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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2021

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 June 30, 2021 and December 31, 2020.

Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities

						June 30, 2021												December 31, 2020
						Carrying Value						Fair Value						Carrying Value						Fair Value
(In Thousands)
Assets
Residential loans, held-for-sale at fair value						$	1,160,513					$	1,160,513					$	176,604					$	176,604
Residential loans, held-for-investment						4,582,052						4,582,052						4,072,410						4,072,410
Business purpose loans, held-for-sale						418,442						418,442						245,394						245,394
Business purpose loans, held-for-investment						3,990,447						3,990,447						3,890,959						3,890,959
Multifamily loans						485,157						485,157						492,221						492,221
Real estate securities						354,886						354,886						344,125						344,125
Servicer advance investments (1)						184,551						184,551						231,489						231,489
MSRs (1)						8,721						8,721						8,815						8,815
Excess MSRs (1)						29,988						29,988						34,418						34,418
Shared home appreciation options (1)						44,319						44,319						42,440						42,440
Other financial instruments (2)						28,556						28,556						10,203						10,203
Cash and cash equivalents						421,223						421,223						461,260						461,260
Restricted cash						55,048						55,048						83,190						83,190
Derivative assets						34,305						34,305						53,238						53,238
REO (3)						15,489						17,718						8,413						9,229
Margin receivable (3)						10,269						10,269						4,758						4,758
FHLBC stock (3)						10						10						5,000						5,000
Pledged collateral (3)						—						—						1,177						1,177
Liabilities
Short-term debt						$	1,484,999					$	1,484,999					$	522,609					$	522,609
Margin payable (4)						19,503						19,503						—						—
Guarantee obligation (4)						8,446						5,932						10,039						7,843
Derivative liabilities						3,240						3,240						16,072						16,072
ABS issued, net
Fair value						7,360,766						7,360,766						6,900,362						6,900,362
Amortized cost						176,231						180,080						200,299						204,892
Other long-term debt, net (5)						833,272						834,214						774,726						783,570
Convertible notes, net (5)						512,339						531,473						511,085						499,865
Trust preferred securities and subordinated notes, net (5)						138,697						87,188						138,674						80,910

(1)These investments are included in Other investments on our consolidated balance sheets.

(2)Includes equity, debt, and loan investments included in Other investments on our consolidated balance sheets.

(3)These assets are included in Other assets on our consolidated balance sheets.

(4)These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets.

(5)These liabilities are included in Long-term debt, net 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 June 30, 2021 and December 31, 2020, 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

June 30, 2021						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3
Assets
Residential loans						$	5,742,565					$	—					$	—					$	5,742,565
Business purpose loans						4,408,889						—						—						4,408,889
Multifamily loans						485,157						—						—						485,157
Real estate securities						354,886						—						—						354,886
Servicer advance investments						184,551						—						—						184,551
MSRs						8,721						—						—						8,721
Excess MSRs						29,988						—						—						29,988
Shared home appreciation options						44,319						—						—						44,319
Derivative assets						34,305						2,368						17,746						14,191
Liabilities
Derivative liabilities						$	3,240					$	1,561					$	957					$	722
ABS issued						7,360,766						—						—						7,360,766

December 31, 2020						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3
Assets
Residential loans						$	4,249,014					$	—					$	—					$	4,249,014
Business purpose loans						4,136,353						—						—						4,136,353
Multifamily loans						492,221						—						—						492,221
Real estate securities						344,125						—						—						344,125
Servicer advance investments						231,489						—						—						231,489
MSRs						8,815						—						—						8,815
Excess MSRs						34,418						—						—						34,418
Shared home appreciation options						42,440						—						—						42,440
Derivative assets						53,238						18,260						19,951						15,027
Pledged collateral						1,177						1,177						—						—
FHLBC stock						5,000						—						5,000						—
Liabilities
Derivative liabilities						$	16,072					$	15,495					$	—					$	577
ABS issued						6,900,362						—						—						6,900,362

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 six months ended June 30, 2021.

Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

						Assets
						Residential Loans						Business Purpose Loans						Multifamily Loans						Trading Securities						AFS Securities						Servicer Advance Investments						MSRs						Excess MSRs						Shared Home Appreciation Options
(In Thousands)
Beginning balance -    December 31, 2020						$	4,249,014					$	4,136,353					$	492,221					$	125,667					$	218,458					$	231,489					$	8,815					$	34,418					$	42,440
Acquisitions						6,684,292						—						—						26,367						1,600						—						2,283						—						—
Originations						—						913,704						—						—						—						—						—						—						—
Sales						(4,531,811)						(9,231)						—						(31,949)						(4,785)						—						—						—						—
Principal paydowns						(727,627)						(599,889)						(3,806)						(807)						(28,979)						(45,838)						—						—						(5,516)
Gains (losses) in net income (loss), net						70,184						(17,835)						(3,258)						23,147						14,172						(1,100)						(2,251)						(4,430)						7,395
Unrealized losses in OCI, net						—						—						—						—						11,995						—						—						—						—
Other settlements, net (1)						(1,487)						(14,213)						—						—						—						—						(126)						—						—
Ending balance -    June 30, 2021						$	5,742,565					$	4,408,889					$	485,157					$	142,425					$	212,461					$	184,551					$	8,721					$	29,988					$	44,319

Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued)

															Liabilities
																																										Derivatives (2)						ABS Issued
(In Thousands)
Beginning balance - December 31, 2020																																										$	14,450					$	6,900,362
Acquisitions																																										—						1,629,218
Principal paydowns																																										—						(1,055,541)
Gains (losses) in net income (loss), net																																										(197)						(113,273)
Other settlements, net (1)																																										(784)						—
Ending balance - June 30, 2021																																										$	13,469					$	7,360,766

(1)    Other settlements, net for residential and business purpose 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.

(2)    For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase 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 (loss) that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at June 30, 2021 and 2020. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and six months ended June 30, 2021 and 2020 are not included in this presentation.

Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2021 and 2020 Included in Net Income

						Included in Net Income
						Three Months Ended June 30,												Six Months Ended June 30,
(In Thousands)						2021						2020						2021						2020
Assets
Residential loans at Redwood						$	14,130					$	(359)					$	10,481					$	(746)
Business purpose loans						28,404						31,187						40,003						(21,026)
Net investments in consolidated Sequoia entities (1)						4,693						39,558						8,893						(30,502)
Net investments in consolidated Freddie Mac SLST entities (1)						36,137						26,867						40,225						(115,295)
Net investments in consolidated Freddie Mac K-Series entity (1)						1,855						1,599						10,776						(13,180)
Net investments in consolidated CAFL entities (1)						2,908						17,125						2,556						(50,721)
Trading securities						1,772						30,647						2,262						(79,633)
Servicer advance investments						(940)						(136)						(1,100)						(6,198)
MSRs						(330)						(1,591)						273						(16,507)
Excess MSRs						(2,477)						2,971						(4,430)						(6,523)
Shared home appreciation options						2,080						884						7,395						(6,670)
Loan purchase and interest rate lock commitments						14,550						357						14,171						357
Liabilities
Loan purchase commitments						$	(696)					$	2,137					$	(724)					$	(1,634)

(1)    Represents the portion of net gains or losses included in our consolidated statements of income (loss) related to loans and the associated ABS issued at our consolidated securitization entities held at June 30, 2021 and 2020, which netted together represent the change in value of our investments at the consolidated VIEs, excluding REO.

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 June 30, 2021. 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 June 30, 2021.

Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at June 30, 2021

																														Gain (Loss) for
June 30, 2021						Carrying Value						Fair Value Measurements Using																		Three Months Ended						Six Months Ended
(In Thousands)												Level 1						Level 2						Level 3						June 30, 2021						June 30, 2021
Assets
REO						$	1,233					$	—					$	—					$	1,233					$	(3)					$	(7)

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 and six months ended June 30, 2021 and 2020.

