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Principles of Consolidation (Tables) | 9 Months Ended
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Sep. 30, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract] |
Assets and Liabilities of Consolidated VIEs | The following table presents a summary of the assets and liabilities of these VIEs. Intercompany balances have been eliminated for purposes of this presentation. Table 4.1 – Assets and Liabilities of Consolidated VIEs
September 30, 2016 |  | Sequoia Entities
(Dollars in Thousands) |
Residential loans, held-for-investment |  | $ | 839,976 |
Restricted cash |  | 148 |
Accrued interest receivable |  | 1,030 |
Other assets |  | 6,245 |
Total Assets |  | $ | 847,399 |
Accrued interest payable |  | $ | 523 |
Asset-backed securities issued |  | 819,868 |
Total Liabilities |  | $ | 820,391 |
Number of VIEs |  | 20 |
December 31, 2015 |  | Sequoia Entities |  | Commercial Securitization |  | Total
(Dollars in Thousands) |  |  |
Residential loans, held-for-investment |  | $ | 1,021,870 |  |  | $ | — |  |  | $ | 1,021,870 |
Commercial loans, held-for-investment |  | — |  |  | 166,016 |  |  | 166,016 |
Restricted cash |  | 228 |  |  | 137 |  |  | 365 |
Accrued interest receivable |  | 1,131 |  |  | 1,297 |  |  | 2,428 |
Other assets |  | 4,895 |  |  | — |  |  | 4,895 |
Total Assets |  | $ | 1,028,124 |  |  | $ | 167,450 |  |  | $ | 1,195,574 |
Accrued interest payable |  | $ | 555 |  |  | $ | 249 |  |  | $ | 804 |
Accrued expenses and other liabilities |  | 100 |  |  | — |  |  | 100 |
Asset-backed securities issued, net |  | 996,820 |  |  | 53,137 |  |  | 1,049,957 |
Total Liabilities |  | $ | 997,475 |  |  | $ | 53,386 |  |  | $ | 1,050,861 |
Number of VIEs |  | 21 |  |  | 1 |  |  | 22 |
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents information related to securitization transactions that occurred during the three and nine months ended September 30, 2016 and 2015. Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2016 |  | 2015 |  | 2016 |  | 2015
Principal balance of loans transferred |  | $ | 348,537 |  |  | $ | — |  |  | $ | 693,427 |  |  | $ | 1,038,451 |
Trading securities retained, at fair value |  | — |  |  | — |  |  | — |  |  | 33,389 |
AFS securities retained, at fair value |  | 1,839 |  |  | — |  |  | 3,673 |  |  | 6,309 |
MSRs recognized |  | 1,971 |  |  | — |  |  | 4,102 |  |  | 7,874 |
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three and nine months ended September 30, 2016 and 2015 between us and the unconsolidated VIEs sponsored by us. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2016 |  | 2015 |  | 2016 |  | 2015
Proceeds from new transfers |  | $ | 356,497 |  |  | $ | — |  |  | $ | 708,539 |  |  | $ | 1,018,312 |
MSR fees received |  | 3,473 |  |  | 3,817 |  |  | 10,397 |  |  | 11,287 |
Funding of compensating interest |  | (98 | ) |  | (86 | ) |  | (254 | ) |  | (283 | )
Cash flows received on retained securities |  | 6,384 |  |  | 8,190 |  |  | 24,314 |  |  | 31,541 |
Assumptions Related to Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents the key weighted-average assumptions used to measure MSRs and securities retained at the date of securitization. Table 4.4 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood
|  | Three Months Ended September 30, 2016 |  | Three Months Ended September 30, 2015
At Date of Securitization |  | MSRs |  | Subordinate Securities |  | MSRs |  | Senior Securities |  | Subordinate Securities
Prepayment rate |  | 24 | % |  | 15 | % |  | N/A |  |  | N/A |  |  | N/A |
Discount rates |  | 11 | % |  | 7 | % |  | N/A |  |  | N/A |  |  | N/A |
Credit loss assumptions |  | N/A |  |  | 0.25 | % |  | N/A |  |  | N/A |  |  | N/A |
|  | Nine Months Ended September 30, 2016 |  | Nine Months Ended September 30, 2015
At Date of Securitization |  | MSRs |  | Subordinate Securities |  | MSRs |  | Senior Securities |  | Subordinate Securities
Prepayment rate |  | 22 | % |  | 15 | % |  | 14 | % |  | 8 | % |  | 8 | %
Discount rates |  | 11 | % |  | 7 | % |  | 11 | % |  | 3 | % |  | 6 | %
Credit loss assumptions |  | N/A |  |  | 0.25 | % |  | N/A |  |  | 0.25 | % |  | 0.25 | %
Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents additional information at September 30, 2016 and December 31, 2015, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.5 – Unconsolidated VIEs Sponsored by Redwood
(In Thousands) |  | September 30, 2016 |  | December 31, 2015
On-balance sheet assets, at fair value: |  |  |  |
Interest-only, senior and subordinate securities, classified as trading |  | $ | 31,271 |  |  | $ | 258,697 |
Subordinate securities, classified as AFS |  | 237,248 |  |  | 272,715 |
Mortgage servicing rights |  | 35,609 |  |  | 56,984 |
Maximum loss exposure (1) |  | $ | 304,128 |  |  | $ | 588,396 |
Assets transferred: |  |  |  |
Principal balance of loans outstanding |  | $ | 6,990,350 |  |  | $ | 7,318,167 |
Principal balance of delinquent loans 30+ days delinquent |  | 19,775 |  |  | 18,300 |
(1) | Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization.
