Real Estate Securities (Tables)
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12 Months Ended |
Dec. 31, 2015 |
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| Investments, Debt and Equity Securities [Abstract] |
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| 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 |
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| 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 |
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| | (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. |
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| 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 |
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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. |
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| 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 |
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| | | | | | | | | | | | | | | | | | | | | | 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 |
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| 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 |
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| 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 |
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| 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 | % |
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| 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 |
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| 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 |
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