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v3.21.1

Real Estate Securities (Tables) | 3 Months Ended
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Mar. 31, 2021
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, 2021 and December 31, 2020. Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands) |  | March 31, 2021 |  | December 31, 2020
Trading |  | $ | 145,390 |  |  | $ | 125,667 |
Available-for-sale |  | 218,930 |  |  | 218,458 |
Total Real Estate Securities |  | $ | 364,320 |  |  | $ | 344,125 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at March 31, 2021 and December 31, 2020. Table 9.2 – Fair Value of Trading Securities by Position
(In Thousands) |  | March 31, 2021 |  | December 31, 2020
Senior |  |  |  |
Interest-only securities (1) |  | $ | 31,580 |  |  | $ | 28,464 |
Total Senior |  | 31,580 |  |  | 28,464 |
Mezzanine |  |  |  |
Sequoia securities |  | — |  |  | 3,649 |
Total Mezzanine |  | — |  |  | 3,649 |
Subordinate |  |  |  |
RPL securities |  | 59,958 |  |  | 47,448 |
Multifamily securities |  | 9,437 |  |  | 5,592 |
Other third-party residential securities |  | 44,415 |  |  | 40,514 |
Total Subordinate |  | 113,810 |  |  | 93,554 |
Total Trading Securities |  | $ | 145,390 |  |  | $ | 125,667 |
(1)Includes $18 million and $13 million of Sequoia certificated mortgage servicing rights at March 31, 2021 and December 31, 2020, respectively. The following table presents the unpaid principal balance of trading securities by position and collateral type at March 31, 2021 and December 31, 2020. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position
(In Thousands) |  | March 31, 2021 |  | December 31, 2020
Senior (1) |  | $ | — |  |  | $ | — |
Mezzanine |  | — |  |  | 3,577 |
Subordinate |  | 225,762 |  |  | 242,278 |
Total Trading Securities |  | $ | 225,762 |  |  | $ | 245,855 |
(1)Our senior trading securities include interest-only securities, for which there is no principal balance. The following table provides the activity of trading securities during the three months ended March 31, 2021 and 2020. Table 9.4 – Trading Securities Activity
|  | Three Months Ended March 31,
(In Thousands) |  | 2021 |  | 2020
Principal balance of securities acquired |  | $ | 15,880 |  |  | $ | 56,471 |
Principal balance of securities sold |  | 34,743 |  |  | 618,867 |
Net market valuation gains (losses) recorded (1) |  | 21,349 |  |  | (263,325) |
(1)Net market valuation gains (losses) on trading securities are recorded through Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income (loss).
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, 2021 and December 31, 2020. Table 9.5 – Fair Value of Available-for-Sale Securities by Position
(In Thousands) |  | March 31, 2021 |  | December 31, 2020
Mezzanine |  |  |  |
Other third-party residential securities |  | $ | — |  |  | $ | 2,014 |
Total Mezzanine |  | — |  |  | 2,014 |
Subordinate |  |  |  |
Sequoia securities |  | 141,632 |  |  | 136,475 |
Multifamily securities |  | 38,647 |  |  | 43,663 |
Other third-party residential securities |  | 38,651 |  |  | 36,306 |
Total Subordinate |  | 218,930 |  |  | 216,444 |
Total AFS Securities |  | $ | 218,930 |  |  | $ | 218,458 |
The following table provides the activity of available-for-sale securities during the three months ended March 31, 2021 and 2020. Table 9.6 – Available-for-Sale Securities Activity
|  | Three Months Ended March 31,
(In Thousands) |  | 2021 |  | 2020
Fair value of securities acquired |  | $ | 1,078 |  |  | $ | 31,181 |
Fair value of securities sold |  | 2,200 |  |  | 46,457 |
Net realized gains recorded |  | 200 |  |  | 3,852 |
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, 2021 and December 31, 2020. Table 9.7 – Carrying Value of AFS Securities
March 31, 2021 |  |  |  |  |  |
(In Thousands) |  |  |  | Mezzanine |  | Subordinate |  | Total
