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Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2017
Fair Value Disclosures [Abstract] |
Carrying Values and Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at March 31, 2017 and December 31, 2016. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities
|  | March 31, 2017 |  | December 31, 2016
|  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
(In Thousands) |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential loans, held-for-sale |  |  |  |  |  |  |  |
At fair value |  | $ | 375,407 |  |  | $ | 375,407 |  |  | $ | 834,193 |  |  | $ | 834,193 |
At lower of cost or fair value |  | 1,200 |  |  | 1,354 |  |  | 1,206 |  |  | 1,365 |
Residential loans, held-for-investment |  |  |  |  |  |  |  |
At fair value |  | 3,095,634 |  |  | 3,095,634 |  |  | 3,052,652 |  |  | 3,052,652 |
Trading securities |  | 591,152 |  |  | 591,152 |  |  | 445,687 |  |  | 445,687 |
Available-for-sale securities |  | 574,788 |  |  | 574,788 |  |  | 572,752 |  |  | 572,752 |
MSRs |  | 111,013 |  |  | 111,013 |  |  | 118,526 |  |  | 118,526 |
Cash and cash equivalents |  | 221,781 |  |  | 221,781 |  |  | 212,844 |  |  | 212,844 |
Restricted cash |  | 1,929 |  |  | 1,929 |  |  | 8,623 |  |  | 8,623 |
Accrued interest receivable |  | 17,645 |  |  | 17,645 |  |  | 18,454 |  |  | 18,454 |
Derivative assets |  | 26,660 |  |  | 26,660 |  |  | 36,595 |  |  | 36,595 |
REO (1) |  | 3,953 |  |  | 4,183 |  |  | 5,533 |  |  | 5,560 |
Margin receivable (1) |  | 83,229 |  |  | 83,229 |  |  | 68,038 |  |  | 68,038 |
FHLBC stock (1) |  | 43,393 |  |  | 43,393 |  |  | 43,393 |  |  | 43,393 |
Guarantee asset (1) |  | 3,846 |  |  | 3,846 |  |  | 4,092 |  |  | 4,092 |
Commercial loans (1) |  | 2,700 |  |  | 2,700 |  |  | 2,700 |  |  | 2,700 |
Pledged collateral (1) |  | 42,916 |  |  | 42,916 |  |  | 42,875 |  |  | 42,875 |
Liabilities |  |  |  |  |  |  |  |
Short-term debt |  | $ | 563,773 |  |  | $ | 563,773 |  |  | $ | 791,539 |  |  | $ | 791,539 |
Accrued interest payable |  | 16,035 |  |  | 16,035 |  |  | 9,608 |  |  | 9,608 |
Margin payable |  | 3,394 |  |  | 3,394 |  |  | 12,783 |  |  | 12,783 |
Guarantee obligation |  | 21,082 |  |  | 21,764 |  |  | 21,668 |  |  | 22,181 |
Derivative liabilities |  | 66,867 |  |  | 66,867 |  |  | 66,329 |  |  | 66,329 |
ABS issued at fair value, net |  | 728,391 |  |  | 728,391 |  |  | 773,462 |  |  | 773,462 |
FHLBC long-term borrowings |  | 1,999,999 |  |  | 1,999,999 |  |  | 1,999,999 |  |  | 1,999,999 |
Convertible notes, net |  | 482,994 |  |  | 496,820 |  |  | 482,195 |  |  | 493,365 |
Trust preferred securities and subordinated notes, net |  | 138,501 |  |  | 101,138 |  |  | 138,489 |  |  | 96,255 |
(1) | These assets are included in Other assets on our consolidated balance sheets.
Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at March 31, 2017 and December 31, 2016, as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2017 |  | Carrying Value |  | Fair Value Measurements Using
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |
Residential loans |  | $ | 3,471,041 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,471,041 |
Trading securities |  | 591,152 |  |  | — |  |  | — |  |  | 591,152 |
Available-for-sale securities |  | 574,788 |  |  | — |  |  | — |  |  | 574,788 |
Derivative assets |  | 26,660 |  |  | 9,548 |  |  | 11,552 |  |  | 5,560 |
MSRs |  | 111,013 |  |  | — |  |  | — |  |  | 111,013 |
Pledged collateral |  | 42,916 |  |  | 42,916 |  |  | — |  |  | — |
FHLBC stock |  | 43,393 |  |  | — |  |  | 43,393 |  |  | — |
Guarantee asset |  | 3,846 |  |  | — |  |  | — |  |  | 3,846 |
Liabilities |  |  |  |  |  |  |  |  |
Derivative liabilities |  | $ | 66,867 |  |  | $ | 9,798 |  |  | $ | 56,296 |  |  | $ | 773 |
ABS issued |  | 728,391 |  |  | — |  |  | — |  |  | 728,391 |
December 31, 2016 |  | Carrying Value |  | Fair Value Measurements Using
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |
Residential loans |  | $ | 3,886,845 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,886,845 |
Trading securities |  | 445,687 |  |  | — |  |  | — |  |  | 445,687 |
Available-for-sale securities |  | 572,752 |  |  | — |  |  | — |  |  | 572,752 |
Derivative assets |  | 36,595 |  |  | 8,300 |  |  | 24,980 |  |  | 3,315 |
MSRs |  | 118,526 |  |  | — |  |  | — |  |  | 118,526 |
Pledged collateral |  | 42,875 |  |  | 42,875 |  |  | — |  |  | — |
FHLBC stock |  | 43,393 |  |  | — |  |  | 43,393 |  |  | — |
Guarantee asset |  | 4,092 |  |  | — |  |  | — |  |  | 4,092 |
Liabilities |  |  |  |  |  |  |  |
Derivative liabilities |  | $ | 66,329 |  |  | $ | 5,609 |  |  | $ | 56,919 |  |  | $ | 3,801 |
ABS issued |  | 773,462 |  |  | — |  |  | — |  |  | 773,462 |
Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2017. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
|  | Assets |  |  |  | Liabilities
|  | Residential Loans |  | Trading Securities |  | AFS Securities |  | MSRs |  | Guarantee Asset |  | Derivatives(1) |  | ABS Issued
(In Thousands) |  |  |  |  |  |  |
Beginning balance - December 31, 2016 |  | $ | 3,886,845 |  |  | $ | 445,687 |  |  | $ | 572,752 |  |  | $ | 118,526 |  |  | $ | 4,092 |  |  | $ | (486 | ) |  | $ | 773,462 |
Acquisitions |  | 1,108,332 |  |  | 145,396 |  |  | 25,333 |  |  | 7,485 |  |  | — |  |  | — |  |  | — |
Sales |  | (1,377,574 | ) |  | (8,279 | ) |  | (18,456 | ) |  | (11,928 | ) |  | — |  |  | — |  |  | — |
Principal paydowns |  | (160,102 | ) |  | (2,836 | ) |  | (14,693 | ) |  | — |  |  | — |  |  | — |  |  | (55,609 | )
Gains (losses) in net income, net |  | 14,504 |  |  | 11,184 |  |  | 10,848 |  |  | (3,070 | ) |  | (246 | ) |  | 10,265 |  |  | 10,538 |
Unrealized losses in OCI, net |  | — |  |  | — |  |  | (996 | ) |  | — |  |  | — |  |  | — |  |  | — |
Other settlements, net(2) |  | (964 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | (4,992 | ) |  | — |
Ending Balance - March 31, 2017 |  | $ | 3,471,041 |  |  | $ | 591,152 |  |  | $ | 574,788 |  |  | $ | 111,013 |  |  | $ | 3,846 |  |  | $ | 4,787 |  |  | $ | 728,391 |
(1) | For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis.
(2) | Other settlements, net for derivatives represents the transfer of the fair value of loan purchase commitments at the time loans are acquired to the basis of residential loans.
