Cover Page
Cover Page - shares | 3 Months Ended | |
Mar. 31, 2020 | May 11, 2020 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2020 | |
Document Transition Report | false | |
Entity File Number | 1-13759 | |
Entity Registrant Name | REDWOOD TRUST, INC. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 68-0329422 | |
Entity Address Address Line | One Belvedere Place, Suite 300 | |
Entity Address City Or Town | Mill Valley, | |
Entity Address, State or Province | CA | |
Entity Address Postal Zip Code | 94941 | |
City Area Code | 415 | |
Local Phone Number | 389-7373 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity small business | false | |
Emerging growth company | false | |
Entity Shell Company | false | |
Title of 12(b) Security | Common stock, par value $0.01 per share | |
Trading Symbol | RWT | |
Security Exchange Name | NYSE | |
Entity Common Stock, Shares Outstanding | 114,828,929 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 | |
Entity Central Index Key | 0000930236 | |
Current Fiscal Year End Date | --12-31 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | ||
ASSETS | ||||
Real estate securities, at fair value | [1] | $ 293,462 | $ 1,099,874 | |
Other investments | [1] | 446,220 | 358,130 | |
Cash and cash equivalents | [1] | 378,233 | 196,966 | |
Restricted cash | [1] | 25,752 | 93,867 | |
Goodwill and intangible assets | [1] | 68,483 | 161,464 | |
Accrued interest receivable | [1] | 57,215 | 71,058 | |
Derivative assets | [1] | 90,717 | 35,701 | |
Other assets | [1] | 295,353 | 348,263 | |
Total Assets | [1] | 12,300,790 | 17,995,440 | |
Liabilities | ||||
Short-term debt, net | [1] | 2,341,648 | 2,329,145 | |
Accrued interest payable | [1] | 40,102 | 60,655 | |
Derivative liabilities | [1] | 114,614 | 163,424 | |
Accrued expenses and other liabilities | [1] | 163,599 | 146,238 | |
Asset-backed securities issued, at fair value | [1] | 6,461,864 | 10,515,475 | |
Long-term debt, net | [1] | 2,453,761 | 2,953,272 | |
Total liabilities | [1] | 11,575,588 | 16,168,209 | |
Commitments and Contingencies | [1] | |||
Equity | ||||
Common stock, par value $0.01 per share, 270,000,000 shares authorized; 114,837,533 and 114,353,036 issued and outstanding | [1] | 1,148 | 1,144 | |
Additional paid-in capital | [1] | 2,275,808 | 2,269,617 | |
Accumulated other comprehensive income | [1] | (85,531) | 41,513 | |
Cumulative earnings | [1] | 635,726 | 1,579,124 | |
Cumulative distributions to stockholders | [1] | (2,101,949) | (2,064,167) | |
Total equity | [1] | 725,202 | 1,827,231 | |
Total Liabilities and Equity | [1] | 12,300,790 | 17,995,440 | |
Residential loans, held-for-sale, at fair value | ||||
ASSETS | ||||
Loans, at fair value | [1] | 2,330,669 | 536,385 | |
Residential loans, held-for-investment, at fair value | ||||
ASSETS | ||||
Loans, at fair value | [1] | 4,380,460 | 7,178,465 | |
Business purpose residential loans, held-for-sale, at fair value | ||||
ASSETS | ||||
Loans, at fair value | [1] | 415,333 | 331,565 | |
Business purpose residential loans, held-for-investment, at fair value | ||||
ASSETS | ||||
Loans, at fair value | 3,048,409 | [1] | 3,175,178 | |
Multifamily loans, held-for-investment, at fair value | ||||
ASSETS | ||||
Loans, at fair value | [1] | 470,484 | 4,408,524 | |
Variable Interest Entity, Primary Beneficiary | ||||
ASSETS | ||||
Total Assets | 7,470,706 | 11,931,869 | ||
Liabilities | ||||
Total liabilities | $ 6,759,260 | $ 10,717,072 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
CONSOLIDATED BALANCE SHEETS (PA
CONSOLIDATED BALANCE SHEETS (PARENTHETICAL) - $ / shares | Dec. 31, 2019 | Dec. 31, 2018 |
Statement of Financial Position [Abstract] | ||
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (shares) | 270,000,000 | 270,000,000 |
Common stock, issued (shares) | 114,837,533 | 114,353,036 |
Common stock, outstanding (shares) | 114,837,533 | 114,353,036 |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Interest Income | ||
Residential loans | $ 79,436 | $ 75,950 |
Business purpose residential loans | 52,654 | 2,789 |
Multifamily loans | 40,172 | 21,388 |
Real estate securities | 18,309 | 24,450 |
Other interest income | 7,510 | 6,464 |
Total interest income | 198,081 | 131,041 |
Interest Expense | ||
Short-term debt | (23,067) | (22,218) |
Asset-backed securities issued | (100,498) | (55,295) |
Long-term debt | (23,106) | (21,763) |
Total interest expense | (146,671) | (99,276) |
Net Interest Income | 51,410 | 31,765 |
Non-interest (Loss) Income | ||
Mortgage banking activities, net | (28,411) | 12,309 |
Investment fair value changes, net | (870,832) | 20,159 |
Other income, net | 2,437 | 4,625 |
Realized gains, net | 3,852 | 10,686 |
Total non-interest (loss) income, net | (892,954) | 47,779 |
General and administrative expenses | (32,668) | (23,159) |
Other expenses | (91,415) | (1,038) |
Net (Loss) Income before Benefit from (Provision for) Income Taxes | (965,627) | 55,347 |
Benefit from (provision for) income taxes | 22,229 | (883) |
Net (Loss) Income | $ (943,398) | $ 54,464 |
Basic (loss) earnings per common share (in dollars per share) | $ (8.28) | $ 0.57 |
Diluted (loss) earnings per common share (in dollars per share) | $ (8.28) | $ 0.49 |
Basic weighted average shares outstanding (in shares) | 114,076,568 | 92,685,350 |
Diluted weighted average shares outstanding (in shares) | 114,076,568 | 126,278,160 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Statement of Comprehensive Income [Abstract] | ||
Net (Loss) Income | $ (943,398) | $ 54,464 |
Other comprehensive loss: | ||
Net unrealized (loss) gain on available-for-sale securities | (80,519) | 6,718 |
Reclassification of unrealized gain on available-for-sale securities to net income | (13,798) | (9,493) |
Net unrealized loss on interest rate agreements | (32,806) | (5,838) |
Reclassification of unrealized loss on interest rate agreements to net income | 79 | 0 |
Total other comprehensive loss | (127,044) | (8,613) |
Total Comprehensive (Loss) Income | $ (1,070,442) | $ 45,851 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders |
Beginning balance (in shares) at Dec. 31, 2018 | 84,884,344 | |||||
Balance at beginning of period at Dec. 31, 2018 | $ 1,348,794 | $ 849 | $ 1,811,422 | $ 61,297 | $ 1,409,941 | $ (1,934,715) |
Increase (Decrease) in Stockholders' Equity | ||||||
Net (Loss) Income | 54,464 | 54,464 | ||||
Other comprehensive loss | (8,613) | (8,613) | ||||
Issuance of common stock (in shares) | 11,500,000 | |||||
Issuance of common stock | 177,597 | $ 115 | 177,482 | |||
Direct stock purchase and dividend reinvestment plan (in shares) | 399,838 | |||||
Direct stock purchase and dividend reinvestment plan | 6,307 | $ 4 | 6,303 | |||
Employee stock purchase and incentive plans (in shares) | 82,282 | |||||
Employee stock purchase and incentive plans | (1,938) | $ 1 | (1,939) | |||
Non-cash equity award compensation | 3,090 | 3,090 | ||||
Common dividends declared | (29,774) | (29,774) | ||||
Ending balance (in shares) at Mar. 31, 2019 | 96,866,464 | |||||
Balance at End of Period at Mar. 31, 2019 | 1,549,927 | $ 969 | 1,996,358 | 52,684 | 1,464,405 | (1,964,489) |
Beginning balance (in shares) at Dec. 31, 2019 | 114,353,036 | |||||
Balance at beginning of period at Dec. 31, 2019 | 1,827,231 | $ 1,144 | 2,269,617 | 41,513 | 1,579,124 | (2,064,167) |
Increase (Decrease) in Stockholders' Equity | ||||||
Net (Loss) Income | (943,398) | (943,398) | ||||
Other comprehensive loss | (127,044) | (127,044) | ||||
Issuance of common stock (in shares) | 350,088 | |||||
Issuance of common stock | 5,547 | $ 3 | 5,544 | |||
Direct stock purchase and dividend reinvestment plan (in shares) | 0 | |||||
Employee stock purchase and incentive plans (in shares) | 134,409 | |||||
Employee stock purchase and incentive plans | (2,540) | $ 1 | (2,541) | |||
Non-cash equity award compensation | 3,188 | 3,188 | ||||
Common dividends declared | (37,782) | (37,782) | ||||
Ending balance (in shares) at Mar. 31, 2020 | 114,837,533 | |||||
Balance at End of Period at Mar. 31, 2020 | $ 725,202 | $ 1,148 | $ 2,275,808 | $ (85,531) | $ 635,726 | $ (2,101,949) |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Statement of Stockholders' Equity [Abstract] | ||
Common dividends declared (in dollars per share) | $ 0.32 | $ 0.30 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Cash Flows From Operating Activities: | |||||
Net (Loss) Income | $ (943,398) | $ 54,464 | |||
Adjustments to reconcile net income to net cash used in operating activities: | |||||
Amortization of premiums, discounts, and securities issuance costs, net | (596) | (689) | |||
Depreciation and amortization of non-financial assets | 4,677 | 343 | |||
Originations of held-for-sale loans | (280,076) | (28,968) | |||
