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Real Estate Securities (Tables)
 3 Months Ended
Mar. 31, 2022
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, 2022 and December 31, 2021.
Table 9.1 – Fair Values of Real Estate Securities by Type
(In Thousands)March 31, 2022December 31, 2021
Trading$173,684 $170,619 
Available-for-sale185,198 206,792 
Total Real Estate Securities$358,882 $377,411 
Trading Securities by Collateral Type The following table presents the fair value of trading securities by position and collateral type at March 31, 2022 and December 31, 2021.
Table 9.2 – Fair Value of Trading Securities by Position
(In Thousands)March 31, 2022December 31, 2021
Senior
Interest-only securities (1)
$34,206 $21,787 
Total Senior34,206 21,787 
Subordinate
RPL securities63,164 65,140 
Multifamily securities9,008 10,549 
Other third-party residential securities67,306 73,143 
Total Subordinate139,478 148,832 
Total Trading Securities$173,684 $170,619 
(1)Includes $20 million and $15 million of Sequoia certificated mortgage servicing rights at March 31, 2022 and December 31, 2021, respectively.
The following table presents the unpaid principal balance of trading securities by position and collateral type at March 31, 2022 and December 31, 2021.
Table 9.3 – Unpaid Principal Balance of Trading Securities by Position
(In Thousands)March 31, 2022December 31, 2021
Senior (1)
$— $— 
Subordinate234,732 235,306 
Total Trading Securities$234,732 $235,306 
(1)Our senior trading securities include 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, 2022 and 2021.
Table 9.4 – Trading Securities Activity
Three Months Ended March 31,
(In Thousands)20222021
Principal balance of securities acquired (1)
$— $15,880 
Principal balance of securities sold (1)
— 34,743 
Net market valuation gains (losses) recorded (2)
(1,456)21,349 
(1)For the three months ended March 31, 2022 and 2021, excludes zero and $2 million of securities bought and sold during the same quarter, respectively.
(2)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 securities by position and collateral type at March 31, 2022 and December 31, 2021.
Table 9.5 – Fair Value of Available-for-Sale Securities by Position
(In Thousands)March 31, 2022December 31, 2021
Subordinate
Sequoia securities$108,768 $127,542 
Multifamily securities15,316 22,166 
Other third-party residential securities61,114 57,084 
Total Subordinate185,198 206,792 
Total AFS Securities$185,198 $206,792 
The following table provides the activity of available-for-sale securities during the three months ended March 31, 2022 and 2021.
Table 9.6 – Available-for-Sale Securities Activity
Three Months Ended March 31,
(In Thousands)20222021
Fair value of securities acquired$10,000 $1,078 
Fair value of securities sold— 2,200 
Principal balance of securities called14,486 3,444 
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, 2022 and December 31, 2021.
Table 9.7 – Carrying Value of AFS Securities
March 31, 2022
(In Thousands)Total
Principal balance$230,201 
Credit reserve(29,901)
Unamortized discount, net(63,206)
Amortized cost137,094 
Gross unrealized gains50,854 
Gross unrealized losses(2,045)
CECL allowance(705)
Carrying Value$185,198 
December 31, 2021
(In Thousands)Total
Principal balance$242,852 
Credit reserve(27,555)
Unamortized discount, net(76,023)
Amortized cost139,274 
Gross unrealized gains67,815 
Gross unrealized losses(297)
CECL allowance— 
Carrying Value$206,792 
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, 2022, 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, 2022
Credit
Reserve		Unamortized
Discount, Net
(In Thousands)
Beginning balance$27,555 $76,023 
Amortization of net discount— (8,470)
Realized credit losses(88)— 
Acquisitions— — 
Sales, calls, other(343)(1,570)
Transfers to (release of) credit reserves, net2,777 (2,777)
Ending Balance$29,901 $63,206 
Components of Fair Value of Available for Sale Securities by Holding Periods
The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at March 31, 2022 and December 31, 2021.
Table 9.9 – 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)
March 31, 2022$29,500 $(1,958)$27,542 $1,600 $(87)$1,513 
December 31, 20217,078 (251)6,827 1,600 (46)1,554 
Summary of Significant Valuation Assumptions for Available for Sale Securities Credit Loss
The table below summarizes the weighted average of the significant credit quality indicators we used for the credit loss allowance on our AFS securities at March 31, 2022.
Table 9.10 – Significant Credit Quality Indicators
March 31, 2022Subordinate Securities
Default rate0.7%
Loss severity20%
Activity of Allowance for Credit Losses for Available-for-sale Securities
The following table details the activity related to the allowance for credit losses for AFS securities for the three months ended March 31, 2022.
Table 9.11 – Rollforward of Allowance for Credit Losses
Three Months Ended March 31, 2022
(In Thousands)
Beginning balance allowance for credit losses$— 
Additions to allowance for credit losses on securities for which credit losses were not previously recorded705 
Additional increases (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period— 
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$705 
Gross Realized Gains and Losses on Available for Sale Securities The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three months ended March 31, 2022 and 2021.
Table 9.12 – Gross Realized Gains and Losses on AFS Securities
Three Months Ended March 31,
(In Thousands)20222021
Gross realized gains - sales$— $200 
Gross realized gains - calls1,914 2,408 
Gross realized losses - sales— — 
Total Realized Gains on Sales and Calls of AFS Securities, net$1,914 $2,608