XML 97 R83.htm IDEA: XBRL DOCUMENT v3.19.2
Fair Value of Financial Instruments - Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value (Details)
$ in Thousands
6 Months Ended
Jun. 30, 2019
USD ($)
Jun. 30, 2019
Jun. 30, 2019
$ / loan
Dec. 31, 2018
USD ($)
Liabilities        
Contingent consideration | $ $ 24,932     $ 0
ABS Issued        
Liabilities        
ABS issued | $ 2,378,306      
ABS Issued | Prepayment rate (annual CPR) | Minimum        
Liabilities        
ABS issued, measurement input   0.08    
ABS Issued | Prepayment rate (annual CPR) | Maximum        
Liabilities        
ABS issued, measurement input   0.49    
ABS Issued | Prepayment rate (annual CPR) | Weighted Average        
Liabilities        
ABS issued, measurement input   0.19    
ABS Issued | Discount rate | Minimum        
Liabilities        
ABS issued, measurement input   0.03    
ABS Issued | Discount rate | Maximum        
Liabilities        
ABS issued, measurement input   0.15    
ABS Issued | Discount rate | Weighted Average        
Liabilities        
ABS issued, measurement input   0.04    
ABS Issued | Default rate | Minimum        
Liabilities        
ABS issued, measurement input   0    
ABS Issued | Default rate | Maximum        
Liabilities        
ABS issued, measurement input   0.09    
ABS Issued | Default rate | Weighted Average        
Liabilities        
ABS issued, measurement input   0.02    
ABS Issued | Loss severity | Minimum        
Liabilities        
ABS issued, measurement input   0.20    
ABS Issued | Loss severity | Maximum        
Liabilities        
ABS issued, measurement input   0.22    
ABS Issued | Loss severity | Weighted Average        
Liabilities        
ABS issued, measurement input   0.21    
Freddie Mac SLST        
Liabilities        
ABS issued | $ 991,766      
Freddie Mac SLST | Prepayment rate (annual CPR) | Minimum        
Liabilities        
ABS issued, measurement input   0.06    
Freddie Mac SLST | Prepayment rate (annual CPR) | Maximum        
Liabilities        
ABS issued, measurement input   0.06    
Freddie Mac SLST | Prepayment rate (annual CPR) | Weighted Average        
Liabilities        
ABS issued, measurement input   0.06    
Freddie Mac SLST | Discount rate | Minimum        
Liabilities        
ABS issued, measurement input   0.03    
Freddie Mac SLST | Discount rate | Maximum        
Liabilities        
ABS issued, measurement input   0.08    
Freddie Mac SLST | Discount rate | Weighted Average        
Liabilities        
ABS issued, measurement input   0.03    
Freddie Mac SLST | Default rate | Minimum        
Liabilities        
ABS issued, measurement input   0.02    
Freddie Mac SLST | Default rate | Maximum        
Liabilities        
ABS issued, measurement input   0.02    
Freddie Mac SLST | Default rate | Weighted Average        
Liabilities        
ABS issued, measurement input   0.02    
Freddie Mac SLST | Loss severity | Minimum        
Liabilities        
ABS issued, measurement input   0.30    
Freddie Mac SLST | Loss severity | Maximum        
Liabilities        
ABS issued, measurement input   0.30    
Freddie Mac SLST | Loss severity | Weighted Average        
Liabilities        
ABS issued, measurement input   0.30    
Freddie Mac K-Series        
Liabilities        
ABS issued | $ 3,543,057      
Freddie Mac K-Series | Prepayment rate (annual CPR) | Minimum        
Liabilities        
ABS issued, measurement input   0    
Freddie Mac K-Series | Prepayment rate (annual CPR) | Maximum        
Liabilities        
ABS issued, measurement input   0    
Freddie Mac K-Series | Prepayment rate (annual CPR) | Weighted Average        
Liabilities        
ABS issued, measurement input   0    
Freddie Mac K-Series | Discount rate | Minimum        
Liabilities        
ABS issued, measurement input   0.02    
Freddie Mac K-Series | Discount rate | Maximum        
Liabilities        
ABS issued, measurement input   0.09    
Freddie Mac K-Series | Discount rate | Weighted Average        
Liabilities        
ABS issued, measurement input   0.03    