Purchases of held-for-sale loans | (2,665,447) | (989,977) | |||
Proceeds from sales of held-for-sale loans | 2,733,285 | 851,331 | |||
Principal payments on held-for-sale loans | 19,778 | 17,450 | |||
Net settlements of derivatives | (163,442) | (9,305) | |||
Non-cash equity award compensation expense | 3,188 | 3,090 | |||
Goodwill impairment expense | 88,675 | 0 | |||
Market valuation adjustments | 912,477 | (31,439) | |||
Realized gains, net | (3,852) | (10,686) | |||
Net change in: | |||||
Accrued interest receivable and other assets | 107,740 | (50,006) | |||
Accrued interest payable and accrued expenses and other liabilities | (54,414) | (12,119) | |||
Net cash used in operating activities | (241,405) | (206,511) | |||
Cash Flows From Investing Activities: | |||||
Originations of loans held-for-investment | (206,634) | (7,000) | |||
Purchases of loans held-for-investment | 0 | (49,489) | |||
Principal payments on loans held-for-investment | 638,508 | 246,964 | |||
Purchases of real estate securities | (52,259) | (154,871) | |||
Sales of multifamily securities held in consolidated securitization trusts | 121,000 | 0 | |||
Proceeds from sales of real estate securities | 529,494 | 74,018 | |||
Principal payments on real estate securities | 11,952 | 24,498 | |||
Purchases of servicer advance investments | (158,618) | (68,976) | |||
Principal repayments from servicer advance investments | 22,815 | 66,532 | |||
Acquisition of 5 Arches, net of cash acquired | 0 | (3,714) | |||
Net investment in participation in loan warehouse facility | 0 | 38,209 | |||
Net investment in multifamily loan fund | 24,842 | (22,316) | |||
Other investing activities, net | (20,514) | (3,295) | |||
Net cash provided by investing activities | 910,586 | 140,560 | |||
Cash Flows From Financing Activities: | |||||
Proceeds from borrowings on short-term debt | 2,972,646 | 1,217,915 | |||
Repayments on short-term debt | (2,960,444) | (1,459,648) | |||
Proceeds from issuance of asset-backed securities | 377,164 | 330,534 | |||
Repayments on asset-backed securities issued | (363,696) | (163,146) | |||
Proceeds from issuance of long-term debt | 133,961 | 0 | |||
Repayments on long-term debt | (633,448) | 0 | |||
Net settlements of derivatives | (84,336) | (35) | |||
Net proceeds from issuance of common stock | 2,262 | 182,512 | |||
Taxes paid on equity award distributions | (2,632) | (2,033) | |||
Dividends paid | 0 | (29,774) | |||
Other financing activities, net | 3,497 | 0 | |||
Net cash (used in) provided by financing activities | (556,029) | 76,325 | |||
Net increase in cash, cash equivalents and restricted cash | 113,152 | 10,374 | |||
Cash, cash equivalents and restricted cash at beginning of period | [1] | 290,833 | 205,077 | $ 205,077 | |
Cash, cash equivalents, and restricted cash at end of period | [1] | 403,985 | 215,451 | 290,833 | $ 205,077 |
Cash paid during the period for: | |||||
Interest | 170,884 | 99,686 | |||
Taxes | 109 | 77 | |||
Supplemental Noncash Information: | |||||
Real estate securities retained from loan securitizations | 46,560 | 2,601 | |||
Retention of mortgage servicing rights from loan securitizations and sales | 0 | $ 223 | |||
Deconsolidation of multifamily loans held in securitization trusts | (3,849,779) | 0 | |||
Deconsolidation of multifamily ABS | (3,706,789) | 0 | |||
Transfers from loans held-for-sale to loans held-for-investment | 382,635 | 389,486 | |||
Transfers from loans held-for-investment to loans held-for-sale | 1,857,781 | 22,758 | |||
Transfers from residential loans to real estate owned | 6,363 | 5,035 | |||
Right-of-use asset obtained in exchange for operating lease liability | 5,362 | 12,661 | |||
Accrued but unpaid dividends | $ 37,800 | $ 0 | $ 0 | ||
[1] | Cash, cash equivalents, and restricted cash at March 31, 2020 includes cash and cash equivalents of $378 million and restricted cash of $26 million , and at December 31, 2019 includes cash and cash equivalents of $197 million and restricted cash of $94 million . |
CONSOLIDATED STATEMENTS OF CA_2
CONSOLIDATED STATEMENTS OF CASH FLOWS (PARENTHETICAL) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Statement of Cash Flows [Abstract] | |||
Cash and cash equivalents | [1] | $ 378,233 | $ 196,966 |
Restricted cash | [1] | $ 25,752 | $ 93,867 |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Organization
Organization | 3 Months Ended |
Mar. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Redwood Trust, Inc., together with its subsidiaries, is a specialty finance company focused on making credit-sensitive investments in single-family residential and multifamily mortgages and related assets and engaging in mortgage banking activities. Our goal is to provide attractive returns to shareholders through a stable and growing stream of earnings and dividends, as well as through capital appreciation. We operate our business in four segments: Residential Lending, Business Purpose Lending, Multifamily Investments, and Third-Party Residential Investments. Our primary sources of income are net interest income from our investments and non-interest income from our mortgage banking activities. Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and other liabilities. Income from mortgage banking activities is generated through the origination and acquisition of loans, and their subsequent sale, securitization, or transfer to our investment portfolios. Redwood Trust, Inc. has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”), beginning with its taxable year ended December 31, 1994. We generally refer, collectively, to Redwood Trust, Inc. and those of its subsidiaries that are not subject to subsidiary-level corporate income tax as “the REIT” or “our REIT.” We generally refer to subsidiaries of Redwood Trust, Inc. that are subject to subsidiary-level corporate income tax as “our taxable REIT subsidiaries” or “TRS.” |
Basis of Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at March 31, 2020 and December 31, 2019 , and for the three months ended March 31, 2020 and 2019 . These interim unaudited consolidated financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission ("SEC"). Certain information and note disclosures normally included in our annual financial statements prepared in accordance with U.S. generally accepted accounting principles ("GAAP") — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — have been condensed or omitted in these interim financial statements according to these SEC rules and regulations. Management believes that the disclosures included in these interim financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the company's Annual Report on Form 10-K for the year ended December 31, 2019 . In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at March 31, 2020 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2020 should not be construed as indicative of the results to be expected for the full year. Principles of Consolidation In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities issued prior to 2012 where we maintain an ongoing involvement ("Legacy Sequoia"), as well as entities formed in connection with the securitization of Redwood Choice expanded-prime loans ("Sequoia Choice"). We also consolidate the assets and liabilities of certain Freddie Mac K-Series and Freddie Mac Seasoned Loans Structured Transaction ("SLST") securitizations we invested in. Finally, we consolidated the assets and liabilities of certain CoreVest American Finance Lender ("CAFL") securitizations beginning in the fourth quarter of 2019, in connection with our acquisition of CoreVest. