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Principles of Consolidation (Tables) | 9 Months Ended
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Sep. 30, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract] |
Schedule of Consolidated VIEs | A CFE is a variable interest entity that holds financial assets and issues beneficial interests in those assets, and these beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allows companies to elect to measure both the financial assets and financial liabilities of a CFE using the more observable of the fair value of the financial assets or fair value of the financial liabilities. The net equity in an entity effectively represents the fair value of the beneficial interests we own in the entity. The following table presents a summary of the assets and liabilities of these VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs Accounted for as Collateralized Financing Entities
September 30, 2021 |  | Legacy Sequoia |  | Sequoia |  | CAFL SFR |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Servicing Investment |  | Point HEI |  | Total Consolidated CFE VIEs
(Dollars in Thousands) |  |  |  |  |  |  |  |
Residential loans, held-for-investment |  | $ | 242,234 |  |  | $ | 2,479,750 |  |  | $ | — |  |  | $ | 1,999,405 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,721,389 |
Business purpose loans, held-for-investment |  | — |  |  | — |  |  | 3,402,410 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,402,410 |
Multifamily loans, held-for-investment |  | — |  |  | — |  |  | — |  |  | — |  |  | 482,791 |  |  | — |  |  | — |  |  | 482,791 |
Other investments |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 187,880 |  |  | 167,442 |  |  | 355,322 |
Cash and cash equivalents |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 12,977 |  |  | — |  |  | 12,977 |
Restricted cash |  | 148 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 19,872 |  |  | 5,033 |  |  | 25,053 |
Accrued interest receivable |  | 232 |  |  | 7,869 |  |  | 13,451 |  |  | 6,068 |  |  | 1,321 |  |  | 1,068 |  |  | — |  |  | 30,009 |
Other assets |  | 275 |  |  | — |  |  | 13,172 |  |  | 1,958 |  |  | — |  |  | 6,283 |  |  | 50 |  |  | 21,738 |
Total Assets |  | $ | 242,889 |  |  | $ | 2,487,619 |  |  | $ | 3,429,033 |  |  | $ | 2,007,431 |  |  | $ | 484,112 |  |  | $ | 228,080 |  |  | $ | 172,525 |  |  | $ | 9,051,689 |
Short-term debt |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 151,910 |  |  | $ | — |  |  | $ | 151,910 |
Accrued interest payable |  | 108 |  |  | 5,918 |  |  | 10,691 |  |  | 4,279 |  |  | 1,195 |  |  | 97 |  |  | — |  |  | 22,288 |
Accrued expenses and other liabilities |  | — |  |  | — |  |  | 224 |  |  | — |  |  | — |  |  | 15,835 |  |  | 16,740 |  |  | 32,799 |
Asset-backed securities issued |  | 239,447 |  |  | 2,243,299 |  |  | 3,126,405 |  |  | 1,550,111 |  |  | 451,402 |  |  | — |  |  | 145,437 |  |  | 7,756,101 |
Total Liabilities |  | $ | 239,555 |  |  | $ | 2,249,217 |  |  | $ | 3,137,320 |  |  | $ | 1,554,390 |  |  | $ | 452,597 |  |  | $ | 167,842 |  |  | $ | 162,177 |  |  | $ | 7,963,098 |
Fair value of our investments |  | $ | 3,062 |  |  | $ | 236,451 |  |  | $ | 287,813 |  |  | $ | 451,252 |  |  | $ | 31,389 |  |  | $ | 60,238 |  |  | $ | 10,348 |  |  | $ | 1,080,553 |
Number of VIEs |  | 20 |  |  | 13 |  |  | 15 |  |  | 3 |  |  | 1 |  |  | 3 |  |  | 1 |  |  | 56 |
December 31, 2020 |  | Legacy Sequoia |  | Sequoia |  | CAFL SFR |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Servicing Investment |  | Point HEI |  | Total Consolidated CFE VIEs
(Dollars in Thousands) |  |  |  |  |  |  |  |
Residential loans, held-for-investment |  | $ | 285,935 |  |  | $ | 1,565,322 |  |  | $ | — |  |  | $ | 2,221,153 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,072,410 |
Business purpose loans, held-for-investment |  | — |  |  | — |  |  | 3,249,194 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,249,194 |
Multifamily loans, held-for-investment |  | — |  |  | — |  |  | — |  |  | — |  |  | 492,221 |  |  | — |  |  | — |  |  | 492,221 |