Freddie Mac K-Series | Default rate | Minimum        
Liabilities        
ABS issued, measurement input   0.01    
Freddie Mac K-Series | Default rate | Maximum        
Liabilities        
ABS issued, measurement input   0.01    
Freddie Mac K-Series | Default rate | Weighted Average        
Liabilities        
ABS issued, measurement input   0.01    
Freddie Mac K-Series | Loss severity | Minimum        
Liabilities        
ABS issued, measurement input   0.20    
Freddie Mac K-Series | Loss severity | Maximum        
Liabilities        
ABS issued, measurement input   0.20    
Freddie Mac K-Series | Loss severity | Weighted Average        
Liabilities        
ABS issued, measurement input   0.20    
Loan purchase commitments        
Assets        
Loan purchase commitments, net | $ 4,707      
Loan purchase commitments | Prepayment rate (annual CPR) | Minimum        
Assets        
Loan purchase commitments, net, measurement input   0.15    
Loan purchase commitments | Prepayment rate (annual CPR) | Maximum        
Assets        
Loan purchase commitments, net, measurement input   0.20    
Loan purchase commitments | Prepayment rate (annual CPR) | Weighted Average        
Assets        
Loan purchase commitments, net, measurement input   0.18    
Loan purchase commitments | Whole loan spread to TBA price | Minimum        
Assets        
Loan purchase commitments, net, measurement input     0.61  
Loan purchase commitments | Whole loan spread to TBA price | Maximum        
Assets        
Loan purchase commitments, net, measurement input     1.55  
Loan purchase commitments | Whole loan spread to TBA price | Weighted Average        
Assets        
Loan purchase commitments, net, measurement input     1.54  
Loan purchase commitments | MSR multiple | Minimum        
Assets        
Loan purchase commitments, net, measurement input   0.7    
Loan purchase commitments | MSR multiple | Maximum        
Assets        
Loan purchase commitments, net, measurement input   4.6    
Loan purchase commitments | MSR multiple | Weighted Average        
Assets        
Loan purchase commitments, net, measurement input   2.2    
Loan purchase commitments | Pull-through rate | Minimum        
Assets        
Loan purchase commitments, net, measurement input   0.07    
Loan purchase commitments | Pull-through rate | Maximum        
Assets        
Loan purchase commitments, net, measurement input   1    
Loan purchase commitments | Pull-through rate | Weighted Average        
Assets        
Loan purchase commitments, net, measurement input   0.70    
Loan purchase commitments | Mortgage servicing amount | Minimum        
Assets        
Loan purchase commitments, net, measurement input   0.0095 0.0006  
Loan purchase commitments | Mortgage servicing amount | Maximum        
Assets        
Loan purchase commitments, net, measurement input   0.0365 0.0014  
Loan purchase commitments | Mortgage servicing amount | Weighted Average        
Assets        
Loan purchase commitments, net, measurement input   0.0228 0.001  
Loan purchase commitments | Whole loan spread to swap - hybrid | Minimum        
Assets        
Loan purchase commitments, net, measurement input   0.0085    
Loan purchase commitments | Whole loan spread to swap - hybrid | Maximum        
Assets        
Loan purchase commitments, net, measurement input   0.0345    
Loan purchase commitments | Whole loan spread to swap - hybrid | Weighted Average        
Assets        
Loan purchase commitments, net, measurement input   0.0129    
Contingent consideration        
Liabilities        
Contingent consideration | $ 24,932      
Contingent consideration | Discount rate | Minimum        
Liabilities        
Contingent consideration, measurement input     0.23  
Contingent consideration | Discount rate | Maximum        
Liabilities        
Contingent consideration, measurement input     0.23  
Contingent consideration | Discount rate | Weighted Average        
Liabilities        
Contingent consideration, measurement input     0.23  
Contingent consideration | Probability of outcomes | Minimum        
