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Fair Value of Financial Instruments | 12 Months Ended
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Dec. 31, 2023
Fair Value Disclosures [Abstract] |
Fair Value of Financial Instruments | Fair Value of Financial Instruments For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. 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, 2023 and 2022. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities
|  | December 31, 2023 |  | December 31, 2022
|  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
(In Thousands) |  |  |  |
Assets |  |  |  |  |  |  |  |
Residential loans, held-for-sale at fair value |  | $ | 911,192 |  |  | $ | 911,192 |  |  | $ | 780,781 |  |  | $ | 780,781 |
Residential loans, held-for-investment, at fair value |  | 6,139,445 |  |  | 6,139,445 |  |  | 4,832,407 |  |  | 4,832,407 |
Business purpose loans, held-for-sale, at fair value |  | 180,249 |  |  | 180,249 |  |  | 364,073 |  |  | 364,073 |
Business purpose loans, held-for-investment, at fair value |  | 5,040,048 |  |  | 5,040,048 |  |  | 4,968,513 |  |  | 4,968,513 |
Consolidated Agency multifamily loans, at fair value |  | 425,285 |  |  | 425,285 |  |  | 424,551 |  |  | 424,551 |
Real estate securities, at fair value |  | 127,797 |  |  | 127,797 |  |  | 240,475 |  |  | 240,475 |
Servicer advance investments (1) |  | 225,345 |  |  | 225,345 |  |  | 269,259 |  |  | 269,259 |
MSRs (1) |  | 24,877 |  |  | 24,877 |  |  | 25,421 |  |  | 25,421 |
Excess MSRs (1) |  | 37,367 |  |  | 37,367 |  |  | 39,035 |  |  | 39,035 |
HEI |  | 550,436 |  |  | 550,436 |  |  | 403,462 |  |  | 403,462 |
Other investments (1) |  | 3,193 |  |  | 3,193 |  |  | 6,155 |  |  | 6,155 |
Cash and cash equivalents |  | 293,104 |  |  | 293,104 |  |  | 258,894 |  |  | 258,894 |
Restricted cash |  | 75,684 |  |  | 75,684 |  |  | 70,470 |  |  | 70,470 |
Derivative assets |  | 14,212 |  |  | 14,212 |  |  | 20,830 |  |  | 20,830 |
Margin receivable (2) |  | 33,414 |  |  | 33,414 |  |  | 13,802 |  |  | 13,802 |
Liabilities |  |  |  |  |  |  |  |
Short-term debt (3) |  | $ | 1,415,664 |  |  | $ | 1,414,644 |  |  | $ | 1,853,664 |  |  | $ | 1,853,664 |
Margin payable (4) |  | 350 |  |  | 350 |  |  | 5,944 |  |  | 5,944 |
Guarantee obligations (4) |  | 5,781 |  |  | 3,772 |  |  | 6,344 |  |  | 4,738 |
HEI securitization non-controlling interest |  | 59,752 |  |  | 59,752 |  |  | 22,329 |  |  | 22,329 |
Derivative liabilities |  | 33,828 |  |  | 33,828 |  |  | 16,855 |  |  | 16,855 |
ABS issued net |  |  |  |  |  |  |  |
at fair value |  | 9,151,263 |  |  | 9,151,263 |  |  | 7,424,132 |  |  | 7,424,132 |
at amortized cost |  | 660,617 |  |  | 637,816 |  |  | 562,620 |  |  | 524,768 |
Other long-term debt, net (5) |  | 1,180,918 |  |  | 1,177,287 |  |  | 1,077,200 |  |  | 1,069,946 |
Convertible notes, net (5) |  | 503,728 |  |  | 488,341 |  |  | 693,473 |  |  | 638,049 |
Trust preferred securities and subordinated notes, net (5) |  | 138,813 |  |  | 92,070 |  |  | 138,767 |  |  | 83,700 |
(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 above 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. During the years ended December 31, 2023 and 2022, we elected the fair value option for $8 million and $5 million of securities, respectively, $2.10 billion and $3.70 billion of residential loans (principal balance), respectively, and $1.70 billion and $2.90 billion of business purpose loans (principal balance), respectively. Additionally, during the years ended December 31, 2023 and 2022, we elected the fair value option for $136 million and $248 million of HEI, respectively, and $1 million and $9 million of Other Investments, respectively. 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, 2023 and 2022, 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, 2023 |  | Carrying Value |  | Fair Value Measurements Using
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |
Residential loans |  | $ | 7,050,637 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,050,637 |
Business purpose loans |  | 5,220,297 |  |  | — |  |  | — |  |  | 5,220,297 |
Consolidated Agency multifamily loans |  | 425,285 |  |  | — |  |  | — |  |  | 425,285 |
Real estate securities |  | 127,797 |  |  | — |  |  | — |  |  | 127,797 |
Servicer advance investments |  | 225,345 |  |  | — |  |  | — |  |  | 225,345 |
MSRs |  | 24,877 |  |  | — |  |  | — |  |  | 24,877 |
Excess MSRs |  | 37,367 |  |  | — |  |  | — |  |  | 37,367 |
HEI |  | 550,436 |  |  | — |  |  | — |  |  | 550,436 |
Other investments |  | 3,193 |  |  | — |  |  | — |  |  | 3,193 |
Derivative assets |  | 14,212 |  |  | 952 |  |  | 1,742 |  |  | 11,518 |
Liabilities |  |  |  |  |  |  |  |
HEI securitization non-controlling interest |  | $ | 59,752 |  |  | $ | — |  |  | $ | — |  |  | $ | 59,752 |
Derivative liabilities |  | 33,828 |  |  | 30,414 |  |  | — |  |  | 3,414 |
ABS issued |  | 9,151,263 |  |  | — |  |  | — |  |  | 9,151,263 |
Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued)
December 31, 2022 |  | Carrying Value |  | Fair Value Measurements Using
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |
Residential loans |  | $ | 5,613,188 |  |  | $ | — |  |  | $ | — |  |  | $ | 5,613,188 |
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 |
HEI |  | 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 |
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, 2023 and 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 |  | HEI |  | Servicer Advance Investments |  | Excess MSRs |  | MSRs and Other Investments |  |  |  |
(In Thousands) |  |  |  |  |  |  |  |  |  |  |
Beginning balance - December 31, 2022 |  | $ | 5,613,188 |  |  | $ | 5,332,586 |  |  | $ | 424,552 |  |  | $ | 108,329 |  |  | $ | 132,146 |  |  | $ | 403,462 |  |  | $ | 269,259 |  |  | $ | 39,035 |  |  | $ | 31,576 |  |  |  |  |
Acquisitions |  | 2,053,957 |  |  | — |  |  | — |  |  | 7,883 |  |  | 1,979 |  |  | 136,445 |  |  | — |  |  | — |  |  | 500 |  |  |  |  |
Originations |  | — |  |  | 1,581,545 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |
Sales |  | (261,980) |  |  | (565,357) |  |  | — |  |  | (88,073) |  |  | (54,339) |  |  | — |  |  | — |  |  | — |  |  | (1,522) |  |  |  |  |
Principal paydowns |  | (494,104) |  |  | (1,098,760) |  |  | (8,326) |  |  | (409) |  |  | (719) |  |  | (43,398) |  |  | (55,777) |  |  | — |  |  | (804) |  |  |  |  |
Gains (losses) in net income (loss), net |  | 143,148 |  |  | 62,715 |  |  | 9,059 |  |  | 12,694 |  |  | 1,170 |  |  | 53,927 |  |  | 11,863 |  |  | (1,668) |  |  | (980) |  |  |  |  |
Unrealized gains in OCI, net |  | — |  |  | — |  |  | — |  |  | — |  |  | 7,136 |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |
Other settlements, net (1) |  | (3,572) |  |  | (92,432) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (700) |  |  |  |  |
Ending balance - December 31, 2023 |  | $ | 7,050,637 |  |  | $ | 5,220,297 |  |  | $ | 425,285 |  |  | $ | 40,424 |  |  | $ | 87,373 |  |  | $ | 550,436 |  |  | $ | 225,345 |  |  | $ | 37,367 |  |  | $ | 28,070 |  |  |  |  |
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, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 322 |  |  | $ | 22,329 |  |  | $ | 7,424,132 |
Acquisitions |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | — |  |  | 29,633 |  |  | 2,284,790 |
Principal paydowns |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | — |  |  | — |  |  | (784,501) |
Gains (losses) in net income (loss), net |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 28,847 |  |  | 7,790 |  |  | 226,842 |
Other settlements, net (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (21,065) |  |  | — |  |  | — |
Ending balance - December 31, 2023 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 8,104 |  |  | $ | 59,752 |  |  | $ | 9,151,263 |
|  | Assets
(In Thousands) |  | Residential Loans |  | Business Purpose Loans |  | Consolidated Agency Multifamily Loans |  | Trading Securities |  | AFS Securities |  | HEI |  | Servicer Advance Investments |  | Excess MSRs |  | MSRs and Other Investments |  |  |  |  |  |
Beginning balance - December 31, 2021 |  | $ | 7,592,432 |  |  | $ | 4,790,989 |  |  | $ | 473,514 |  |  | $ | 170,619 |  |  | $ | 206,792 |  |  | $ | 192,740 |  |  | $ | 350,923 |  |  | $ | 44,231 |  |  | $ | 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 |  | (866,477) |  |  | (1,324,640) |  |  | (7,975) |  |  | (1,347) |  |  | (31,390) |  |  | (42,744) |  |  | (70,589) |  |  | — |  |  | (158) |  |  |  |  |  |  |
Gains (losses) in net income, net |  | (970,241) |  |  | (531,947) |  |  | (40,987) |  |  | (34,220) |  |  | 13,660 |  |  | 5,248 |  |  | (11,075) |  |  | (5,196) |  |  | 9,873 |  |  |  |  |  |  |
Unrealized losses in OCI, net |  | — |  |  | — |  |  | — |  |  | — |  |  | (66,916) |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  |
Other settlements, net (1) |  | (4,312) |  |  | (3,975) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (8,579) |  |  |  |  |  |  |
Ending balance - December 31, 2022 |  | $ | 5,613,188 |  |  | $ | 5,332,586 |  |  | $ | 424,552 |  |  | $ | 108,329 |  |  | $ | 132,146 |  |  | $ | 403,462 |  |  | $ | 269,259 |  |  | $ | 39,035 |  |  | $ | 31,576 |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  | Liabilities
(In Thousands) |  |  |  |  |  |  |  |  |  |  |  | Derivatives (2) |  | HEI Securitization Non-Controlling Interest |  | ABS Issued
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, 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 |
(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. 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, 2023, 2022, and 2021. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2023, 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 December 31, 2023, 2022, and 2021 Included in Net Income
|  | Included in Net Income (Loss)