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have purchased or retained, although for the consolidated Sequoia and CAFL entities we are exposed to certain financial risks associated with our role as a sponsor, servicing administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. For financial reporting purposes, the underlying loans owned at the consolidated Sequoia and Freddie Mac SLST entities are shown under Residential loans held-for-investment at fair value, the underlying loans at the consolidated Freddie Mac K-Series are shown under Multifamily loans held-for-investment at fair value, and the underlying single-family rental loans at the consolidated CAFL entities are shown under Business purpose residential loans held-for-investment at fair value on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income (loss), we recorded interest income on the loans owned at these entities and interest expense on the ABS issued by these entities as well as other income and expenses associated with these entities' activities. See Note 14 for further discussion on ABS issued. During the first quarter of 2020, we sold subordinate securities issued by four of these Freddie Mac K-Series securitization trusts and determined that we should derecognize the associated assets and liabilities of each of these entities for financial reporting purposes. We deconsolidated $3.86 billion of multifamily loans and other assets and $3.72 billion of multifamily ABS issued and other liabilities, for which we realized market valuation losses of $72 million , which were recorded through Investment fair value changes, net on our consolidated statements of income (loss) for the three months ended March 31, 2020. We also consolidate two partnerships ("Servicing Investment" entities) through which we have invested in servicing-related assets. We maintain an 80% ownership interest in each entity and have determined that we are the primary beneficiary of these partnerships. Beginning in the first quarter of 2019, we consolidated 5 Arches, LLC ("5 Arches"), an originator of business purpose residential loans, pursuant to the exercise of our purchase option and the acquisition of the remaining equity in the company. In the fourth quarter of 2019, we acquired and consolidated CoreVest, an originator and portfolio manager of business purpose residential loans. See Note 4 for further discussion on principles of consolidation. Use of Estimates The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. Acquisitions In May 2018, Redwood acquired a 20% minority interest in 5 Arches, an originator of business purpose residential loans. On March 1, 2019, we completed the acquisition of the remaining 80% interest in 5 Arches. On October 15, 2019, we acquired CoreVest, an originator and portfolio manager of business purpose residential loans. Refer to our Annual Report on Form 10-K for the year ended December 31, 2019 for additional information regarding these acquisitions, including purchase price allocations. In connection with the acquisitions of 5 Arches and CoreVest, we identified and recorded finite-lived intangible assets totaling $25 million and $57 million , respectively. The amortization period for each of these assets and the activity for the three months ended March 31, 2020 is summarized in the table below. Table 2.1 – Intangible Assets – Activity Carrying Value at December 31, 2019 Additions Amortization Expense Carrying Value at March 31, 2020 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 43,952 $ — $ (1,618 ) $ 42,334 7 Broker network 15,083 — (905 ) 14,178 4 Non-compete agreements 8,236 — (792 ) 7,444 3 Tradenames 3,472 — (333 ) 3,139 3 Developed technology 1,613 — (225 ) 1,388 2 Loan administration fees on existing loan assets 433 — (433 ) — — Total $ 72,789 $ — $ (4,306 ) $ 68,483 6 All of our intangible assets are amortized on a straight-line basis. Estimated future amortization expense is summarized in the table below. Table 2.2 – Intangible Asset Amortization Expense by Year (In Thousands) March 31, 2020 2020 (9 months) $ 11,619 2021 15,304 2022 12,800 2023 10,091 2024 7,073 2025 and thereafter 11,596 Total Future Intangible Asset Amortization $ 68,483 We recorded total goodwill of $89 million in 2019 as a result of the total consideration exceeding the fair value of the net assets acquired from 5 Arches and CoreVest. The goodwill was attributed to the expected business synergies and expansion into business purpose loan markets, as well as access to the knowledgeable and experienced workforces continuing to provide services to the business. We expect $75 million of this goodwill to be deductible for tax purposes. For reporting purposes, we included the intangible assets and goodwill from these acquisitions within the Business Purpose Lending segment. During the first quarter of 2020, as a result of the deterioration in economic conditions caused by the spread of the COVID-19 pandemic (the "pandemic"), and its impact on our business, including a significant decline in the market price of our common stock, we determined that it was more likely than not that the fair value of our Business Purpose Lending reporting unit was lower than its carrying amount, including goodwill. Based on this analysis, we determined that an interim goodwill impairment test should be performed as of March 31, 2020 and prepared updated cash flow projections for the reporting unit, resulting in a reduction in the long-term forecasts of profitability for our Business Purpose Lending reporting unit as compared to the prior year forecasts. Using these projections, we concluded that the fair value of our Business Purpose Lending reporting unit was less than its carrying value, including goodwill. As a result of this evaluation, we recorded a non-cash $89 million goodwill impairment expense through Other expenses on our consolidated statements of income (loss) during the three months ended March 31, 2020. In conjunction with our assessment of goodwill, we also assessed our intangible assets for impairment and determined they were no t impaired. As discussed in our Annual Report on Form 10-K for the year ended December 31, 2019, our goodwill impairment testing is highly sensitive to certain assumptions and estimates used. The liability resulting from the contingent consideration arrangement with 5 Arches was recorded at its acquisition-date fair value of $25 million as part of total consideration for the acquisition of 5 Arches. These contingent earn-out payments were classified as a contingent consideration liability and carried at fair value prior to March 31, 2020. During the three months ended March 31, 2020, we made a cash payment of $11 million and granted $3 million of Redwood common stock in connection with the first anniversary of the purchase date. Additionally, as a result of an amendment to the agreement, we reclassified the contingent liability to a deferred liability, as the remaining payments became payable on a set timetable without any remaining contingencies. At March 31, 2020 , the carrying value of this deferred liability was $15 million and was recorded as a component of Accrued expenses and other liabilities on our consolidated balance sheets. During the three months ended March 31, 2020 , we recorded $0.3 million of contingent consideration expense through Other expenses on our consolidated statements of income (loss). See Note 16 for additional information on our contingent consideration liability. The following unaudited pro forma financial information presents Net interest income, Non-interest income, and Net income of Redwood, 5 Arches, and CoreVest combined, for the three months ended March 31, 2019, as if the acquisitions occurred as of January 1, 2018. These pro forma amounts have been adjusted to include the amortization of intangible assets and acquisition-related compensation expense for both periods, and to exclude the income statement impacts related to our equity method investment in 5 Arches. The unaudited pro forma financial information is not intended to represent or be indicative of the consolidated financial results of operations that would have been reported if the acquisitions had been completed as of January 1, 2018 and should not be taken as indicative of our future consolidated results of operations. Table 2.3 – Unaudited Pro Forma Financial Information Three Months Ended March 31, 2019 (In Thousands) Supplementary pro forma information: Net interest income $ 43,390 Non-interest income 42,976 Net income 56,028 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Significant Accounting Policies Included in Note 3 to the Consolidated Financial Statements of our Annual Report on Form 10-K for the year ended December 31, 2019 is a summary of our significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the company’s consolidated financial position and results of operations for the three months ended March 31, 2020 . Available-for-Sale Securities Upon adoption of ASU 2016-13, "Financial Instruments - Credit Losses" in the first quarter of 2020, we modified our policy for recording impairments on available-for-sale securities. This new guidance requires that credit impairments on our available-for-sale securities be recorded in earnings using an allowance for credit losses, with the allowance limited to the amount by which the security's fair value is less than its amortized cost basis. The allowance for credit losses is calculated using a discounted cash flow approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected, discounted at the effective interest rate used to accrete the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the discounted cash flows will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate. If we intend to sell or it is more likely than not that we will