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v3.23.3

Real Estate Securities (Tables) | 9 Months Ended
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Sep. 30, 2023
Investments, Debt and Equity Securities [Abstract] |
Schedule of 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, 2023 and December 31, 2022. Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands) |  | September 30, 2023 |  | December 31, 2022
Trading |  | $ | 48,041 |  |  | $ | 108,329 |
Available-for-sale |  | 81,404 |  |  | 132,146 |
Total Real Estate Securities |  | $ | 129,445 |  |  | $ | 240,475 |
Schedule of Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at September 30, 2023 and December 31, 2022. Table 9.2 – Fair Value of Trading Securities by Position
(In Thousands) |  | September 30, 2023 |  | December 31, 2022
Senior |  |  |  |
Interest-only securities (1) |  | $ | 41,169 |  |  | $ | 28,867 |
Total Senior |  | 41,169 |  |  | 28,867 |
Subordinate |  |  |  |
RPL securities |  | — |  |  | 29,002 |
Multifamily securities |  | 5,239 |  |  | 5,027 |
Other third-party residential securities |  | 1,633 |  |  | 45,433 |
Total Subordinate |  | 6,872 |  |  | 79,462 |
Total Trading Securities |  | $ | 48,041 |  |  | $ | 108,329 |
(1)Includes $29 million and $26 million of Sequoia certificated mortgage servicing rights at September 30, 2023 and December 31, 2022, respectively. The following table presents the unpaid principal balance of trading securities by position and collateral type at September 30, 2023 and December 31, 2022. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position
(In Thousands) |  | September 30, 2023 |  | December 31, 2022
Senior (1) |  | $ | — |  |  | $ | — |
Subordinate |  | 19,354 |  |  | 215,592 |
Total Trading Securities |  | $ | 19,354 |  |  | $ | 215,592 |
(1)Our senior trading securities are comprised of interest-only securities, for which there is no principal balance. The following table provides the activity of trading securities during the three and nine months ended September 30, 2023 and 2022. Table 9.4 – Trading Securities Activity
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2023 |  | 2022 |  | 2023 |  | 2022
Fair value of securities acquired |  | $ | — |  |  | $ | — |  |  | $ | 7,883 |  |  | $ | 5,006 |
Fair value of securities sold |  | 27,183 |  |  | 4,142 |  |  | 82,270 |  |  | 27,471 |
Net market valuation gains (losses) recorded (1) |  | 5,967 |  |  | (12,521) |  |  | 14,423 |  |  | (30,019) |
(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.
Schedule of Available-for-Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale ("AFS") securities by position and collateral type at September 30, 2023 and December 31, 2022. Table 9.5 – Fair Value of Available-for-Sale Securities by Position
(In Thousands) |  | September 30, 2023 |  | December 31, 2022
Subordinate |  |  |  |
Sequoia securities |  | $ | 73,160 |  |  | $ | 74,367 |
Multifamily securities |  | 4,448 |  |  | 7,647 |
Other third-party residential securities |  | 3,796 |  |  | 50,132 |
Total Subordinate |  | 81,404 |  |  | 132,146 |
Total AFS Securities |  | $ | 81,404 |  |  | $ | 132,146 |
The following table provides the activity of available-for-sale securities during the three and nine months ended September 30, 2023 and 2022. Table 9.6 – Available-for-Sale Securities Activity
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2023 |  | 2022 |  | 2023 |  | 2022
Fair value of securities acquired |  | $ | — |  |  | $ | — |  |  | $ | 1,979 |  |  | $ | 10,000 |
Fair value of securities sold |  | 12,590 |  |  | — |  |  | 55,842 |  |  | — |
Principal balance of securities called |  | — |  |  | — |  |  | — |  |  | 14,486 |
Net unrealized gains (losses) on AFS securities (1) |  | (3,921) |  |  | (8,731) |  |  | 398 |  |  | (60,013) |
(1)Net unrealized gains (losses) on AFS securities are recorded on our consolidated balance sheets through Accumulated other comprehensive loss.
