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Real Estate Securities (Tables)
 3 Months Ended
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