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Real Estate Securities (Tables)
 3 Months Ended
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, 2021December 31, 2020
Trading$145,390 $125,667 
Available-for-sale218,930 218,458 
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, 2021December 31, 2020
Senior
Interest-only securities (1)
$31,580 $28,464 
Total Senior31,580 28,464 
Mezzanine
Sequoia securities— 3,649 
Total Mezzanine— 3,649 
Subordinate
RPL securities59,958 47,448 
Multifamily securities9,437 5,592 
Other third-party residential securities44,415 40,514 
Total Subordinate113,810 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, 2021December 31, 2020
Senior (1)
$— $— 
Mezzanine— 3,577 
Subordinate225,762 242,278 
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)20212020
Principal balance of securities acquired$15,880 $56,471 
Principal balance of securities sold34,743 618,867 
Net market valuation gains (losses) recorded (1)
21,349 (263,325)
(1)Net market valuation gains (losses) on trading securities are recorded through Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income (loss).
Available-for-Sale Securities by Collateral Type
The following table presents the fair value of our available-for-sale securities by position and collateral type at March 31, 2021 and December 31, 2020.
Table 9.5 – Fair Value of Available-for-Sale Securities by Position
(In Thousands)March 31, 2021December 31, 2020
Mezzanine
Other third-party residential securities$— $2,014 
Total Mezzanine— 2,014 
Subordinate
Sequoia securities141,632 136,475 
Multifamily securities38,647 43,663 
Other third-party residential securities38,651 36,306 
Total Subordinate218,930 216,444 
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)20212020
Fair value of securities acquired$1,078 $31,181 
Fair value of securities sold2,200 46,457 
Net realized gains recorded 200 3,852 
Carrying Value of Residential Available for Sale Securities
The following table presents the components of carrying value (which equals fair value) of AFS securities at March 31, 2021 and December 31, 2020.
Table 9.7 – Carrying Value of AFS Securities
March 31, 2021
(In Thousands)MezzanineSubordinateTotal
Principal balance$— $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)MezzanineSubordinateTotal
Principal balance$2,000 $281,284 $283,284 
Credit reserve— (44,967)(44,967)
Unamortized discount, net— (95,718)(95,718)
Amortized cost2,000 140,599 142,599 
Gross unrealized gains14 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)— 
Acquisitions1,935 840 
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 Months12 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, 20209,129 (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, 2021Subordinate Securities
Default rate0.7%
Loss severity24%
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)20212020
Gross realized gains - sales$200 $7,705 
Gross realized gains - calls2,408 — 
Gross realized losses - sales— (3,853)
Total Realized Gains on Sales and Calls of AFS Securities, net$2,608 $3,852