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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 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 September 30, 2021 and December 31, 2020.

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

						September 30, 2021												December 31, 2020
						Carrying Value						Fair Value						Carrying Value						Fair Value
(In Thousands)
Assets
Residential loans, held-for-sale at fair value						$	1,495,044					$	1,495,044					$	176,604					$	176,604
Residential loans, held-for-investment						4,721,389						4,721,389						4,072,410						4,072,410
Business purpose loans, held-for-sale						466,346						466,346						245,394						245,394
Business purpose loans, held-for-investment						4,227,209						4,227,209						3,890,959						3,890,959
Multifamily loans						482,791						482,791						492,221						492,221
Real estate securities						353,286						353,286						344,125						344,125
Servicer advance investments (1)						170,062						170,062						231,489						231,489
MSRs (1)						12,389						12,389						8,815						8,815
Excess MSRs (1)						29,185						29,185						34,418						34,418
HEIs (1)						167,856						167,856						42,440						42,440
Other investments (2)						17,574						17,574						18,847						18,847
Cash and cash equivalents						556,989						556,989						461,260						461,260
Restricted cash						88,717						88,717						83,190						83,190
Derivative assets						51,103						51,103						53,238						53,238
REO (3)						18,863						21,657						8,413						9,229
Margin receivable (3)						16,503						16,503						4,758						4,758
FHLBC stock (3)						10						10						5,000						5,000
Pledged collateral (3)						—						—						1,177						1,177
Liabilities
Short-term debt						$	1,750,941					$	1,750,941					$	522,609					$	522,609
Margin payable (4)						48,298						48,298						—						—
Guarantee obligation (4)						7,902						5,263						10,039						7,843
Point HEI non-controlling interest						16,722						16,722						—						—
Derivative liabilities						10,972						10,972						16,072						16,072
ABS issued, net
Fair value						7,756,101						7,756,101						6,900,362						6,900,362
Amortized cost						427,724						428,059						200,299						204,892
Other long-term debt, net (5)						847,889						848,929						774,726						783,570
Convertible notes, net (5)						512,979						539,067						511,085						499,865
Trust preferred securities and subordinated notes, net (5)						138,709						94,163						138,674						80,910

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

(2)Comprised of financial instruments 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 September 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

September 30, 2021						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3
Assets
Residential loans						$	6,216,433					$	—					$	—					$	6,216,433
Business purpose loans						4,693,555						—						—						4,693,555
Multifamily loans						482,791						—						—						482,791
Real estate securities						353,286						—						—						353,286
Servicer advance investments						170,062						—						—						170,062
MSRs						12,389						—						—						12,389
Excess MSRs						29,185						—						—						29,185
HEIs						167,856						—						—						167,856
Other investments						17,574						—						—						17,574
Derivative assets						51,103						8,213						33,628						9,262
Liabilities
Non-controlling interest in consolidated Point HEI entity						$	16,722					$	—					$	—					$	16,722
Derivative liabilities						10,972						8,348						74						2,550
ABS issued						7,756,101						—						—						7,756,101

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
HEIs						42,440						—						—						42,440
Other investments						18,847						—						—						18,847
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 nine months ended September 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						Excess MSRs						HEIs						Other
(In Thousands)
Beginning balance -    December 31, 2020						$	4,249,014					$	4,136,353					$	492,221					$	125,667					$	218,458					$	231,489					$	34,418					$	42,440					$	27,662
Acquisitions						9,926,335						38,176						—						37,117						1,600						—						—						122,373						14,615
Originations						—						1,515,262						—						—						—						—						—						—						—
Sales						(6,958,669)						(9,484)						—						(32,704)						(4,785)						—						—						—						—
Principal paydowns						(1,051,390)						(942,096)						(5,685)						(1,783)						(45,120)						(58,248)						—						(10,220)						(9,224)
Gains (losses) in net income (loss), net						53,549						(25,658)						(3,745)						24,713						26,998						(3,179)						(5,233)						13,263						(2,974)
Unrealized losses in OCI, net						—						—						—						—						3,125						—						—						—						—
Other settlements, net (1)						(2,406)						(18,998)						—						—						—						—						—						—						(116)
Ending balance -    September 30, 2021						$	6,216,433					$	4,693,555					$	482,791					$	153,010					$	200,276					$	170,062					$	29,185					$	167,856					$	29,963

															Liabilities
																																										Derivatives (2)						Point HEI Non-Controlling Interest						ABS Issued
(In Thousands)
Beginning balance - December 31, 2020																																										$	14,450					$	—					$	6,900,362
Acquisitions																																										—						16,639						2,552,785
Principal paydowns																																										—						—						(1,500,357)
Gains (losses) in net income (loss), net																																										17,806						83						(196,689)
Other settlements, net (1)																																										(25,544)						—						—
Ending balance - September 30, 2021																																										$	6,712					$	16,722					$	7,756,101

