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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and December 31, 2021.

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

						March 31, 2022												December 31, 2021
						Carrying Value						Fair Value						Carrying Value						Fair Value
(In Thousands)
Assets
Residential loans, held-for-sale at fair value						$	1,347,036					$	1,347,036					$	1,845,248					$	1,845,248
Residential loans, held-for-investment						5,870,068						5,870,068						5,747,150						5,747,150
Business purpose loans, held-for-sale						505,889						505,889						358,309						358,309
Business purpose loans, held-for-investment						4,248,889						4,248,889						4,432,680						4,432,680
Multifamily loans						451,804						451,804						473,514						473,514
Real estate securities						358,882						358,882						377,411						377,411
Servicer advance investments (1)						302,837						302,837						350,923						350,923
MSRs (1)						19,739						19,739						12,438						12,438
Excess MSRs (1)						43,023						43,023						44,231						44,231
HEIs (1)						227,133						227,133						192,740						192,740
Other investments (1)						11,824						11,824						12,663						12,663
Cash and cash equivalents						409,272						409,272						450,485						450,485
Restricted cash						73,549						73,549						80,999						80,999
Derivative assets						112,060						112,060						26,467						26,467
REO (2)						27,179						30,787						36,126						39,272
Margin receivable (2)						17,165						17,165						7,269						7,269
Liabilities
Short-term debt						$	1,647,246					$	1,647,246					$	2,177,362					$	2,177,362
Margin payable (3)						41,966						41,966						24,368						24,368
Guarantee obligation (3)						7,046						6,579						7,459						7,133
HEI securitization non-controlling interest						23,253						23,253						17,035						17,035
Derivative liabilities						80,260						80,260						3,317						3,317
ABS issued net
Fair value						8,475,868						8,475,868						8,843,147						8,843,147
Amortized cost						396,498						379,930						410,410						410,471
Other long-term debt, net (4)						1,310,683						1,307,867						988,483						989,570
Convertible notes, net (4)						514,289						518,738						513,629						537,300
Trust preferred securities and subordinated notes, net (4)						138,732						104,625						138,721						97,650

(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 March 31, 2022 and December 31, 2021, 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

March 31, 2022						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3
Assets
Residential loans						$	7,217,104					$	—					$	—					$	7,217,104
Business purpose loans						4,754,778						—						—						4,754,778
Multifamily loans						451,804						—						—						451,804
Real estate securities						358,882						—						—						358,882
Servicer advance investments						302,837						—						—						302,837
MSRs						19,739						—						—						19,739
Excess MSRs						43,023						—						—						43,023
HEIs						227,133						—						—						227,133
Other investments						11,824						—						—						11,824
Derivative assets						112,060						98,538						11,412						2,110
Liabilities
HEI securitization non-controlling interest						$	23,253					$	—					$	—					$	23,253
Derivative liabilities						80,260						65,119						650						14,491
ABS issued						8,475,868						—						—						8,475,868

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
Liabilities
HEI securitization non-controlling interest						$	17,035					$	—					$	—					$	17,035
Derivative liabilities						3,317						1,563						1,251						503
ABS issued						8,843,147						—						—						8,843,147

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 three months ended March 31, 2022.

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, 2021						$	7,592,398					$	4,790,989					$	473,514					$	170,619					$	206,792					$	350,923					$	44,231					$	192,740					$	25,101
Acquisitions						2,110,494						64,875						—						5,006						10,000						—						—						40,141						5,793
Originations						—						855,227						—						—						—						—						—						—						—
Sales						(1,849,874)						(331,750)						—						—						—						—						—						—						(1,762)
Principal paydowns						(297,480)						(407,991)						(2,029)						(485)						(22,564)						(45,005)						—						(12,671)						(30)
Gains (losses) in net income, net						(337,595)						(216,300)						(19,681)						(1,456)						10,383						(3,081)						(1,208)						6,923						3,020
Unrealized losses in OCI, net						—						—						—						—						(19,413)						—						—						—						—
Other settlements, net (1)						(839)						(272)						—						—						—						—						—						—						(559)
Ending balance -    March 31, 2022						$	7,217,104					$	4,754,778					$	451,804					$	173,684					$	185,198					$	302,837					$	43,023					$	227,133					$	31,563

															Liabilities
																																										Derivatives (2)						HEI Securitization Non-Controlling Interest						ABS Issued
(In Thousands)
Beginning balance - December 31, 2021																																										$	4,130					$	17,035					$	8,843,147
Acquisitions																																										—						—						680,749
Principal paydowns																																										—						—						(520,949)
Gains (losses) in net income, net																																										(42,379)						6,218						(527,079)
Other settlements, net (1)																																										25,868						—						—
Ending balance - March 31, 2022																																										$	(12,381)					$	23,253					$	8,475,868

(1)     Other settlements, net for residential and business purpose loans represents the transfer of loans to REO, and for derivatives, 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, 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 that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at March 31, 2022 and 2021. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three months ended March 31, 2022 and 2021 are not included in this presentation.

Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at March 31, 2022 and 2021 Included in Net Income

						Included in Net Income
						Three Months Ended March 31,
(In Thousands)						2022						2021
Assets
Residential loans at Redwood						$	(35,397)					$	(9,978)
Business purpose loans						(14,647)						5,104
Net investments in consolidated Sequoia entities (1)						(4,981)						4,201
Net investments in consolidated Freddie Mac SLST entities (1)						2,940						4,088
Net investments in consolidated Freddie Mac K-Series entities (1)						264						8,921
Net investments in consolidated CAFL SFR entities (1)						4,048						370
Net investment in consolidated HEI securitization entity (1)						9,628						—
Trading securities						(1,401)						490
Servicer advance investments						(3,081)						(160)
MSRs						3,526						756
Excess MSRs						(1,208)						(1,952)
HEIs at Redwood						1,185						5,315
Loan purchase and interest rate lock commitments						2,050						1,053
Liabilities
HEI securitization non-controlling interest						$	(6,218)					$	—
Loan purchase commitments						(14,442)						(35,661)

(1)    Represents the portion of net gains or losses included in our consolidated statements of income related to loans, securitized HEIs, and the associated ABS issued at our consolidated securitization entities held at March 31, 2022 and 2021, 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 March 31, 2022. 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 March 31, 2022.

Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at March 31, 2022

																														Gain (Loss) for
March 31, 2022						Carrying Value						Fair Value Measurements Using																		Three Months Ended						Three Months Ended
(In Thousands)												Level 1						Level 2						Level 3						March 31, 2022						March 31, 2022
Assets
REO						$	646					$	—					$	—					$	646					$	—					$	—

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 months ended March 31, 2022 and 2021.

Table 5.6 – Market Valuation Gains and Losses, Net

						Three Months Ended March 31,
(In Thousands)						2022						2021
Mortgage Banking Activities, Net
Residential loans held-for-sale, at fair value						$	(27,199)					$	23,112
Residential loan purchase commitments						(41,623)						(52,385)
Single-family rental loans held-for-sale, at fair value						(24,468)						10,248
Single-family rental loan interest rate lock commitments						(725)						—
Bridge loans						2,135						1,044
Trading securities (1)						2,786						721
Risk management derivatives, net						90,387						92,822
Total mortgage banking activities, net (2)						$	1,293					$	75,562
Investment Fair Value Changes, Net
Residential loans held-for-sale, at fair value (called Sequoia loans)						$	(4,252)					$	317
Bridge loans held-for-investment						(2,143)						3,304
Trading securities						(4,242)						20,628
Servicer advance investments						(3,081)						(160)
Excess MSRs						(1,208)						(1,953)
Net investments in Legacy Sequoia entities (3)						(714)						(699)
Net investments in Sequoia entities (3)						(3,822)						4,898
Net investments in Freddie Mac SLST entities (3)						3,036						4,117
Net investment in Freddie Mac K-Series entity (3)						264						8,921
Net investments in CAFL SFR entities (3)						4,048						(286)
Net investment in HEI securitization entity (3)						3,411						—
HEIs at Redwood						1,192						5,315
Other investments						123						310
Risk management derivatives, net						1,973						—
Credit (losses) recoveries on AFS securities						(705)						375
Total investment fair value changes, net						$	(6,120)					$	45,087
Other Income
MSRs						$	2,968					$	(866)
Total other income (4)						$	2,968					$	(866)
Total Market Valuation Gains (Losses), Net						$	(1,859)					$	119,783

(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, as these amounts do not represent market valuation changes.

(3)Includes changes in fair value of the residential loans held-for-investment, securitized HEIs, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs accounted for under the CFE election.

