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Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2022

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, 2022 and 2021.

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

						December 31, 2022												December 31, 2021
						Carrying Value						Fair Value						Carrying Value						Fair Value
(In Thousands)
Assets
Residential loans, held-for-sale at fair value						$	780,781					$	780,781					$	1,845,248					$	1,845,248
Residential loans, held-for-investment, at fair value						4,832,407						4,832,407						5,747,150						5,747,150
Business purpose loans, held-for-sale, at fair value						364,073						364,073						358,309						358,309
Business purpose loans, held-for-investment, at fair value						4,968,513						4,968,513						4,432,680						4,432,680
Consolidated Agency multifamily loans, at fair value						424,551						424,551						473,514						473,514
Real estate securities, at fair value						240,475						240,475						377,411						377,411
Servicer advance investments (1)						269,259						269,259						350,923						350,923
MSRs (1)						25,421						25,421						12,438						12,438
Excess MSRs (1)						39,035						39,035						44,231						44,231
HEIs						403,462						403,462						192,740						192,740
Other investments (1)						6,155						6,155						12,663						12,663
Cash and cash equivalents						258,894						258,894						450,485						450,485
Restricted cash						70,470						70,470						80,999						80,999
Derivative assets						20,830						20,830						26,467						26,467
REO (2)						6,455						4,185						36,126						39,272
Margin receivable (2)						13,802						13,802						7,269						7,269
Liabilities
Short-term debt (3)						$	1,853,664					$	1,853,664					$	2,177,362					$	2,177,362
Margin payable (4)						5,944						5,944						24,368						24,368
Guarantee obligations (4)						6,344						4,738						7,459						7,133
HEI securitization non-controlling interest						22,329						22,329						17,035						17,035
Derivative liabilities						16,855						16,855						3,317						3,317
ABS issued net
at fair value						7,424,132						7,424,132						8,843,147						8,843,147
at amortized cost						562,620						524,768						410,410						410,471
Other long-term debt, net (5)						1,077,200						1,069,946						988,483						989,570
Convertible notes, net (5)						693,473						638,049						513,629						537,300
Trust preferred securities and subordinated notes, net (5)						138,767						83,700						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 December 31, 2022 and 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

December 31, 2022						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3
Assets
Residential loans						$	5,613,157					$	—					$	—					$	5,613,157
Business purpose loans						5,332,586						—						—						5,332,586
Consolidated Agency multifamily loans						424,551						—						—						424,551
Real estate securities						240,475						—						—						240,475
Servicer advance investments						269,259						—						—						269,259
MSRs						25,421						—						—						25,421
Excess MSRs						39,035						—						—						39,035
HEIs						403,462						—						—						403,462
Other investments						6,155						—						—						6,155
Derivative assets						20,830						5,869						14,625						336
Liabilities
HEI securitization non-controlling interest						$	22,329					$	—					$	—					$	22,329
Derivative liabilities						16,855						16,841						—						14
ABS issued						7,424,132						—						—						7,424,132

Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued)

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
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 years ended December 31, 2022 and 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						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						3,692,104						181,814						—						5,006						10,000						—						—						248,218						8,638
Originations						—						2,715,817						—						—						—						—						—						—						—
Sales						(3,830,318)						(495,472)						—						(31,729)						—						—						—						—						(3,299)
Principal paydowns						(866,474)						(1,324,640)						(7,975)						(1,347)						(31,390)						(70,589)						—						(42,744)						(158)
Gains (losses) in net income (loss), net						(970,241)						(531,947)						(40,987)						(34,220)						13,660						(11,075)						(5,196)						5,248						9,873
Unrealized losses in OCI, net						—						—						—						—						(66,916)						—						—						—						—
Other settlements, net (1)						(4,312)						(3,975)						—						—						—						—						—						—						(8,579)
Ending balance - December 31, 2022						$	5,613,157					$	5,332,586					$	424,552					$	108,329					$	132,146					$	269,259					$	39,035					$	403,462					$	31,576

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

																																																						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																																																—						—						(1,394,000)
Gains (losses) in net income (loss), net																																																(55,209)						5,294						(1,230,304)
Other settlements, net (1)																																																51,401						—						—
Ending balance - December 31, 2022																																																$	322					$	22,329					$	7,424,132

						Assets
(In Thousands)						Residential Loans						Business Purpose Loans						Consolidated Agency Multifamily Loans						Trading Securities						AFS Securities						Servicer Advance Investments						Excess MSRs						HEIs						MSRs and Other Investments
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, net						16,688						(77,357)						(11,068)						23,550						40,735						(926)						(8,017)						13,774						(2,846)
Unrealized gains 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

