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Real Estate Securities (Tables)
 12 Months Ended
Dec. 31, 2017
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, 2017 and December 31, 2016.
Table 7.1 – Fair Values of Real Estate Securities by Type
(In Thousands)
 
December 31, 2017
 
December 31, 2016
Trading
 
$
968,844

 
$
445,687

Available-for-sale
 
507,666

 
572,752

Total Real Estate Securities
 
$
1,476,510

 
$
1,018,439
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by position and collateral type at December 31, 2017 and December 31, 2016.
Table 7.2 – Trading Securities by Position and Collateral Type
(In Thousands)
 
December 31, 2017
 
December 31, 2016
Senior Securities
 
$
69,975

 
$
37,067

Subordinate Securities
 
 
 
 
Mezzanine
 
563,474

 
256,226

Subordinate
 
335,395

 
152,394

Total Subordinate Securities
 
898,869

 
408,620

Total Trading Securities
 
$
968,844

 
$
445,687
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, 2017 and December 31, 2016.
Table 7.3 – Available-for-Sale Securities by Position and Collateral Type
(In Thousands)
 
December 31, 2017
 
December 31, 2016
Senior Securities
 
$
140,989

 
$
136,546

Re-REMIC Securities
 
38,875

 
85,479

Subordinate Securities
 
 
 
 
Mezzanine
 
92,002

 
163,715

Subordinate
 
235,800

 
187,012

Total Subordinate Securities
 
327,802

 
350,727

Total AFS Securities
 
$
507,666

 
$
572,752
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, 2017 and December 31, 2016.
Table 7.4 – Carrying Value of AFS Securities
December 31, 2017
 
 
 
 
 
 
 
 
(In Thousands)
 
Senior
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
144,512

 
$
44,613

 
$
419,020

 
$
608,145

Credit reserve
 
(2,936
)
 
(5,820
)
 
(37,793
)
 
(46,549
)
Unamortized discount, net
 
(34,379
)
 
(9,662
)
 
(139,712
)
 
(183,753
)
Amortized cost
 
107,197

 
29,131

 
241,515

 
377,843

Gross unrealized gains
 
35,027

 
9,744

 
86,419

 
131,190

Gross unrealized losses
 
(1,235
)
 
—

 
(132
)
 
(1,367
)
Carrying Value
 
$
140,989

 
$
38,875

 
$
327,802

 
$
507,666

December 31, 2016
 
 
 
 
 
 
 
 
(In Thousands)
 
Senior
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
148,862

 
$
95,608

 
$
456,359

 
$
700,829

Credit reserve
 
(4,814
)
 
(6,857
)
 
(35,802
)
 
(47,473
)
Unamortized discount, net
 
(41,877
)
 
(19,613
)
 
(136,622
)
 
(198,112
)
Amortized cost
 
102,171

 
69,138

 
283,935

 
455,244

Gross unrealized gains
 
36,304

 
16,341

 
68,032

 
120,677

Gross unrealized losses
 
(1,929
)
 
—

 
(1,240
)
 
(3,169
)
Carrying Value
 
$
136,546

 
$
85,479

 
$
350,727

 
$
572,752
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, 2017 and 2016, in unamortized discount and designated credit reserves on residential AFS securities.
Table 7.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
 
 
Year Ended December 31, 2017
 
Year Ended December 31, 2016
 
 
Credit
Reserve
 
Unamortized
Discount, Net
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
 
 
Beginning balance
 
$
47,473

 
$
198,112

 
$
48,869

 
$
237,107

Amortization of net discount
 
—

 
(18,795
)
 
—

 
(26,253
)
Realized credit losses
 
(4,187
)
 
—

 
(5,830
)
 
—

Acquisitions
 
9,118

 
13,080

 
9,311

 
11,461

Sales, calls, other
 
(3,404
)
 
(12,106
)
 
(4,968
)
 
(24,480
)
Impairments
 
1,011

 
—

 
368

 
—

Transfers to (release of) credit reserves, net
 
(3,462
)
 
3,462

 
(277
)
 
277

Ending Balance
 
$
46,549

 
$
183,753

 
$
47,473

 
$
198,112
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, 2017 and December 31, 2016.
Table 7.6 – 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, 2017
 
$
8,637

 
$
(132
)
 
$
8,505

 
$
28,557

 
$
(1,235
)
 
$
27,322

December 31, 2016
 
15,772

 
(330
)
 
15,442

 
60,035

 
(2,839
)
 
57,196
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, 2017.
Table 7.7 – Significant Valuation Assumptions
December 31, 2017
 
Range for Securities
Prepayment rates
 
8
%
-
20%
Projected losses
 
0.22
%
-
5%
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, 2017, 2016, and 2015 for which a portion of an OTTI was recognized in other comprehensive income.
Table 7.8 – Activity of the Credit Component of Other-than-Temporary Impairments
 
 
Years Ended December 31,
(In Thousands)
 
2017
 
2016
 
2015
Balance at beginning of period
 
$
28,261

 
$
28,277

 
$
33,849

Additions
 
 
 
 
 
 
Initial credit impairments
 
178

 
346

 
246

Subsequent credit impairments
 
47

 
8

 
—

Reductions
 
 
 
 
 
 
Securities sold, or expected to sell
 
(4,898
)
 
(261
)
 
(4,567
)
Securities with no outstanding principal at period end
 
(2,551
)
 
(109
)
 
(1,251
)
Balance at End of Period
 
$
21,037

 
$
28,261

 
$
28,277
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, 2017, 2016, and 2015.
Table 7.9 – Gross Realized Gains and Losses on AFS Securities
 
 
Years Ended December 31,
(In Thousands)
 
2017
 
2016
 
2015
Gross realized gains - sales
 
$
13,927

 
$
23,598

 
$
34,922

Gross realized gains - calls
 
677

 
1,210

 
2,167

Gross realized losses - sales
 
—

 
(2,293
)
 
(608
)
Gross realized losses - calls
 
(497
)
 
—

 
(112
)
Total Realized Gains on Sales and Calls of AFS Securities, net
 
$
14,107

 
$
22,515

 
$
36,369