(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

March 31, 2022						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						$	772,917					Prepayment rate (annual CPR)						20			-			20			%						20			%
												Whole loan spread to TBA price						$	2.94		-			$	2.94								$	2.94
												Whole loan spread to swap rate						225			-			225			bps						225			bps
												Called loan dollar price						$	100		—			$	100								$	100
Jumbo loans committed to sell						574,119						Whole loan committed sales price						$	95.92		-			$	102.19								$	98.23
Loans held by Legacy Sequoia (2)						222,213						Liability price												N/A									N/A
Loans held by Sequoia (2)						3,872,316						Liability price												N/A									N/A
Loans held by Freddie Mac SLST (2)						1,775,539						Liability price												N/A									N/A
Business purpose loans:
Single-family rental loans						505,889						Senior credit spread						140			-			175			bps						155			bps
												Subordinate credit spread						180			-			1,434			bps						377			bps
												Senior credit support						36			-			37			%						36			%
												IO discount rate						8			-			14			%						9			%
												Prepayment rate (annual CPR)						3			-			25			%						7			%
												Non-securitizable loan dollar price						$	78		-			$	100								$	98
Single-family rental loans held by CAFL (2)						3,038,939						Liability price												N/A									N/A
Bridge loans						1,209,950						Whole loan discount rate						4			-			15			%						7			%
												Senior credit spread						180			-			180			bps						180			bps
												Subordinate credit spread						225			-			790			bps						498			bps
												Senior credit support						47			-			47			%						47			%
												Residual certificate discount rate						11			-			11			%						11			%
Multifamily loans held by Freddie Mac K-Series (2)						451,804						Liability price												N/A									N/A
Trading and AFS securities						358,882						Discount rate						—			-			18			%						8			%
												Prepayment rate (annual CPR)						8			-			55			%						20			%
												Default rate						—			-			27			%						4			%
												Loss severity						—			-			50			%						25			%
												CRT dollar price						$	88		-			$	106								$	95
Servicer advance investments						302,837						Discount rate						2			-			4			%						3			%
												Prepayment rate (annual CPR)						14			-			30			%						17			%
												Expected remaining life (3)						5			-			5			yrs						5			yrs
												Mortgage servicing income						—			-			17			bps						5			bps
MSRs						19,739						Discount rate						12			-			12			%						12			%
												Prepayment rate (annual CPR)						10			-			29			%						16			%
												Per loan annual cost to service						$	94		-			$	94								$	94
Excess MSRs						43,023						Discount rate						13			-			19			%						18			%
												Prepayment rate (annual CPR)						18			-			31			%						21			%
												Excess mortgage servicing income						10			-			17			bps						11			bps

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

March 31, 2022						Fair Value												Input Values
(Dollars in Thousands, except Input Values)												Unobservable Input						Range															Weighted Average (1)
Assets (continued)
HEI						73,886						Discount rate						10			-			10			%						10			%
												Prepayment rate (annual CPR)						1			-			24			%						17			%
												Home price appreciation						3			-			4			%						3			%
HEIs held by HEI securitization entity						153,247						Liability price						N/A						N/A									N/A
REO						646						Loss severity						4			-			24			%						12			%
Liabilities
Residential loan purchase commitments, net						12,322						Prepayment rate (annual CPR)						20			-			20			%						20			%
												Whole loan spread to TBA price						$	2.94		-			$	2.94								$	2.94
												Whole loan spread to swap rate						225			-			225			bps						225			bps
												Pull-through rate						20			-			100			%						73			%
												Committed sales price						$	95.92		-			$	102.29								$	98.18
Single-family rental interest rate lock commitments						59						Senior credit spread						140			-			140			bps						140			bps
												Subordinate credit spread						180			-			1,434			bps						331			bps
												Senior credit support						37			-			37			%						37			%
												IO discount rate						8			-			8			%						8			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Pull-through rate						100						100			%						100			%
ABS issued (2):
At consolidated Sequoia entities						3,848,221						Discount rate						—			-			18			%						5			%
												Prepayment rate (annual CPR)						7			-			45			%						25			%
												Default rate						—			-			11			%						1			%
												Loss severity						25			-			50			%						32			%
At consolidated CAFL SFR entities (4)						2,745,104						Discount rate						2			-			12			%						5			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Default rate						5			-			20			%						6			%
												Loss severity						30			-			30			%						30			%
At consolidated Freddie Mac SLST entities						1,341,282						Discount rate						3			-			7			%						4			%
												Prepayment rate (annual CPR)						6			-			7			%						6			%
												Default rate						9			-			10			%						9			%
												Loss severity						35			-			35			%						35			%
At consolidated Freddie Mac K-Series entities (4)						419,883						Discount rate						3			-			8			%						3			%
At consolidated HEI securitization entity (4)						121,378						Discount rate						7			-			12			%						7			%
												Prepayment rate (annual CPR)						20			-			20			%						20			%
												Default rate						10			-			10			%						10			%
												Loss severity						30			-			30			%						30			%
												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 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 March 31, 2022, the fair value of securities we owned at the consolidated Sequoia, CAFL SFR, Freddie Mac SLST, Freddie Mac K-Series, and HEI securitization entities was $246 million, $306 million, $437 million, $32 million, and $14 million, respectively.

(3)Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool).

(4)As a market convention, certain securities are priced to a no-loss yield and therefore do not include default and loss severity assumptions.

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

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

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- Definition

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

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
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- Definition

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

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
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- Definition

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

+ References

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-Publisher FASB
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- References

No definition available.

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- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
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-Paragraph 2
-Subparagraph (b)
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