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Fair Value of Financial Instruments (Tables) | 12 Months Ended
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Dec. 31, 2019
Fair Value Disclosures [Abstract] |
Carrying Values and Estimated 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 December 31, 2019 and December 31, 2018. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities
|  | December 31, 2019 |  | December 31, 2018
|  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
(In Thousands) |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential loans, held-for-sale at fair value |  | $ | 536,385 |  |  | $ | 536,509 |  |  | $ | 1,048,801 |  |  | $ | 1,048,821 |
Residential loans, held-for-investment |  | 7,178,465 |  |  | 7,178,465 |  |  | 6,205,941 |  |  | 6,205,941 |
Business purpose residential loans, held-for-sale |  | 331,565 |  |  | 331,565 |  |  | 28,460 |  |  | 28,460 |
Business purpose residential loans, held-for-investment |  | 3,175,178 |  |  | 3,175,178 |  |  | 112,798 |  |  | 112,798 |
Multifamily loans |  | 4,408,524 |  |  | 4,408,524 |  |  | 2,144,598 |  |  | 2,144,598 |
Trading securities |  | 860,540 |  |  | 860,540 |  |  | 1,118,612 |  |  | 1,118,612 |
Available-for-sale securities |  | 239,334 |  |  | 239,334 |  |  | 333,882 |  |  | 333,882 |
Servicer advance investments (1) |  | 169,204 |  |  | 169,204 |  |  | 300,468 |  |  | 300,468 |
MSRs (1) |  | 42,224 |  |  | 42,224 |  |  | 60,281 |  |  | 60,281 |
Participation in loan warehouse facility (1) |  | — |  |  | — |  |  | 39,703 |  |  | 39,703 |
Excess MSRs (1) |  | 31,814 |  |  | 31,814 |  |  | 27,312 |  |  | 27,312 |
Shared home appreciation options (1) |  | 45,085 |  |  | 45,085 |  |  | — |  |  | — |
Cash and cash equivalents |  | 196,966 |  |  | 196,966 |  |  | 175,764 |  |  | 175,764 |
Restricted cash |  | 93,867 |  |  | 93,867 |  |  | 29,313 |  |  | 29,313 |
Accrued interest receivable |  | 71,058 |  |  | 71,058 |  |  | 47,105 |  |  | 47,105 |
Derivative assets |  | 35,701 |  |  | 35,701 |  |  | 35,789 |  |  | 35,789 |
REO (2) |  | 9,462 |  |  | 10,389 |  |  | 3,943 |  |  | 4,396 |
Margin receivable (2) |  | 209,776 |  |  | 209,776 |  |  | 100,773 |  |  | 100,773 |
FHLBC stock (2) |  | 43,393 |  |  | 43,393 |  |  | 43,393 |  |  | 43,393 |
Guarantee asset (2) |  | 1,686 |  |  | 1,686 |  |  | 2,618 |  |  | 2,618 |
Pledged collateral (2) |  | 32,945 |  |  | 32,945 |  |  | 42,433 |  |  | 42,433 |
Liabilities |  |  |  |  |  |  |  |
Short-term debt facilities |  | $ | 2,176,591 |  |  | $ | 2,176,591 |  |  | $ | 1,937,920 |  |  | $ | 1,937,920 |
Short-term debt - servicer advance financing |  | 152,554 |  |  | 152,554 |  |  | 262,740 |  |  | 262,740 |
Accrued interest payable |  | 60,655 |  |  | 60,655 |  |  | 42,528 |  |  | 42,528 |
Margin payable (3) |  | 1,700 |  |  | 1,700 |  |  | 835 |  |  | 835 |
Guarantee obligation (3) |  | 14,009 |  |  | 13,754 |  |  | 16,711 |  |  | 16,774 |
Contingent consideration (3) |  | 28,484 |  |  | 28,484 |  |  | — |  |  | — |
Derivative liabilities |  | 163,424 |  |  | 163,424 |  |  | 84,855 |  |  | 84,855 |
ABS issued at fair value |  | 10,515,475 |  |  | 10,515,475 |  |  | 5,410,073 |  |  | 5,410,073 |
FHLBC long-term borrowings |  | 1,999,999 |  |  | 1,999,999 |  |  | 1,999,999 |  |  | 1,999,999 |
Subordinate securities financing facility |  | 183,520 |  |  | 184,666 |  |  | — |  |  | — |
Convertible notes, net |  | 631,125 |  |  | 661,985 |  |  | 633,196 |  |  | 618,271 |
Trust preferred securities and subordinated notes, net |  | 138,628 |  |  | 99,045 |  |  | 138,582 |  |  | 102,533 |
(1) | These investments are included in Other investments on our consolidated balance sheets.
