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Real Estate Securities (Tables)
 6 Months Ended
Jun. 30, 2015
Investments, Debt and Equity Securities [Abstract]  
Fair Values of Real Estate Securities
The following table presents the fair values of our real estate securities by type at June 30, 2015 and December 31, 2014.
(In Thousands)
 
June 30, 2015
 
December 31, 2014
Trading
 
$
116,141

 
$
111,606

Available-for-sale
 
1,041,458

 
1,267,624

Total Real Estate Securities
 
$
1,157,599

 
$
1,379,230
Trading Securities by Collateral Type
The following table presents trading securities by collateral type at June 30, 2015 and December 31, 2014.
(In Thousands)
 
June 30, 2015
 
December 31, 2014
Senior Securities
 
 
 
 
Prime
 
$
62,427

 
$
93,802

Non-prime
 
6,705

 
7,951

Total Senior Securities
 
69,132

 
101,753

Prime Subordinate Securities
 
47,009

 
9,853

Total Trading Securities
 
$
116,141

 
$
111,606
Available for Sale Securities by Collateral Type
The following table presents the fair value of our available-for-sale securities held at Redwood by collateral type at June 30, 2015 and December 31, 2014.
(In Thousands)
 
June 30, 2015
 
December 31, 2014
Senior Securities
 
 
 
 
Prime
 
$
278,960

 
$
307,813

Non-prime
 
166,376

 
179,744

Total Senior Securities
 
445,336

 
487,557

Re-REMIC Securities
 
169,084

 
168,347

Subordinate Securities
 
 
 
 
Prime Mezzanine (1)
 
257,263

 
448,838

Subordinate (2)
 
169,775

 
162,882

Total Subordinate Securities
 
427,038

 
611,720

Total AFS Securities
 
$
1,041,458

 
$
1,267,624

(1) Mezzanine includes securities initially rated AA, A and BBB- and issued in 2012 or later.
(2) Subordinate securities includes less than $1 million of non-prime securities at both June 30, 2015, and December 31, 2014.
Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities
The following table presents the components of carrying value (which equals fair value) of AFS securities at June 30, 2015 and December 31, 2014.
Carrying Value of AFS Securities
June 30, 2015
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
282,921

 
$
182,719

 
$
193,221

 
$
535,511

 
$
1,194,372

Credit reserve
 
(2,650
)
 
(9,175
)
 
(13,071
)
 
(36,804
)
 
(61,700
)
Unamortized discount, net
 
(30,401
)
 
(27,533
)
 
(75,658
)
 
(139,527
)
 
(273,119
)
Amortized cost
 
249,870

 
146,011

 
104,492

 
359,180

 
859,553

Gross unrealized gains
 
31,196

 
20,550

 
64,592

 
68,519

 
184,857

Gross unrealized losses
 
(2,106
)
 
(185
)
 
—

 
(661
)
 
(2,952
)
Carrying Value
 
$
278,960

 
$
166,376

 
$
169,084

 
$
427,038

 
$
1,041,458

December 31, 2014
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
311,573

 
$
196,258

 
$
195,098

 
$
742,150

 
$
1,445,079

Credit reserve
 
(3,660
)
 
(9,644
)
 
(15,202
)
 
(41,561
)
 
(70,067
)
Unamortized discount, net
 
(34,782
)
 
(31,491
)
 
(79,611
)
 
(150,458
)
 
(296,342
)
Amortized cost
 
273,131

 
155,123

 
100,285

 
550,131

 
1,078,670

Gross unrealized gains
 
35,980

 
24,682

 
68,062

 
63,026

 
191,750

Gross unrealized losses
 
(1,298
)
 
(61
)
 
—

 
(1,437
)
 
(2,796
)
Carrying Value
 
$
307,813

 
$
179,744

 
$
168,347

 
$
611,720

 
$
1,267,624
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities
The following table presents the changes for the three and six months ended June 30, 2015, in unamortized discount and designated credit reserves on residential AFS securities.
Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
 
 
Three Months Ended June 30, 2015
 
Six Months Ended June 30, 2015
 
 
Credit
Reserve
 
Unamortized
Discount, Net
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
 
 
Beginning balance
 
$
63,584

 
$
286,382

 
$
70,067

 
$
296,342

Amortization of net discount
 
—

 
(9,324
)
 
—

 
(19,162
)
Realized credit losses
 
(2,769
)
 
—

 
(5,714
)
 
—

Acquisitions
 
858

 
3,033

 
858

 
5,705

Sales, calls, other
 
—

 
(6,945
)
 
—

 
(13,277
)
Impairments
 
—

 
—

 
—

 
—

Transfers to (release of) credit reserves, net
 
27

 
(27
)
 
(3,511
)
 
3,511

Ending Balance
 
$
61,700

 
$
273,119

 
$
61,700

 
$
273,119
Components of Carrying Value of Available for Sale Securities in Unrealized Loss Position
The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at June 30, 2015 and December 31, 2014.
 
 
Less Than 12 Consecutive Months
 
12 Consecutive Months or Longer
 
 
Amortized
Cost
 
Unrealized
Losses
 
Fair
Value
 
Amortized
Cost
 
Unrealized
Losses
 
Fair
Value
(In Thousands)
 
 
 
 
 
 
June 30, 2015
 
$
98,390

 
$
(1,263
)
 
$
97,127

 
$
74,537

 
$
(1,689
)
 
$
72,848

December 31, 2014
 
126,681

 
(1,374
)
 
125,307

 
70,676

 
(1,422
)
 
69,254
Summary of Significant Valuation Assumptions for Available for Sale Securities
The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at June 30, 2015.
Significant Valuation Assumptions
 
 
Range for Securities
 
June 30, 2015
 
Prime
 
 
Non-prime
 
Prepayment rates
 
8 - 16
%
 
8 - 12
%
Projected losses
 
1 - 21
%
 
14 - 18
%
Activity of Credit Component of Other-than-Temporary Impairments
The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at June 30, 2015 and 2014, for which a portion of an OTTI was recognized in other comprehensive income.
Activity of the Credit Component of Other-than-Temporary Impairments
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
(In Thousands)
 
2015
 
2014
 
2015
 
2014
Balance at beginning of period
 
$
32,949

 
$
35,786

 
$
33,849

 
$
37,149

Additions
 
 
 
 
 
 
 
 
Initial credit impairments
 
—

 
190

 
—

 
261

Subsequent credit impairments
 
—

 
28

 
—

 
70

Reductions
 
 
 
 
 
 
 
 
Securities sold, or expected to sell
 
(253
)
 
(904
)
 
(348
)
 
(904
)
Securities with no outstanding principal at period end
 
—

 
(844
)
 
(805
)
 
(2,320
)
Balance at End of Period
 
$
32,696

 
$
34,256

 
$
32,696

 
$
34,256
Gross Realized Gains and Losses on Sales and Calls of 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 six months ended June 30, 2015 and 2014.
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
(In Thousands)
 
2015
 
2014
 
2015
 
2014
Gross realized gains - sales
 
$
5,956

 
$
992

 
$
10,262

 
$
992

Gross realized gains - calls
 
360

 
—

 
360

 
987

Gross realized losses - sales
 
—

 
—

 
—

 
—

Gross realized losses - calls
 
—

 
—

 
—

 
—

Total Realized Gains on Sales and Calls of AFS Securities, net
 
$
6,316

 
$
992

 
$
10,622

 
$
1,979