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at September 30, 2016 and December 31, 2015. Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood
September 30, 2016 |  | MSRs |  | Senior Securities (1) |  | Subordinate Securities
(Dollars in Thousands) |  |  |
Fair value at September 30, 2016 |  | $ | 35,609 |  |  | $ | 19,098 |  |  | $ | 249,421 |
Expected life (in years) (2) |  | 5 |  |  | 5 |  |  | 12 |
Prepayment speed assumption (annual CPR) (2) |  | 25 | % |  | 14 | % |  | 14 | %
Decrease in fair value from: |  |  |  |  |  |
10% adverse change |  | $ | 2,414 |  |  | $ | 893 |  |  | $ | 955 |
25% adverse change |  | 5,687 |  |  | 2,119 |  |  | 2,364 |
Discount rate assumption (2) |  | 11 | % |  | 15 | % |  | 5 | %
Decrease in fair value from: |  |  |  |  |  |
100 basis point increase |  | $ | 861 |  |  | $ | 551 |  |  | $ | 19,395 |
200 basis point increase |  | 1,674 |  |  | 1,072 |  |  | 36,292 |
Credit loss assumption (2) |  | N/A |  |  | 0.25 | % |  | 0.25 | %
Decrease in fair value from: |  |  |  |  |  |
10% higher losses |  | N/A |  |  | $ | 11 |  |  | $ | 1,220 |
25% higher losses |  | N/A |  |  | 27 |  |  | 3,048 |
December 31, 2015 |  | MSRs |  | Senior Securities (1) |  | Subordinate Securities
(Dollars in Thousands) |  |  |
Fair value at December 31, 2015 |  | $ | 56,984 |  |  | $ | 248,570 |  |  | $ | 282,842 |
Expected life (in years) (2) |  | 7 |  |  | 5 |  |  | 12 |
Prepayment speed assumption (annual CPR) (2) |  | 11 | % |  | 10 | % |  | 12 | %
Decrease in fair value from: |  |  |  |  |  |
10% adverse change |  | $ | 2,868 |  |  | $ | 2,042 |  |  | $ | 901 |
25% adverse change |  | 6,119 |  |  | 4,810 |  |  | 2,278 |
Discount rate assumption (2) |  | 11 | % |  | 5 | % |  | 6 | %
Decrease in fair value from: |  |  |  |  |  |
100 basis point increase |  | $ | 2,711 |  |  | $ | 10,029 |  |  | $ | 21,981 |
200 basis point increase |  | 4,745 |  |  | 19,365 |  |  | 41,156 |
Credit loss assumption (2) |  | N/A |  |  | 0.25 | % |  | 0.25 | %
Decrease in fair value from: |  |  |  |  |  |
10% higher losses |  | N/A |  |  | $ | 35 |  |  | $ | 1,244 |
25% higher losses |  | N/A |  |  | 86 |  |  | 3,129 |
(1) | Senior securities included $19 million and $31 million of interest only securities at September 30, 2016 and December 31, 2015, respectively.
(2) | Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages.
Schedule of Third-Party Sponsored VIE Summary | The following table presents a summary of our interests in third-party VIEs at September 30, 2016, grouped by security type. Table 4.7 – Third-Party Sponsored VIE Summary
(Dollars in Thousands) |  | September 30, 2016
Mortgage Backed Securities |  |
Senior |  | $ | 76,685 |
Re-REMIC |  | 161,234 |
Subordinate |  | 430,471 |
Total Investments in Third-Party Sponsored VIEs |  | $ | 668,390 |

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- Definition Cash Flows between a transferor and a transferee attributable to transferred assets related to either a securitization 0r asset-backed financing arrangement in which the transferor has continuing involvement with the transferred financial assets underlying the transaction (including, but not limited to, servicing, recourse, and restrictions on transferor's interests in the transferred financial assets). + References No definition available. + Details
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- Definition Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=52262685&loc=d3e5747-111685 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=52262685&loc=SL6228884-111685 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=52262685&loc=d3e5728-111685 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Glossary Variable Interest Entity -URI http://asc.fasb.org/extlink&oid=6528138 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI http://asc.fasb.org/extlink&oid=52262685&loc=SL6759159-111685 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=52262685&loc=d3e5710-111685 + Details
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