(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 September 30, 2021 and 2020. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and nine months ended September 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 September 30, 2021 and 2020 Included in Net Income

						Included in Net Income
						Three Months Ended September 30,												Nine Months Ended September 30,
(In Thousands)						2021						2020						2021						2020
Assets
Residential loans at Redwood						$	6,553					$	(107)					$	9,371					$	(865)
Business purpose loans						18,810						21,155						19,829						17,901
Net investments in consolidated Sequoia entities (1)						2,885						7,700						11,779						(22,802)
Net investments in consolidated Freddie Mac SLST entities (1)						13,781						82,209						54,006						(33,087)
Net investments in consolidated Freddie Mac K-Series entity (1)						555						2,165						11,330						(11,014)
Net investments in consolidated CAFL SFR entities (1)						2,943						9,673						5,500						(41,048)
Net investment in consolidated Point HEI entity (1)						47						—						129						—
Trading securities						1,547						(3,549)						3,824						(80,358)
Servicer advance investments						(2,079)						25						(3,179)						(6,172)
MSRs						(235)						(2,376)						(49)						(16,798)
Excess MSRs						(803)						(1,127)						(5,233)						(7,650)
HEIs at Redwood						(41)						2,384						21						(4,286)
Loan purchase and interest rate lock commitments						9,021						10,791						9,261						10,773
Liabilities
Non-controlling interest in consolidated Point HEI entity						$	(83)					$	—					$	(83)					$	—
Loan purchase commitments						(2,570)						420						(2,550)						(1,334)

(1)    Represents the portion of net gains or losses included in our consolidated statements of income (loss) related to loans, securitized HEIs, and the associated ABS issued at our consolidated securitization entities held at September 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 September 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 September 30, 2021.

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

																														Gain (Loss) for
September 30, 2021						Carrying Value						Fair Value Measurements Using																		Three Months Ended						Nine Months Ended
(In Thousands)												Level 1						Level 2						Level 3						September 30, 2021						September 30, 2021
Assets
REO						$	622					$	—					$	—					$	622					$	(1)					$	(4)

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 nine months ended September 30, 2021 and 2020.

Table 5.6 – Market Valuation Gains and Losses, Net

						Three Months Ended September 30,												Nine Months Ended September 30,
(In Thousands)						2021						2020						2021						2020
Mortgage Banking Activities, Net
Residential loans held-for-sale, at fair value						$	9,045					$	(478)					$	57,145					$	(15,972)
Residential loan purchase commitments						18,817						13,067						18,351						35,123
Single-family rental loans held-for-sale, at fair value						19,205						43,191						54,675						55,868
Single-family rental loan interest rate lock commitments						(744)						—						—						341
Bridge loans						3,433						938						6,702						(4,256)
Trading securities (1)						32						—						(342)						—
Risk management derivatives, net						3,539						(99)						38,117						(52,931)
Total mortgage banking activities, net (2)						$	53,327					$	56,619					$	174,648					$	18,173
Investment Fair Value Changes, Net
Residential loans at Redwood						$	816					$	218					$	2,423					$	(93,314)
Single-family rental loans held-for-investment						—						—						—						(20,806)
Bridge loans held-for-investment						900						6,812						4,142						(10,016)
Trading securities						1,546						(3,600)						25,067						(224,679)
Servicer advance investments						(2,079)						26						(3,179)						(6,172)
Excess MSRs						(803)						(1,127)						(5,233)						(7,650)
Net investments in Legacy Sequoia entities (3)						(247)						(81)						(1,162)						(702)
Net investments in Sequoia entities (3)						3,314						7,851						13,118						(22,065)
Net investments in Freddie Mac SLST entities (3)						13,849						82,214						54,282						(33,081)
Net investment in Freddie Mac K-Series entity (3)						554						2,166						11,330						(82,744)
Net investments in CAFL entities (3)						2,943						9,673						6,354						(41,048)
Net investment in Point HEI entity (3)						47						—						47						—
HEIs at Redwood						5,622						2,384						13,017						(4,286)
Other investments						(385)						67						50						(4,825)
Risk management derivatives, net						—						—						—						(59,142)
Credit recoveries (losses) on AFS securities						—						444						388						(1,027)
Total investment fair value changes, net						$	26,077					$	107,047					$	120,644					$	(611,557)
Other Income
MSRs						$	(989)					$	(4,783)					$	(3,236)					$	(27,346)
Risk management derivatives, net						—						—						—						13,966
Total other income (4)						$	(989)					$	(4,783)					$	(3,236)					$	(13,380)
Total Market Valuation Gains (Losses), Net						$	78,415					$	158,883					$	292,056					$	(606,764)

