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Real Estate Securities (Tables)
 12 Months Ended
Dec. 31, 2016
Investments, Debt and Equity Securities [Abstract]  
Fair Values of Real Estate Securities by Collateral Type and Entity
The following table presents the fair values of our real estate securities by type at December 31, 2016 and December 31, 2015.
Table 8.1 – Fair Values of Real Estate Securities by Type
(In Thousands)
 
December 31, 2016
 
December 31, 2015
Trading
 
$
445,687

 
$
404,011

Available-for-sale
 
572,752

 
829,245

Total Real Estate Securities
 
$
1,018,439

 
$
1,233,256
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by position and collateral type at December 31, 2016 and December 31, 2015.
Table 8.2 – Trading Securities by Position and Collateral Type
(In Thousands)
 
December 31, 2016
 
December 31, 2015
Senior Securities
 
 
 
 
Prime
 
$
32,230

 
$
248,570

Non-prime
 
4,837

 
5,781

Total Senior Securities
 
37,067

 
254,351

Subordinate Securities
 
 
 
 
Prime mezzanine
 
243,451

 
136,140

Prime subordinate
 
165,169

 
13,520

Total Subordinate Securities
 
408,620

 
149,660

Total Trading Securities
 
$
445,687

 
$
404,011
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 December 31, 2016 and December 31, 2015.
Table 8.3 – Available-for-Sale Securities by Position and Collateral Type
(In Thousands)
 
December 31, 2016
 
December 31, 2015
Senior Securities
 
 
 
 
Prime
 
$
128,843

 
$
210,993

Non-prime
 
7,703

 
68,258

Total Senior Securities
 
136,546

 
279,251

Re-REMIC Securities
 
85,479

 
165,064

Subordinate Securities
 
 
 
 
Prime mezzanine
 
163,715

 
224,624

Prime subordinate
 
187,012

 
160,306

Total Subordinate Securities
 
350,727

 
384,930

Total AFS Securities
 
$
572,752

 
$
829,245
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 December 31, 2016 and December 31, 2015.
Table 8.4 – Carrying Value of AFS Securities
December 31, 2016
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
139,736

 
$
9,126

 
$
95,608

 
$
456,359

 
$
700,829

Credit reserve
 
(4,174
)
 
(640
)
 
(6,857
)
 
(35,802
)
 
(47,473
)
Unamortized discount, net
 
(40,379
)
 
(1,498
)
 
(19,613
)
 
(136,622
)
 
(198,112
)
Amortized cost
 
95,183

 
6,988

 
69,138

 
283,935

 
455,244

Gross unrealized gains
 
35,589

 
715

 
16,341

 
68,032

 
120,677

Gross unrealized losses
 
(1,929
)
 
—

 
—

 
(1,240
)
 
(3,169
)
Carrying Value
 
$
128,843

 
$
7,703

 
$
85,479

 
$
350,727

 
$
572,752

December 31, 2015
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
217,605

 
$
75,591

 
$
189,782

 
$
490,249

 
$
973,227

Credit reserve
 
(1,305
)
 
(5,101
)
 
(10,332
)
 
(32,131
)
 
(48,869
)
Unamortized discount, net
 
(22,079
)
 
(8,395
)
 
(71,670
)
 
(134,963
)
 
(237,107
)
Amortized cost
 
194,221

 
62,095

 
107,780

 
323,155

 
687,251

Gross unrealized gains
 
20,263

 
6,249

 
57,284

 
63,205

 
147,001

Gross unrealized losses
 
(3,491
)
 
(86
)
 
—

 
(1,430
)
 
(5,007
)
Carrying Value
 
$
210,993

 
$
68,258

 
$
165,064

 
$
384,930

 
$
829,245
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities
The following table presents the changes for the years ended December 31, 2016 and 2015, in unamortized discount and designated credit reserves on residential AFS securities.
Table 8.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
 
 
Year Ended December 31, 2016
 
Year Ended December 31, 2015
 
 
Credit
Reserve
 
Unamortized
Discount, Net
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
 
 
Beginning balance
 
$
48,869

 
$
237,107

 
$
70,067

 
$
296,342

Amortization of net discount
 
—

 
(26,253
)
 
—

 
(36,850
)
Realized credit losses
 
(5,830
)
 
—

 
(8,535
)
 
—

Acquisitions
 
9,311

 
11,461

 
2,557

 
15,791

Sales, calls, other
 
(4,968
)
 
(24,480
)
 
(7,296
)
 
(46,346
)
Impairments
 
368

 
—

 
—

 
246

Transfers to (release of) credit reserves, net
 
(277
)
 
277

 
(7,924
)
 
7,924

Ending Balance
 
$
47,473

 
$
198,112

 
$
48,869

 
$
237,107
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 December 31, 2016 and December 31, 2015.
Table 8.6 – Components of Fair Value of Residential 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)
 
 
 
 
 
 
December 31, 2016
 
$
15,772

 
$
(330
)
 
$
15,442

 
$
60,035

 
$
(2,839
)
 
$
57,196

December 31, 2015
 
87,718

 
(1,972
)
 
85,746

 
77,539

 
(3,035
)
 
74,504
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 December 31, 2016.
Table 8.7 – Significant Valuation Assumptions
December 31, 2016
 
Range for Securities
Prepayment rates
 
8
%
-
15%
Projected losses
 
—
%
-
7%
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 December 31, 2016, 2015, and 2014 for which a portion of an OTTI was recognized in other comprehensive income.
Table 8.8 – Activity of the Credit Component of Other-than-Temporary Impairments
 
 
Years Ended December 31,
(In Thousands)
 
2016
 
2015
 
2014
Balance at beginning of period
 
$
28,277

 
$
33,849

 
$
37,149

Additions
 
 
 
 
 
 
Initial credit impairments
 
346

 
246

 
261

Subsequent credit impairments
 
8

 
—

 
70

Reductions
 
 
 
 
 
 
Securities sold, or expected to sell
 
(261
)
 
(4,567
)
 
(922
)
Securities with no outstanding principal at period end
 
(109
)
 
(1,251
)
 
(2,709
)
Balance at End of Period
 
$
28,261

 
$
28,277

 
$
33,849
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 years ended December 31, 2016, 2015, and 2014.
Table 8.9 – Gross Realized Gains and Losses on AFS Securities
 
 
Years Ended December 31,
(In Thousands)
 
2016
 
2015
 
2014
Gross realized gains - sales
 
$
23,598

 
$
34,922

 
$
15,030

Gross realized gains - calls
 
1,210

 
2,167

 
1,600

Gross realized losses - sales
 
(2,293
)
 
(608
)
 
(2,713
)
Gross realized losses - calls
 
—

 
(112
)
 
—

Total Realized Gains on Sales and Calls of AFS Securities, net
 
$
22,515

 
$
36,369

 
$
13,917