Other investments |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 251,773 |  |  | — |  |  | 251,773 |
Cash and cash equivalents |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 11,579 |  |  | — |  |  | 11,579 |
Restricted cash |  | 148 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 23,220 |  |  | — |  |  | 23,368 |
Accrued interest receivable |  | 305 |  |  | 6,802 |  |  | 13,055 |  |  | 6,754 |  |  | 1,337 |  |  | 2,334 |  |  | — |  |  | 30,587 |
Other assets |  | 638 |  |  | — |  |  | 2,930 |  |  | 646 |  |  | — |  |  | 5,723 |  |  | — |  |  | 9,937 |
Total Assets |  | $ | 287,026 |  |  | $ | 1,572,124 |  |  | $ | 3,265,179 |  |  | $ | 2,228,553 |  |  | $ | 493,558 |  |  | $ | 294,629 |  |  | $ | — |  |  | $ | 8,141,069 |
Short-term debt |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 208,375 |  |  | $ | — |  |  | $ | 208,375 |
Accrued interest payable |  | 141 |  |  | 4,697 |  |  | 10,278 |  |  | 4,846 |  |  | 1,177 |  |  | 135 |  |  | — |  |  | 21,274 |
Accrued expenses and other liabilities |  | — |  |  | 50 |  |  | — |  |  | — |  |  | — |  |  | 18,353 |  |  | — |  |  | 18,403 |
Asset-backed securities issued |  | 282,326 |  |  | 1,347,357 |  |  | 3,013,093 |  |  | 1,793,620 |  |  | 463,966 |  |  | — |  |  | — |  |  | 6,900,362 |
Total Liabilities |  | $ | 282,467 |  |  | $ | 1,352,104 |  |  | $ | 3,023,371 |  |  | $ | 1,798,466 |  |  | $ | 465,143 |  |  | $ | 226,863 |  |  | $ | — |  |  | $ | 7,148,414 |
Fair value of our investments |  | $ | 4,559 |  |  | $ | 220,020 |  |  | $ | 241,808 |  |  | $ | 430,087 |  |  | $ | 28,415 |  |  | $ | 67,766 |  |  | $ | — |  |  | $ | 992,655 |
Number of VIEs |  | 20 |  |  | 10 |  |  | 14 |  |  | 2 |  |  | 1 |  |  | 3 |  |  | — |  |  | 50 |
The following table presents income (loss) from these VIEs for the three and nine months ended September 30, 2021 and 2020. Table 4.2 – Income (Loss) from Consolidated VIEs Accounted for as Collateralized Financing Entities
|  | Three Months Ended September 30, 2021
|  | Legacy Sequoia |  | Sequoia |  | CAFL SFR |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Servicing Investment |  | Point HEI |  | Total Consolidated CFE VIEs
(Dollars in Thousands) |  |  |  |  |  |  |  |
Interest income |  | $ | 1,042 |  |  | $ | 18,867 |  |  | $ | 48,723 |  |  | $ | 18,707 |  |  | $ | 4,846 |  |  | $ | 3,905 |  |  | $ | — |  |  | $ | 96,090 |
Interest expense |  | (641) |  |  | (15,368) |  |  | (37,415) |  |  | (13,303) |  |  | (4,460) |  |  | (1,018) |  |  | — |  |  | (72,205) |
Net interest income |  | 401 |  |  | 3,499 |  |  | 11,308 |  |  | 5,404 |  |  | 386 |  |  | 2,887 |  |  | — |  |  | 23,885 |
Non-interest income |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment fair value changes, net |  | (247) |  |  | 3,314 |  |  | 2,943 |  |  | 13,849 |  |  | 554 |  |  | (2,080) |  |  | 47 |  |  | 18,380 |
Other income |  | — |  |  | — |  |  | 10 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 10 |
Total non-interest income, net |  | (247) |  |  | 3,314 |  |  | 2,953 |  |  | 13,849 |  |  | 554 |  |  | (2,080) |  |  | 47 |  |  | 18,390 |
General and administrative expenses |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (60) |  |  | — |  |  | (60) |
Other expenses |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (149) |  |  | — |  |  | (149) |
Income from Consolidated VIEs |  | $ | 154 |  |  | $ | 6,813 |  |  | $ | 14,261 |  |  | $ | 19,253 |  |  | $ | 940 |  |  | $ | 598 |  |  | $ | 47 |  |  | $ | 42,066 |
|  | Nine Months Ended September 30, 2021
|  | Legacy Sequoia |  | Sequoia |  | CAFL SFR |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Servicing Investment |  | Point HEI |  | Total Consolidated CFE VIEs
(Dollars in Thousands) |  |  |  |  |  |  |  |
Interest income |  | $ | 3,559 |  |  | $ | 48,842 |  |  | $ | 152,445 |  |  | $ | 58,372 |  |  | $ | 14,492 |  |  | $ | 12,168 |  |  | $ | — |  |  | $ | 289,878 |
Interest expense |  | (2,271) |  |  | (38,848) |  |  | (118,469) |  |  | (41,698) |  |  | (13,294) |  |  | (3,414) |  |  | — |  |  | (217,994) |