(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, securitized Point HEIs, 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

September 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						$	624,477					Prepayment rate (annual CPR)						20			-			20			%						20			%
												Whole loan spread to TBA price						$	3.00		-			$	3.00								$	3.00
												Whole loan spread to swap rate						202			-			202			bps						202			bps
Jumbo loans committed to sell						870,568						Whole loan committed sales price						$	101.90		-			$	103.32								$	102.46
Loans held by Legacy Sequoia (2)						242,234						Liability price												N/A									N/A
Loans held by Sequoia (2)						2,479,750						Liability price												N/A									N/A
Loans held by Freddie Mac SLST (2)						1,999,405						Liability price												N/A									N/A
Business purpose loans:
Single-family rental loans						466,346						Senior credit spread						65			-			65			bps						65			bps
												Subordinate credit spread						110			-			1,523			bps						401			bps
												Senior credit support						35			-			35			%						35			%
												IO discount rate						9			-			9			%						9			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Non-securitizable loan dollar price						$	76		-			$	111								$	101
Single-family rental loans held by CAFL (2)						3,402,410						Liability price												N/A									N/A
Bridge loans						824,799						Discount rate						4			-			15			%						6			%
Multifamily loans held by Freddie Mac K-Series (2)						482,791						Liability price												N/A									N/A
Trading and AFS securities						353,286						Discount rate						2			-			38			%						7			%
												Prepayment rate (annual CPR)						8			-			58			%						27			%
												Default rate						—			-			25			%						4			%
												Loss severity						—			-			50			%						24			%
												CRT dollar price						$	96		-			$	116								$	104
Servicer advance investments						170,062						Discount rate						2			-			3			%						2			%
												Prepayment rate (annual CPR)						20			-			30			%						21			%
												Expected remaining life (3)						5			-			5			years						5			years
												Mortgage servicing income						2			-			11			bps						9			bps
MSRs						12,389						Discount rate						12			-			15			%						13			%
												Prepayment rate (annual CPR)						6			-			80			%						28			%
												Per loan annual cost to service						$	95		-			$	95								$	95
Excess MSRs						29,185						Discount rate						13			-			16			%						15			%
												Prepayment rate (annual CPR)						21			-			30			%						25			%
												Excess mortgage servicing income						8			-			17			bps						11			bps

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

September 30, 2021						Fair Value												Input Values
(Dollars in Thousands, except Input Values)												Unobservable Input						Range															Weighted Average (1)
Assets (continued)
HEIs at Redwood						$	414					Dollar Price						$	92		-			$	124								$	105
HEIs held by Point HEI entity						167,442						Liability price												N/A									N/A
REO						622						Loss severity						11			-			40			%						22			%
Residential loan purchase commitments, net						6,712						Committed sales price						$	102.11		-			$	102.77								$	102.54
												Pull-through rate						4			-			100			%						71			%
												Whole loan spread to TBA price						$	3.00		-			$	3.00								$	3.00
												Whole loan spread to swap rate						185			-			202			bps						201			bps
												Prepayment rate (annual CPR)						20			-			20			%						20			%
Liabilities
ABS issued (2):
At consolidated Sequoia entities						2,482,746						Discount rate						1			-			18			%						3			%
												Prepayment rate (annual CPR)						7			-			55			%						33			%
												Default rate						—			-			36			%						2			%
												Loss severity						25			-			50			%						32			%
At consolidated CAFL SFR entities (4)						3,126,405						Discount rate						1			-			13			%						3			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Default rate						2			-			18			%						9			%
												Loss severity						30			-			30			%						30			%
At consolidated Freddie Mac SLST entities						1,550,111						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)						451,402						Discount rate						1			-			8			%						2			%
At consolidated Point HEI entity (4)						145,437						Discount rate						3			-			15			%						4			%
												Prepayment rate (annual CPR)						20			-			20			%						20			%
												Default rate						6			-			6			%						6			%
												Loss severity						25			-			25			%						25			%
												Home price appreciation						3			-			4			%						3			%

(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 and HEIs held by consolidated entities was based on the fair value of the ABS issued by these entities and the securities and other investments we own in those entities, which we determined were more readily observable in accordance with accounting guidance for collateralized financing entities. At September 30, 2021, the fair value of securities we owned at the consolidated Sequoia, CAFL SFR, Freddie Mac SLST, Freddie Mac K-Series, and Point HEI entities was $240 million, $288 million, $451 million, $31 million, and $10 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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- Definition

Tabular disclosure for the total amount of market valuation adjustments for the period which are included in earnings.

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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.

+ References

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-Section 50
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- Definition

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.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
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-Name Accounting Standards Codification
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-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (d)
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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).

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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.

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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).

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