|  | Years Ended December 31,
(In Thousands) |  | 2023 |  | 2022 |  | 2021
Assets |  |  |  |  |  |
Residential loans at Redwood |  | $ | 34,730 |  |  | $ | (43,019) |  |  | $ | 5,886 |
Business purpose loans |  | (20,251) |  |  | (31,927) |  |  | 9,444 |
Net investments in consolidated Sequoia entities (1) |  | 1,659 |  |  | (25,563) |  |  | 12,455 |
Net investments in consolidated Freddie Mac SLST entities (1) |  | (13,726) |  |  | (76,811) |  |  | 62,124 |
Net investments in consolidated Freddie Mac K-Series entities (1) |  | 1,541 |  |  | 110 |  |  | 11,599 |
Net investments in consolidated CAFL Term entities (1) |  | 5,504 |  |  | (34,899) |  |  | 8,198 |
Net investment in consolidated HEI securitization entities (1) |  | 4,368 |  |  | 2,916 |  |  | 218 |
Trading securities |  | 3,155 |  |  | (34,027) |  |  | 738 |
Available-for-sale securities |  | 59 |  |  | (2,540) |  |  | — |
Servicer advance investments |  | 11,863 |  |  | (11,076) |  |  | (926) |
MSRs |  | 498 |  |  | 9,804 |  |  | 629 |
Excess MSRs |  | (1,668) |  |  | (5,196) |  |  | (8,017) |
HEI at Redwood |  | 24,194 |  |  | (670) |  |  | 212 |
Other investments |  | (94) |  |  | (901) |  |  | (6) |
Loan purchase and interest rate lock commitments |  | 11,518 |  |  | 336 |  |  | 4,633 |
Liabilities |  |  |  |  |  |
Loan purchase commitments |  | $ | (3,414) |  |  | $ | (14) |  |  | $ | (503) |
(1) Represents the portion of net fair value gains or losses included in our consolidated statements of income (loss) related to securitized loans, securitized HEI, and the associated ABS issued at our consolidated securitization entities held at December 31, 2023, 2022, and 2021, which, netted together represent the change in value of our investments at the consolidated VIEs, under the CFE election, excluding REO. The following table presents information on assets recorded at fair value on a non-recurring basis at December 31, 2023 and 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 December 31, 2023 and 2022. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis
|  |  |  |  |  |  |  |  |  | Gain (Loss) for Year Ended
December 31, 2023 |  | Carrying Value |  | Fair Value Measurements Using |
(In Thousands) |  |  | Level 1 |  | Level 2 |  | Level 3 |  | December 31, 2023
Assets |  |  |  |  |  |  |  |  |  |
Strategic Investments |  | $ | 22,300 |  |  | $ | — |  |  | $ | — |  |  | $ | 22,300 |  |  | $ | (2,550) |
REO |  | 6,453 |  |  | — |  |  | — |  |  | 6,453 |  |  | (937) |
|  |  |  |  |  |  |  |  |  | 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 |
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, 2023, 2022, and 2021. Table 5.6 – Market Valuation Gains and Losses, Net
|  | Years Ended December 31,
(In Thousands) |  | 2023 |  | 2022 |  | 2021
Mortgage Banking Activities, Net |  |  |  |  |  |
Residential loans held-for-sale |  | $ | 20,376 |  |  | $ | (77,192) |  |  | $ | 73,332 |
Residential loan purchase and commitments |  | 22,600 |  |  | (54,484) |  |  | 10,401 |
BPL term loans held-for-sale |  | 16,500 |  |  | (91,025) |  |  | 63,206 |
BPL term loan interest rate lock commitments |  | — |  |  | (666) |  |  | 666 |
BPL bridge loans |  | 5,704 |  |  | 3,026 |  |  | 8,253 |
Trading securities (1) |  | (159) |  |  | 4,249 |  |  | (352) |
Risk management derivatives, net |  | (18,824) |  |  | 157,444 |  |  | 41,060 |
Total mortgage banking activities, net (2) |  | $ | 46,197 |  |  | $ | (58,648) |  |  | $ | 196,566 |
Investment Fair Value Changes, Net |  |  |  |  |  |
Residential loans held-for-investment at Redwood (called Sequoia loans) |  | $ | 183 |  |  | $ | (16,651) |  |  | $ | 2,812 |
BPL term loans held-for-sale |  | (14,430) |  |  | — |  |  | — |
BPL bridge loans held-for-investment |  | (39,361) |  |  | (7,271) |  |  | (65) |
Trading securities |  | 11,251 |  |  | (38,471) |  |  | 23,935 |
Servicer advance investments |  | 11,863 |  |  | (11,075) |  |  | (925) |
Excess MSRs |  | (1,668) |  |  | (5,196) |  |  | (8,017) |
Net investments in Legacy Sequoia entities (3) |  | (160) |  |  | (1,302) |  |  | (1,558) |
Net investments in Sequoia entities (3) |  | 2,567 |  |  | (23,818) |  |  | 14,176 |
Net investments in Freddie Mac SLST entities (3) |  | (13,446) |  |  | (76,778) |  |  | 62,374 |
Net investment in Freddie Mac K-Series entity (3) |  | 1,541 |  |  | 110 |  |  | 11,599 |
Net investments in CAFL Term entities (3) |  | 5,504 |  |  | (34,899) |  |  | 10,271 |
Other investments |  | (6,077) |  |  | 13,468 |  |  | (366) |
Risk management derivatives, net |  | (1,479) |  |  | 26,152 |  |  | — |
Credit recoveries (losses) on AFS securities |  | 58 |  |  | (2,540) |  |  | 388 |
Other |  | (746) |  |  | — |  |  | — |
Total investment fair value changes, net |  | $ | (44,400) |  |  | $ | (178,271) |  |  | $ | 114,624 |
HEI income, Net |  |  |  |  |  |
HEI at Redwood |  | $ | 30,749 |  |  | $ | (201) |  |  | $ | 13,207 |