be required to sell the security before it recovers in value, the entire impairment amount will be recognized in earnings with a corresponding adjustment to the security's amortized cost basis. Goodwill Pursuant to our adoption of ASU 2017-04, "Intangibles - Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment" in the first quarter of 2020, we modified our goodwill impairment testing policy. We first assess qualitative factors to determine whether it is more likely than not that the fair value of the reporting unit is less than its carrying value. If, based on that assessment, we believe it is more likely than not that the fair value of the reporting unit is less than its carrying value, we measure the fair value of reporting unit and record a goodwill impairment charge for the amount by which a reporting unit's carrying value exceeds its fair value, not to exceed the carrying amount of the goodwill. Any such impairment charges would be recorded through Other expenses on our consolidated statements of income (loss). Recent Accounting Pronouncements Newly Adopted Accounting Standards Updates ("ASUs") In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement." This new guidance amends previous guidance by removing and modifying certain existing fair value disclosure requirements, while adding other new disclosure requirements. This new guidance is effective for fiscal years beginning after December 15, 2019. We adopted this new guidance, as required, in the first quarter of 2020, which did not have a material impact on our consolidated financial statements but impacted certain of our fair value footnote disclosures. In January 2017, the FASB issued ASU 2017-04, "Intangibles - Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment." This new guidance simplifies the subsequent measurement of goodwill by eliminating Step 2 from the goodwill impairment test. This new guidance is effective for fiscal years beginning after December 15, 2019. We adopted this new guidance, as required, in the first quarter of 2020, which did not have a material impact on our consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, "Financial Instruments - Credit Losses." This new guidance provides a new impairment model that is based on expected losses rather than incurred losses to determine the allowance for credit losses. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for fiscal years beginning after December 15, 2018. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses," which clarifies the scope of the amendments in ASU 2016-13. In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments," which is intended to clarify this guidance. In May 2019, the FASB issued ASU 2019-05, "Financial Instruments - Credit Losses (Topic 326): Targeted Transition Relief," which provides an option to irrevocably elect the fair value option for certain financial assets previously measured at amortized cost. In November 2019, the FASB issued ASU 2019-11, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses," which is intended to clarify Codification guidance. In February 2020, the FASB issued ASU 2020-02, "Financial Instruments - Credit Losses (Topic 326) and Leases (Topic 842) - Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842) (SEC Update)," and in March 2020, the FASB issued ASU 2020-03, "Codification Improvements to Financial Instruments." These updates amend certain sections of the guidance. We currently have only a small balance of loans receivable that are not carried at fair value and would be subject to this new guidance for allowance for credit losses. Separately, we accounted for our available-for-sale securities under the other-than-temporary impairment ("OTTI") model for debt securities prior to the issuance of this new guidance. This new guidance requires that credit impairments on our available-for-sale securities be recorded in earnings using an allowance for credit losses, with the allowance limited to the amount by which the security's fair value is less than its amortized cost basis. Subsequent reversals in credit loss estimates are recognized in income. We adopted this guidance, as required, in the first quarter of 2020, which did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In March 2020, the FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This new guidance provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. This new guidance is effective for all entities as of March 12, 2020 through December 31, 2022. We are currently evaluating the impact the adoption of this standard would have on our consolidated financial statements. In January 2020, the FASB issued ASU 2020-01, "Investments - Equity Securities (Topic 321), Investments - Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)." This new guidance clarifies the interaction of the accounting for equity securities, equity method investments, and certain forward contracts and purchased options. This new guidance is effective for fiscal years beginning after December 15, 2020. Early adoption is permitted. We plan to adopt this new guidance by the required date and do not anticipate that this update will have a material impact on the consolidated financial statements. In December 2019, the FASB issued ASU 2019-12, "Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes." This new guidance simplifies the accounting for income taxes by removing certain exceptions to the general principles in Topic 740 and by clarifying and amending existing guidance. This new guidance is effective for fiscal years beginning after December 15, 2020. Early adoption is permitted. We plan to adopt this new guidance by the required date and do not anticipate that this update will have a material impact on our consolidated financial statements. Balance Sheet Netting Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at March 31, 2020 and December 31, 2019 . Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in Consolidated Balance Sheet Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet Gross Amounts Not Offset in Consolidated (1) Net Amount March 31, 2020 Financial Instruments Cash Collateral (Received) Pledged Assets (2) TBAs $ 90,717 $ — $ 90,717 $ (89,433 ) $ (1,283 ) $ 1 Total Assets $ 90,717 $ — $ 90,717 $ (89,433 ) $ (1,283 ) $ 1 Liabilities (2) TBAs $ (110,648 ) $ — $ (110,648 ) $ 89,433 $ 19,308 $ (1,907 ) Loan warehouse debt (1,035,817 ) — (1,035,817 ) 1,034,622 — (1,195 ) Security repurchase agreements (485,147 ) — (485,147 ) 482,528 1,574 (1,045 ) Total Liabilities $ (1,631,612 ) $ — $ (1,631,612 ) $ 1,606,583 $ 20,882 $ (4,147 ) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in Consolidated Balance Sheet Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet Gross Amounts Not Offset in Consolidated (1) Net Amount December 31, 2019 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 19,020 $ — $ 19,020 $ (14,178 ) $ (915 ) $ 3,927 TBAs 5,755 — 5,755 (5,755 ) — — Futures 137 — 137 — — 137 Total Assets $ 24,912 $ — $ 24,912 $ (19,933 ) $ (915 ) $ 4,064 Liabilities (2) Interest rate agreements $ (148,765 ) $ — $ (148,765 ) $ 14,178 $ 134,587 $ — TBAs (13,359 ) — (13,359 ) 5,755 6,673 (931 ) Loan warehouse debt (432,126 ) — (432,126 ) 432,126 — — Security repurchase agreements (1,096,578 ) — (1,096,578 ) 1,096,578 — — Total Liabilities $ (1,690,828 ) $ — $ (1,690,828 ) $ 1,548,637 $ 141,260 $ (931 ) (1) Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. (2) Interest rate agreements and TBAs are components of derivatives instruments on our consolidated balance sheets. Loan warehouse debt, which is secured by residential mortgage loans, and security repurchase agreements are components of Short-term debt on our consolidated balance sheets. |
Principles of Consolidation
Principles of Consolidation | 3 Months Ended |