(2) | These assets are included in Other assets on our consolidated balance sheets.
(3) These liabilities are included in Accrued expenses and other liabilities 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 December 31, 2019 and December 31, 2018, 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
December 31, 2019 |  | Carrying Value |  | Fair Value Measurements Using
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |
Residential loans |  | $ | 7,714,745 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,714,745 |
Business purpose residential loans |  | 3,506,743 |  |  | — |  |  | — |  |  | 3,506,743 |
Multifamily loans |  | 4,408,524 |  |  | — |  |  | — |  |  | 4,408,524 |
Trading securities |  | 860,540 |  |  | — |  |  | — |  |  | 860,540 |
Available-for-sale securities |  | 239,334 |  |  | — |  |  | — |  |  | 239,334 |
Servicer advance investments |  | 169,204 |  |  | — |  |  | — |  |  | 169,204 |
MSRs |  | 42,224 |  |  | — |  |  | — |  |  | 42,224 |
Excess MSRs |  | 31,814 |  |  | — |  |  | — |  |  | 31,814 |
Shared home appreciation options |  | 45,085 |  |  | — |  |  | — |  |  | 45,085 |
Derivative assets |  | 35,701 |  |  | 6,531 |  |  | 19,020 |  |  | 10,150 |
Pledged collateral |  | 32,945 |  |  | 32,945 |  |  | — |  |  | — |
FHLBC stock |  | 43,393 |  |  | — |  |  | 43,393 |  |  | — |
Guarantee asset |  | 1,686 |  |  | — |  |  | — |  |  | 1,686 |
Liabilities |  |  |  |  |  |  |  |
Contingent consideration |  | $ | 28,484 |  |  | $ | — |  |  | $ | — |  |  | $ | 28,484 |
Derivative liabilities |  | 163,424 |  |  | 13,368 |  |  | 148,766 |  |  | 1,290 |
ABS issued |  | 10,515,475 |  |  | — |  |  | — |  |  | 10,515,475 |
December 31, 2018 |  | Carrying Value |  | Fair Value Measurements Using
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |
Residential loans |  | $ | 7,254,631 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,254,631 |
Business purpose residential loans |  | 141,258 |  |  | — |  |  | — |  |  | 141,258 |
Multifamily loans |  | 2,144,598 |  |  | — |  |  | — |  |  | 2,144,598 |
Trading securities |  | 1,118,612 |  |  | — |  |  | — |  |  | 1,118,612 |
Available-for-sale securities |  | 333,882 |  |  | — |  |  | — |  |  | 333,882 |
Servicer advance investments |  | 300,468 |  |  | — |  |  | — |  |  | 300,468 |
MSRs |  | 60,281 |  |  | — |  |  | — |  |  | 60,281 |
Excess MSRs |  | 27,312 |  |  | — |  |  | — |  |  | 27,312 |
Derivative assets |  | 35,789 |  |  | 4,665 |  |  | 28,211 |  |  | 2,913 |
Pledged collateral |  | 42,433 |  |  | 42,433 |  |  | — |  |  | — |
FHLBC stock |  | 43,393 |  |  | — |  |  | 43,393 |  |  | — |
Guarantee asset |  | 2,618 |  |  | — |  |  | — |  |  | 2,618 |
Liabilities |  |  |  |  |  |  |  |
Derivative liabilities |  | $ | 84,855 |  |  | $ | 13,215 |  |  | $ | 70,908 |  |  | $ | 732 |
ABS issued |  | 5,410,073 |  |  | — |  |  | — |  |  | 5,410,073 |
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 years ended December 31, 2019 and December 31, 2018. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
|  | Assets
|  | Residential Loans |  | Business Purpose Residential Loans |  | Multifamily Loans |  | Trading Securities |  | AFS Securities |  | Servicer Advance Investments |  | MSRs |  | Excess MSRs |  | Shared Home Appreciation Options
(In Thousands) |  |  |  |  |  |  |  |  |
