Tables) | 3 Months Ended
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Mar. 31, 2020
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, 2020 and December 31, 2019. Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands) |  | March 31, 2020 |  | December 31, 2019
Trading |  | $ | 164,219 |  |  | $ | 860,540 |
Available-for-sale |  | 129,243 |  |  | 239,334 |
Total Real Estate Securities |  | $ | 293,462 |  |  | $ | 1,099,874 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at March 31, 2020 and December 31, 2019. Table 9.2 – Trading Securities by Position
(In Thousands) |  | March 31, 2020 |  | December 31, 2019
Senior |  | $ | 39,559 |  |  | $ | 150,067 |
Mezzanine |  | 53,781 |  |  | 538,489 |
Subordinate |  | 70,879 |  |  | 171,984 |
Total Trading Securities |  | $ | 164,219 |  |  | $ | 860,540 |
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, 2020 and December 31, 2019. Table 9.3 – Available-for-Sale Securities by Position
(In Thousands) |  | March 31, 2020 |  | December 31, 2019
Senior |  | $ | — |  |  | $ | 25,792 |
Mezzanine |  | — |  |  | 13,687 |
Subordinate |  | 129,243 |  |  | 199,855 |
Total AFS Securities |  | $ | 129,243 |  |  | $ | 239,334 |
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, 2020 and December 31, 2019. Table 9.4 – Carrying Value of AFS Securities
March 31, 2020 |  |  |  |  |  |
(In Thousands) |  | Senior |  | Mezzanine |  | Subordinate |  | Total
Principal balance |  | $ | — |  |  | $ | — |  |  | $ | 280,024 |  |  | $ | 280,024 |
Credit reserve |  | — |  |  | — |  |  | (37,717 | ) |  | (37,717 | )
Unamortized discount, net |  | — |  |  | — |  |  | (109,538 | ) |  | (109,538 | )
Amortized cost |  | — |  |  | — |  |  | 132,769 |  |  | 132,769 |
Gross unrealized gains |  | — |  |  | — |  |  | 22,315 |  |  | 22,315 |
Gross unrealized losses |  | — |  |  | — |  |  | (24,316 | ) |  | (24,316 | )
Allowance for credit losses |  | — |  |  | — |  |  | (1,525 | ) |  | (1,525 | )
Carrying Value |  | $ | — |  |  | $ | — |  |  | $ | 129,243 |  |  | $ | 129,243 |
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 |
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, 2020, 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 March 31, 2020
|  | Credit Reserve |  | Unamortized Discount, Net
(In Thousands) |  |
Beginning balance |  | $ | 32,940 |  |  | $ | 124,255 |
Amortization of net discount |  | — |  |  | (1,754 | )
Realized credit losses |  | (519 | ) |  | — |
Acquisitions |  | 5,184 |  |  | 777 |
Sales, calls, other |  | (206 | ) |  | (13,422 | )
(Release of) transfers to credit reserves, net |  | 318 |  |  | (318 | )
Ending Balance |  | $ | 37,717 |  |  | $ | 109,538 |
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 March 31, 2020 and December 31, 2019. 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) |  |  |  |  |  |
March 31, 2020 |  | $ | 97,730 |  |  | $ | (24,316 | ) |  | $ | 71,889 |  |  | $ | — |  |  | $ | — |  |  | $ | — |
December 31, 2019 |  | — |  |  | — |  |  | — |  |  | 5,830 |  |  | (29 | ) |  | 5,801 |
Summary of Significant Valuation Assumptions for Available for Sale Securities Credit Loss | The table below summarizes the weighted average of the significant credit quality indicators we used for the credit loss allowance on our AFS securities at March 31, 2020. Table 9.7 – Significant Credit Quality Indicators
March 31, 2020 |  | Subordinate Securities
Prepayment rate |  | 12%
Default rate |  | 0.5%
Loss severity |  | 20%
Activity of Allowance for Credit Losses for Available-for-sale Securities | The following table details the activity related to the allowance for credit losses for AFS securities held at March 31, 2020. Table 9.8 – Rollforward of Allowance for Credit Losses
|  | Three Months Ended
(In Thousands) |  | March 31, 2020
Beginning balance allowance for credit losses |  | $ | — |
Transition impact from adoption of new standard |  | — |
Additions to allowance for credit losses on securities for which credit losses were not previously recorded |  | 1,525 |
Allowance on purchased financial assets with credit deterioration |  | — |
Reduction for securities sold during the period |  | — |
Write-offs charged against allowance |  | — |
Recoveries of amounts previously written off |  | — |
Ending balance of allowance for credit losses |  | $ | 1,525 |
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, 2020 and 2019. Table 9.9 – Gross Realized Gains and Losses on AFS Securities
|  | Three Months Ended March 31,
(In Thousands) |  | 2020 |  | 2019
Gross realized gains - sales |  | $ | 7,705 |  |  | $ | 6,660 |
Gross realized gains - calls |  | — |  |  | 4,026 |
Gross realized losses - sales |  | (3,853 | ) |  | — |
Total Realized Gains on Sales and Calls of AFS Securities, net |  | $ | 3,852 |  |  | $ | 10,686 |

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