Mar. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Principles of Consolidation | Principles of Consolidation GAAP requires us to consider whether securitizations we sponsor and other transfers of financial assets should be treated as sales or financings, as well as whether any VIEs that we hold variable interests in – for example, certain legal entities often used in securitization and other structured finance transactions – should be included in our consolidated financial statements. The GAAP principles we apply require us to reassess our requirement to consolidate VIEs each quarter and therefore our determination may change based upon new facts and circumstances pertaining to each VIE. This could result in a material impact to our consolidated financial statements during subsequent reporting periods. Analysis of Consolidated VIEs At March 31, 2020 , we consolidated Legacy Sequoia, Freddie Mac SLST, Freddie Mac K-Series and CAFL securitization entities that we determined were VIEs and for which we determined we were the primary beneficiary. Each of these entities is independent of Redwood and of each other and the assets and liabilities of these entities are not owned by and are not legal obligations of ours. Our exposure to these entities is primarily through the financial interests we have retained, although for the consolidated Sequoia and CAFL entities we are exposed to certain financial risks associated with our role as a sponsor, servicing administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. At March 31, 2020 , the estimated fair value of our investments in the consolidated Legacy Sequoia, Sequoia Choice, Freddie Mac SLST, Freddie Mac K-Series and CAFL entities was $6 million , $144 million , $309 million , $23 million , and $170 million , respectively. During the first quarter of 2020, we sold subordinate securities issued by four of these Freddie Mac K-Series securitization trusts and determined that we should derecognize the associated assets and liabilities of each of these entities for financial reporting purposes. We deconsolidated $3.86 billion of multifamily loans and other assets and $3.72 billion of multifamily ABS issued and other liabilities, for which we realized market valuation losses of $72 million , which were recorded through Investment fair value changes, net on our consolidated statements of income (loss) for the three months ended March 31, 2020. Beginning in 2018, we consolidated two Servicing Investment entities formed to invest in servicing-related assets that we determined were VIEs and for which we determined we were the primary beneficiary. At March 31, 2020 , we held an 80% ownership interest in, and were responsible for the management of, each entity. See Note 10 for a further description of these entities and the investments they hold and Note 12 for additional information on the minority partner’s interest. Additionally, beginning in 2018, we consolidated an entity that was formed to finance servicer advances that we determined was a VIE and for which we, through our control of one of the aforementioned partnerships, were the primary beneficiary. The servicer advance financing consists of non-recourse short-term securitization debt, secured by servicer advances. We consolidate the securitization entity, but the securitization entity is independent of Redwood and the assets and liabilities are not owned by and are not legal obligations of Redwood. See Note 13 for additional information on the servicer advance financing. At March 31, 2020 , the estimated fair value of our investment in the Servicing Investment entities was $59 million . The following table presents a summary of the assets and liabilities of these VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs March 31, 2020 Legacy Sequoia Sequoia Choice Freddie Mac SLST Freddie Mac K-Series CAFL Servicing Investment Total Consolidated VIEs (Dollars in Thousands) Residential loans, held-for-investment $ 316,677 $ 1,932,658 $ 2,131,125 $ — $ — $ — $ 4,380,460 Business purpose residential loans, held-for-investment — — — — 2,248,665 — 2,248,665 Multifamily loans, held-for-investment — — — 470,484 — — 470,484 Other investments — — — — — 314,394 314,394 Cash and cash equivalents — — — — — 2,886 2,886 Restricted cash 143 15 — — — 11,810 11,968 Accrued interest receivable 580 8,574 7,184 1,390 10,803 5,567 34,098 Other assets 952 — 1,050 — 5,749 — 7,751 Total Assets $ 318,352 $ 1,941,247 $ 2,139,359 $ 471,874 $ 2,265,217 $ 334,657 $ 7,470,706 Short-term debt $ — $ — $ — $ — $ — $ 258,931 $ 258,931 Accrued interest payable 351 6,920 5,251 1,230 8,188 205 22,145 Accrued expenses and other liabilities — 15 — — — 16,305 16,320 Asset-backed securities issued 312,201 1,790,094 1,825,000 447,699 2,086,870 — 6,461,864 Total Liabilities $ 312,552 $ 1,797,029 $ 1,830,251 $ 448,929 $ 2,095,058 $ 275,441 $ 6,759,260 Number of VIEs 20 9 2 1 11 3 46 December 31, 2019 Legacy Sequoia Sequoia Freddie Mac SLST Freddie Mac K-Series CAFL Servicing Investment Total Consolidated VIEs (Dollars in Thousands) Residential loans, held-for-investment $ 407,890 $ 2,291,463 $ 2,367,215 $ — $ — $ — $ 5,066,568 Business purpose residential loans, held-for-investment — — — — 2,192,552 — 2,192,552 Multifamily loans, held-for-investment — — — 4,408,524 — — 4,408,524 Other investments — — — — — 184,802 184,802 Cash and cash equivalents — — — — — 9,015 9,015 Restricted cash 143 27 — — — 21,766 21,936 Accrued interest receivable 655 9,824 7,313 13,539 9,572 4,869 45,772 Other assets 460 — 445 — 1,795 — 2,700 Total Assets $ 409,148 $ 2,301,314 $ 2,374,973 $ 4,422,063 $ 2,203,919 $ 220,452 $ 11,931,869 Short-term debt $ — $ — $ — $ — $ — $ 152,554 $ 152,554 Accrued interest payable 395 7,732 5,374 12,887 7,485 187 34,060 Accrued expenses and other liabilities — 27 — — — 14,956 14,983 Asset-backed securities issued 402,465 2,037,198 1,918,322 4,156,239 2,001,251 — 10,515,475 Total Liabilities $ 402,860 $ 2,044,957 $ 1,923,696 $ 4,169,126 $ 2,008,736 $ 167,697 $ 10,717,072 Number of VIEs 20 9 2 5 10 3 49 The following table presents income (loss) from these VIEs for the three months ended March 31, 2020 and 2019. Table 4.2 – Income (Loss) from Consolidated VIEs Three Months Ended March 31, 2020 Legacy Sequoia Sequoia Choice Freddie Mac SLST Freddie Mac K-Series CAFL Servicing Investment Total Consolidated VIEs (Dollars in Thousands) Interest income $ 3,194 $ 25,083 $ 21,986 $ 40,172 $ 30,010 $ 4,083 $ 124,528 Interest expense (2,522 ) (21,510 ) (16,176 ) (38,348 ) (21,939 ) (1,577 ) (102,072 ) Net interest income 672 3,573 5,810 1,824 8,071 2,506 22,456 Non-interest income Investment fair value changes, net (391 ) (69,668 ) (142,161 ) (86,509 ) (67,846 ) (11,884 ) (378,459 ) Total non-interest income, net (391 ) (69,668 ) (142,161 ) (86,509 ) (67,846 ) (11,884 ) (378,459 ) General and administrative expenses — — — — — (31 ) (31 ) Other expenses — — — — — 1,882 1,882 Income (Loss) from Consolidated VIEs $ 281 $ (66,095 ) $ (136,351 ) $ (84,685 ) $ (59,775 ) $ (7,527 ) $ (354,152 ) Three Months Ended March 31, 2019 Legacy Sequoia Sequoia Choice Freddie Mac SLST Freddie Mac K-Series CAFL Servicing Investment Total Consolidated VIEs (Dollars in Thousands) Interest income $ 4,853 $ 25,662 $ 11,794 $ 21,388 $ — $ 3,346 $ 67,043 Interest expense (4,115 ) (22,113 ) (8,747 ) (20,320 ) — (3,613 ) (58,908 ) Net interest income 738 3,549 3,047 1,068 — (267 ) 8,135 Non-interest income Investment fair value changes, net (374 ) 3,265 6,365 3,119 — 1,430 13,805 Total non-interest income, net (374 ) 3,265 6,365 3,119 — 1,430 13,805 General and administrative expenses — — — — — (30 ) (30 ) Other expenses — — — — — (227 ) (227 ) Income from Consolidated VIEs $ 364 $ 6,814 $ 9,412 $ 4,187 $ — $ 906 $ 21,683 We consolidate the assets and liabilities of certain Sequoia and CAFL securitization entities, as we did not meet the GAAP sale criteria at the time we transferred financial assets to these entities. Our involvement in consolidated Sequoia and CAFL entities continues in the following ways: (i) we continue to hold subordinate investments in each entity, and for certain entities, more senior investments; (ii) we maintain certain discretionary rights associated with our sponsorship of, or our subordinate investments in, each entity; and (iii) we continue to hold a right to call the assets of certain entities (once they have been paid down below a specified threshold) at a price equal to, or in excess of, the current outstanding principal amount of the entity’s asset-backed securities issued. These factors have resulted in our continuing to consolidate the assets and liabilities of these Sequoia and CAFL entities in accordance with GAAP. We consolidate the assets and liabilities of certain Freddie Mac K-Series and SLST securitization trusts resulting from our investment in subordinate securities issued by these trusts, and in the case of certain CAFL securitizations, resulting from securities acquired through our acquisition of CoreVest. Additionally, we consolidate the assets and liabilities of Servicing Investment entities from our investment in servicer advance investments and excess MSRs. In each case, we maintain certain discretionary rights associated with the ownership of these investments that we determined reflected a controlling financial interest, as we have both the power to direct the activities that most significantly impact the economic performance of the VIEs and the right to receive benefits of and the obligation to absorb losses from the VIEs that could potentially be significant to the VIEs. Analysis of Unconsolidated VIEs with