Net investments in HEI securitization entities (3) |  | 4,368 |  |  | 2,915 |  |  | 218 |
Total HEI income, net |  | $ | 35,117 |  |  | $ | 2,714 |  |  | $ | 13,425 |
Other Income |  |  |  |  |  |
MSRs |  | $ | (544) |  |  | $ | 8,560 |  |  | $ | (3,182) |
Other |  | (556) |  |  | (1,541) |  |  | — |
Total other income (4) |  | $ | (1,100) |  |  | $ | 7,019 |  |  | $ | (3,182) |
Total Market Valuation Gains (Losses), Net |  | $ | 35,814 |  |  | $ | (227,186) |  |  | $ | 321,433 |
Footnotes to Table 5.6 (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 Consumer 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 HEI, 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. Valuation Policy We maintain policies that specify the methodologies we use to value different types of financial instruments. Significant changes to the valuation methodologies are reviewed by members of the Pricing Committee, which is comprised of several members of senior management, to confirm the changes are appropriate and reasonable. Valuations based on information from external sources are generally performed on an instrument-by-instrument basis with the resulting amounts analyzed individually against internal calculations as well as in the aggregate by product type classification. Initial valuations are performed by our Portfolio Management Groups using the valuation processes described below. Our Pricing Committee then independently reviews all fair value estimates to ensure they are reasonable. Valuation Process We estimate fair values for financial assets or liabilities based on available inputs observed in the marketplace as well as unobservable inputs. We primarily use two pricing valuation techniques: market comparable pricing and discounted cash flow analysis. Market comparable pricing is used to determine the estimated fair value of certain instruments by incorporating known inputs and performance metrics, such as observed prepayment rates, delinquencies, severities, credit support, recent transaction prices, pending transactions, or prices of other similar instruments. Discounted cash flow analysis techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument and then discounting those cash flows at a rate of return that results in an estimate of fair value. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. We also consider counterparty credit quality and risk as part of our fair value assessments. 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, 2023 |  | Fair Value |  |  |  | Input Values
(Dollars in Thousands, except Input Values) |  |  | Unobservable Input |  | Range |  |  | Weighted Average(1)
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |
Jumbo loans |  | $ | 726,475 |  |  | Senior credit spread to TBA price(2) |  | $ | 1.56 |  |  | $ | 3.00 |  |  |  | $ | 1.70 |  |
|  |  |  | Subordinate credit spread(2) |  | 225 |  | 900 | bps |  | 365 | bps
|  |  |  | Senior credit support(2) |  | 7 |  |  | 7 |  | % |  | 7 |  | %
|  |  |  | IO discount rate(2) |  | 20 |  |  | 20 |  | % |  | 20 |  | %
|  |  |  | Prepayment rate (annual CPR)(2) |  | 15 |  |  | 15 |  | % |  | 15 |  | %
Jumbo loans committed to sell |  | 184,717 |  |  | Whole loan committed sales price |  | $ | 99 |  | - | $ | 101 |  |  |  | $ | 99 |  |
Loans held by Legacy Sequoia (3) |  | 139,739 |  |  | Liability price |  |  |  | N/A |  |  | N/A |
Loans held by Sequoia (3) |  | 4,640,464 |  |  | Liability price |  |  |  | N/A |  |  | N/A |
Loans held by Freddie Mac SLST (3) |  | 1,359,242 |  |  | Liability price |  |  |  | N/A |  |  | N/A |
Business purpose loans: |  |  |  |  |  |  |  |  |  |  |  |
BPL term loans |  | 144,359 |  |  | Senior credit spread(2) |  | 150 |  | - | 150 |  | bps |  | 150 |  | bps
|  |  |  | Subordinate credit spread(2) |  | 230 |  | - | 887 |  | bps |  | 476 |  | bps
|  |  |  | Senior credit support(2) |  | 33 |  | - | 33 |  | % |  | 33 |  | %
|  |  |  | IO discount rate(2) |  | 7 |  | - | 7 |  | % |  | 7 |  | %
|  |  |  | Prepayment rate (annual CPR)(2) |  | — |  | - | 3 |  | % |  | 3 |  | %
|  |  |  | Dollar price of non-performing loans |  | $ | 60 |  | - | $ | 100 |  |  |  | $ | 61 |  |
BPL term loans held by CAFL (3) |  | 2,971,725 |  |  | Liability price |  |  |  | N/A |  |  | N/A |
BPL bridge loans held by CAFL (3) |  | 249,689 |  |  | Liability price |  |  |  | N/A |  |  | N/A |
BPL bridge loans |  | 1,854,524 |  |  | Whole loan discount rate |  | 6 |  | - | 12 |  | % |  | 9 |  | %
|  |  |  | Whole loan spread |  | 500 |  | - | 500 |  | bps |  | 500 |  | bps
|  |  |  | Dollar price of non-performing loans |  | $50 | - | $ | 100 |  |  |  | $ | 92 |  |
Multifamily loans held by Freddie Mac K-Series (3) |  | 425,285 |  |  | Liability price |  |  |  | N/A |  |  | N/A |
Trading and AFS securities |  | 127,797 |  |  | Discount rate |  | 6 |  | - | 25 |  | % |  | 11 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 4 |  | - | 65 |  | % |  | 8 |  | %