Beginning balance - December 31, 2018 |  | $ | 7,254,631 |  |  | $ | 141,258 |  |  | $ | 2,144,598 |  |  | $ | 1,118,612 |  |  | $ | 333,882 |  |  | $ | 300,468 |  |  | $ | 60,281 |  |  | $ | 27,312 |  |  | $ | — |
Acquisitions |  | 7,092,866 |  |  | 2,639,615 |  |  | 2,162,386 |  |  | 332,593 |  |  | 26,539 |  |  | 69,610 |  |  | 868 |  |  | 7,762 |  |  | 44,243 |
Originations |  | — |  |  | 1,015,436 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales |  | (5,141,886 | ) |  | (76,909 | ) |  | — |  |  | (597,122 | ) |  | (110,069 | ) |  | — |  |  | — |  |  | — |  |  | — |
Principal paydowns |  | (1,609,220 | ) |  | (213,655 | ) |  | (28,543 | ) |  | (44,600 | ) |  | (39,704 | ) |  | (203,876 | ) |  | — |  |  | — |  |  | — |
Gains (losses) in net income, net |  | 119,132 |  |  | 7,423 |  |  | 130,083 |  |  | 56,008 |  |  | 24,580 |  |  | 3,002 |  |  | (18,925 | ) |  | (3,260 | ) |  | 842 |
Unrealized losses in OCI, net |  | — |  |  | — |  |  | — |  |  | — |  |  | 4,106 |  |  | — |  |  | — |  |  | — |  |  | — |
Other settlements, net (1) |  | (778 | ) |  | (6,425 | ) |  | — |  |  | (4,951 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending balance - December 31, 2019 |  | $ | 7,714,745 |  |  | $ | 3,506,743 |  |  | $ | 4,408,524 |  |  | $ | 860,540 |  |  | $ | 239,334 |  |  | $ | 169,204 |  |  | $ | 42,224 |  |  | $ | 31,814 |  |  | $ | 45,085 |
Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued)
|  | Assets |  |  |  | Liabilities
|  | Guarantee Asset |  | Derivatives (2) |  | Contingent Consideration |  | ABS Issued
(In Thousands) |  |  |  |
Beginning balance - December 31, 2018 |  | $ | 2,618 |  |  | $ | 2,181 |  |  | $ | — |  |  | $ | 5,410,073 |
Acquisitions |  | — |  |  | — |  |  | 25,267 |  |  | 6,098,462 |
Principal paydowns |  | — |  |  | — |  |  | — |  |  | (1,112,437 | )
Gains (losses) in net income, net |  | (932 | ) |  | 62,220 |  |  | 3,217 |  |  | 119,377 |
Other settlements, net (1) |  | — |  |  | (55,541 | ) |  | — |  |  | — |
Ending balance - December 31, 2019 |  | $ | 1,686 |  |  | $ | 8,860 |  |  | $ | 28,484 |  |  | $ | 10,515,475 |
|  | Assets
(In Thousands) |  | Residential Loans |  | Business Purpose Residential Loans |  | Multifamily Loans |  | Trading Securities |  | AFS Securities |  | Servicer Advance Investments |  | MSRs |  | Excess MSRs |  | Guarantee Asset
Beginning balance - December 31, 2017 |  | $ | 5,114,317 |  |  | $ | — |  |  | $ | — |  |  | $ | 968,844 |  |  | $ | 507,666 |  |  | $ | — |  |  | $ | 63,598 |  |  | $ | — |  |  | $ | 2,869 |
Acquisitions |  | 8,338,724 |  |  | 167,777 |  |  | 2,099,916 |  |  | 653,739 |  |  | 7,739 |  |  | 395,813 |  |  | 328 |  |  | 25,489 |  |  | — |
Sales |  | (5,425,168 | ) |  | — |  |  | — |  |  | (438,304 | ) |  | (143,644 | ) |  | — |  |  | (1,077 | ) |  | — |  |  | — |
Principal paydowns |  | (814,122 | ) |  | (27,382 | ) |  | (1,873 | ) |  | (40,050 | ) |  | (44,446 | ) |  | (94,644 | ) |  | — |  |  | — |  |  | — |
Gains (losses) in net income, net |  | 44,627 |  |  | 863 |  |  | 46,555 |  |  | (8,436 | ) |  | 41,051 |  |  | (701 | ) |  | (2,568 | ) |  | 1,823 |  |  | (251 | )
Unrealized gains in OCI, net |  | — |  |  | — |  |  | — |  |  | — |  |  | (34,484 | ) |  | — |  |  | — |  |  | — |  |  | — |
Other settlements, net (1) |  | (3,747 | ) |  | — |  |  | — |  |  | (17,181 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending balance - December 31, 2018 |  | $ | 7,254,631 |  |  | $ | 141,258 |  |  | $ | 2,144,598 |  |  | $ | 1,118,612 |  |  | $ | 333,882 |  |  | $ | 300,468 |  |  | $ | 60,281 |  |  | $ | 27,312 |  |  | $ | 2,618 |