Liabilities        
Contingent consideration, measurement input     0  
Contingent consideration | Probability of outcomes | Maximum        
Liabilities        
Contingent consideration, measurement input     1  
Contingent consideration | Probability of outcomes | Weighted Average        
Liabilities        
Contingent consideration, measurement input     0.90  
Jumbo fixed-rate loans        
Assets        
Residential loans, at fair value | $ 2,724,429      
Jumbo fixed-rate loans | Prepayment rate (annual CPR) | Minimum        
Assets        
Residential loans, measurement input   0.20    
Jumbo fixed-rate loans | Prepayment rate (annual CPR) | Maximum        
Assets        
Residential loans, measurement input   0.20    
Jumbo fixed-rate loans | Prepayment rate (annual CPR) | Weighted Average        
Assets        
Residential loans, measurement input   0.20    
Jumbo fixed-rate loans | Whole loan spread to TBA price | Minimum        
Assets        
Residential loans, measurement input     1.55  
Jumbo fixed-rate loans | Whole loan spread to TBA price | Maximum        
Assets        
Residential loans, measurement input     1.55  
Jumbo fixed-rate loans | Whole loan spread to TBA price | Weighted Average        
Assets        
Residential loans, measurement input     1.55  
Jumbo fixed-rate loans | Whole loan spread to swap rate | Minimum        
Assets        
Residential loans, measurement input     0.0080  
Jumbo fixed-rate loans | Whole loan spread to swap rate | Maximum        
Assets        
Residential loans, measurement input     0.0365  
Jumbo fixed-rate loans | Whole loan spread to swap rate | Weighted Average        
Assets        
Residential loans, measurement input     0.0180  
Jumbo hybrid loans        
Assets        
Residential loans, at fair value | $ 344,151      
Jumbo hybrid loans | Prepayment rate (annual CPR) | Minimum        
Assets        
Residential loans, measurement input   0.15    
Jumbo hybrid loans | Prepayment rate (annual CPR) | Maximum        
Assets        
Residential loans, measurement input   0.15    
Jumbo hybrid loans | Prepayment rate (annual CPR) | Weighted Average        
Assets        
Residential loans, measurement input   0.15    
Jumbo hybrid loans | Whole loan spread to swap rate | Minimum        
Assets        
Residential loans, measurement input     0.0065  
Jumbo hybrid loans | Whole loan spread to swap rate | Maximum        
Assets        
Residential loans, measurement input     0.0360  
Jumbo hybrid loans | Whole loan spread to swap rate | Weighted Average        
Assets        
Residential loans, measurement input     0.0141  
Jumbo loans committed to sell        
Assets        
Residential loans, at fair value | $ 374,481      
Jumbo loans committed to sell | Whole loan committed sales price | Minimum        
Assets        
Residential loans, measurement input     101.84  
Jumbo loans committed to sell | Whole loan committed sales price | Maximum        
Assets        
Residential loans, measurement input     103.08  
Jumbo loans committed to sell | Whole loan committed sales price | Weighted Average        
Assets        
Residential loans, measurement input     102.12  
Legacy Sequoia        
Assets        
Residential loans, at fair value | $ 457,750      
Sequoia Choice        
Assets        
Residential loans, at fair value | $ 2,147,356      
Freddie Mac SLST        
Assets        
Residential loans, at fair value | $ 1,235,089      
Business purpose residential loans, at fair value        
Assets        
Residential loans, at fair value | $ 91,501      
Business purpose residential loans, at fair value | Prepayment rate (annual CPR) | Minimum        
Assets        
Residential loans, measurement input   0.02    
Business purpose residential loans, at fair value | Prepayment rate (annual CPR) | Maximum        
Assets        
Residential loans, measurement input   0.10    
Business purpose residential loans, at fair value | Prepayment rate (annual CPR) | Weighted Average        
Assets        
Residential loans, measurement input   0.05    