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at March 31, 2017 and 2016. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three months ended March 31, 2017 and 2016 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at March 31, 2017 and 2016 Included in Net Income
|  | Included in Net Income
|  | Three Months Ended March 31,
(In Thousands) |  | 2017 |  | 2016
Assets |  |  |  |
Residential loans at Redwood |  | $ | 3,723 |  |  | $ | 27,285 |
Residential loans at consolidated Sequoia entities |  | 8,414 |  |  | (35,656 | )
Commercial loans |  | — |  |  | 2,171 |
Trading securities |  | 10,051 |  |  | (6,135 | )
Available-for-sale securities |  | (117 | ) |  | — |
MSRs |  | (916 | ) |  | (30,834 | )
Loan purchase commitments |  | 4,823 |  |  | 4,644 |
Other assets - Guarantee asset |  | (246 | ) |  | (1,425 | )
Liabilities |  |  |  |
Commercial secured borrowing |  | — |  |  | 2,171 |
ABS issued |  | (10,538 | ) |  | 33,515 |
Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at March 31, 2017. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheet at March 31, 2017. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at March 31, 2017
|  |  |  |  |  |  |  |  |  | Gain (Loss) for
March 31, 2017 |  | Carrying Value |  | Fair Value Measurements Using |  | Three Months Ended
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3 |  | March 31, 2017
Assets |  |  |  |  |  |  |  |  |  |
Residential loans, at lower of cost or fair value |  | $ | 862 |  |  | $ | — |  |  | $ | — |  |  | $ | 862 |  |  | $ | 2 |
Commercial loans, at lower of cost or fair value |  | 2,700 |  |  | — |  |  | — |  |  | 2,700 |  |  | — |
REO |  | 3,255 |  |  | — |  |  | — |  |  | 3,255 |  |  | (674 | )
Market Valuation Gains and Losses, Net | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three months ended March 31, 2017 and 2016. Table 5.6 – Market Valuation Gains and Losses, Net
|  | Three Months Ended March 31,
(In Thousands) |  | 2017 |  | 2016
Mortgage Banking Activities, Net |  |  |  |
Residential loans held-for-sale, at fair value |  | $ | 8,532 |  |  | $ | 5,439 |
Residential loan purchase commitments |  | 10,265 |  |  | 12,635 |
Commercial loans, at fair value |  | — |  |  | 433 |
Sequoia securities |  | — |  |  | 1,484 |
Risk management derivatives, net |  | (1,400 | ) |  | (12,754 | )
Total mortgage banking activities, net (1) |  | $ | 17,397 |  |  | $ | 7,237 |
Investment Fair Value Changes, Net |  |  |  |
Residential loans held-for-investment at Redwood |  | $ | (2,333 | ) |  | $ | 23,463 |
Trading securities |  | 11,143 |  |  | (5,601 | )
Net investments in consolidated Sequoia entities |  | (1,810 | ) |  | (1,580 | )
Risk sharing investments |  | (205 | ) |  | (10 | )
Risk management derivatives, net |  | (5,127 | ) |  | (35,810 | )
Impairments on AFS securities |  | (117 | ) |  | — |
Total investment fair value changes, net |  | $ | 1,551 |  |  | $ | (19,538 | )
MSR Income (Loss), Net |  |  |  |
MSRs |  | $ | (3,070 | ) |  | $ | (44,604 | )
Risk management derivatives, net |  | (749 | ) |  | 41,057 |
Total MSR loss, net (2) |  | $ | (3,819 | ) |  | $ | (3,547 | )
Total Market Valuation Gains (Losses), Net |  | $ | 15,129 |  |  | $ | (15,848 | )
(1) | Mortgage banking activities, net presented above does not include fee income or provisions for repurchases that are components of Mortgage banking activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes.
(2) | MSR income (loss), net presented above does not include net fee income or provisions for repurchases that are components of MSR income, net on our consolidated statements of income, as these amounts do not represent market valuation adjustments.
Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value | The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments
March 31, 2017 |  | Fair Value |  |  |  | Input Values
(Dollars in Thousands, except Input Values) |  |  | Unobservable Input |  | Range |  |  | Weighted Average
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |
Jumbo fixed-rate loans |  | $ | 2,438,357 |  |  | Whole loan spread to TBA price |  | $ | 3.00 |  | - | $ | 4.13 |  |  |  | $ | 3.76 |  |
|  |  |  | Whole loan spread to swap rate |  | 190 |  | - | 285 |  | bps |  | 271 |  | bps
Jumbo hybrid loans |  | 66,842 |  |  | Prepayment rate (annual CPR) |  | 15 |  | - | 15 |  | % |  | 15 |  | %
|  |  |  | Whole loan spread to swap rate |  | 115 |  | - | 230 |  | bps |  | 171 |  | bps
Jumbo loans committed to sell |  | 220,221 |  |  | Whole loan committed sales price |  | $ | 100.27 |  | - | $ | 102.23 |  |  |  | $ | 102.07 |  |
Loans held by consolidated Sequoia entities (1) |  | 745,621 |  |  | Liability price |  |  |  | N/A |  |  |  | N/A |  |
Residential loans, at lower of cost or fair value |  | 862 |  |  | Loss severity |  | 15 |  | - | 30 |  | % |  | 20 |  | %
Trading and AFS securities |  | 1,165,940 |  |  | Discount rate |  | 4 |  | - | 12 |  | % |  | 8 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 1 |  | - | 56 |  | % |  | 17 |  | %
|  |  |  | Default rate |  | — |  | - | 19 |  | % |  | 2 |  | %
|  |  |  | Loss severity |  | 20 |  | - | 64 |  | % |  | 22 |  | %
|  |  |  | Credit support |  | — |  | - | 48 |  | % |  | 3 |  | %
MSRs |  | 111,013 |  |  | Discount rate |  | 10 |  | - | 16 |  | % |  | 11 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 4 |  | - | 34 |  | % |  | 9 |  | %
|  |  |  | Per loan annual cost to service |  | $ | 82 |  | - | $ | 82 |  |  |  | $ | 82 |  |
Guarantee asset |  | 3,846 |  |  | Discount rate |  | 11 |  | - | 11 |  | % |  | 11 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 10 |  | - | 10 |  | % |  | 10 |  | %
REO |  | 3,255 |  |  | Loss severity |  | 6 |  | - | 100 |  | % |  | 34 |  | %
Loan purchase commitments, net (2) |  | 4,787 |  |  | MSR multiple |  | 0.7 |  | - | 5.5 |  | x |  | 3.5 |  | x
|  |  |  | Pull-through rate |  | 12 |  | - | 100 |  | % |  | 69 |  | %
|  |  |  | Whole loan spread to TBA price |  | $ | 2.84 |  | - | $ | 4.13 |  |  |  | $ | 4.09 |  |
|  |  |  | Whole loan spread to swap rate - fixed rate |  | 190 |  | - | 285 |  | bps |  | 280 |  | bps
|  |  |  | Prepayment rate (annual CPR) |  | 15 |  | - | 15 |  | % |  | 15 |  | %
|  |  |  | Whole loan spread to swap rate - hybrid |  | 115 |  | - | 230 |  | bps |  | 141 |  | bps
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
ABS issued (1) |  | 728,391 |  |  | Discount rate |  | 4 |  | - | 8 |  | % |  | 5 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 2 |  | - | 20 |  | % |  | 16 |  | %
|  |  |  | Default rate |  | 1 |  | - | 12 |  | % |  | 7 |  | %
|  |  |  | Loss severity |  | 20 |  | - | 32 |  | % |  | 27 |  | %
|  |  |  | Credit support |  | — |  | - | 80 |  | % |  | 9 |  | %
(1) | The fair value of the loans held by consolidated Sequoia entities was based on the fair value of the ABS issued by these entities, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities.
(2) | For the purpose of this presentation, loan purchase commitment assets and liabilities are presented net.

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- Definition Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 + Details
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