|  |  |  | Liabilities
(In Thousands) |  | Derivatives (2) |  | ABS Issued
Beginning balance - December 31, 2017 |  | $ | 1,714 |  |  | $ | 1,164,585 |
Acquisitions |  | — |  |  | 4,613,168 |
Principal paydowns |  | — |  |  | (459,173 | )
Gains (losses) in net income, net |  | (1,214 | ) |  | 91,493 |
Other settlements, net (1) |  | 1,681 |  |  | — |
Ending balance - December 31, 2018 |  | $ | 2,181 |  |  | $ | 5,410,073 |
(1) | Other settlements, net for residential and business purpose residential loans represents the transfer of loans to REO, and for derivatives, the settlement of forward sale commitments and the transfer of the fair value of loan purchase or interest rate lock commitments at the time loans are acquired to the basis of residential and single-family rental loans. Other settlements, net for trading securities relates to the consolidation of Freddie Mac K-Series securitization entities.
(2) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, forward sale commitments, and interest rate lock commitments, are presented on a net basis.
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 December 31, 2019, 2018, and 2017. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2019, 2018, and 2017 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at December 31, 2019, 2018, and 2017 Included in Net Income
|  | Included in Net Income
|  | Years Ended December 31,
(In Thousands) |  | 2019 |  | 2018 |  | 2017
Assets |  |  |  |  |  |
Residential loans at Redwood |  | $ | 67,470 |  |  | $ | (17,757 | ) |  | $ | 523 |
Residential loans at consolidated Sequoia entities |  | (10,062 | ) |  | 24,799 |  |  | 17,727 |
Residential loans at consolidated Freddie Mac SLST entities |  | 63,583 |  |  | 21,295 |  |  | — |
Business purpose residential loans |  | 14,603 |  |  | 445 |  |  | — |
Single-family rental loans at consolidated CAFL entities |  | (14,681 | ) |  | — |  |  | — |
Multifamily loans at consolidated Freddie Mac K-Series entities |  | 130,083 |  |  | 46,555 |  |  | — |
Trading securities |  | 18,865 |  |  | (12,256 | ) |  | 28,612 |
Available-for-sale securities |  | — |  |  | (89 | ) |  | (1,011 | )
Servicer advance investments |  | 3,001 |  |  | (702 | ) |  | — |
MSRs |  | (11,957 | ) |  | 1,942 |  |  | 1,277 |
Excess MSRs |  | (3,260 | ) |  | 1,824 |  |  | — |
Shared home appreciation options |  | 842 |  |  | — |  |  | — |
Loan purchase and interest rate lock commitments |  | 10,190 |  |  | 2,913 |  |  | 3,243 |
Loan forward sale commitments |  | — |  |  | — |  |  | 2,177 |
Other assets - Guarantee asset |  | (932 | ) |  | (251 | ) |  | (1,223 | )
Liabilities |  |  |  |  |  |
Loan purchase commitments |  | $ | (1,290 | ) |  | $ | (732 | ) |  | $ | (3,706 | )
Contingent consideration |  | (3,217 | ) |  | — |  |  | — |
ABS issued |  | (130,421 | ) |  | (71,468 | ) |  | (29,187 | )
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 December 31, 2019 and December 31, 2018. 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 sheets at December 31, 2019 and December 31, 2018. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis
|  |  |  |  |  |  |  |  |  | Gain (Loss) for Year Ended
December 31, 2019 |  | Carrying Value |  | Fair Value Measurements Using |
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3 |  | December 31, 2019