Table 5.6 – Market Valuation Gains and Losses, Net

						Three Months Ended June 30,												Six Months Ended June 30,
(In Thousands)						2021						2020						2021						2020
Mortgage Banking Activities, Net
Residential loans held-for-sale, at fair value						$	24,988					$	(2,014)					$	48,100					$	(15,494)
Residential loan purchase and forward sale commitments						51,919						621						(466)						22,056
Single-family rental loans held-for-sale, at fair value						25,222						1,210						35,470						12,677
Single-family rental loan purchase and interest rate lock commitments						744						—						744						341
Bridge loans						2,225						(1,260)						3,269						(5,194)
Trading securities (1)						(1,095)						—						(374)						—
Risk management derivatives, net						(58,244)						—						34,578						(52,832)
Total mortgage banking activities, net (2)						$	45,759					$	(1,443)					$	121,321					$	(38,446)
Investment Fair Value Changes, Net
Residential loans at Redwood						$	1,290					$	104					$	1,607					$	(93,532)
Single-family rental loans held-for-investment						—						2,222						—						(20,806)
Bridge loans held-for-investment						(62)						21,774						3,242						(16,828)
Trading securities						2,893						42,246						23,521						(221,079)
Servicer advance investments						(940)						(136)						(1,100)						(6,198)
Excess MSRs						(2,477)						2,971						(4,430)						(6,523)
Net investments in Legacy Sequoia entities (3)						(216)						(230)						(915)						(621)
Net investments in Sequoia entities (3)						4,906						39,753						9,804						(29,916)
Net investments in Freddie Mac SLST entities (3)						36,316						26,867						40,433						(115,295)
Net investment in Freddie Mac K-Series entity (3)						1,855						1,599						10,776						(84,910)
Net investments in CAFL entities (3)						3,697						17,125						3,411						(50,721)
Shared home appreciation options						2,080						884						7,395						(6,670)
Other investments						125						(3,005)						435						(4,892)
Risk management derivatives, net						—						—						—						(59,142)
Credit recoveries (losses) on AFS securities						13						54						388						(1,471)
Total investment fair value changes, net						$	49,480					$	152,228					$	94,567					$	(718,604)
Other Income
MSRs						$	(1,381)					$	(3,955)					$	(2,247)					$	(22,563)
Risk management derivatives, net						—						—						—						13,966
Total other income (4)						$	(1,381)					$	(3,955)					$	(2,247)					$	(8,597)
Total Market Valuation Gains (Losses), Net						$	93,858					$	146,830					$	213,641					$	(765,647)

(1)Represents fair value changes on trading securities that are being used along with risk management derivatives to manage the mark-to-market risks associated with our residential mortgage banking operations.

(2)Mortgage banking activities, net presented above does not include fee income from loan originations or acquisitions, provisions for repurchases expense, and other expenses that are components of Mortgage banking activities, net presented on our consolidated statements of income (loss), as these amounts do not represent market valuation changes.

(3)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.