Continuing Involvement Since 2012, we have transferred residential loans to 51 Sequoia securitization entities sponsored by us that are still outstanding as of March 31, 2020 , and accounted for these transfers as sales for financial reporting purposes, in accordance with ASC 860. We also determined we were not the primary beneficiary of these VIEs as we lacked the power to direct the activities that will have the most significant economic impact on the entities. For certain of these transfers to securitization entities, for the transferred loans where we held the servicing rights prior to the transfer and continued to hold the servicing rights following the transfer, we recorded mortgage servicing rights ("MSRs") on our consolidated balance sheets, and classified those MSRs as Level 3 assets. We also retained senior and subordinate securities in these securitizations that we classified as Level 3 assets. Our continuing involvement in these securitizations is limited to customary servicing obligations associated with retaining servicing rights (which we retain a third-party sub-servicer to perform) and the receipt of interest income associated with the securities we retained. The following table presents information related to securitization transactions that occurred during the three months ended March 31, 2020 and 2019 . Table 4.3 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, (In Thousands) 2020 2019 Principal balance of loans transferred $ 1,573,703 $ 348,257 Trading securities retained, at fair value 43,362 1,716 AFS securities retained, at fair value 3,198 885 The following table summarizes the cash flows during the three months ended March 31, 2020 and 2019 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.4 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, (In Thousands) 2020 2019 Proceeds from new transfers $ 1,610,761 $ 352,371 MSR fees received 2,690 3,060 Funding of compensating interest, net (92 ) (90 ) Cash flows received on retained securities 6,581 7,546 The following table presents the key weighted-average assumptions used to measure MSRs and securities retained at the date of securitization for securitizations completed during the three months ended March 31, 2020 and 2019 . Table 4.5 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, 2020 Three Months Ended March 31, 2019 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates 41 % 13 % 16 % 14 % Discount rates 16 % 6 % 14 % 8 % Credit loss assumptions 0.21 % 0.22 % 0.20 % 0.20 % The following table presents additional information at March 31, 2020 and December 31, 2019 , related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.6 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) March 31, 2020 December 31, 2019 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 54,894 $ 88,425 Subordinate securities, classified as AFS 77,433 140,649 Mortgage servicing rights 22,482 40,254 Maximum loss exposure (1) $ 154,809 $ 269,328 Assets transferred: Principal balance of loans outstanding $ 11,181,034 $ 10,299,442 Principal balance of loans 30+ days delinquent 40,930 41,809 (1) Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at March 31, 2020 and December 31, 2019 . Table 4.7 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood March 31, 2020 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at March 31, 2020 $ 22,482 $ 26,980 $ 105,347 Expected life (in years) (2) 4 3 14 Prepayment speed assumption (annual CPR) (2) 21 % 28 % 15 % Decrease in fair value from: 10% adverse change $ 1,760 $ 2,414 $ 1,404 25% adverse change 4,278 5,954 3,836 Discount rate assumption (2) 13 % 18 % 10 % Decrease in fair value from: 100 basis point increase $ 611 $ 549 $ 8,088 200 basis point increase 1,188 1,072 15,165 Credit loss assumption (2) N/A 0.22 % 0.22 % Decrease in fair value from: 10% higher losses N/A $ — $ 1,107 25% higher losses N/A — 2,723 December 31, 2019 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2019 $ 40,254 $ 48,765 $ 180,309 Expected life (in years) (2) 6 6 14 Prepayment speed assumption (annual CPR) (2) 11 % 14 % 16 % Decrease in fair value from: 10% adverse change $ 1,643 $ 1,908 $ 205 25% adverse change 3,913 5,086 1,434 Discount rate assumption (2) 11 % 12 % 5 % Decrease in fair value from: 100 basis point increase $ 1,447 $ 1,079 $ 18,127 200 basis point increase 2,795 2,482 33,630 Credit loss assumption (2) N/A 0.21 % 0.21 % Decrease in fair value from: 10% higher losses N/A $ — $ 1,804 25% higher losses N/A — 4,520 (1) Senior securities included $27 million and $49 million of interest-only securities at March 31, 2020 and December 31, 2019 , respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. Analysis of Unconsolidated Third-Party VIEs Third-party VIEs are securitization entities in which we maintain an economic interest, but do not sponsor. Our economic interest may include several securities and other investments from the same third-party VIE, and in those cases, the analysis is performed in consideration of all of our interests. The following table presents a summary of our interests in third-party VIEs at March 31, 2020 and December 31, 2019 , grouped by asset type. Table 4.8 – Third-Party Sponsored VIE Summary (In Thousands) March 31, 2020 December 31, 2019 Mortgage-Backed Securities Senior $ 12,580 $ 127,094 Mezzanine 25,867 508,195 Subordinate 122,689 235,510 Total Mortgage-Backed Securities 161,136 870,799 Excess MSR 16,339 16,216 Total Investments in Third-Party Sponsored VIEs $ 177,475 $ 887,015 We determined that we are not the primary beneficiary of these third-party VIEs, as we do not have the required power to direct the activities that most significantly impact the economic performance of these entities. Specifically, we do not service or manage these entities or otherwise solely hold decision making powers that are significant. As a result of this assessment, we do not consolidate any of the underlying assets and liabilities of these third-party VIEs – we only account for our specific interests in them. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 3 Months Ended |
Mar. 31, 2020 | |
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 March 31, 2020 and December 31, 2019 . Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities March 31, 2020 December 31, 2019 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale at fair value $ 2,330,566 $ 2,330,566 $ 536,385 $ 536,509 Residential loans, held-for-investment 4,380,460 4,380,460 7,178,465 7,178,465 Business purpose residential loans, held-for-sale 415,333 415,333 331,565 331,565 Business purpose residential loans, held-for-investment 3,048,409 3,048,409 3,175,178 3,175,178 Multifamily loans 470,484 470,484 4,408,524 4,408,524 Trading securities 164,219 164,219 860,540 860,540 Available-for-sale securities 129,243 129,243 239,334 239,334 Servicer advance investments (1) 298,946 298,946 169,204 169,204 MSRs (1) 23,616 23,616 42,224 42,224 Excess MSRs (1) 31,788 31,788 31,814 31,814 Shared home appreciation options (1) 40,642 40,642 45,085 45,085 Cash and cash equivalents 378,233 378,233 196,966 196,966 Restricted cash 25,752 25,752 93,867 93,867 Accrued interest receivable 57,215 57,215 71,058 71,058 Derivative assets 90,717 90,717 35,701 35,701 REO (2) 14,366 15,714 9,462 10,389 Margin receivable (2) 93,745 93,745 209,776 209,776 FHLBC stock (2) 43,393 43,393 43,393 43,393 Guarantee asset (2) 905 905 1,686 1,686 Pledged collateral (2) 33,191 33,191 32,945 32,945 Liabilities Short-term debt facilities $ 2,082,717 $ 2,082,717 $ 2,176,591 $ 2,176,591 Short-term debt - servicer advance financing 258,931 258,931 152,554 152,554 Accrued interest payable 40,102 40,102 60,655 60,655 Margin payable (3) 1,283 1,283 1,700 1,700 Guarantee obligation (3) 13,395 12,382 14,009 13,754 Contingent consideration (3) 14,819 14,819 28,484 28,484 Derivative liabilities 114,614 114,614 163,424 163,424 ABS issued at fair value 6,461,864 6,461,864 10,515,475 10,515,475 FHLBC long-term borrowings 1,367,681 1,367,681 1,999,999 1,999,999 Other long-term debt, net 315,583 317,498 183,520 184,666 Convertible notes, net 631,857 359,875 631,125 661,985 Trust preferred securities and subordinated notes, net 138,640 27,900 138,628 99,045 (1) These investments are included in Other investments on our consolidated balance sheets. (2) These assets are included in Other assets on our consolidated balance sheets. (3) These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets. During the three months ended March 31, 2020 , we elected the fair value option for $68 million of securities, $2.63 billion of residential loans (principal balance), $467 million of business purpose residential loans (principal balance), $159 million of