Assets |  |  |  |  |  |  |  |  |  |
REO |  | $ | 4,051 |  |  | $ | — |  |  | $ | — |  |  | $ | 4,051 |  |  | $ | (1,363 | )
|  |  |  |  |  |  |  |  |  | Gain (Loss) for Year Ended
December 31, 2018 |  | Carrying Value |  | Fair Value Measurements Using |
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3 |  | December 31, 2018
Assets |  |  |  |  |  |  |  |  |  |
REO |  | $ | 2,225 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,225 |  |  | $ | (131 | )
Market Valuation Adjustments | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the years ended December 31, 2019, 2018, and 2017. Table 5.6 – Market Valuation Gains and Losses, Net
|  | Years Ended December 31,
(In Thousands) |  | 2019 |  | 2018 |  | 2017
Mortgage Banking Activities, Net |  |  |  |  |  |
Residential loans held-for-sale, at fair value |  | $ | 3,267 |  |  | $ | 23,144 |  |  | $ | 31,493 |
Residential loan purchase and forward sale commitments |  | 60,260 |  |  | (1,336 | ) |  | 37,880 |
Single-family rental loans held-for-sale, at fair value |  | 15,043 |  |  | 375 |  |  | — |
Single-family rental loan purchase and interest rate lock commitments |  | 1,961 |  |  | 78 |  |  | — |
Residential bridge loans |  | 4,518 |  |  | — |  |  | — |
Risk management derivatives, net |  | (15,723 | ) |  | 34,739 |  |  | (17,529 | )
Total mortgage banking activities, net (1) |  | $ | 69,326 |  |  | $ | 57,000 |  |  | $ | 51,844 |
Investment Fair Value Changes, Net |  |  |  |  |  |
Residential loans held-for-investment at Redwood |  | $ | 58,891 |  |  | $ | (29,573 | ) |  | $ | (5,765 | )
Single-family rental loans held-for-investment |  | 272 |  |  | — |  |  | — |
Residential bridge loans held-for-investment |  | (2,139 | ) |  | (29 | ) |  | — |
Trading securities |  | 56,046 |  |  | (8,055 | ) |  | 39,526 |
Commercial loans held-for-sale |  | — |  |  | — |  |  | 300 |
Servicer advance investments |  | 3,001 |  |  | (701 | ) |  | — |
Excess MSRs |  | (3,260 | ) |  | 1,823 |  |  | — |
Shared home appreciation options |  | 842 |  |  | — |  |  | — |
REO |  | (1,045 | ) |  | — |  |  | — |
Net investments in Legacy Sequoia entities (2) |  | (1,545 | ) |  | (1,016 | ) |  | (8,027 | )
Net investments in Sequoia Choice entities (2) |  | 6,947 |  |  | 443 |  |  | (323 | )
Net investments in Freddie Mac SLST entities (2) |  | 27,206 |  |  | 1,271 |  |  | — |
Net investments in Freddie Mac K-Series entities (2) |  | 21,430 |  |  | 931 |  |  | — |
Net investments in CAFL entities (2) |  | (3,636 | ) |  | — |  |  | — |
Other investments |  | (341 | ) |  | (434 | ) |  | (1,484 | )
Risk management derivatives, net |  | (127,169 | ) |  | 9,740 |  |  | (12,842 | )
Impairments on AFS securities |  | — |  |  | (89 | ) |  | (1,011 | )
Total investment fair value changes, net |  | $ | 35,500 |  |  | $ | (25,689 | ) |  | $ | 10,374 |
Other Income |  |  |  |  |  |
MSRs |  | $ | (18,856 | ) |  | $ | (2,508 | ) |  | $ | (10,166 | )
Risk management derivatives, net |  | 8,595 |  |  | (4,734 | ) |  | (568 | )
Gain on re-measurement of 5 Arches investment |  | 2,441 |  |  | — |  |  | — |
Total other income (3) |  | $ | (7,820 | ) |  | $ | (7,242 | ) |  | $ | (10,734 | )
Total Market Valuation Gains, Net |  | $ | 97,006 |  |  | $ | 24,069 |  |  | $ | 51,484 |
(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) | Includes changes in fair value of the residential loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs.