|  |  |  | Default rate |  | — |  | - | 15 |  | % |  | 0.1 |  | %
|  |  |  | Loss severity |  | — |  | - | 50 |  | % |  | 23 |  | %
HEI |  | 244,719 |  |  | Discount rate |  | 10 |  | - | 10 |  | % |  | 10 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 1 |  | - | 20 |  | % |  | 14 |  | %
|  |  |  | Home price appreciation (depreciation) |  | 1 |  | - | 3 |  | % |  | 3 |  | %
HEI held by HEI securitization entities(3) |  | 305,717 |  |  | Liability price |  |  |  | N/A |  |  | N/A |
Servicer advance investments |  | 225,345 |  |  | Discount rate |  | 3 |  | - | 5 |  | % |  | 4 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 11 |  | - | 30 |  | % |  | 14 |  | %
|  |  |  | Expected remaining life (4) |  | 6 | - | 6 | yrs |  | 6 | yrs
|  |  |  | Mortgage servicing income |  | 3 |  | - | 18 |  | bps |  | 10 |  | bps
Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued)
December 31, 2023 |  | Fair Value |  |  |  | Input Values
(Dollars in Thousands, except Input Values) |  |  | Unobservable Input |  | Range |  |  | Weighted Average (1)
Assets (continued) |  |  |  |  |  |  |  |  |  |  |  |
MSRs |  | $ | 24,877 |  |  | Discount rate |  | 12 |  | - | 63 |  | % |  | 12 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 4 |  | - | 21 |  | % |  | 6 |  | %
|  |  |  | Per loan annual cost to service |  | $ | 93 |  | - | $ | 93 |  |  |  | $ | 93 |  |
Excess MSRs |  | 37,367 |  |  | Discount rate |  | 13 |  | - | 19 |  | % |  | 18 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 10 |  | - | 100 |  | % |  | 17 |  | %
|  |  |  | Excess mortgage servicing amount |  | 8 |  | - | 20 |  | bps |  | 11 |  | bps
Residential loan purchase commitments, net |  | 8,104 |  |  | Senior credit spread to TBA price(2) |  | $ | 1.56 |  |  | $ | 3.00 |  |  |  | $ | 1.70 |  |
|  |  | Subordinate credit spread(2) |  | 225 | - | 900 | bps |  | 365 | bps
|  |  |  | Senior credit support(2) |  | 7 |  | - | 7 |  | % |  | 7 |  | %
|  |  |  | IO discount rate(2) |  | 20 |  | - | 20 |  | % |  | 20 |  | %
|  |  |  | Prepayment rate (annual CPR)(2) |  | 15 |  | - | 15 |  | % |  | 15 |  | %
|  |  |  | Pull-through rate |  | 11 |  | - | 100 |  | % |  | 70 |  | %
|  |  |  | Committed sales price |  | $ | 103 |  | - | $ | 103 |  |  |  | $ | 103 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
ABS issued (3): |  |  |  |  |  |  |  |  |  |  |  |
At consolidated Sequoia entities |  | 4,568,660 |  |  | Discount rate |  | 4 |  | - | 40 |  | % |  | 7 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 4 |  | - | 20 |  | % |  | 8 |  | %
|  |  |  | Default rate |  | — |  | - | 17 |  | % |  | 1 |  | %
|  |  |  | Loss severity |  | 25 |  | - | 50 |  | % |  | 31 |  | %
At consolidated CAFL Term entities |  | 2,648,328 |  |  | Discount rate |  | 5 |  | - | 12 |  | % |  | 6 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | — |  | - | 3 |  | % |  | 0.5 |  | %
|  |  |  | Default rate |  | 3 |  | - | 13 |  | % |  | 7 |  | %
|  |  |  | Loss severity |  | 30 |  | - | 40 |  | % |  | 30 |  | %
At consolidated Freddie Mac SLST entities |  | 1,088,225 |  |  | Discount rate |  | 5 |  | - | 10 |  | % |  | 6 |  | %
|  |  | Prepayment rate (annual CPR) |  | 6 |  | - | 6 |  | % |  | 6 |  | %
|  |  |  | Default rate |  | 15 |  | - | 17 |  | % |  | 16 |  | %
|  |  |  | Loss severity |  | 25 |  | - | 25 |  | % |  | 25 |  | %
At consolidated Freddie Mac K-Series entities (3) |  | 391,977 |  |  | Discount rate |  | 3 |  | - | 10 |  | % |  | 5 |  | %
At consolidated HEI entities(5) |  | 222,488 |  |  | Discount rate |  | 9 |  | - | 16 |  | % |  | 10 |  | %
|  |  |  | Prepayment rate (annual CPR) |  | 15 |  | - | 20 |  | % |  | 17 |  | %
|  |  |  | Home price appreciation (depreciation) |  | 1 |  | - | 3 |  | % |  | 3 |  | %
At consolidated CAFL Bridge entities |  | 231,585 |  |  | Discount rate |  | 8 |  | - | 15 |  | % |  | 8 |  | %
|  |  | Prepayment rate (annual CPR) |  | 40 |  | - | 40 |  | % |  | 40 |  | %
|  |  |  | Default rate |  | — |  |  | 5 |  | % |  | 3 |  | %
|  |  |  | Loss severity |  | 25 |  | - | 25 |  | % |  | 25 |  | %
Footnotes to Table 5.7 (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)Values represent pricing inputs used in securitization pricing model. Credit spreads represent spreads to applicable swap rates unless specified otherwise. (3)The fair value of the loans and HEI 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, 2023, the fair value of securities we owned at the consolidated Sequoia, CAFL Term, CAFL Bridge (under CFE), Freddie Mac SLST, Freddie Mac K-Series, and HEI securitization entities was $212 million, $323 million, $22 million, $274 million, $33 million, and $34 million, respectively. CAFL Bridge only includes the one securitization that we made the CFE election for. (4)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). (5)Fair value presented in this line item for ABS issued at consolidated HEI entities does not include non-controlling interests in our HEI