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Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Carrying Values and Estimated Fair Values of Assets and Liabilities

The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at December 31, 2021 and 2020.

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

						December 31, 2021												December 31, 2020
						Carrying Value						Fair Value						Carrying Value						Fair Value
(In Thousands)
Assets
Residential loans, held-for-sale at fair value						$	1,845,248					$	1,845,248					$	176,604					$	176,604
Residential loans, held-for-investment						5,747,150						5,747,150						4,072,410						4,072,410
Business purpose loans, held-for-sale						358,309						358,309						245,394						245,394
Business purpose loans, held-for-investment						4,432,680						4,432,680						3,890,959						3,890,959
Multifamily loans						473,514						473,514						492,221						492,221
Real estate securities						377,411						377,411						344,125						344,125
Servicer advance investments (1)						350,923						350,923						231,489						231,489
MSRs (1)						12,438						12,438						8,815						8,815
Excess MSRs (1)						44,231						44,231						34,418						34,418
HEIs (1)						192,740						192,740						42,440						42,440
Other investments (1)						12,663						12,663						18,847						18,847
Cash and cash equivalents						450,485						450,485						461,260						461,260
Restricted cash						80,999						80,999						83,190						83,190
Derivative assets						26,467						26,467						53,238						53,238
REO (2)						36,126						39,272						8,413						9,229
Margin receivable (2)						7,269						7,269						4,758						4,758
FHLBC stock (2)						10						10						5,000						5,000
Pledged collateral (2)						—						—						1,177						1,177
Liabilities
Short-term debt						$	2,177,362					$	2,177,362					$	522,609					$	522,609
Margin payable (3)						24,368						24,368						—						—
Guarantee obligation (3)						7,459						7,133						10,039						7,843
Point HEI non-controlling interest						17,035						17,035						—						—
Derivative liabilities						3,317						3,317						16,072						16,072
ABS issued net
Fair value						8,843,147						8,843,147						6,900,362						6,900,362
Amortized cost						410,410						410,471						200,299						204,892
Other long-term debt, net (4)						988,483						989,570						774,726						783,570
Convertible notes, net (4)						513,629						537,300						511,085						499,865
Trust preferred securities and subordinated notes, net (4)						138,721						97,650						138,674						80,910

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

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

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

(4)The liabilities are included in Long-Term debt, net of our consolidated balance sheets.

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at December 31, 2021 and 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

December 31, 2021						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3
Assets
Residential loans						$	7,592,398					$	—					$	—					$	7,592,398
Business purpose loans						4,790,989						—						—						4,790,989
Multifamily loans						473,514						—						—						473,514
Real estate securities						377,411						—						—						377,411
Servicer advance investments						350,923						—						—						350,923
MSRs						12,438						—						—						12,438
Excess MSRs						44,231						—						—						44,231
HEIs						192,740						—						—						192,740
Other investments						17,574						—						—						17,574
Derivative assets						26,467						2,906						18,928						4,633
FHLBC stock						10						—						10						—
Liabilities
Derivative liabilities						$	3,317					$	1,563					$	1,251					$	503
ABS issued						8,843,147						—						—						8,843,147

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
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 years ended December 31, 2021 and 2020.

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						MSRs and Other Investments
(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						13,139,907						136,685						—						58,917						19,100						196,583						17,830						155,023						15,215
Originations						—						2,150,539						—						—						—						—						—						—						—
Sales						(8,449,328)						(211,113)						—						(34,802)						(4,785)						—						—						—						—
Principal paydowns						(1,360,649)						(1,307,566)						(7,639)						(2,713)						(57,953)						(76,223)						—						(19,395)						(14,751)
Gains (losses) in net income (loss), net						16,688						(77,357)						(11,068)						23,550						40,735						(926)						(8,017)						13,774						(2,846)
Unrealized losses in OCI, net						—						—						—						—						(8,763)						—						—						—						—
Other settlements, net (1)						(3,234)						(36,552)						—						—						—						—						—						898						(179)
Ending balance - December 31, 2021						$	7,592,398					$	4,790,989					$	473,514					$	170,619					$	206,792					$	350,923					$	44,231					$	192,740					$	25,101