Net interest income |  | 1,288 |  |  | 9,994 |  |  | 33,976 |  |  | 16,674 |  |  | 1,198 |  |  | 8,754 |  |  | — |  |  | 71,884 |
Non-interest income |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment fair value changes, net |  | (1,162) |  |  | 13,118 |  |  | 6,354 |  |  | 54,282 |  |  | 11,330 |  |  | (5,646) |  |  | 47 |  |  | 78,323 |
Other income |  | — |  |  | — |  |  | 10 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 10 |
Total non-interest income, net |  | (1,162) |  |  | 13,118 |  |  | 6,364 |  |  | 54,282 |  |  | 11,330 |  |  | (5,646) |  |  | 47 |  |  | 78,333 |
General and administrative expenses |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (150) |  |  | — |  |  | (150) |
Other expenses |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (591) |  |  | — |  |  | (591) |
Income from Consolidated VIEs |  | $ | 126 |  |  | $ | 23,112 |  |  | $ | 40,340 |  |  | $ | 70,956 |  |  | $ | 12,528 |  |  | $ | 2,367 |  |  | $ | 47 |  |  | $ | 149,476 |
|  | Three Months Ended September 30, 2020
|  | Legacy Sequoia |  | Sequoia |  | CAFL SFR |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Servicing Investment |  | Point HEI |  | Total Consolidated CFE VIEs
(Dollars in Thousands) |  |  |  |  |  |  |  |
Interest income |  | $ | 1,795 |  |  | $ | 20,919 |  |  | $ | 36,181 |  |  | $ | 21,696 |  |  | $ | 4,918 |  |  | $ | 4,403 |  |  | $ | — |  |  | $ | 89,912 |
Interest expense |  | (1,059) |  |  | (17,828) |  |  | (26,383) |  |  | (15,473) |  |  | (4,426) |  |  | (1,587) |  |  | — |  |  | (66,756) |
Net interest income |  | 736 |  |  | 3,091 |  |  | 9,798 |  |  | 6,223 |  |  | 492 |  |  | 2,816 |  |  | — |  |  | 23,156 |
Non-interest income |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment fair value changes, net |  | (81) |  |  | 7,851 |  |  | 9,692 |  |  | 82,214 |  |  | 2,166 |  |  | (422) |  |  | — |  |  | 101,420 |
Total non-interest income, net |  | (81) |  |  | 7,851 |  |  | 9,692 |  |  | 82,214 |  |  | 2,166 |  |  | (422) |  |  | — |  |  | 101,420 |
General and administrative expenses |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (41) |  |  | — |  |  | (41) |
Other expenses |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (471) |  |  | — |  |  | (471) |
Income from Consolidated VIEs |  | $ | 655 |  |  | $ | 10,942 |  |  | $ | 19,490 |  |  | $ | 88,437 |  |  | $ | 2,658 |  |  | $ | 1,882 |  |  | $ | — |  |  | $ | 124,064 |
|  | Nine Months Ended September 30, 2020
|  | Legacy Sequoia |  | Sequoia |  | CAFL SFR |  | Freddie Mac SLST |  | Freddie Mac K-Series |  | Servicing Investment |  | Point HEI |  | Total Consolidated CFE VIEs
(Dollars in Thousands) |  |  |  |  |  |  |  |
Interest income |  | $ | 7,674 |  |  | $ | 68,566 |  |  | $ | 99,169 |  |  | $ | 64,869 |  |  | $ | 49,960 |  |  | $ | 13,026 |  |  | $ | — |  |  | $ | 303,264 |
Interest expense |  | (5,099) |  |  | (58,455) |  |  | (72,768) |  |  | (47,495) |  |  | (47,154) |  |  | (4,961) |  |  | — |  |  | (235,932) |
Net interest income |  | 2,575 |  |  | 10,111 |  |  | 26,401 |  |  | 17,374 |  |  | 2,806 |  |  | 8,065 |  |  | — |  |  | 67,332 |
Non-interest income |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment fair value changes, net |  | (702) |  |  | (22,065) |  |  | (41,841) |  |  | (33,081) |  |  | (82,744) |  |  | (9,015) |  |  | — |  |  | (189,448) |
Total non-interest income, net |  | (702) |  |  | (22,065) |  |  | (41,841) |  |  | (33,081) |  |  | (82,744) |  |  | (9,015) |  |  | — |  |  | (189,448) |
General and administrative expenses |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (784) |  |  | — |  |  | (784) |
Other expenses |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 346 |  |  | — |  |  | 346 |
Income (Loss) from Consolidated VIEs |  | $ | 1,873 |  |  | $ | (11,954) |  |  | $ | (15,440) |  |  | $ | (15,707) |  |  | $ | (79,938) |  |  | $ | (1,388) |  |  | $ | — |  |  | $ | (122,554) |
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, 2021 and 2020. Table 4.3 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2021 |  | 2020 |  | 2021 |  | 2020
