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Real Estate Securities (Tables)
 9 Months Ended
Sep. 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 September 30, 2020 and December 31, 2019.
Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands)September 30, 2020December 31, 2019
Trading$144,162 $860,540 
Available-for-sale207,173 239,334 
Total Real Estate Securities$351,335 $1,099,874 
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by position and collateral type at September 30, 2020 and December 31, 2019.
Table 9.2 – Trading Securities by Position
(In Thousands)September 30, 2020December 31, 2019
Senior$28,091 $150,067 
Mezzanine3,651 538,489 
Subordinate112,420 171,984 
Total Trading Securities$144,162 $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 September 30, 2020 and December 31, 2019.
Table 9.3 – Available-for-Sale Securities by Position
(In Thousands)September 30, 2020December 31, 2019
Senior $— $25,792 
Mezzanine2,016 13,687 
Subordinate205,157 199,855 
Total AFS Securities$207,173 $239,334 
Carrying Value of Residential Available for Sale Securities
The following table presents the components of carrying value (which equals fair value) of AFS securities at September 30, 2020 and December 31, 2019.
Table 9.4 – Carrying Value of AFS Securities
September 30, 2020
(In Thousands)SeniorMezzanineSubordinateTotal
Principal balance$— $2,000 $287,659 $289,659 
Credit reserve— — (43,186)(43,186)
Unamortized discount, net— — (99,221)(99,221)
Amortized cost— 2,000 145,252 147,252 
Gross unrealized gains— 16 63,439 63,455 
Gross unrealized losses— — (2,507)(2,507)
Allowance for credit losses— — (1,027)(1,027)
Carrying Value$— $2,016 $205,157 $207,173 
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 nine months ended September 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 September 30, 2020Nine Months Ended September 30, 2020
Credit
Reserve		Unamortized
Discount, Net		Credit
Reserve		Unamortized
Discount, Net
(In Thousands)
Beginning balance$37,785 $104,260 $32,940 $124,255 
Amortization of net discount— (1,766)— (4,607)
Realized credit losses(194)— (897)— 
Acquisitions1,303 1,019 6,487 1,796 
Sales, calls, other— — (726)(16,841)
(Release of) transfers to credit reserves, net4,292 (4,292)5,382 (5,382)
Ending Balance$43,186 $99,221 $43,186 $99,221 
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 September 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)
September 30, 2020$32,890 $(2,507)$30,330 $— $— $— 
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 September 30, 2020.
Table 9.7 – Significant Credit Quality Indicators
September 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 September 30, 2020.
Table 9.8 – Rollforward of Allowance for Credit Losses
Three Months EndedNine Months Ended
(In Thousands)September 30, 2020September 30, 2020
Beginning balance allowance for credit losses$1,471 $— 
Transition impact from adoption of new standard— — 
Additions to allowance for credit losses on securities for which credit losses were not previously recorded339 1,864 
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period(783)(837)
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— — 
Ending balance of allowance for credit losses$1,027 $1,027 
Gross Realized Gains and Losses on Available for Sale Securities The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and nine months ended September 30, 2020 and 2019.
Table 9.9 – Gross Realized Gains and Losses on AFS Securities
Three Months Ended September 30,Nine Months Ended September 30,
(In Thousands)2020201920202019
Gross realized gains - sales$— $3,656 $8,779 $13,143 
Gross realized gains - calls— 1,058 — 5,084 
Gross realized losses - sales— — (4,144)— 
Total Realized Gains on Sales and Calls of AFS Securities, net$— $4,714 $4,635 $18,227