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

																																																						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						4,202,070
Principal paydowns																																																—						—						(1,922,313)
Gains (losses) in net income (loss), net																																																10,437						396						(336,972)
Other settlements, net (1)																																																(20,757)						—						—
Ending balance - December 31, 2021																																																$	4,130					$	17,035					$	8,843,147

						Assets
(In Thousands)						Residential Loans						Business Purpose Loans						Multifamily Loans						Trading Securities						AFS Securities						Servicer Advance Investments						Excess MSRs						HEIs						MSRs and Other Investments
Beginning balance - December 31, 2019						$	7,714,745					$	3,506,743					$	4,408,524					$	860,540					$	239,334					$	169,204					$	31,814					$	45,085					$	67,313
Acquisitions						4,483,473						—						—						108,249						57,652						179,419						10,906						3,517						450
Originations						—						1,431,251						—						—						—						—						—						—						—
Sales						(6,262,958)						(135,800)						—						(603,529)						(55,192)						—						—						—						—
Principal paydowns						(1,552,171)						(753,026)						(7,703)						(8,687)						(17,924)						(107,527)						—						(4,278)						(5,843)
Deconsolidations						—						—						(3,849,779)						—						—						—						—						—						—
Gains (losses) in net income, net						(132,307)						99,590						(58,821)						(230,906)						10,792						(9,607)						(8,302)						(1,884)						(34,258)
Unrealized gains in OCI, net						—						—						—						—						(16,204)						—						—						—						—
Other settlements, net (1)						(1,768)						(12,405)						—						—						—						—						—						—						—
Ending balance - December 31, 2020						$	4,249,014					$	4,136,353					$	492,221					$	125,667					$	218,458					$	231,489					$	34,418					$	42,440					$	27,662

																																										Liabilities
(In Thousands)																																				Derivatives (2)						Contingent Consideration						ABS  Issued
Beginning balance - December 31, 2019																																				$	8,860					$	28,484					$	10,515,475
Acquisitions																																				—						—						1,478,589
Principal paydowns																																				—						(13,353)						(1,487,958)
Deconsolidations																																				—						—						(3,706,789)
Gains (losses) in net income, net																																				56,972						(446)						101,045
Other settlements, net (1)																																				(51,382)						(14,685)						—
Ending balance - December 31, 2020																																				$	14,450					$	—					$	6,900,362

(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. Other settlements, net for contingent consideration reflects the reclassification from a contingent liability to a deferred liability during the period due to an amendment in the underlying agreement. See Note 16 for further discussion. Other settlements, net for trading securities relates to the consolidation of Freddie Mac K-Series securitization entities.

(2)     For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, forward sale commitments, and interest rate lock commitments, are presented on a net basis.

Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income

The following table presents the portion of gains or losses included in our consolidated statements of income (loss) that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at December 31, 2021, 2020, and 2019. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2021, 2020, and 2019 are not included in this presentation.

Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at December 31, 2021, 2020, and 2019 Included in Net Income

						Included in Net Income
						Years Ended December 31,
(In Thousands)						2021						2020						2019
Assets
Residential loans at Redwood						$	5,886					$	1,138					$	67,470
Business purpose loans						9,444						9,420						14,603
Net investments in consolidated Sequoia entities (1)						12,455						(14,646)						4,529
Net investments in consolidated Freddie Mac SLST entities (1)						62,124						(21,220)						27,225
Net investments in consolidated Freddie Mac K-Series entities (1)						11,599						(9,309)						21,430
Net investments in consolidated CAFL SFR entities (1)						8,198						(37,062)						(14,681)
Net investments in consolidated Point HEI entity (1)						614						—						—
Trading securities						738						(83,327)						18,865
Available-for-sale securities						—						(388)						—
Servicer advance investments						(926)						(8,902)						3,001
MSRs						629						(17,545)						(11,957)
Excess MSRs						(8,017)						(8,302)						(3,260)
HEIs at Redwood						212						(1,884)						842
Loan purchase and interest rate lock commitments						4,633						15,027						10,190
Liabilities
Non-controlling interest in consolidated Point HEI entity						$	(396)					$	—					$	—
Loan purchase commitments						(503)						$	(577)					$	(1,290)
Contingent consideration						—						—						(3,217)

(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 December 31, 2021, 2020, and 2019, which netted together represent the change in value of our investments at the consolidated VIEs. The net gain attributable for the Point HEI entity excludes valuation change in the non-controlling interest in consolidated Point HEI entity, which is separately shown in Table 5.4 above.