servicer advance investments, $9 million of excess MSRs, and $4 million of shared home appreciation options. We anticipate electing the fair value option for all future purchases of residential and business purpose residential loans that we intend to sell to third parties or transfer to securitizations, as well as for certain securities we purchase, including IO securities and fixed-rate securities rated investment grade or higher. The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at March 31, 2020 and December 31, 2019 , as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis March 31, 2020 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 6,711,025 $ — $ — $ 6,711,025 Business purpose residential loans 3,463,742 — — 3,463,742 Multifamily loans 470,484 — — 470,484 Trading securities 164,219 — — 164,219 Available-for-sale securities 129,243 — — 129,243 Servicer advance investments 298,946 — — 298,946 MSRs 23,616 — — 23,616 Excess MSRs 31,788 — — 31,788 Shared home appreciation options 40,642 — — 40,642 Derivative assets 90,717 90,717 — — Pledged collateral 33,191 33,191 — — FHLBC stock 43,393 — 43,393 — Guarantee asset 905 — — 905 Liabilities Contingent consideration $ 14,819 $ — $ — $ 14,819 Derivative liabilities 114,614 110,648 — 3,966 ABS issued 6,461,864 — — 6,461,864 December 31, 2019 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 7,714,745 $ — $ — $ 7,714,745 Business purpose residential loans 3,506,743 — — 3,506,743 Multifamily loans 4,408,524 — — 4,408,524 Trading securities 860,540 — — 860,540 Available-for-sale securities 239,334 — — 239,334 Servicer advance investments 169,204 — — 169,204 MSRs 42,224 — — 42,224 Excess MSRs 31,814 — — 31,814 Shared home appreciation options 45,085 — — 45,085 Derivative assets 35,701 6,531 19,020 10,150 Pledged collateral 32,945 32,945 — — FHLBC stock 43,393 — 43,393 — Guarantee asset 1,686 — — 1,686 Liabilities Contingent consideration $ 28,484 $ — $ — $ 28,484 Derivative liabilities 163,424 13,368 148,766 1,290 ABS issued 10,515,475 — — 10,515,475 The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2020 . Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Purpose Residential Loans Multifamily Loans Trading Securities AFS Securities Servicer Advance Investments MSRs Excess MSRs Shared Home Appreciation Options (In Thousands) Beginning balance - December 31, 2019 $ 7,714,745 $ 3,506,743 $ 4,408,524 $ 860,540 $ 239,334 $ 169,204 $ 42,224 $ 31,814 $ 45,085 Acquisitions 2,695,846 — — 67,639 31,181 158,618 — 9,468 3,517 Originations — 486,710 — — — — — — — Sales (2,729,161 ) (42,802 ) — (493,126 ) (46,457 ) — — — — Principal paydowns (490,439 ) (161,896 ) (5,830 ) (7,507 ) (4,445 ) (22,815 ) — — (406 ) Deconsolidations — — (3,849,779 ) — — — — — — Gains (losses) in net (loss) income, net (478,743 ) (320,528 ) (82,431 ) (263,327 ) (90,370 ) (6,061 ) (18,608 ) (9,494 ) (7,554 ) Other settlements, net (1) (1,223 ) (4,485 ) — — — — — — — Ending balance - March 31, 2020 $ 6,711,025 $ 3,463,742 $ 470,484 $ 164,219 $ 129,243 $ 298,946 $ 23,616 $ 31,788 $ 40,642 Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued) Assets Liabilities Guarantee Asset Derivatives (2) Contingent Consideration ABS Issued (In Thousands) Beginning balance - December 31, 2019 $ 1,686 $ 8,860 $ 28,484 $ 10,515,475 Acquisitions — — — 377,164 Principal paydowns — — (13,353 ) (363,696 ) Deconsolidations — — — (3,706,789 ) Gains (losses) in net (loss) income, net (781 ) 18,005 (312 ) (360,290 ) Other settlements, net (1) — (30,831 ) — — Ending balance - March 31, 2020 $ 905 $ (3,966 ) $ 14,819 $ 6,461,864 (1) Other settlements, net for residential and business purpose residential loans represents the transfer of loans to REO, and for derivatives, the settlement of forward sale commitments and the transfer of the fair value of loan purchase or interest rate lock commitments at the time loans are acquired to the basis of residential and single-family rental loans. (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 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 March 31, 2020 and 2019 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three months ended March 31, 2020 and 2019 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at March 31, 2020 and 2019 Included in Net Income Included in Net Income Three Months Ended March 31, (In Thousands) 2020 2019 Assets Residential loans at Redwood $ (102,867 ) $ 35,801 Residential loans at consolidated Sequoia entities (179,499 ) 14,472 Residential loans at consolidated Freddie Mac SLST entities (193,035 ) 23,527 Business purpose residential loans (68,864 ) 1,050 Single-family rental loans at consolidated CAFL entities (271,917 ) — Multifamily loans at consolidated Freddie Mac K-Series entity (10,351 ) 34,372 Trading securities (136,359 ) 21,543 Servicer advance investments (6,062 ) 1,008 MSRs (16,640 ) (4,295 ) Excess MSRs (9,494 ) (437 ) Shared home appreciation options (7,554 ) — Loan purchase and interest rate lock commitments — 4,962 Other assets - Guarantee asset (781 ) (277 ) Liabilities Loan purchase commitments $ (3,967 ) $ (753 ) Contingent consideration (312 ) — ABS issued 360,640 (60,182 ) The following table presents information on assets recorded at fair value on a non-recurring basis at March 31, 2020 . This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at March 31, 2020 . Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at March 31, 2020 Gain (Loss) for March 31, 2020 Carrying Value Fair Value Measurements Using Three Months Ended (In Thousands) Level 1 Level 2 Level 3 March 31, 2020 Assets REO $ 4,456 $ — $ — $ 4,456 $ (476 ) The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three months ended March 31, 2020 and 2019 . Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended March 31, (In Thousands) 2020 2019 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ (13,480 ) $ 3,533 Residential loan purchase and forward sale commitments 21,435 11,311 Single-family rental loans held-for-sale, at fair value 11,467 1,603 Single-family rental loan purchase and interest rate lock commitments 341 141 Residential bridge loans (3,934 ) 86 Risk management derivatives, net (52,832 ) (4,984 ) Total mortgage banking activities, net (1) $ (37,003 ) $ 11,690 Investment Fair Value Changes, Net Residential loans held-for-investment, at Redwood $ (93,636 ) $ 28,108 Single-family rental loans held-for-investment (23,028 ) — Residential bridge loans held-for-investment (38,602 ) (303 ) Trading securities (263,325 ) 21,860 Servicer advance investments (6,062 ) 1,008 Excess MSRs (9,494 ) (437 ) Net investments in Legacy Sequoia entities (2) (391 ) (374 ) Net investments in Sequoia Choice entities (2) (69,669 ) 3,265 Net investments in Freddie Mac SLST entities (2) (142,162 ) 6,365 Net investments in Freddie Mac K-Series entities (2) (86,509 ) 3,119 Net investments in CAFL entities (2) (67,846 ) — Other investments (9,441 ) (77 ) Risk management derivatives, net (59,142 ) (42,375 ) Credit losses on AFS securities (1,525 ) — Total investment fair value changes, net $ (870,832 ) $ 20,159 Other Income MSRs $ (18,608 ) $ (5,102 ) Risk management derivatives, net 13,966 2,251 Gain on re-measurement of 5 Arches investment — 2,441 Total other income (3) $ (4,642 ) $ (410 ) Total Market Valuation (Losses) Gains, Net $ (912,477 ) $ 31,439 (1) Mortgage banking activities, net presented above does not include fee income or provisions for repurchases 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. (2) Includes changes in fair value of the residential loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs. (3) Other income presented above does not include net MSR fee income or provisions for repurchases for MSRs, as these amounts do not represent market valuation adjustments. At March 31, 2020 , our valuation policy and processes had not changed from those described in our Annual Report on Form 10-K for the year ended December 31, 2019 . The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments March 31, 2020 Fair Value Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (5) Assets Residential loans, at fair value: Jumbo fixed-rate loans $ 86,053 Dollar price $ 74.38 - $ 99.50 $ 96.73 Jumbo hybrid loans 97,956 Dollar price $ 90.00 - $ 99.00 $ 97.78 Jumbo loans committed to sell 2,146,557 Whole loan committed sales price $ 95.00 - $ 103.50 $ 98.32 Loans held by Legacy Sequoia (1) 316,677 Liability price N/A N/A Loans held by Sequoia Choice (1) 1,932,658 Liability price N/A N/A Loans held by Freddie Mac SLST (1) 2,131,125 Liability price N/A N/A Business purpose residential loans: Single-family rental loans 415,333 Senior credit spread 290 - 290 bps 290 bps Subordinate credit spread 400 - 2,700 bps 688 bps