entities, which we account for separately as liabilities in our Consolidated Balance Sheets and carry at fair value. However, given the HEI non-controlling interests are priced using the same model and inputs, the unobservable inputs and input values provided in this section include those for the HEI non-controlling interests. Determination of Fair Value A description of the instruments measured at fair value as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy is listed herein. We generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets and liabilities. Use of these techniques requires the determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding table. Accordingly, a significant increase or decrease in any of these inputs – such as anticipated credit losses, prepayment rates, interest rates, or other valuation assumptions – in isolation would likely result in a significantly lower or higher fair value measurement. Residential loans, business purpose loans, multifamily loans a nd HEI at con solidated entities We have elected to account for most of our consolidated securitization entities as collateralized financing entities in accordance with GAAP. A CFE is a variable interest entity that holds financial assets and issues beneficial interests in those assets, and these beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allows companies to elect to measure both the financial assets and financial liabilities of a CFE using the more observable of the fair value of the financial assets or fair value of the financial liabilities. Pursuant to this guidance, we use the fair value of the ABS issued by the CFEs (which we determined to be more observable) to determine the fair value of the loans or HEI held at these entities, whereby the net assets we consolidate in our financial statements related to these entities represent the estimated fair value of our retained interests in the CFEs. Residential loans at Redwood Estimated fair values for residential loans are determined using models that incorporate various pricing inputs, including information derived from whole loan sales and securitizations that have occurred in the market. Certain significant inputs in these models are considered unobservable and are therefore Level 3 in nature. Significant pricing inputs obtained from market whole loan transaction activity include indicative spreads to indexed TBA prices and indexed swap rates (Level 3). Significant pricing inputs obtained from market securitization activity include indicative spreads to indexed TBA prices and swap rates for senior and subordinate MBS, IO MBS discount rates, senior credit support levels, and assumed future prepayment rates (Level 3). These assets would generally decrease in value based upon an increase in the credit spread, prepayment speed, or credit support assumptions. Business purpose loans Estimated fair values for business purpose loans are determined using models that incorporate various pricing inputs, including information derived from whole loan sales and securitizations that have occurred in the market. Certain significant inputs in these models are considered unobservable and are therefore Level 3 in nature. Significant pricing inputs obtained from market securitization activity include indicative spreads to indexed treasury rates for senior and subordinate MBS, IO MBS discount rates, senior credit support levels, and assumed future prepayment rates (Level 3). Significant pricing inputs obtained from market whole loan transaction activity include indicative credit spreads to indexed treasury prices and swap rates or absolute yields (Level 3). These assets would generally decrease in value based upon an increase in the credit spread or absolute yield, prepayment speed, or credit support assumptions. Prices for most of our BPL bridge loans are determined using discounted cash flow modeling, which incorporates a primary significant unobservable input of market discount rates (incorporating indicative credit spreads where applicable). Cash flows for performing loans are generally based on contractual loan terms. Delinquent loans are generally valued at a dollar price that is informed by various market data inputs, including the estimated fair value of the collateral securing the loan (Level 3). These assets would generally decrease in value based upon an increase in the discount rate or a decrease in the value of the underlying collateral. Real estate securities Real estate securities include residential, multifamily, and other mortgage-backed securities that are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis for these assets are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. For real estate securities, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Relevant market indicators that are factored into the analysis include bid/ask spreads, the amount and timing of credit losses, interest