XML 48 R36.htm IDEA: XBRL DOCUMENT v3.21.2

Principles of Consolidation (Tables)

9 Months Ended

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

X

- 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

Name:	rwt_CashFlowsBetweenTransfereeAndTransferorCurrentPeriodTableTextBlock
Namespace Prefix:	rwt_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Schedule of Third-Party Sponsored VIE Summary [Table Text Block]

+ References

No definition available.

+ Details

Name:	rwt_ScheduleofThirdPartySponsoredVIESummaryTableTextBlock
Namespace Prefix:	rwt_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_OrganizationConsolidationAndPresentationOfFinancialStatementsAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- 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

Name:	us-gaap_QualitativeAndQuantitativeInformationTransferorsContinuingInvolvementTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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

Name:	us-gaap_ScheduleOfAssumptionsForFairValueOnSecuritizationDateOfInterestsContinuedToBeHeldByTransferorServicingAssetsOrServicingLiabilitiesTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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

Name:	us-gaap_ScheduleOfGainLossOnSecuritizationsOfFinancialAssetsAccountedForAsSaleTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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

Name:	us-gaap_ScheduleOfSensitivityAnalysisOfFairValueOfInterestsContinuedToBeHeldByTransferorServicingAssetsOrServicingLiabilitiesTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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

Name:	us-gaap_ScheduleOfVariableInterestEntitiesTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration