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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2022 and December 31, 2021.

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

						September 30, 2022												December 31, 2021
						Carrying Value						Fair Value						Carrying Value						Fair Value
(In Thousands)
Assets
Residential loans, held-for-sale, at fair value						$	834,262					$	834,262					$	1,845,248					$	1,845,248
Residential loans, held-for-investment, at fair value						4,918,294						4,918,294						5,747,150						5,747,150
Business purpose loans, held-for-sale, at fair value						337,238						337,238						358,309						358,309
Business purpose loans, held-for-investment, at fair value						4,919,980						4,919,980						4,432,680						4,432,680
Consolidated Agency multifamily loans, at fair value						427,458						427,458						473,514						473,514
Real estate securities, at fair value						259,212						259,212						377,411						377,411
Servicer advance investments (1)						274,934						274,934						350,923						350,923
MSRs (1)						24,796						24,796						12,438						12,438
Excess MSRs (1)						40,452						40,452						44,231						44,231
HEIs (1)						340,437						340,437						192,740						192,740
Other investments (1)						11,174						11,174						12,663						12,663
Cash and cash equivalents						297,092						297,092						450,485						450,485
Restricted cash						71,996						71,996						80,999						80,999
Derivative assets						65,213						65,213						26,467						26,467
REO (2)						3,683						4,105						36,126						39,272
Margin receivable (2)						6,683						6,683						7,269						7,269
Liabilities
Short-term debt (3)						$	1,912,694					$	1,912,694					$	2,177,362					$	2,177,362
Margin payable (4)						30,389						30,389						24,368						24,368
Guarantee obligations (4)						6,532						5,237						7,459						7,133
HEI securitization non-controlling interest						24,355						24,355						17,035						17,035
Derivative liabilities						6,782						6,782						3,317						3,317
ABS issued, net
At fair value						7,564,312						7,564,312						8,843,147						8,843,147
At amortized cost						574,981						541,773						410,410						410,471
Other long-term debt, net (5)						868,851						858,810						988,483						989,570
Convertible notes, net (5)						724,205						651,888						513,629						537,300
Trust preferred securities and subordinated notes, net (5)						138,755						76,725						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)Short-term debt excludes short-term convertible notes, which are included below under "Convertible notes, net."

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

(5)These liabilities are primarily included in Long-term debt, net on our consolidated balance sheets. Convertible notes, net also includes convertible notes classified as Short-term debt. See Note 14 for more information on Short-term debt.

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, 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

September 30, 2022						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3
Assets
Residential loans						$	5,752,524					$	—					$	—					$	5,752,524
Business purpose loans						5,257,218						—						—						5,257,218
Consolidated Agency multifamily loans						427,458						—						—						427,458
Real estate securities						259,212						—						—						259,212
Servicer advance investments						274,934						—						—						274,934
MSRs						24,796						—						—						24,796
Excess MSRs						40,452						—						—						40,452
HEIs						340,437						—						—						340,437
Other investments						11,174						—						—						11,174
Derivative assets						65,213						39,843						24,626						744
Liabilities
HEI securitization non-controlling interest						$	24,355					$	—					$	—					$	24,355
Derivative liabilities						6,782						6,547						23						212
ABS issued						7,564,312						—						—						7,564,312

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
Consolidated Agency 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
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 nine months ended September 30, 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						Consolidated Agency 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						3,585,882						181,814						—						5,006						10,000						—						—						176,439						8,293
Originations						—						2,291,192						—						—						—						—						—						—						—
Sales						(3,702,359)						(414,998)						—						(27,471)						—						—						—						—						(3,044)
Principal paydowns						(734,577)						(1,086,983)						(5,936)						(1,202)						(25,381)						(65,772)						—						(35,187)						(137)
Gains (losses) in net income (loss), net						(985,958)						(503,832)						(40,120)						(30,019)						12,560						(10,217)						(3,779)						6,445						9,336
Unrealized losses in OCI, net						—						—						—						—						(61,692)						—						—						—						—
Other settlements, net (1)						(2,862)						(964)						—						—						—						—						—						—						(3,579)
Ending balance -   September 30, 2022						$	5,752,524					$	5,257,218					$	427,458					$	116,933					$	142,279					$	274,934					$	40,452					$	340,437					$	35,970

															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																																										—						—						1,205,289
Principal paydowns																																										—						—						(1,242,859)
Gains (losses) in net income (loss), net																																										(53,962)						7,320						(1,241,265)
Other settlements, net (1)																																										50,364						—						—
Ending balance - September 30, 2022																																										$	532					$	24,355					$	7,564,312

(1)     Other settlements, net, for residential and business purpose loans, represents the transfer of loans to REO, for derivatives, represents the transfer of the fair value of loan purchase and interest rate lock commitments at the time loans are acquired to the basis of residential and single-family rental business purpose loans, and for MSRs and other investments, primarily represents an investment that was exchanged into a new instrument that is no longer measured at fair value on a recurring basis.