Assets and Liabilities Measured at Fair Value on Non-Recurring Basis

The following table presents information on assets recorded at fair value on a non-recurring basis at December 31, 2021 and 2020. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at December 31, 2021 and 2020.

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

																														Gain (Loss) for Year Ended
December 31, 2021						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3						December 31, 2021
Assets
REO						$	588					$	—					$	—					$	588					$	(217)
																														Gain (Loss) for Year Ended
December 31, 2020						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3						December 31, 2020
Assets
REO						$	1,117					$	—					$	—					$	1,117					$	(157)

Market Valuation Adjustments

The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income (loss) for the years ended December 31, 2021, 2020, and 2019.

Table 5.6 – Market Valuation Gains and Losses, Net

						Years Ended December 31,
(In Thousands)						2021						2020						2019
Mortgage Banking Activities, Net
Residential loans held-for-sale, at fair value						$	73,332					$	(15,477)					$	3,267
Residential loan purchase and forward sale commitments						10,401						56,761						60,260
Single-family rental loans held-for-sale, at fair value						63,206						82,169						15,043
Single-family rental loan purchase and interest rate lock commitments						666						341						1,961
Bridge loans						8,253						(4,998)						4,518
Trading securities (1)						(352)						(4,535)						—
Risk management derivatives, net						41,060						(47,779)						(15,723)
Total mortgage banking activities, net (2)						$	196,566					$	66,482					$	69,326
Investment Fair Value Changes, Net
Residential loans held-for-investment at Redwood						$	2,812					$	(93,314)					$	58,891
Single-family rental loans held-for-investment						—						(20,806)						272
Bridge loans held-for-investment						(65)						(10,629)						(2,139)
Trading securities						23,935						(226,196)						56,046
Servicer advance investments						(925)						(8,901)						3,001
Excess MSRs						(8,017)						(8,302)						(3,260)
Net investments in Legacy Sequoia entities (3)						(1,558)						(1,513)						(1,545)
Net investments in Sequoia entities (3)						14,176						(13,244)						6,947
Net investments in Freddie Mac SLST entities (3)						62,374						(21,160)						27,206
Net investments in Freddie Mac K-Series entities (3)						11,599						(81,039)						21,430
Net investments in CAFL entities (3)						10,271						(36,754)						(3,636)
Net investments in Point HEI entities (3)						218						—						—
HEIs at Redwood						13,207						(1,883)						—
Other investments						(366)						(5,167)						(544)
Risk management derivatives, net						—						(59,142)						(127,169)
Change in allowance for credit losses on AFS securities						388						(388)						—
Total investment fair value changes, net						$	128,049					$	(588,438)					$	35,500
Other Income
MSRs						$	(3,182)					$	(33,409)					$	(18,856)
Risk management derivatives, net						—						13,966						8,595
Gain on re-measurement of 5 Arches investment						—						—						2,441
Total other income (4)						$	(3,182)					$	(19,443)					$	(7,820)
Total Market Valuation (Losses) Gains, Net						$	321,433					$	(541,399)					$	97,006