(4)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

June 30, 2021						Fair Value												Input Values
(Dollars in Thousands, except Input Values)												Unobservable Input						Range															Weighted Average(1)
Assets
Residential loans, at fair value:
Jumbo fixed-rate loans						$	232,343					Prepayment rate (annual CPR)						20			-			20			%						20			%
												Whole loan spread to TBA price						$	2.00		-			$	2.00								$	2.00
												Whole loan spread to swap rate						215			-			215			bps						215			bps
Jumbo loans committed to sell						928,170						Whole loan committed sales price						$	100.88		-			$	103.03								$	102.38
Loans held by Legacy Sequoia (2)						260,875						Liability price												N/A									N/A
Loans held by Sequoia (2)						2,222,553						Liability price												N/A									N/A
Loans held by Freddie Mac SLST (2)						2,098,624						Liability price												N/A									N/A
Business purpose loans:
Single-family rental loans						418,442						Senior credit spread						70			-			70			bps						70			bps
												Subordinate credit spread						105			-			1,531			bps						391			bps
												Senior credit support						34			-			34			%						34			%
												IO discount rate						9			-			9			%						9			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Non-securitizable loan dollar price						$	82		-			$	102								$	99
Single-family rental loans held by CAFL						3,263,878						Liability price												N/A									N/A
Bridge loans						726,569						Discount rate						6			-			15			%						8			%
Multifamily loans held by Freddie Mac K-Series (2)						485,157						Liability price												N/A									N/A
Trading and AFS securities						354,886						Discount rate						2			-			31			%						7			%
												Prepayment rate (annual CPR)						8			-			62			%						28			%
												Default rate						—			-			25			%						4			%
												Loss severity						—			-			50			%						22			%
												CRT dollar price						$	95		-			$	113								$	102
Servicer advance investments						184,551						Discount rate						3			-			3			%						3			%
												Prepayment rate (annual CPR)						20			-			30			%						21			%
												Expected remaining life (3)						4			-			4			years						4			years
												Mortgage servicing income						—			-			15			bps						9			bps
MSRs						8,721						Discount rate						12			-			12			%						12			%
												Prepayment rate (annual CPR)						7			-			84			%						36			%
												Per loan annual cost to service						$	96		-			$	96								$	96
Excess MSRs						29,988						Discount rate						13			-			16			%						15			%
												Prepayment rate (annual CPR)						21			-			30			%						24			%
												Excess mortgage servicing income						8			-			17			bps						11			bps

Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued)

June 30, 2021						Fair Value												Input Values
(Dollars in Thousands, except Input Values)												Unobservable Input						Range															Weighted Average (1)
Assets (continued)
Shared home appreciation options						$	44,319					Discount rate						13			-			13			%						13			%
												Prepayment rate (annual CPR)						16			-			24			%						17			%
												Home price appreciation						3			-			4			%						3			%
REO						1,233						Loss severity						4			-			40			%						23			%
Residential loan purchase commitments, net						12,725						Committed sales price						$	102.00		-			$	103.03								$	102.64
												Pull-through rate						21			-			100			%						72			%
												Whole loan spread to TBA price						$	2.00		-			$	2.00								$	2.00
												Whole loan spread to swap rate						191			-			215			bps						201			bps
												Prepayment rate (annual CPR)						20			-			20			%						20			%
Single-family rental interest rate lock commitments						744						Senior credit spread						70			-			70			bps						70			bps
												Subordinate credit spread						105			-			1,531			bps						391			bps
												Senior credit support						34			-			34			%						34			%
												IO discount rate						10			-			11			%						10			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Pull-through rate						100			-			100			%						100			%
Liabilities
ABS issued (2):
At consolidated Sequoia entities						2,248,759						Discount rate						1			-			18			%						3			%
												Prepayment rate (annual CPR)						7			-			51			%						33			%
												Default rate						—			-			39			%						2			%
												Loss severity						25			-			50			%						32			%
At consolidated CAFL entities (4)						3,007,596						Discount rate						1			-			13			%						3			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Default rate						3			-			18			%						9			%
												Loss severity						30			-			30			%						30			%
At consolidated Freddie Mac SLST entities						1,650,087						Discount rate						2			-			7			%						3			%
												Prepayment rate (annual CPR)						6			-			8			%						6			%
												Default rate						9			-			10			%						9			%
												Loss severity						35			-			35			%						35			%
At consolidated Freddie Mac K-Series entities (4)						454,324						Discount rate						1			-			9			%						2			%

(1)The weighted average input values for all loan types are based on the unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value.

(2)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 June 30, 2021, the fair value of securities we owned at the consolidated Sequoia, CAFL, Freddie Mac SLST, and Freddie Mac K-Series entities was $235 million, $268 million, $450 million, and $31 million, respectively.

(3)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).

(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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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

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Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
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Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

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-Topic 820
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- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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No definition available.

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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

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-Publisher FASB
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-Topic 820
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