Principal balance of loans transferred |  | $ | — |  |  | $ | — |  |  | $ | 1,231,803 |  |  | $ | 1,573,703 |
Trading securities retained, at fair value |  | — |  |  | — |  |  | 7,774 |  |  | 43,362 |
AFS securities retained, at fair value |  | — |  |  | — |  |  | 1,600 |  |  | 3,198 |
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, 2021 and 2020 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.4 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
(In Thousands) |  | 2021 |  | 2020 |  | 2021 |  | 2020
Proceeds from new transfers |  | $ | — |  |  | $ | — |  |  | $ | 1,266,063 |  |  | $ | 1,610,761 |
MSR fees received |  | 1,095 |  |  | 2,280 |  |  | 4,038 |  |  | 7,445 |
Funding of compensating interest, net |  | 54 |  |  | 4 |  |  | (116) |  |  | (293) |
Cash flows received on retained securities |  | 16,724 |  |  | 5,873 |  |  | 42,117 |  |  | 19,242 |
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 value securities retained at the date of securitization for securitizations completed during the three and nine months ended September 30, 2021 and 2020. Table 4.5 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood
|  |  |  | Three Months Ended September 30, 2021 |  |  |  | Three Months Ended September 30, 2020
At Date of Securitization |  |  |  | Senior IO Securities |  | Subordinate Securities |  |  |  | Senior IO Securities |  | Subordinate Securities
Prepayment rates |  |  |  | N/A |  | N/A |  |  |  | N/A |  | N/A
Discount rates |  |  |  | N/A |  | N/A |  |  |  | N/A |  | N/A
Credit loss assumptions |  |  |  | N/A |  | N/A |  |  |  | N/A |  | N/A
|  |  |  | Nine Months Ended September 30, 2021 |  |  |  | Nine Months Ended September 30, 2020
At Date of Securitization |  |  |  | Senior IO Securities |  | Subordinate Securities |  |  |  | Senior IO Securities |  | Subordinate Securities
Prepayment rates |  |  |  | 11 | % |  | 11 % |  |  |  | 41 | % |  | 13 | %
Discount rates |  |  |  | 15 % |  | 6 % |  |  |  | 16 | % |  | 6 | %
Credit loss assumptions |  |  |  | 0.23 % |  | 0.23 % |  |  |  | 0.21 | % |  | 0.22 | %
Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents additional information at September 30, 2021 and December 31, 2020, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.6 – Unconsolidated VIEs Sponsored by Redwood
(In Thousands) |  | September 30, 2021 |  | December 31, 2020
On-balance sheet assets, at fair value: |  |  |  |
Interest-only, senior and subordinate securities, classified as trading |  | $ | 18,380 |  |  | $ | 20,982 |
Subordinate securities, classified as AFS |  | 128,874 |  |  | 136,475 |
Mortgage servicing rights |  | 6,068 |  |  | 8,413 |
Maximum loss exposure (1) |  | $ | 153,322 |  |  | $ | 165,870 |
Assets transferred: |  |  |  |
Principal balance of loans outstanding |  | $ | 5,542,244 |  |  | $ | 7,728,432 |
Principal balance of loans 30+ days delinquent |  | 32,422 |  |  | 138,029 |
(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, 2021 and December 31, 2020. Table 4.7 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood
September 30, 2021 |  | MSRs |  | Senior Securities (1) |  | Subordinate Securities
(Dollars in Thousands) |  |  |
Fair value at September 30, 2021 |  | $ | 6,068 |  |  | $ | 18,380 |  |  | $ | 128,874 |
Expected life (in years) (2) |  | 2 |  | 4 |  | 8
Prepayment speed assumption (annual CPR) (2) |  | 36 % |  | 25 | % |  | 32 %
Decrease in fair value from: |  |  |  |  |  |
10% adverse change |  | $ | 502 |  |  | $ | 1,173 |  |  | $ | 57 |
25% adverse change |  | 1,173 |  |  | 2,789 |  |  | 141 |
Discount rate assumption (2) |  | 12 % |  | 18 | % |  | 3.8 %
Decrease in fair value from: |  |  |  |  |  |
100 basis point increase |  | $ | 134 |  |  | $ | 417 |  |  | $ | 9,353 |
200 basis point increase |  | 261 |  |  | 812 |  |  | 17,829 |
Credit loss assumption (2) |  | N/A |  | 0.34 | % |  | 0.34 | %
Decrease in fair value from: |  |  |  |  |  |
10% higher losses |  | N/A |  | $ | — |  |  | $ | 2,190 |
25% higher losses |  | N/A |  | — |  |  | 5,473 |
December 31, 2020 |  | MSRs |  | Senior Securities (1) |  | Subordinate Securities
(Dollars in Thousands) |  |  |