rates, and collateral prepayment rates (Level 3). Securities priced using discounted cash flow models use significant unobservable inputs such as a discount rate, prepayment rate, default rate and loss severity. The estimated fair value of our securities would generally decrease based upon an increase in discount rate, default rates, loss severities, or a decrease in prepayment rates. Derivative assets and liabilities Our derivative instruments include swaps, swaptions, TBAs, interest rate futures, loan purchase commitments, and forward sale commitments. Fair values of derivative instruments are determined using quoted prices from active markets, when available, or from valuation models and are supported by valuations provided by dealers active in derivative markets. Fair values of TBAs and interest rate futures are generally obtained using quoted prices from active markets (Level 1). Our derivative valuation models for swaps and swaptions require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, and correlations of certain inputs. Model inputs can generally be verified and model selection does not involve significant management judgment (Level 2). LPC, and IRLC fair values for residential jumbo and BPL term loans are estimated based on the estimated fair values of the underlying loans (as described in "Residential loans at Redwood" and "Business purpose loans" above). In addition, fair values for LPCs and IRLCs are estimated based on the probability that the mortgage loan will be purchased or originated (the "Pull-through rate") (Level 3). A decrease in pull-through rate would decrease the value of LPCs with a positive fair value. Servicer advance investments Estimated fair values for servicer advance investments are determined through internal pricing models that estimate future cash flows and utilize certain significant inputs that are considered unobservable and are therefore Level 3 in nature. Our estimations of cash flows include the combined cash flows of all of the components that comprise the servicer advance investments: existing advances, the requirement to purchase future advances, the recovery of advances, and the right to a portion of the associated mortgage servicing fee ("mortgage servicing income"). The valuation technique is based on discounted cash flows. Significant inputs used in the valuations include prepayment rate (of the loans underlying the investments), mortgage servicing income, the weighted-average expected remaining life of servicer advances ("expected remaining life"), and discount rate. These assets would generally decrease in value based upon an increase in prepayment rates, an increase in expected remaining life, an increase in discount rate, or a decrease in mortgage servicing income. HEI at Redwood Estimated fair values for home equity investment contracts are determined through internal pricing models that estimate future cash flows and utilize certain significant unobservable inputs such as forecasted home price appreciation, prepayment rates and discount rates, and are therefore Level 3 in nature. The valuation technique is based on discounted cash flows. An increase in discount rate or a decrease in forecasted home price appreciation combined with a decrease in prepayment rates, would generally reduce the estimated fair value of the HEI. MSRs MSRs include the rights to service jumbo residential mortgage loans. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. Changes in the fair value of MSRs occur primarily due to the collection/realization of expected cash flows, as well as changes in valuation inputs and assumptions. Estimated fair values are based on applying the inputs to generate the net present value of estimated future MSR income (Level 3). These discounted cash flow models utilize certain significant unobservable inputs including market discount rates, assumed future prepayment rates of serviced loans, and the market cost of servicing. An increase in these unobservable inputs would generally reduce the estimated fair value of the MSRs. Excess MSRs Estimated fair values for excess MSRs are determined through internal pricing models that estimate future cash flows and utilize certain significant inputs that are considered unobservable and are therefore Level 3 in nature. The valuation technique is based on discounted cash flows. Significant unobservable inputs used in the valuations include prepayment rate (of the loans underlying the investments), the amount of excess servicing income expected to be received ("excess mortgage servicing income"), and discount rate. These assets would generally decrease in value based upon an increase in prepayment rates or discount rate, or a decrease in excess mortgage servicing income. Other Investments Certain of our Other investments (inclusive of strategic investments in early-stage start-up companies) are Level 3 financial instruments that