																																										Liabilities
(In Thousands)																																				Derivatives (2)						HEI Securitization Non-Controlling Interest						ABS  Issued
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, net																																				10,437						396						(336,972)
Other settlements, net (1)																																				(20,757)						—						—
Ending balance - December 31, 2021																																				$	4,130					$	17,035					$	8,843,147

(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 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 (loss) that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at December 31, 2022, 2021, and 2020. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2022, 2021, and 2020 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 December 31, 2022, 2021, and 2020 Included in Net Income

						Included in Net Income (Loss)
						Years Ended December 31,
(In Thousands)						2022						2021						2020
Assets
Residential loans at Redwood						$	(43,019)					$	5,886					$	1,138
Business purpose loans						(31,927)						9,444						9,420
Net investments in consolidated Sequoia entities (1)						(25,563)						12,455						(14,646)
Net investments in consolidated Freddie Mac SLST entities (1)						(76,811)						62,124						(21,220)
Net investments in consolidated Freddie Mac K-Series entities (1)						110						11,599						(9,309)
Net investments in consolidated CAFL Term entities (1)						(34,899)						8,198						(37,062)
Net investment in consolidated HEI securitization entity (1)						8,210						614						—
Trading securities						(34,027)						738						(83,327)
Available-for-sale securities						(2,540)						—						(388)
Servicer advance investments						(11,076)						(926)						(8,902)
MSRs						9,804						629						(17,545)
Excess MSRs						(5,196)						(8,017)						(8,302)
HEIs at Redwood						(670)						212						(1,884)
Other investments						(901)						(6)						(285)
Loan purchase and interest rate lock commitments						336						4,633						15,027
Liabilities
Non-controlling interest in consolidated HEI entity						$	(5,294)					$	(396)					$	—
Loan purchase commitments						$	(14)					$	(503)					$	(577)

(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 December 31, 2022, 2021, and 2020, which, netted together represent the change in value of our investments at the consolidated VIEs, 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 December 31, 2022 and 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 December 31, 2022 and 2021.

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

																														Gain (Loss) for Year Ended
December 31, 2022						Carrying Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3						December 31, 2022
Assets
Strategic Investments						$	17,600					$	—					$	—					$	17,600					$	9,965
																														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)

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, 2022, 2021, and 2020.

Table 5.6 – Market Valuation Gains and Losses, Net

						Years Ended December 31,
(In Thousands)						2022						2021						2020
Mortgage Banking Activities, Net
Residential loans held-for-sale, at fair value						$	(77,192)					$	73,332					$	(15,477)
Residential loan purchase and commitments						(54,484)						10,401						56,761
BPL term loans held-for-sale, at fair value						(91,025)						63,206						82,169
BPL term loan interest rate lock commitments						(666)						666						341
BPL bridge loans						3,026						8,253						(4,998)
Trading securities (1)						4,249						(352)						(4,535)
Risk management derivatives, net						157,444						41,060						(47,779)
Total mortgage banking activities, net (2)						$	(58,648)					$	196,566					$	66,482
Investment Fair Value Changes, Net
Residential loans held-for-investment at Redwood (called Sequoia loans)						$	(16,651)					$	2,812					$	(93,314)
Business purpose loans held-for-investment						(7,271)						(65)						(31,435)
Trading securities						(38,471)						23,935						(226,196)
Servicer advance investments						(11,075)						(925)						(8,901)
Excess MSRs						(5,196)						(8,017)						(8,302)
Net investments in Legacy Sequoia entities (3)						(1,302)						(1,558)						(1,513)
Net investments in Sequoia entities (3)						(23,818)						14,176						(13,244)
Net investments in Freddie Mac SLST entities (3)						(76,777)						62,374						(21,160)
Net investment in Freddie Mac K-Series entity (3)						110						11,599						(81,039)
Net investments in CAFL Term entities (3)						(34,899)						10,271						(36,754)
Net investments in HEI securitization entities (3)						2,915						218						—
HEIs at Redwood						(202)						13,207						(1,883)
Other investments						13,468						(366)						(5,167)
Risk management derivatives, net						26,152						—						(59,142)
Credit (losses) recoveries on AFS securities						(2,540)						388						(388)
Total investment fair value changes, net						$	(175,557)					$	128,049					$	(588,438)
Other Income
MSRs						$	8,560					$	(3,182)					$	(33,409)
Other						(1,541)						—						—
Risk management derivatives, net						—						—						13,966
Total other income (4)						$	7,019					$	(3,182)					$	(19,443)
Total Market Valuation Gains (Losses), Net						$	(227,186)					$	321,433					$	(541,399)