Fair value at December 31, 2020 |  | $ | 8,413 |  |  | $ | 17,333 |  |  | $ | 140,124 |
Expected life (in years) (2) |  | 2 |  | 3 |  | 8
Prepayment speed assumption (annual CPR) (2) |  | 37 | % |  | 31 | % |  | 33 | %
Decrease in fair value from: |  |  |  |  |  |
10% adverse change |  | $ | 906 |  |  | $ | 1,557 |  |  | $ | 452 |
25% adverse change |  | 2,058 |  |  | 3,754 |  |  | 2,298 |
Discount rate assumption (2) |  | 12 | % |  | 21 | % |  | 5 | %
Decrease in fair value from: |  |  |  |  |  |
100 basis point increase |  | $ | 196 |  |  | $ | 337 |  |  | $ | 9,769 |
200 basis point increase |  | 380 |  |  | 659 |  |  | 18,650 |
Credit loss assumption (2) |  | N/A |  | 0.41 | % |  | 0.41 | %
Decrease in fair value from: |  |  |  |  |  |
10% higher losses |  | N/A |  | $ | — |  |  | $ | 2,409 |
25% higher losses |  | N/A |  | — |  |  | 5,915 |
(1)Senior securities included $18 million and $17 million of interest-only securities at September 30, 2021 and December 31, 2020, 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, 2021 and December 31, 2020, grouped by asset type. Table 4.8 – Third-Party Sponsored VIE Summary
(In Thousands) |  | September 30, 2021 |  | December 31, 2020
Mortgage-Backed Securities |  |  |  |
Senior |  | $ | 4,114 |  |  | $ | 11,131 |
Mezzanine |  | — |  |  | 2,014 |
Subordinate |  | 201,918 |  |  | 173,523 |
Total Mortgage-Backed Securities |  | 206,032 |  |  | 186,668 |
Excess MSR |  | 11,368 |  |  | 14,133 |
Total Investments in Third-Party Sponsored VIEs |  | $ | 217,400 |  |  | $ | 200,801 |

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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 Schedule of Third-Party Sponsored VIE Summary [Table Text Block] + References No definition available. + Details
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- Definition Tabular disclosure of a transferor's continuing involvement with financial assets transferred to a transferee in a securitization, asset-backed financing arrangement, or similar transfer. Such disclosure would, at a minimum, contain information allowing for an assessment of the reasons for the transferor's continuing involvement, the risks related to the transferred financial assets to which the transferor continues to be exposed, and the extent of change to the transferor's risk profile due to the transfer (including, but not limited to, credit risk, interest rate risk, other). + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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- Definition Tabular disclosure of all information related to the key inputs and assumptions used in measuring the fair value of assets obtained or liabilities incurred, as the result of a sale of financial assets, relating to the transferor's continuing involvement, if any, at the time of securitization, asset-backed financing arrangement, or similar transfer (including at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses, including expected static pool losses). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 + Details
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- Definition Tabular disclosure of amounts pertaining to the excess over or deficiency from the carrying amounts of financial assets which are recognized upon the sale of financial assets. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (b)(3) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 + Details
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- Definition Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + 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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI http://asc.fasb.org/extlink&oid=123419778&loc=SL6759159-111685 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5747-111685 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=123419778&loc=SL6228884-111685 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5710-111685 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=123419778&loc=d3e5728-111685 + Details
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