Business purpose residential loans, at fair value | Discount rate | Minimum        
Assets        
Residential loans, measurement input   0.12    
Business purpose residential loans, at fair value | Discount rate | Maximum        
Assets        
Residential loans, measurement input   0.12    
Business purpose residential loans, at fair value | Discount rate | Weighted Average        
Assets        
Residential loans, measurement input   0.12    
Business purpose residential loans, at fair value | Senior credit spread | Minimum        
Assets        
Residential loans, measurement input     0.0095  
Business purpose residential loans, at fair value | Senior credit spread | Maximum        
Assets        
Residential loans, measurement input     0.0095  
Business purpose residential loans, at fair value | Senior credit spread | Weighted Average        
Assets        
Residential loans, measurement input     0.0095  
Business purpose residential loans, at fair value | Subordinate credit spread | Minimum        
Assets        
Residential loans, measurement input     0.0140  
Business purpose residential loans, at fair value | Subordinate credit spread | Maximum        
Assets        
Residential loans, measurement input     0.1200  
Business purpose residential loans, at fair value | Subordinate credit spread | Weighted Average        
Assets        
Residential loans, measurement input     0.0306  
Business purpose residential loans, at fair value | Senior credit support | Minimum        
Assets        
MSR, measurement input   0.35    
Business purpose residential loans, at fair value | Senior credit support | Maximum        
Assets        
MSR, measurement input   0.35    
Business purpose residential loans, at fair value | Senior credit support | Weighted Average        
Assets        
MSR, measurement input   0.35    
Residential bridge loans        
Assets        
Residential loans, at fair value | $ 159,353      
Residential bridge loans | Discount rate | Minimum        
Assets        
Residential loans, measurement input   0.07    
Residential bridge loans | Discount rate | Maximum        
Assets        
Residential loans, measurement input   0.08    
Residential bridge loans | Discount rate | Weighted Average        
Assets        
Residential loans, measurement input   0.07    
Freddie Mac K-Series        
Assets        
Residential loans, at fair value | $ 3,749,657      
Trading and AFS securities        
Assets        
Trading and AFS securities | $ 1,477,486      
Trading and AFS securities | Prepayment rate (annual CPR) | Minimum        
Assets        
Trading and AFS securities   0    
Trading and AFS securities | Prepayment rate (annual CPR) | Maximum        
Assets        
Trading and AFS securities   0.60    
Trading and AFS securities | Prepayment rate (annual CPR) | Weighted Average        
Assets        
Trading and AFS securities   0.10    
Trading and AFS securities | Discount rate | Minimum        
Assets        
Trading and AFS securities   0.03    
Trading and AFS securities | Discount rate | Maximum        
Assets        
Trading and AFS securities   0.14    
Trading and AFS securities | Discount rate | Weighted Average        
Assets        
Trading and AFS securities   0.05    
Trading and AFS securities | Default rate | Minimum        
Assets        
Trading and AFS securities   0    
Trading and AFS securities | Default rate | Maximum        
Assets        
Trading and AFS securities   0.20    
Trading and AFS securities | Default rate | Weighted Average        
Assets        
Trading and AFS securities   0.02    
Trading and AFS securities | Loss severity | Minimum        
Assets        
Trading and AFS securities   0    
Trading and AFS securities | Loss severity | Maximum        
Assets        
Trading and AFS securities   0.40    
Trading and AFS securities | Loss severity | Weighted Average        
Assets        
Trading and AFS securities   0.21    
Servicer advance investments        
Assets        
Mortgage servicing rights | $ $ 259,222      