Schedule of 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, 2023 and December 31, 2022. Table 9.7 – Carrying Value of AFS Securities
(In Thousands) |  |  |  |  |  |  |  | September 30, 2023 |  | December 31, 2022
Principal balance |  |  |  |  |  |  |  | $ | 149,991 |  |  | $ | 221,933 |
Credit reserve |  |  |  |  |  |  |  | (23,890) |  |  | (28,739) |
Unamortized discount, net |  |  |  |  |  |  |  | (46,603) |  |  | (61,650) |
Amortized cost |  |  |  |  |  |  |  | 79,498 |  |  | 131,544 |
Gross unrealized gains |  |  |  |  |  |  |  | 13,463 |  |  | 16,269 |
Gross unrealized losses |  |  |  |  |  |  |  | (8,984) |  |  | (13,127) |
CECL allowance |  |  |  |  |  |  |  | (2,573) |  |  | (2,540) |
Carrying Value |  |  |  |  |  |  |  | $ | 81,404 |  |  | $ | 132,146 |
Schedule of 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, 2023, 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 September 30, 2023 |  | Nine Months Ended September 30, 2023
|  | Credit Reserve |  | Unamortized Discount, Net |  | Credit Reserve |  | Unamortized Discount, Net
(In Thousands) |  |  |  |
Beginning balance |  | $ | 25,615 |  |  | $ | 46,948 |  |  | $ | 28,739 |  |  | $ | 61,650 |
Amortization of net discount |  | — |  |  | (296) |  |  | — |  |  | (946) |
Realized credit recoveries (losses), net |  | 101 |  |  | — |  |  | 106 |  |  | — |
Acquisitions |  | — |  |  | — |  |  | 1,106 |  |  | 754 |
Sales, calls, other |  | (1,207) |  |  | (668) |  |  | (5,331) |  |  | (15,585) |
Transfers to (release of) credit reserves, net |  | (619) |  |  | 619 |  |  | (730) |  |  | 730 |
Ending Balance |  | $ | 23,890 |  |  | $ | 46,603 |  |  | $ | 23,890 |  |  | $ | 46,603 |
Schedule of Components of Fair Value of Available for Sale Securities by Holding Periods | The following table presents the total carrying value (fair value) and unrealized losses of residential AFS securities that were in a gross unrealized loss position at September 30, 2023 and December 31, 2022. Table 9.9 – AFS Securities in Gross Unrealized Loss Position by Holding Periods
|  | Less Than 12 Consecutive Months |  | 12 Consecutive Months or Longer
|  | Fair Value |  | Unrealized Losses |  |  |  | Fair Value |  | Unrealized Losses |  |
(In Thousands) |  |  |  |  |  |
September 30, 2023 |  | $ | 9,459 |  |  | $ | (585) |  |  |  |  | $ | 28,630 |  |  | $ | (8,399) |  |  |
December 31, 2022 |  | 72,679 |  |  | (12,940) |  |  |  |  | 1,414 |  |  | (186) |  |  |
Schedule 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, 2023. Table 9.10 – Significant Credit Quality Indicators
September 30, 2023 |  |  |  | Subordinate Securities
Default rate |  |  |  | 0.8%
Loss severity |  |  |  | 20%
Schedule of 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 and nine months ended September 30, 2023. Table 9.11 – Rollforward of Allowance for Credit Losses
|  | Three Months Ended September 30, 2023 |  | Nine Months Ended September 30, 2023
(In Thousands) |  |
Beginning balance allowance for credit losses |  | $ | 2,639 |  |  | $ | 2,540 |
Additions to allowance for credit losses on securities for which credit losses were not previously recorded |  | 48 |  |  | 278 |
Additional increases (or decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period |  | 17 |  |  | 63 |
Reduction to allowance for securities sold during the period |  | (131) |  |  | (308) |
Ending balance of allowance for credit losses |  | $ | 2,573 |  |  | $ | 2,573 |
Schedule of 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, 2023 and 2022. Table 9.12 – Gross Realized Gains and Losses on AFS Securities
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2023 |  | 2022 |  | 2023 |  | 2022
Gross realized gains - sales |  | $ | 103 |  |  | $ | — |  |  | $ | 3,917 |  |  | $ | — |
Gross realized gains - calls |  | — |  |  | — |  |  | — |  |  | 1,914 |
Gross realized losses - sales |  | (77) |  |  | — |  |  | (2,415) |  |  | — |
Gross realized losses - calls |  | — |  |  | — |  |  | — |  |  | — |
Total Realized Gains on Sales and Calls of AFS Securities, net |  | $ | 26 |  |  | $ | — |  |  | $ | 1,502 |  |  | $ | 1,914 |

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