(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 fair value 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 September 30, 2022 and 2021. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and nine months ended September 30, 2022 and 2021 are not included in this presentation.

Table 5.4 – Portion of Net Fair Value Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at September 30, 2022 and 2021 Included in Net Income (Loss)

						Included in Net Income (Loss)
						Three Months Ended September 30,												Nine Months Ended September 30,
(In Thousands)						2022						2021						2022						2021
Assets
Residential loans at Redwood						$	(28,762)					$	6,553					$	(42,952)					$	9,371
Business purpose loans						(10,967)						18,810						(39,019)						19,829
Net investments in consolidated Sequoia entities (1)						(11,264)						2,885						(22,467)						11,779
Net investments in consolidated Freddie Mac SLST entities (1)						(41,969)						13,781						(75,043)						54,006
Net investments in consolidated Freddie Mac K-Series entities (1)						316						555						390						11,330
Net investments in consolidated CAFL SFR entities (1)						(6,585)						2,943						(24,365)						5,500
Net investment in consolidated HEI securitization entity (1)						(1,652)						47						11,348						129
Trading securities						(12,668)						1,547						(34,104)						3,824
Servicer advance investments						(3,905)						(2,079)						(10,218)						(3,179)
MSRs						1,653						(235)						9,118						(49)
Excess MSRs						(351)						(803)						(3,779)						(5,233)
HEIs at Redwood						(4,903)						(41)						(2,272)						21
Loan purchase and interest rate lock commitments						723						9,021						744						9,261
Liabilities
HEI securitization non-controlling interest						$	1,068					$	(83)					$	(7,320)					$	(83)
Loan purchase commitments						(212)						(2,570)						(212)						(2,550)

(1)    Represents the portion of net fair value gains or losses included in our consolidated statements of income (loss) related to securitized loans, securitized HEIs, and the associated ABS issued at our consolidated securitization entities held at September 30, 2022 and 2021, which, netted together, represent the change in value of our investments at the consolidated VIEs accounted for under CFE election, 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, 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 September 30, 2022.

Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at September 30, 2022

Gain (Loss) for

September 30, 2022

Carrying Value

Fair Value Measurements Using

Three Months Ended

Nine Months Ended

(In Thousands)

Level 1

Level 2

Level 3

September 30, 2022

September 30, 2022

Assets

Strategic investments

17,350

—

—

17,350

(25)

10,000

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, 2022 and 2021.

Table 5.6 – Market Valuation Gains and Losses, Net

						Three Months Ended September 30,												Nine Months Ended September 30,
(In Thousands)						2022						2021						2022						2021
Mortgage Banking Activities, Net
Residential loans held-for-sale, at fair value						$	(20,060)					$	9,045					$	(71,776)					$	57,145
Residential loan purchase commitments						(2,716)						18,817						(53,236)						18,351
Single-family rental loans held-for-sale, at fair value						(19,325)						19,205						(83,827)						54,675
Single-family rental loan interest rate lock commitments						19						(744)						(666)						—
Bridge loans						(9)						3,433						2,242						6,702
Trading securities (1)						148						32						4,249						(342)
Risk management derivatives, net						48,363						3,539						164,137						38,117
Total mortgage banking activities, net (2)						$	6,420					$	53,327					$	(38,877)					$	174,648
Investment Fair Value Changes, Net
Residential loans held-for-sale, at fair value (called Sequoia loans)						$	(6,614)					$	816					$	(18,876)					$	2,423
Bridge loans held-for-investment						2,482						900						(9,220)						4,142
Trading securities						(12,668)						1,546						(34,268)						25,067
Servicer advance investments						(3,905)						(2,079)						(10,217)						(3,179)
Excess MSRs						(351)						(803)						(3,779)						(5,233)
Net investments in Legacy Sequoia entities (3)						(328)						(247)						(1,378)						(1,162)
Net investments in Sequoia entities (3)						(10,936)						3,314						(20,644)						13,118
Net investments in Freddie Mac SLST entities (3)						(41,892)						13,849						(74,796)						54,282
Net investment in Freddie Mac K-Series entity (3)						316						554						390						11,330
Net investments in CAFL SFR entities (3)						(6,585)						2,943						(24,365)						6,354
Net investment in HEI securitization entity (3)						(584)						47						4,028						47
HEIs at Redwood						(4,774)						5,622						(1,986)						13,017
Other investments						1,445						(385)						12,028						50
Risk management derivatives, net						27,241						—						33,609						—
Credit (losses) recoveries on AFS securities						(544)						—						(2,315)						388
Total investment fair value changes, net						$	(57,697)					$	26,077					$	(151,789)					$	120,644
Other Income
MSRs						$	1,236					$	(989)					$	8,031					$	(3,236)
Other						(852)						—						(852)						—
Total other income (4)						$	384					$	(989)					$	7,179					$	(3,236)
Total Market Valuation Gains (Losses), Net						$	(50,893)					$	78,415					$	(183,487)					$	292,056

