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Real Estate Securities (Tables)
 6 Months Ended
Jun. 30, 2020
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 June 30, 2020 and December 31, 2019.
Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands)June 30, 2020December 31, 2019
Trading$142,699  $860,540  
Available-for-sale173,737  239,334  
Total Real Estate Securities$316,436  $1,099,874  
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by position and collateral type at June 30, 2020 and December 31, 2019.
Table 9.2 – Trading Securities by Position
(In Thousands)June 30, 2020December 31, 2019
Senior$32,860  $150,067  
Mezzanine3,514  538,489  
Subordinate106,325  171,984  
Total Trading Securities$142,699  $860,540  
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 June 30, 2020 and December 31, 2019.
Table 9.3 – Available-for-Sale Securities by Position
(In Thousands)June 30, 2020December 31, 2019
Senior $—  $25,792  
Mezzanine—  13,687  
Subordinate173,737  199,855  
Total AFS Securities$173,737  $239,334  
Carrying Value of Residential Available for Sale Securities
The following table presents the components of carrying value (which equals fair value) of AFS securities at June 30, 2020 and December 31, 2019.
Table 9.4 – Carrying Value of AFS Securities
June 30, 2020
(In Thousands)SeniorMezzanineSubordinateTotal
Principal balance$—  $—  $264,100  $264,100  
Credit reserve—  —  (37,785) (37,785) 
Unamortized discount, net—  —  (104,260) (104,260) 
Amortized cost—  —  122,055  122,055  
Gross unrealized gains—  —  56,999  56,999  
Gross unrealized losses—  —  (3,846) (3,846) 
Allowance for credit losses—  —  (1,471) (1,471) 
Carrying Value$—  $—  $173,737  $173,737  
December 31, 2019
(In Thousands)SeniorMezzanineSubordinateTotal
Principal balance$26,331  $13,512  $264,234  $304,077  
Credit reserve(533) —  (32,407) (32,940) 
Unamortized discount, net(10,427) (527) (113,301) (124,255) 
Amortized cost15,371  12,985  118,526  146,882  
Gross unrealized gains10,450  702  81,329  92,481  
Gross unrealized losses(29) —  —  (29) 
Carrying Value$25,792  $13,687  $199,855  $239,334  
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, 2020, in unamortized discount and designated credit reserves on AFS securities.
Table 9.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
Three Months Ended June 30, 2020Six Months Ended June 30, 2020
Credit
Reserve		Unamortized
Discount, Net		Credit
Reserve		Unamortized
Discount, Net
(In Thousands)
Beginning balance$37,717  $109,538  $32,940  $124,255  
Amortization of net discount—  (1,087) —  (2,841) 
Realized credit losses(184) —  (703) —  
Acquisitions—  —  5,184  777  
Sales, calls, other(520) (3,419) (726) (16,841) 
(Release of) transfers to credit reserves, net772  (772) 1,090  (1,090) 
Ending Balance$37,785  $104,260  $37,785  $104,260  
Components of Fair Value of Available for Sale Securities by Holding Periods
The following table presents the components comprising the total carrying value of AFS securities that were in a gross unrealized loss position at June 30, 2020 and December 31, 2019.
Table 9.6 – 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)
June 30, 2020$37,751  $(3,846) $32,433  $—  $—  $—  
December 31, 2019—  —  —  5,830  (29) 5,801  
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 June 30, 2020.
Table 9.7 – Significant Credit Quality Indicators
June 30, 2020Subordinate Securities
Default rate0.5%
Loss severity20%
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 held at June 30, 2020.
Table 9.8 – Rollforward of Allowance for Credit Losses
Three Months EndedSix Months Ended
(In Thousands)June 30, 2020June 30, 2020
Beginning balance allowance for credit losses$1,525  $—  
Transition impact from adoption of new standard—  —  
Additions to allowance for credit losses on securities for which credit losses were not previously recorded—  1,525  
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(54) (54) 
Ending balance of allowance for credit losses$1,471  $1,471  
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 six months ended June 30, 2020 and 2019.
Table 9.9 – Gross Realized Gains and Losses on AFS Securities
Three Months Ended June 30,Six Months Ended June 30,
(In Thousands)2020201920202019
Gross realized gains - sales$1,074  $2,827  $8,779  $9,487  
Gross realized gains - calls—  —  —  4,026  
Gross realized losses - sales(291) —  (4,144) —  
Total Realized Gains on Sales and Calls of AFS Securities, net$783  $2,827  $4,635  $13,513