(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 (loss), 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

December 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						$	643,845					Whole loan spread to swap rate						252			-			252			bps						252			bps
												Called loan dollar price						$	91		-			$	91								$	91
Jumbo loans committed to sell						136,905						Whole loan committed sales price						$	94		-			$	101								$	94
Loans held by Legacy Sequoia (2)						184,932						Liability price												N/A									N/A
Loans held by Sequoia (2)						3,190,417						Liability price												N/A									N/A
Loans held by Freddie Mac SLST (2)						1,457,058						Liability price												N/A									N/A
Business purpose loans:
BPL term loans						358,791						Senior credit spread						175			-			275			bps						225			bps
												Subordinate credit spread						225			-			962			bps						431			bps
												Senior credit support						36			-			36			%						36			%
												IO discount rate						9			-			10			%						8			%
												Prepayment rate (annual CPR)						3			-			3			%						3			%
												Whole loan spread						275			-			550			bps						361			bps
BPL term loans held by CAFL						2,944,984						Liability price												N/A									N/A
BPL bridge loans						2,028,811						Whole loan discount rate						5			-			15			%						10			%
												Senior credit spread						310			-			310			bps						310			bps
												Subordinate credit spread						360			-			1,150			bps						665			bps
												Senior credit support						43			-			43			%						43			%
												Prepayment rate (annual CPR)						—			-			—			%						—			%
Multifamily loans held by Freddie Mac K-Series (2)						424,551						Liability price												N/A									N/A
Trading and AFS securities						240,475						Discount rate						6			-			18			%						10			%
												Prepayment rate (annual CPR)						5			-			65			%						10			%
												Default rate						—			-			14			%						0.5			%
												Loss severity						—			-			50			%						26			%
												CRT dollar price						$	72		-			$	93								$	84
HEIs						270,835						Discount rate						10			-			10			%						10			%
												Prepayment rate (annual CPR)						1			-			23			%						16			%
												Home price appreciation						(7)			-			4			%						3			%
HEIs held by HEI securitization entity						132,627						Discount Rate												N/A									N/A
Servicer advance investments						269,259						Discount rate						2			-			5			%						3			%
												Prepayment rate (annual CPR)						14			-			30			%						14			%
												Expected remaining life (3)						5			-			5			yrs						5			yrs
												Mortgage servicing income						—			-			18			bps						5			bps

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

December 31, 2022						Fair Value												Input Values
(Dollars in Thousands, except Input Values)												Unobservable Input						Range															Weighted Average
Assets (continued)
MSRs						$	25,421					Discount rate						11			-			22			%						11			%
												Prepayment rate (annual CPR)						4			-			28			%						8			%
												Per loan annual cost to service						$	93		-			$	93								$	93
Excess MSRs						39,035						Discount rate						13			-			19			%						18			%
												Prepayment rate (annual CPR)						10			-			100			%						18			%
												Excess mortgage servicing amount						8			-			19			bps						11			bps
Residential loan purchase commitments, net						322						Whole loan spread to swap rate						252			-			252			bps						252			bps
												Pull-through rate						48			-			100			%						94			%
												Committed sales price						$	101		—			$	101								$	101
Liabilities
ABS issued (2)
At consolidated Sequoia entities						3,155,300						Discount rate						4			-			18			%						7			%
												Prepayment rate (annual CPR)						5			-			23			%						10			%
												Default rate						—			-			14			%						1			%
												Loss severity						25			-			50			%						32			%
At consolidated CAFL Term entities						2,638,183						Discount rate						2			-			23			%						7			%
												Prepayment rate (annual CPR)						—			-			3			%						0.2			%
												Default rate						5			-			23			%						8			%
												Loss severity						27			-			40			%						30			%
At consolidated Freddie Mac SLST entities						1,137,154						Discount rate						5			-			16			%						6			%
												Prepayment rate (annual CPR)						6			-			7			%						6			%
												Default rate						13			-			14			%						14			%
												Loss severity						35			-			35			%						35			%
At consolidated Freddie Mac K-Series entities (4)						392,785						Discount rate						3			-			10			%						5			%
At consolidated HEI entities(4)						100,710						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 December 31, 2022, the fair value of securities we owned at the consolidated Sequoia, CAFL Term, Freddie Mac SLST, Freddie Mac K-Series, and HEI securitization entities was $219 million, $304 million, $323 million, $32 million, and $13 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).

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