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Residential Loans | 6 Months Ended
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Jun. 30, 2016
Residential Loans |
Mortgage Loans on Real Estate [Line Items] |
Loans | Residential Loans We acquire residential loans from third-party originators. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at June 30, 2016 and December 31, 2015. Table 6.1 – Classifications and Carrying Values of the Residential Loans
June 30, 2016 |  |  |  |  |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Total
Held-for-sale |  |  |  |  |  |
At fair value - jumbo |  | $ | 881,100 |  |  | $ | — |  |  | $ | 881,100 |
At lower of cost or fair value - jumbo |  | 1,280 |  |  | — |  |  | 1,280 |
Total held-for-sale |  | 882,380 |  |  | — |  |  | 882,380 |
Held-for-investment |  |  |  |  |  |  |
At fair value - jumbo |  | 2,277,561 |  |  | 880,197 |  |  | 3,157,758 |
Total Residential Loans |  | $ | 3,159,941 |  |  | $ | 880,197 |  |  | $ | 4,040,138 |
December 31, 2015 |  |  |  |  |  |
(In Thousands) |  | Redwood |  | Sequoia |  | Total
Held-for-sale |  |  |  |  |  |
At fair value - conforming |  | $ | 129,819 |  |  | $ | — |  |  | $ | 129,819 |
At fair value - jumbo |  | 984,486 |  |  | — |  |  | 984,486 |
Lower of cost or fair value - jumbo |  | 1,433 |  |  | — |  |  | 1,433 |
Total held-for-sale |  | 1,115,738 |  |  | — |  |  | 1,115,738 |
Held-for-investment |  |  |  |  |  |
At fair value - jumbo |  | 1,791,195 |  |  | 1,021,870 |  |  | 2,813,065 |
Total Residential Loans |  | $ | 2,906,933 |  |  | $ | 1,021,870 |  |  | $ | 3,928,803 |
At June 30, 2016, we owned mortgage servicing rights associated with $2.28 billion (principal balance) of consolidated residential loans purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheet. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At June 30, 2016, we owned 1,154 loans held-for-sale at fair value with an aggregate unpaid principal balance of $859 million and a fair value of $881 million, compared to 1,763 loans with an aggregate unpaid principal balance of $1.09 billion and a fair value of $1.11 billion at December 31, 2015. At June 30, 2016, none of these loans were greater than 90 days delinquent or in foreclosure. At December 31, 2015, one of these loans was greater than 90 days delinquent and one of these loans was in foreclosure. During the three and six months ended June 30, 2016, we purchased $1.32 billion and $2.51 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $0.81 billion and $2.05 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $6 million and $11 million, respectively, through Mortgage banking activities, net, a component of our consolidated statements of income. At June 30, 2016, loans held-for-sale with a market value of $775 million were pledged as collateral under short-term borrowing agreements. During the three and six months ended June 30, 2015, we purchased $2.78 billion and $5.18 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $2.74 billion and $4.93 billion (principal balance) of loans, respectively, for which we recorded net market valuation losses of $3 million and $1 million, respectively, through Mortgage banking activities, net, a component of our consolidated statements of income. At Lower of Cost or Fair Value At June 30, 2016 and December 31, 2015, we held eight and nine, respectively, residential loans at the lower of cost or fair value with $2 million in outstanding principal balance for both periods and a carrying value of $1 million for both periods. At both June 30, 2016 and December 31, 2015, one of these loans was greater than 90 days delinquent and one of these loans was in foreclosure. At June 30, 2016 and December 31, 2015, the unpaid principal balance of loans delinquent greater than 90 days was $0.3 million and $0.4 million, respectively, and the unpaid principal balance of loans in foreclosure was $0.1 million for both periods. Residential Loans Held-for-Investment at Fair Value At Redwood At June 30, 2016, we owned 3,032 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.21 billion and a fair value of $2.28 billion, compared to 2,398 loans with an aggregate unpaid principal balance of $1.76 billion and a fair value of $1.79 billion at December 31, 2015. At both June 30, 2016 and December 31, 2015, none of these loans were greater than 90 days delinquent or in foreclosure. During the three and six months ended June 30, 2016, we transferred loans with a fair value of $65 million and $725 million, respectively, from held-for-sale to held-for-investment. During the three and six months ended June 30, 2016, we transferred loans with a fair value of $2 million and $56 million, respectively, from held-for-investment to held-for-sale. During the three and six months ended June 30, 2016, we recorded a net market valuation loss of $1 million and a net market valuation gain of $23 million, respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net, a component of our consolidated statements of income. At June 30, 2016, loans with a fair value of $2.27 billion were pledged as collateral under a borrowing agreement with the FHLBC. During the three and six months ended June 30, 2015, we transferred loans with a fair value of $215 million and $662 million, respectively, from held-for-sale to held-for-investment. We did not transfer loans from held-for-investment to held-for-sale during the three and six months ended June 30, 2015. During the three and six months ended June 30, 2015, we recorded net market valuation losses of $6 million and $4 million, respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net, a component of our consolidated statements of income. At June 30, 2016, the outstanding loans held-for-investment at Redwood were prime-quality, first lien loans, of which 93% were originated between 2013 and 2016, and 7% were originated in 2012 and prior years. The weighted average FICO score of borrowers backing these loans was 773 (at origination) and the weighted average loan-to-value ("LTV") ratio of these loans was 66% (at origination). At June 30, 2016, these loans were comprised of 99% fixed-rate loans with a weighted average coupon of 4.15%, and the remainder were hybrid or ARM loans with a weighted average coupon of 4.01%. At Consolidated Sequoia Entities At June 30, 2016, we owned 4,071 held-for-investment loans at consolidated Sequoia entities, with an aggregate unpaid principal balance of $995 million and a fair value of $880 million, as compared to 4,545 loans at December 31, 2015, with an aggregate unpaid principal balance of $1.12 billion and a fair value of $1.02 billion. At origination, the weighted average FICO score of borrowers backing these loans was 729, the weighted average LTV ratio of these loans was 66%, and the loans were nearly all first lien and prime-quality. At June 30, 2016 and December 31, 2015, the unpaid principal balance of loans at consolidated Sequoia entities delinquent greater than 90 days was $20 million and $27 million, respectively, and the unpaid principal balance of loans in foreclosure was $25 million and $32 million, respectively. During the three and six months ended June 30, 2016, we recorded a net market valuation gain of $8 million and a net market valuation loss of $28 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. During the three and six months ended June 30, 2015, we recorded net market valuation gains of $2 million and $5 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income.

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