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Real Estate Securities (Tables)
 3 Months Ended
Mar. 31, 2023
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 March 31, 2023 and December 31, 2022.
Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands)March 31, 2023December 31, 2022
Trading$108,366 $108,329 
Available-for-sale134,980 132,146 
Total Real Estate Securities$243,346 $240,475 
Trading Securities by Collateral Type The following table presents the fair value of trading securities by position and collateral type at March 31, 2023 and December 31, 2022.
Table 9.2 – Fair Value of Trading Securities by Position
(In Thousands)March 31, 2023December 31, 2022
Senior
Interest-only securities (1)
$31,297 $28,867 
Total Senior31,297 28,867 
Subordinate
RPL securities28,689 29,002 
Multifamily securities4,979 5,027 
Other third-party residential securities43,401 45,433 
Total Subordinate77,069 79,462 
Total Trading Securities$108,366 $108,329 
(1)Includes $26 million of Sequoia certificated mortgage servicing rights at both March 31, 2023 and December 31, 2022.
The following table presents the unpaid principal balance of trading securities by position and collateral type at March 31, 2023 and December 31, 2022.
Table 9.3 – Unpaid Principal Balance of Trading Securities by Position
(In Thousands)March 31, 2023December 31, 2022
Senior (1)
$— $— 
Subordinate211,496 215,592 
Total Trading Securities$211,496 $215,592 
(1)Our senior trading securities are comprised of interest-only securities, for which there is no principal balance.
The following table provides the activity of trading securities during the three months ended March 31, 2023 and 2022.
Table 9.4 – Trading Securities Activity
Three Months Ended March 31,
(In Thousands)20232022
Fair value of securities acquired$1,700 $5,006 
Fair value of securities sold3,509 — 
Net market valuation gains (losses) recorded (1)
1,961 (1,456)
(1)Net market valuation gains (losses) on trading securities are recorded through Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income.
Available-for-Sale Securities by Collateral Type
The following table presents the fair value of our available-for-sale ("AFS") securities by position and collateral type at March 31, 2023 and December 31, 2022.
Table 9.5 – Fair Value of Available-for-Sale Securities by Position
(In Thousands)March 31, 2023December 31, 2022
Subordinate
Sequoia securities$77,714 $74,367 
Multifamily securities7,670 7,647 
Other third-party residential securities49,596 50,132 
Total Subordinate134,980 132,146 
Total AFS Securities$134,980 $132,146 
The following table provides the activity of available-for-sale securities during the three months ended March 31, 2023 and 2022.
Table 9.6 – Available-for-Sale Securities Activity
Three Months Ended March 31,
(In Thousands)20232022
Fair value of securities acquired$— $10,000 
Fair value of securities sold2,678 — 
Principal balance of securities called— 14,486 
Net unrealized gains (losses) on AFS securities (1)
5,007 (17,873)
(1)Net unrealized gains (losses) on AFS securities are recorded on our consolidated balance sheets through Accumulated other comprehensive loss.
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 March 31, 2023 and December 31, 2022.
Table 9.7 – Carrying Value of AFS Securities
(In Thousands)March 31, 2023December 31, 2022
Principal balance$217,059 $221,933 
Credit reserve(28,208)(28,739)
Unamortized discount, net(59,334)(61,650)
Amortized cost129,517 131,544 
Gross unrealized gains18,773 16,269 
Gross unrealized losses(10,742)(13,127)
CECL allowance(2,568)(2,540)
Carrying Value$134,980 $132,146 
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities
The following table presents the changes for the three months ended March 31, 2023, in unamortized discount and designated credit reserves on residential AFS securities.
Table 9.8 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
Three Months Ended 
 March 31, 2023
Credit
Reserve		Unamortized
Discount, Net
(In Thousands)
Beginning balance$28,739 $61,650 
Amortization of net discount— (263)
Realized credit recoveries (losses), net(48)— 
Acquisitions— — 
Sales, calls, other(206)(2,330)
Transfers to (release of) credit reserves, net(277)277 
Ending Balance$28,208 $59,334 
Components of Fair Value of Available for Sale Securities by Holding Periods
The following table presents the total carrying value (fair value) and unrealized losses of residential AFS securities that were in a gross unrealized loss position at March 31, 2023 and December 31, 2022.
Table 9.9 – AFS Securities in Gross Unrealized Loss Position by Holding Periods
Less Than 12 Consecutive Months12 Consecutive Months or Longer
Fair
Value		Unrealized
Losses		Fair
Value		Unrealized
Losses
(In Thousands)
March 31, 2023$47,384 $(7,927)$28,285 $(2,815)
December 31, 202272,679 (12,940)1,414 (186)
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 March 31, 2023.
Table 9.10 – Significant Credit Quality Indicators
March 31, 2023Subordinate Securities
Default rate0.8%
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 for the three months ended March 31, 2023.
Table 9.11 – Rollforward of Allowance for Credit Losses
Three Months Ended March 31, 2023
(In Thousands)
Beginning balance allowance for credit losses$2,540 
Additions to allowance for credit losses on securities for which credit losses were not previously recorded99 
Additional increases (or decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period(71)
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$2,568 
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 months ended March 31, 2023 and 2022.
Table 9.12 – Gross Realized Gains and Losses on AFS Securities
Three Months Ended March 31,
(In Thousands)20232022
Gross realized gains - sales$527 $— 
Gross realized gains - calls— 1,914 
Gross realized losses - sales— — 
Total Realized Gains on Sales and Calls of AFS Securities, net$527 $1,914