we account for under the fair value option. These investments generally take the form of equity or debt with conversion features and do not have readily determinable fair values. We initially record these investments at cost and adjust their fair value based on observable price changes, such as follow-on capital raises or secondary sales, and will also evaluate impacts to valuation from changing market conditions and underlying business performance. As of December 31, 2023, the carrying value of these investments was $3 million. Cash and cash equivalents Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less and money market fund investments which are generally invested in U.S. government securities and are available to us on a daily basis. Fair values equal carrying values (Level 1). Restricted cash Restricted cash primarily includes interest-earning cash balances related to risk-sharing transactions with the Agencies, cash held at Servicing Investment entities, and cash held at consolidated Sequoia, HEI and CAFL Bridge entities for the purpose of distribution to investors and reinvestment. Due to the short-term nature of the restrictions, fair values approximate carrying values (Level 1). Accrued interest receivable and payable Accrued interest receivable and payable includes interest due on our assets and payable on our liabilities. Due to the short-term nature of when these interest payments will be received or paid, fair values approximate carrying values (Level 1). Margin receivable Margin receivable reflects cash collateral we have posted with our various derivative and debt counterparties as required to satisfy margin requirements. Fair values approximate carrying values (Level 2). ABS issued ABS issued includes asset-backed securities issued through the Legacy Sequoia, Sequoia, CAFL and HEI securitization entities, as well as securities issued by certain third-party Freddie Mac K-Series and SLST securitization entities that we consolidate. These instruments are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. For ABS issued, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Relevant market indicators factored into the analysis include bid/ask spreads, the amount and timing of collateral credit losses, interest rates, and collateral prepayment rates. Estimated fair values incorporate market indicators as well as other significant unobservable inputs to generate discounted cash flows (Level 3). These cash flow models use significant unobservable inputs such as discount rate, prepayment rate, default rate, and loss severity. A decrease in credit losses or discount rates, or an increase in prepayment rates, would generally cause the fair value of the ABS issued to decrease (i.e., become a larger liability). Financial Instruments Carried at Amortized Cost Guarantee obligations In association with our risk-sharing transactions with the Agencies, we have made certain guarantees which are carried on our balance sheet at amortized cost (Level 3). Short-term and certain long-term debt (excluding convertible notes and trust preferred securities and subordinated notes) Short-term debt includes our credit facilities for residential and business purpose loans and real estate securities as well as non-recourse short-term borrowings used to finance servicer advance investments, promissory notes and the current portion of long-term debt. As these borrowings are secured and subject to margin calls and as the rates on these borrowings reset frequently to market rates, we believe that carrying values approximate fair values (Level 2). Borrowings under our subordinate securities financing facilities are secured by real estate securities and carried at unpaid principal balance net of any unamortized deferred issuance costs (Level 3). Borrowings under our non-recourse business purpose loans financing facilities are secured by BPL bridge loans and other BPL investments and carried at unpaid principal balance net of any unamortized deferred issuance costs (Level 3). Borrowings under our recourse business purpose loan financing facilities are secured by BPL term and bridge loans and carried at unpaid principal balance net of any unamortized deferred issuance costs (Level 3). ABS issued We account for certain ABS issued by securitizations we consolidate at amortized cost (Level 3). Convertible notes Convertible notes include unsecured convertible and exchangeable senior notes that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. The fair value of the convertible notes is determined using quoted prices in generally active markets (Level 2). Trust preferred securities and subordinated notes Trust preferred securities and subordinated notes are carried at their unpaid principal balance net of any unamortized deferred issuance costs (Level 3).

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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