(3) Other income presented above does not include net MSR fee income or provisions for repurchases for MSRs, 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
December 31, 2019 |  | 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 |  | $ | 2,113,977 |  |  | Prepayment rate (annual CPR) |  | 20 |  | - | 20 |  | % |  | 20 |  | %
|  |  |  | Whole loan spread to TBA price |  | $ | 0.53 |  | - | $ | 1.63 |  |  |  | $ | 1.62 |  |
|  |  |  | Whole loan spread to swap rate |  | 95 |  | - | 375 |  | bps |  | 170 |  | bps
Jumbo hybrid loans |  | 326,336 |  |  | Prepayment rate (annual CPR) |  | 15 |  | - | 15 |  | % |  | 15 |  | %
|  |  |  | Whole loan spread to swap rate |  | 80 |  | - | 345 |  | bps |  | 134 |  | bps
Jumbo loans committed to sell |  | 207,864 |  |  | Whole loan committed sales price |  | $ | 101.85 |  | - | $ | 102.96 |  |  |  | $ | 102.41 |  |
Loans held by Legacy Sequoia (1) |  | 407,890 |  |  | Liability price |  |  |  | N/A |  |  |  | N/A |  |
Loans held by Sequoia Choice (1) |  | 2,291,463 |  |  | Liability price |  |  |  | N/A |  |  |  | N/A |  |
Loans held by Freddie Mac SLST (1) |  | 2,367,215 |  |  | Liability price |  |  |  | N/A |  |  |  | N/A |  |
Business purpose residential loans: |  |  |  |  |  |  |  |  |  |  |  |
Single-family rental loans |  | 569,185 |  |  | Senior credit spread |  | 100 |  | - | 105 |  | bps |  | 103 |  | bps
|  |  |  | Subordinate credit spread |  | 135 |  | - | 1,400 |  | bps |  | 299 |  | bps
|  |  |  | Senior credit support |  | 33 |  | - | 40 |  | % |  | 34 |  | %
|  |  |  | IO discount rate |  | 6 |  | - | 9 |  | % |  | 8 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 5 |  | - | 5 |  | % |  | 5 |  | %
Single-family rental loans held by CAFL |  | 2,192,552 |  |  | Liability price |  |  |  | N/A |  |  |  | N/A |  |
Residential bridge loans |  | 745,006 |  |  | Discount rate |  | 6 |  |  | 10 |  | % |  | 7 |  | %
Multifamily loans held by Freddie Mac K-Series (1) |  | 4,408,524 |  |  | Liability price |  |  |  | N/A |  |  |  | N/A |  |
Trading and AFS securities |  | 1,099,874 |  |  | Discount rate |  | 3 |  | - | 40 |  | % |  | 5 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 5 |  | - | 50 |  | % |  | 16 |  | %
|  |  |  | Default rate |  | — |  | - | 7 |  | % |  | 1 |  | %
|  |  |  | Loss severity |  | — |  | - | 30 |  | % |  | 5 |  | %
Servicer advance investments |  | 169,204 |  |  | Discount rate |  | 5 |  | - | 5 |  | % |  | 5 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 8 |  | - | 15 |  | % |  | 14 |  | %
|  |  |  | Expected remaining life (2) |  | 2 |  | - | 2 |  | year |  | 2 |  | year
|  |  |  | Mortgage servicing income |  | 8 |  | - | 13 |  | bps |  | 10 |  | bps
MSRs |  | 42,224 |  |  | Discount rate |  | 11 |  | - | 12 |  | % |  | 11 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 5 |  | - | 44 |  | % |  | 11 |  | %
|  |  |  | Per loan annual cost to service |  | $ | 82 |  | - | $ | 82 |  |  |  | $ | 82 |  |
Excess MSRs |  | 31,814 |  |  | Discount rate |  | 11 |  | - | 16 |  | % |  | 14 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 9 |  | - | 14 |  | % |  | 11 |  | %
|  |  |  | Excess mortgage servicing amount |  | 8 |  | - | 18 |  | bps |  | 13 |  | bps
Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued)
December 31, 2019 |  | Fair Value |  |  |  | Input Values
(Dollars in Thousands, except Input Values) |  |  | Unobservable Input |  | Range |  |  | Weighted Average
Assets (continued) |  |  |  |  |  |  |  |  |  |  |  |
Shared home appreciation options |  | $ | 45,085 |  |  | Discount rate |  | 11 |  | - | 11 |  | % |  | 11 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 10 |  | - | 30 |  | % |  | 23 |  | %