Principal balance |  |  |  | $ | — |  |  | $ | 273,595 |  |  | $ | 273,595 |
Credit reserve |  |  |  | — |  |  | (44,947) |  |  | (44,947) |
Unamortized discount, net |  |  |  | — |  |  | (94,188) |  |  | (94,188) |
Amortized cost |  |  |  | — |  |  | 134,460 |  |  | 134,460 |
Gross unrealized gains |  |  |  | — |  |  | 84,735 |  |  | 84,735 |
Gross unrealized losses |  |  |  | — |  |  | (252) |  |  | (252) |
CECL allowance |  |  |  | — |  |  | (13) |  |  | (13) |
Carrying Value |  |  |  | $ | — |  |  | $ | 218,930 |  |  | $ | 218,930 |
December 31, 2020 |  |  |  |  |  |
(In Thousands) |  |  |  | Mezzanine |  | Subordinate |  | Total
Principal balance |  |  |  | $ | 2,000 |  |  | $ | 281,284 |  |  | $ | 283,284 |
Credit reserve |  |  |  | — |  |  | (44,967) |  |  | (44,967) |
Unamortized discount, net |  |  |  | — |  |  | (95,718) |  |  | (95,718) |
Amortized cost |  |  |  | 2,000 |  |  | 140,599 |  |  | 142,599 |
Gross unrealized gains |  |  |  | 14 |  |  | 77,280 |  |  | 77,294 |
Gross unrealized losses |  |  |  | — |  |  | (1,047) |  |  | (1,047) |
CECL allowance |  |  |  | — |  |  | (388) |  |  | (388) |
Carrying Value |  |  |  | $ | 2,014 |  |  | $ | 216,444 |  |  | $ | 218,458 |
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, 2021, in unamortized discount and designated credit reserves on residential AFS securities. Table 9.8 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
|  | Three Months Ended March 31, 2021 |  |
|  | Credit Reserve |  | Unamortized Discount, Net |  |  |  |
(In Thousands) |  |  |  |
Beginning balance |  | $ | 44,967 |  |  | $ | 95,718 |  |  |  |  |
Amortization of net discount |  | — |  |  | (1,614) |  |  |  |  |
Realized credit losses |  | (137) |  |  | — |  |  |  |  |
Acquisitions |  | 1,935 |  |  | 840 |  |  |  |  |
Sales, calls, other |  | (274) |  |  | (2,300) |  |  |  |  |
Transfers to (release of) credit reserves, net |  | (1,544) |  |  | 1,544 |  |  |  |  |
Ending Balance |  | $ | 44,947 |  |  | $ | 94,188 |  |  |  |  |
Components of Fair Value of Available for Sale Securities by Holding Periods | The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at March 31, 2021 and December 31, 2020. Table 9.9 – 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, 2021 |  | $ | 490 |  |  | $ | (2) |  |  | $ | 488 |  |  | $ | 6,421 |  |  | $ | (250) |  |  | $ | 6,158 |
December 31, 2020 |  | 9,129 |  |  | (1,047) |  |  | 7,920 |  |  | — |  |  | — |  |  | — |
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, 2021. Table 9.10 – Significant Credit Quality Indicators
March 31, 2021 |  |  |  | Subordinate Securities
Default rate |  |  |  | 0.7%
Loss severity |  |  |  | 24%
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 for the three months ended March 31, 2021. Table 9.11 – Rollforward of Allowance for Credit Losses
|  | Three Months Ended March 31, 2021 |  |  |  |
(In Thousands) |  |  |  |
Beginning balance allowance for credit losses |  | $ | 388 |  |  |  |  |
Additions to allowance for credit losses on securities for which credit losses were not previously recorded |  | — |  |  |  |  |
Additional increases (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period |  | (375) |  |  |  |  |
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 |  | $ | 13 |  |  |  |  |
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, 2021 and 2020. Table 9.12 – Gross Realized Gains and Losses on AFS Securities
|  | Three Months Ended March 31, |  |
(In Thousands) |  | 2021 |  | 2020 |  |  |  |
Gross realized gains - sales |  | $ | 200 |  |  | $ | 7,705 |  |  |  |  |
Gross realized gains - calls |  | 2,408 |  |  | — |  |  |  |  |
Gross realized losses - sales |  | — |  |  | (3,853) |  |  |  |  |
Total Realized Gains on Sales and Calls of AFS Securities, net |  | $ | 2,608 |  |  | $ | 3,852 |  |  |  |  |

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