(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

December 31, 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						$	1,200,322					Prepayment rate (annual CPR)						20			-			20			%						20			%
												Whole loan spread to TBA price						$	2.56		-			$	2.56								$	2.56
												Whole loan spread to swap rate						185			-			185			bps						185			bps
												Called loan dollar price						$	102		-			$	102								$	102
Jumbo loans committed to sell						644,926						Whole loan committed sales price						$	101.91		-			$	102.58								$	102.19
Loans held by Legacy Sequoia (2)						230,455						Liability price												N/A									N/A
Loans held by Sequoia (2)						3,628,465						Liability price												N/A									N/A
Loans held by Freddie Mac SLST (2)						1,888,230						Liability price												N/A									N/A
Business purpose loans:
Single-family rental loans						358,309						Senior credit spread						85			-			110			bps						91			bps
												Subordinate credit spread						125			-			1,517			bps						362			bps
												Senior credit support						36			-			36			%						36			%
												IO discount rate						8			-			14			%						9			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Non-securitizable loan dollar price						$	78		-			$	103								$	99
Single-family rental loans held by CAFL						3,488,074						Liability price												N/A									N/A
Bridge loans						944,606						Discount rate						4			-			15			%						6			%
Multifamily loans held by Freddie Mac K-Series (2)						473,514						Liability price												N/A									N/A
Trading and AFS securities						377,411						Discount rate						2			-			47			%						7			%
												Prepayment rate (annual CPR)						7			-			50			%						26			%
												Default rate						—			-			27			%						4			%
												Loss severity						—			-			50			%						24			%
												CRT dollar price						$	96		-			$	112								$	103
Servicer advance investments						350,923						Discount rate						2			-			4			%						3			%
												Prepayment rate (annual CPR)						17			-			30			%						18			%
												Expected remaining life (3)						4			-			5			yrs						5			yrs
												Mortgage servicing income						2			-			18			bps						11			bps
MSRs						12,438						Discount rate						12			-			15			%						13			%
												Prepayment rate (annual CPR)						6			-			79			%						24			%
												Per loan annual cost to service						$	95		-			$	95								$	95
Excess MSRs						44,231						Discount rate						13			-			19			%						17			%
												Prepayment rate (annual CPR)						19			-			31			%						22			%
												Excess mortgage servicing amount						9			-			17			bps						11			bps

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

December 31, 2021						Fair Value												Input Values
(Dollars in Thousands, except Input Values)												Unobservable Input						Range															Weighted Average
Assets (continued)
Shared Home Appreciation Options						$	33,187					Discount rate						10			-			10			%						10			%
												Prepayment rate (annual CPR)						1			-			24			%						17			%
												Home Price Appreciation						3			-			4			%						3			%
HEIs held by Point HEI entity						$	159,553					Liability price												N/A									N/A
REO						588						Loss severity						9			-			100			%						17			%
Residential loan purchase commitments, net						3,464						Prepayment rate (annual CPR)						20			-			20			%						20			%
												Whole loan spread to TBA price						$	2.56		-			$	2.56								$	2.56
												Whole loan spread to swap rate						185			-			185			bps						185			bps
												Pull-through rate						7			-			100			%						69			%
												Committed sales price						$	101.97		-			$	102.62								$	102.07
Single-family rental interest rate lock commitments						666						Senior credit spread						85			-			85			bps						85			bps
												Subordinate credit spread						125			-			1,517			bps						450			bps
												Senior credit support						30			-			30			%						30			%
												IO discount rate						8			-			8			%						8			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Pull-through rate						100						100			%						100			%
Liabilities
ABS issued (2)
At consolidated Sequoia entities						3,610,929						Discount rate						1			-			18			%						4			%
												Prepayment rate (annual CPR)						7			-			50			%						28			%
												Default rate						—			-			37			%						1			%
												Loss severity						25			-			50			%						32			%
At consolidated CAFL SFR entities (4)						3,207,444						Discount rate						1			-			12			%						3			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Default rate						5			-			20			%						8			%
												Loss severity						30			-			30			%						30			%
At consolidated Freddie Mac SLST entities						1,445,507						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)						441,857						Discount rate						1			-			8			%						2			%
At consolidated Point HEI entities(4)						137,410						Discount rate						4			-			15			%						5			%
												Prepayment rate (annual CPR)						20			-			20			%						20			%
												Default rate						6			-			6			%						6			%
												Loss severity						25			-			25			%						25			%
												Home price appreciation						3			-			4			%						3			%

Footnotes to Table 5.7

(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 December 31, 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 $248 million, $302 million, $445 million, $32 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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