|  |  |  | Home price appreciation |  | 3 |  | - | 3 |  | % |  | 3 |  | %
Guarantee asset |  | 1,686 |  |  | Discount rate |  | 11 |  | - | 11 |  | % |  | 11 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 15 |  | - | 15 |  | % |  | 15 |  | %
REO |  | 4,051 |  |  | Loss severity |  | 17 |  | - | 55 |  | % |  | 26 |  | %
Residential loan purchase commitments, net |  | 8,419 |  |  | MSR multiple |  | 0.7 |  | - | 4.3 |  | x |  | 2.8 |  | x
|  |  |  | Pull-through rate |  | 8 |  | - | 100 |  | % |  | 75 |  | %
|  |  |  | Whole loan spread to TBA price |  | $ | 0.53 |  | - | $ | 1.63 |  |  |  | $ | 1.62 |  |
|  |  |  | Whole loan spread to swap rate - fixed rate |  | 115 |  | - | 375 |  | bps |  | 253 |  | bps
|  |  |  | Prepayment rate (annual CPR) |  | 15 |  | - | 20 |  | % |  | 20 |  | %
|  |  |  | Whole loan spread to swap rate - hybrid |  | 115 |  | - | 155 |  | bps |  | 131 |  | bps
Single-family rental interest rate lock commitments |  | 440 |  |  | Senior credit spread |  | 105 |  | - | 105 |  | bps |  | 105 |  | bps
|  |  |  | Subordinate credit spread |  | 140 |  | - | 1,400 |  | bps |  | 299 |  | bps
|  |  |  | Senior credit support |  | 33 |  | - | 33 |  | % |  | 33 |  | %
|  |  |  | IO discount rate |  | 6 |  | - | 7 |  | % |  | 7 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 5 |  | - | 5 |  | % |  | 5 |  | %
|  |  |  | Pull-through rate |  | 100 |  | - | 100 |  | % |  | 100 |  | %
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
ABS issued (1) |  |  |  |  |  |  |  |  |  |  |  |
At consolidated Sequoia entities |  | 2,439,663 |  |  | Discount rate |  | 3 |  | - | 30 |  | % |  | 4 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 17 |  | - | 43 |  | % |  | 26 |  | %
|  |  |  | Default rate |  | — |  | - | 7 |  | % |  | — |  | %
|  |  |  | Loss severity |  | — |  | - | 65 |  | % |  | 1 |  | %
At consolidated Freddie Mac SLST entities |  | 1,918,322 |  |  | Discount rate |  | 3 |  | - | 13 |  | % |  | 3 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 6 |  | - | 6 |  | % |  | 6 |  | %
|  |  |  | Default rate |  | 17 |  | - | 18 |  | % |  | 17 |  | %
|  |  |  | Loss severity |  | 30 |  | - | 30 |  | % |  | 30 |  | %
At consolidated Freddie Mac K-Series entities (4) |  | 4,156,239 |  |  | Discount rate |  | 1 |  | - | 9 |  | % |  | 3 |  | %
|  |  |  | Non-IO prepayment rate (annual CPR) |  | — |  | - | — |  | % |  | — |  | %
|  |  |  | IO prepayment rate (annual CPY/CPP) |  | — |  | - | 100 |  | % |  | 94 |  | %
At consolidated CAFL entities (4) |  | 2,001,251 |  |  | Discount rate |  | 2 |  | - | 30 |  | % |  | 4 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | — |  | - | 5 |  | % |  | — |  | %
Contingent consideration |  | 28,484 |  |  | Discount rate |  | 23 |  | - | 23 |  | % |  | 23 |  | %
|  |  |  | Probability of outcomes (3) |  | 100 |  | - | 100 |  | % |  | 100 |  | %
Footnotes to Table 5.7
(1) | The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable in accordance with accounting guidance for collateralized financing entities. At December 31, 2019, the fair value of securities we owned at the consolidated Sequoia, Freddie Mac SLST, Freddie Mac K-Series and CAFL entities was $264 million, $449 million, $252 million, and $191 million, respectively.
(2) | Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool).
(3) | Represents the probability of a full payout of contingent purchase consideration.
(4) As a market convention, certain securities are priced to a no-loss yield and therefore do not include default and loss severity assumptions.

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