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Real Estate Securities (Tables)
 12 Months Ended
Dec. 31, 2015
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, 2015 and December 31, 2014.
Table 8.1 – Fair Values of Real Estate Securities by Type
(In Thousands)
 
December 31, 2015
 
December 31, 2014
Trading
 
$
404,011

 
$
111,606

Available-for-sale
 
829,245

 
1,267,624

Total Real Estate Securities
 
$
1,233,256

 
$
1,379,230
Trading Securities by Collateral Type
The following table presents the fair value of trading securities by collateral type at December 31, 2015 and December 31, 2014.
Table 8.2 – Trading Securities by Collateral Type
(In Thousands)
 
December 31, 2015
 
December 31, 2014
Senior Securities
 
 
 
 
Prime
 
$
248,570

 
$
93,802

Non-prime
 
5,781

 
7,951

Total Senior Securities
 
254,351

 
101,753

Subordinate Securities
 
 
 
 
Prime mezzanine (1)
 
136,140

 
—

Prime subordinate (2)
 
13,520

 
9,853

Total Subordinate Securities
 
149,660

 
9,853

Total Trading Securities
 
$
404,011

 
$
111,606

(1)
Mezzanine includes securities initially rated AA, A and BBB- and issued in 2012 or later.
(2)
Subordinate securities includes less than $1 million of non-prime securities at both December 31, 2015, and December 31, 2014.
Available for Sale Securities by Collateral Type
The following table presents the fair value of our available-for-sale securities by collateral type at December 31, 2015 and December 31, 2014.
Table 8.3 – Available-for-Sale Securities by Collateral Type
(In Thousands)
 
December 31, 2015
 
December 31, 2014
Senior Securities
 
 
 
 
Prime
 
$
210,993

 
$
307,813

Non-prime
 
68,258

 
179,744

Total Senior Securities
 
279,251

 
487,557

Re-REMIC Securities
 
165,064

 
168,347

Subordinate Securities
 
 
 
 
Prime mezzanine (1)
 
220,141

 
448,838

Prime subordinate (2)
 
164,789

 
162,882

Total Subordinate Securities
 
384,930

 
611,720

Total AFS Securities
 
$
829,245

 
$
1,267,624

Notes to Table 8.3
(1)
Mezzanine includes securities initially rated AA, A and BBB- and issued in 2012 or later.
(2)
Subordinate securities includes less than $1 million of non-prime securities at both December 31, 2015, and December 31, 2014.
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, 2015 and December 31, 2014.
Table 8.4 – Carrying Value of AFS Securities
December 31, 2015
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
217,605

 
$
75,591

 
$
189,782

 
$
490,249

 
$
973,227

Credit reserve
 
(1,305
)
 
(5,101
)
 
(10,332
)
 
(32,131
)
 
(48,869
)
Unamortized discount, net
 
(22,079
)
 
(8,395
)
 
(71,670
)
 
(134,963
)
 
(237,107
)
Amortized cost
 
194,221

 
62,095

 
107,780

 
323,155

 
687,251

Gross unrealized gains
 
20,263

 
6,249

 
57,284

 
63,205

 
147,001

Gross unrealized losses
 
(3,491
)
 
(86
)
 
—

 
(1,430
)
 
(5,007
)
Carrying Value
 
$
210,993

 
$
68,258

 
$
165,064

 
$
384,930

 
$
829,245

December 31, 2014
 
Senior
 
 
 
 
 
 
(In Thousands)
 
Prime
 
Non-prime
 
Re-REMIC
 
Subordinate
 
Total
Principal balance
 
$
311,573

 
$
196,258

 
$
195,098

 
$
742,150

 
$
1,445,079

Credit reserve
 
(3,660
)
 
(9,644
)
 
(15,202
)
 
(41,561
)
 
(70,067
)
Unamortized discount, net
 
(34,782
)
 
(31,491
)
 
(79,611
)
 
(150,458
)
 
(296,342
)
Amortized cost
 
273,131

 
155,123

 
100,285

 
550,131

 
1,078,670

Gross unrealized gains
 
35,980

 
24,682

 
68,062

 
63,026

 
191,750

Gross unrealized losses
 
(1,298
)
 
(61
)
 
—

 
(1,437
)
 
(2,796
)
Carrying Value
 
$
307,813

 
$
179,744

 
$
168,347

 
$
611,720

 
$
1,267,624
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, 2015 and 2014, in unamortized discount and designated credit reserves on residential AFS securities.
Table 8.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
 
 
Year Ended December 31, 2015
 
Year Ended December 31, 2014
 
 
Credit
Reserve
 
Unamortized
Discount, Net
 
Credit
Reserve
 
Unamortized
Discount, Net
(In Thousands)
 
 
 
 
Beginning balance
 
$
70,067

 
$
296,342

 
$
116,870

 
$
298,469

Amortization of net discount
 
—

 
(36,850
)
 
—

 
(42,835
)
Realized credit losses
 
(8,535
)
 
—

 
(11,501
)
 
—

Acquisitions
 
2,557

 
15,791

 
3,581

 
15,348

Sales, calls, other
 
(7,296
)
 
(46,346
)
 
(2,555
)
 
(11,533
)
Impairments
 
—

 
246

 
565

 
—

Transfers to (release of) credit reserves, net
 
(7,924
)
 
7,924

 
(36,893
)
 
36,893

Ending Balance
 
$
48,869

 
$
237,107

 
$
70,067

 
$
296,342
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, 2015 and December 31, 2014.
Table 8.6 – Gross Unrealized Losses on Residential AFS Securities
 
 
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, 2015
 
$
87,718

 
$
(1,972
)
 
$
85,746

 
$
77,539

 
$
(3,035
)
 
$
74,504

December 31, 2014
 
126,681

 
(1,374
)
 
125,307

 
70,676

 
(1,422
)
 
69,254
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, 2015.
Table 8.7 – Significant Valuation Assumptions
 
 
Range for Securities
 
December 31, 2015
 
Prime
 
 
Non-prime
 
Prepayment rates
 
10 - 20
%
 
8 - 12
%
Projected losses
 
0 - 9
%
 
5 - 6
%
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, 2015, 2014, and 2013 for which a portion of an OTTI was recognized in other comprehensive income.
Table 8.8 – Activity of the Credit Component of Other-than-Temporary Impairments
 
 
Years Ended December 31,
(In Thousands)
 
2015
 
2014
 
2013
Balance at beginning of period
 
$
33,849

 
$
37,149

 
$
50,852

Additions
 
 
 
 
 
 
Initial credit impairments
 
246

 
261

 
137

Subsequent credit impairments
 
—

 
70

 
—

Reductions
 
 
 
 
 
 
Securities sold, or expected to sell
 
(4,567
)
 
(922
)
 
(5,811
)
Securities with no outstanding principal at period end
 
(1,251
)
 
(2,709
)
 
(8,029
)
Balance at End of Period
 
$
28,277

 
$
33,849

 
$
37,149
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, 2015, 2014, and 2013.
Table 8.9 – Gross Realized Gains and Losses on AFS Securities
 
 
Years Ended December 31,
(In Thousands)
 
2015
 
2014
 
2013
Gross realized gains - sales
 
$
34,922

 
$
15,030

 
$
24,613

Gross realized gains - calls
 
2,167

 
1,600

 
366

Gross realized losses - sales
 
(608
)
 
(2,713
)
 
(214
)
Gross realized losses - calls
 
(112
)
 
—

 
—

Total Realized Gains on Sales and Calls of AFS Securities, net
 
$
36,369

 
$
13,917

 
$
24,765