(1)Represents fair value changes on trading securities that are being used along with risk management derivatives to manage the 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, 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 of 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, 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						$	718,347					Whole loan spread to swap rate						201			-			400			bps						202			bps
												Called loan dollar price						$	92		-			$	92								$	92
Jumbo loans committed to sell						115,883						Whole loan committed sales price						$	96		-			$	102								$	98
Loans held by Legacy Sequoia (2)						198,160						Liability price												N/A									N/A
Loans held by Sequoia (2)						3,237,170						Liability price												N/A									N/A
Loans held by Freddie Mac SLST (2)						1,482,964						Liability price												N/A									N/A
Business purpose loans:
Single-family rental loans						281,105						Senior credit spread						210			-			210			bps						210			bps
												Subordinate credit spread						275			-			1,025			bps						458			bps
												Senior credit support						36			-			36			%						36			%
												IO discount rate						8			-			9			%						8			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Whole loan dollar price						$	84		-			$	99								$	86
Single-family rental loans held by CAFL (2)						3,018,994						Liability price												N/A									N/A
Bridge loans						1,957,119						Whole loan discount rate						5			-			15			%						9			%
												Senior credit spread						285			-			285			bps						285			bps
												Subordinate credit spread						345			-			1,200			%						680			%
												Senior credit support						43			-			43			%						43			%
												Prepayment rate (annual CPR)						—			-			—			%						—			%
Multifamily loans held by Freddie Mac K-Series (2)						427,458						Liability price												N/A									N/A
Trading and AFS securities						259,212						Discount rate						5			-			18			%						10			%
												Prepayment rate (annual CPR)						6			-			65			%						12			%
												Default rate						—			-			12			%						0.4			%
												Loss severity						—			-			50			%						25			%
												CRT dollar price						$	73		-			$	93								$	85
Servicer advance investments						274,934						Discount rate						2			-			5			%						4			%
												Prepayment rate (annual CPR)						14			-			30			%						14			%
												Expected remaining life (3)						5			-			5			yrs						5			yrs
												Mortgage servicing income						—			-			18			bps						7			bps
MSRs						24,796						Discount rate						11			-			69			%						11			%
												Prepayment rate (annual CPR)						4			-			28			%						8			%
												Per loan annual cost to service						$	93		-			$	93								$	93

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

September 30, 2022						Fair Value												Input Values
(Dollars in Thousands, except Input Values)												Unobservable Input						Range															Weighted Average (1)
Assets (continued)
Excess MSRs						40,452						Discount rate						13			-			19			%						18			%
												Prepayment rate (annual CPR)						10			-			100			%						18			%
												Excess mortgage servicing income						8			-			19			bps						11			bps
HEIs						200,709						Discount rate						10			-			10			%						10			%
												Prepayment rate (annual CPR)						1			-			23			%						16			%
												Home price appreciation						(7)			-			4			%						3			%
HEIs held by HEI securitization entity						139,728						Liability price						N/A						N/A									N/A
Residential loan purchase commitments, net						531						Whole loan spread to swap rate						201			-			201			bps						201			bps
												Pull-through rate						26			-			100			%						78			%
												Committed sales price						$	99		-			$	102								$	100
Liabilities
ABS issued (2):
At consolidated Sequoia entities						3,210,603						Discount rate						4			-			18			%						6			%
												Prepayment rate (annual CPR)						5			-			24			%						13			%
												Default rate						—			-			33			%						1			%
												Loss severity						25			-			50			%						32			%
At consolidated CAFL SFR entities (4)						2,703,223						Discount rate						0.3			-			16			%						6			%
												Prepayment rate (annual CPR)						—			-			3			%						0.2			%
												Default rate						4			-			21			%						6			%
												Loss severity						30			-			40			%						30			%
At consolidated Freddie Mac SLST entities						1,150,323						Discount rate						5			-			8			%						6			%
												Prepayment rate (annual CPR)						6			-			8			%						6			%
												Default rate						13			-			14			%						14			%
												Loss severity						35			-			35			%						35			%
At consolidated Freddie Mac K-Series entities (4)						395,411						Discount rate						3			-			9			%						5			%
At consolidated HEI securitization entity (4)						104,751						Discount rate						9			-			15			%						10			%
												Prepayment rate (annual CPR)						20			-			20			%						20			%
												Home price appreciation						(7)			-			4			%						3			%

(1)The weighted average input values for all loan types are based on 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 is 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, 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 $224 million, $314 million, $335 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.

X

- 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

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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- 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
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