Servicer advance investments | Minimum        
Assets        
Expected remaining life 2 years      
Servicer advance investments | Maximum        
Assets        
Expected remaining life 2 years      
Servicer advance investments | Weighted Average        
Assets        
Expected remaining life 2 years      
Servicer advance investments | Prepayment rate (annual CPR) | Minimum        
Assets        
MSR, measurement input   0.08    
Servicer advance investments | Prepayment rate (annual CPR) | Maximum        
Assets        
MSR, measurement input   0.15    
Servicer advance investments | Prepayment rate (annual CPR) | Weighted Average        
Assets        
MSR, measurement input   0.14    
Servicer advance investments | Discount rate | Minimum        
Assets        
MSR, measurement input   0.04    
Servicer advance investments | Discount rate | Maximum        
Assets        
MSR, measurement input   0.04    
Servicer advance investments | Discount rate | Weighted Average        
Assets        
MSR, measurement input   0.04    
MSRs        
Assets        
Mortgage servicing rights | $ $ 47,396      
MSRs | Prepayment rate (annual CPR) | Minimum        
Assets        
MSR, measurement input   0.05    
MSRs | Prepayment rate (annual CPR) | Maximum        
Assets        
MSR, measurement input   0.45    
MSRs | Prepayment rate (annual CPR) | Weighted Average        
Assets        
MSR, measurement input   0.12    
MSRs | Discount rate | Minimum        
Assets        
MSR, measurement input   0.11    
MSRs | Discount rate | Maximum        
Assets        
MSR, measurement input   0.17    
MSRs | Discount rate | Weighted Average        
Assets        
MSR, measurement input   0.11    
MSRs | Per loan annual cost to service | Minimum        
Assets        
MSR, measurement input     82  
MSRs | Per loan annual cost to service | Maximum        
Assets        
MSR, measurement input     82  
MSRs | Per loan annual cost to service | Weighted Average        
Assets        
MSR, measurement input     82  
Excess MSRs        
Assets        
Mortgage servicing rights | $ 33,620      
Excess MSRs | Prepayment rate (annual CPR) | Minimum        
Assets        
MSR, measurement input   0.08    
Excess MSRs | Prepayment rate (annual CPR) | Maximum        
Assets        
MSR, measurement input   0.14    
Excess MSRs | Prepayment rate (annual CPR) | Weighted Average        
Assets        
MSR, measurement input   0.11    
Excess MSRs | Discount rate | Minimum        
Assets        
MSR, measurement input   0.11    
Excess MSRs | Discount rate | Maximum        
Assets        
MSR, measurement input   0.16    
Excess MSRs | Discount rate | Weighted Average        
Assets        
MSR, measurement input   0.14    
Excess MSRs | Excess mortgage servicing income | Minimum        
Assets        
MSR, measurement input     0.0007  
Excess MSRs | Excess mortgage servicing income | Maximum        
Assets        
MSR, measurement input     0.0017  
Excess MSRs | Excess mortgage servicing income | Weighted Average        
Assets        
MSR, measurement input     0.0012  
Guarantee asset        
Assets        
Guarantee asset | $ 1,999      
Guarantee asset | Prepayment rate (annual CPR) | Minimum        
Assets        
Guarantee asset   0.15    
Guarantee asset | Prepayment rate (annual CPR) | Maximum        
Assets        
Guarantee asset   0.15    
Guarantee asset | Prepayment rate (annual CPR) | Weighted Average        
Assets        
Guarantee asset   0.15    
Guarantee asset | Discount rate | Minimum        
Assets        
Guarantee asset   0.11    
Guarantee asset | Discount rate | Maximum        
Assets        
Guarantee asset   0.11    
Guarantee asset | Discount rate | Weighted Average        
Assets        
Guarantee asset   0.11    
REO        
Assets        
REO | $ $ 5,732      
REO | Loss severity | Minimum        
Assets        
REO, measurement input   0.03    
REO | Loss severity | Maximum        
Assets        
REO, measurement input   0.52    
REO | Loss severity | Weighted Average        
Assets        
REO, measurement input   0.07