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v3.20.2

Real Estate Securities (Tables) | 9 Months Ended
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Sep. 30, 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 September 30, 2020 and December 31, 2019. Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands) |  | September 30, 2020 |  | December 31, 2019
Trading |  | $ | 144,162 |  |  | $ | 860,540 |
Available-for-sale |  | 207,173 |  |  | 239,334 |
Total Real Estate Securities |  | $ | 351,335 |  |  | $ | 1,099,874 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at September 30, 2020 and December 31, 2019. Table 9.2 – Trading Securities by Position
(In Thousands) |  | September 30, 2020 |  | December 31, 2019
Senior |  | $ | 28,091 |  |  | $ | 150,067 |
Mezzanine |  | 3,651 |  |  | 538,489 |
Subordinate |  | 112,420 |  |  | 171,984 |
Total Trading Securities |  | $ | 144,162 |  |  | $ | 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 September 30, 2020 and December 31, 2019. Table 9.3 – Available-for-Sale Securities by Position
(In Thousands) |  | September 30, 2020 |  | December 31, 2019
Senior |  | $ | — |  |  | $ | 25,792 |
Mezzanine |  | 2,016 |  |  | 13,687 |
Subordinate |  | 205,157 |  |  | 199,855 |
Total AFS Securities |  | $ | 207,173 |  |  | $ | 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 September 30, 2020 and December 31, 2019. Table 9.4 – Carrying Value of AFS Securities
September 30, 2020 |  |  |  |  |  |
(In Thousands) |  | Senior |  | Mezzanine |  | Subordinate |  | Total
Principal balance |  | $ | — |  |  | $ | 2,000 |  |  | $ | 287,659 |  |  | $ | 289,659 |
Credit reserve |  | — |  |  | — |  |  | (43,186) |  |  | (43,186) |
Unamortized discount, net |  | — |  |  | — |  |  | (99,221) |  |  | (99,221) |
Amortized cost |  | — |  |  | 2,000 |  |  | 145,252 |  |  | 147,252 |
Gross unrealized gains |  | — |  |  | 16 |  |  | 63,439 |  |  | 63,455 |
Gross unrealized losses |  | — |  |  | — |  |  | (2,507) |  |  | (2,507) |
Allowance for credit losses |  | — |  |  | — |  |  | (1,027) |  |  | (1,027) |
Carrying Value |  | $ | — |  |  | $ | 2,016 |  |  | $ | 205,157 |  |  | $ | 207,173 |
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 and nine months ended September 30, 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 September 30, 2020 |  | Nine Months Ended September 30, 2020
|  | Credit Reserve |  | Unamortized Discount, Net |  | Credit Reserve |  | Unamortized Discount, Net
(In Thousands) |  |  |  |
Beginning balance |  | $ | 37,785 |  |  | $ | 104,260 |  |  | $ | 32,940 |  |  | $ | 124,255 |
Amortization of net discount |  | — |  |  | (1,766) |  |  | — |  |  | (4,607) |
Realized credit losses |  | (194) |  |  | — |  |  | (897) |  |  | — |
Acquisitions |  | 1,303 |  |  | 1,019 |  |  | 6,487 |  |  | 1,796 |
Sales, calls, other |  | — |  |  | — |  |  | (726) |  |  | (16,841) |
(Release of) transfers to credit reserves, net |  | 4,292 |  |  | (4,292) |  |  | 5,382 |  |  | (5,382) |
Ending Balance |  | $ | 43,186 |  |  | $ | 99,221 |  |  | $ | 43,186 |  |  | $ | 99,221 |
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, 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) |  |  |  |  |  |
September 30, 2020 |  | $ | 32,890 |  |  | $ | (2,507) |  |  | $ | 30,330 |  |  | $ | — |  |  | $ | — |  |  | $ | — |
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 September 30, 2020. Table 9.7 – Significant Credit Quality Indicators
September 30, 2020 |  |  |  | Subordinate Securities
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 September 30, 2020. Table 9.8 – Rollforward of Allowance for Credit Losses
|  | Three Months Ended |  | Nine Months Ended
(In Thousands) |  | September 30, 2020 |  | September 30, 2020
Beginning balance allowance for credit losses |  | $ | 1,471 |  |  | $ | — |
Transition impact from adoption of new standard |  | — |  |  | — |
Additions to allowance for credit losses on securities for which credit losses were not previously recorded |  | 339 |  |  | 1,864 |
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period |  | (783) |  |  | (837) |
Allowance on purchased financial assets with credit deterioration |  | — |  |  | — |
Reduction to allowance for securities sold during the period |  | — |  |  | — |
Reduction to allowance for securities we intend to sell or more likely than not will be required to sell |  | — |  |  | — |
Write-offs charged against allowance |  | — |  |  | — |
Recoveries of amounts previously written off |  | — |  |  | — |
Ending balance of allowance for credit losses |  | $ | 1,027 |  |  | $ | 1,027 |
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, 2020 and 2019. Table 9.9 – Gross Realized Gains and Losses on AFS Securities
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2020 |  | 2019 |  | 2020 |  | 2019
Gross realized gains - sales |  | $ | — |  |  | $ | 3,656 |  |  | $ | 8,779 |  |  | $ | 13,143 |
Gross realized gains - calls |  | — |  |  | 1,058 |  |  | — |  |  | 5,084 |
Gross realized losses - sales |  | — |  |  | — |  |  | (4,144) |  |  | — |
Total Realized Gains on Sales and Calls of AFS Securities, net |  | $ | — |  |  | $ | 4,714 |  |  | $ | 4,635 |  |  | $ | 18,227 |

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