Senior credit support 32 - 47 % 34 % IO discount rate 14 - 14 % 14 % Prepayment rate (annual CPR) 5 - 5 % 5 % Single-family rental loans held by CAFL 2,248,665 Liability price N/A N/A Residential bridge loans 799,744 Discount rate 9 - 17 % 12 % Multifamily loans held by Freddie Mac K-Series (1) 470,484 Liability price N/A N/A Trading and AFS securities 293,462 Discount rate 5 - 51 % 17 % Prepayment rate (annual CPR) 6 - 34 % 12 % Default rate — - 7 % 1 % Loss severity — - 50 % 9 % Servicer advance investments 298,946 Discount rate 5 - 5 % 5 % Prepayment rate (annual CPR) 8 - 14 % 14 % Expected remaining life (2) 2 - 2 years 2 years Mortgage servicing income 8 - 13 bps 10 bps MSRs 23,616 Discount rate 13 - 13 % 13 % Prepayment rate (annual CPR) 8 - 63 % 21 % Per loan annual cost to service $ 95 - $ 95 $ 95 Excess MSRs 31,788 Discount rate 18 - 26 % 22 % Prepayment rate (annual CPR) 9 - 14 % 11 % Excess mortgage servicing income 8 - 17 bps 12 bps Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) March 31, 2020 Fair Value Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (5) Assets (continued) Shared home appreciation options $ 40,642 Discount rate 18 - 18 % 18 % Prepayment rate (annual CPR) 10 - 30 % 23 % Home price appreciation 3 - 3 % 3 % Guarantee asset 905 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 37 - 37 % 37 % REO 4,456 Loss severity 3 - 55 % 32 % Liabilities Residential loan purchase commitments, net 196 Committed sales price $ 95.50 - $ 95.50 $ 95.50 Pull-through rate 100 - 100 % 100 % ABS issued (1) : At consolidated Sequoia entities 2,102,295 Discount rate 3 - 32 % 6 % Prepayment rate (annual CPR) 15 - 43 % 25 % Default rate — - 15 % 1 % Loss severity — - 50 % 19 % At consolidated Freddie Mac SLST entities 1,825,000 Discount rate 3 - 17 % 4 % Prepayment rate (annual CPR) 6 - 6 % 6 % Default rate 17 - 18 % 17 % Loss severity 30 - 30 % 30 % At consolidated Freddie Mac K-Series entities (4) 447,699 Discount rate 2 - 20 % 3 % Non-IO prepayment rate (annual CPR) — - — % — % IO prepayment rate (annual CPY/CPP) 100 - 100 % 100 % At consolidated CAFL entities (4) 2,086,870 Discount rate 1 - 68 % 6 % Prepayment rate (annual CPR) — - 5 % — % Contingent consideration 14,819 Discount rate 23 - 23 % 23 % Probability of outcomes (3) 100 - 100 % 100 % (1) The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. At March 31, 2020, the fair value of securities we owned at the consolidated Sequoia, Freddie Mac SLST, Freddie Mac K-Series, and CAFL entities was $148 million , $307 million , $23 million , and $167 million , respectively. (2) 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). (3) Represents the probability of a full payout of contingent purchase consideration. (4) As a market convention, certain securities are priced to a no-loss yield and therefore do not include default and loss severity assumptions. (5) The weighted average input values for all loan types are based on the unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value. 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 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 at Redwood Estimated fair values for residential loans are determined using third-party committed sales prices or models that incorporate various observable inputs, including pricing information from whole loan sales and securitizations. 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 to be announced ("TBA") prices and indexed swap rates for fixed-rate loans and indexed swap rates for hybrid loans (Level 3). Significant pricing inputs obtained from market securitization activity include indicative spreads to indexed TBA prices for senior residential mortgage-backed securities ("RMBS") and indexed swap rates for subordinate RMBS, 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. Residential loans, business purpose residential loans, and multifamily loans at consolidated entities We have elected to account for our consolidated securitization entities as CFEs 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 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. Business purpose residential loans Business purpose residential loans include single-family rental loans and residential bridge loans that are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. Estimated fair values for our single-family rental loans are determined using models that incorporate various inputs, including pricing information from market comparable securitizations. Certain significant inputs in these models are considered unobservable and are therefore Level 3 in nature. Significant pricing inputs obtained from market activity include indicative spreads to indexed 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. Prices for our residential bridge loans are determined using discounted cash flow modeling, which incorporates a primary significant unobservable input of discount rate. These assets would generally decrease in value based upon an increase in the discount rate. 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 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. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). These 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. As part of our securities valuation process, we request and consider indications of value from third-party securities dealers. For purposes of pricing our securities at March 31, 2020 , we received dealer price indications on 78% of our securities, representing 91% of our carrying value. Once we receive the price indications from dealers, they are compared to other relevant market inputs, such as actual or comparable trades, and the results of our discounted cash flow analysis. In circumstances where relevant market inputs cannot be obtained, increased reliance on discounted cash flow analysis and management judgment are required to estimate fair value. Derivative assets and liabilities Our derivative instruments include swaps, swaptions, TBAs, interest rate futures, loan purchase commitments ("LPCs"), and interest rate lock commitments ("IRLCs"). 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 single-family rental loans are estimated based on the estimated fair values of the underlying loans (as described in " Residential loans at Redwood " and " Business purpose residential 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). For other derivatives, valuations are based on various factors such as liquidity, bid/ask spreads, and credit considerations for which we rely on available market inputs. In the absence of such inputs, management’s best estimate is used (Level 3). 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 included prepayment rate (of the loans underlying the investments), mortgage servicing income, servicer advance WAL (the weighted-average expected remaining life of servicer advances), and discount rate. These assets would generally decrease in value based upon an increase in prepayment rates, an increase in servicer advance WAL, or an increase in discount rate, or a decrease in mortgage servicing income. 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. As part of our MSR valuation process, we received a valuation estimate from a third-party valuations firm. In the aggregate, our internal valuation of the MSRs were within 5% of the third-party valuation. 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 included 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. Shared Home Appreciation Options Estimated fair values for shared home appreciation options 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 rate, 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 expected future home values combined with a decrease in prepayment rates, would generally reduce the estimated fair value of the shared home appreciation options. FHLBC stock Our Federal Home Loan Bank ("FHLB") member subsidiary is required to purchase FHLBC stock under a borrowing agreement between our FHLB-member subsidiary and the FHLBC. Under this agreement, the stock is redeemable at face value, which represents the carrying value and fair value of the stock (Level 2). Guarantee asset The guarantee asset represents the estimated fair value of cash flows we are contractually entitled to receive related to a risk-sharing arrangement with Fannie Mae. Significant inputs in the valuation analysis are Level 3, due to the nature of this asset and the lack of market quotes. The fair value of the guarantee asset is determined using a discounted cash flow model, for which significant unobservable inputs include assumed future prepayment rates and market discount rate (Level 3). An increase in prepayment rates or discount rate would generally reduce the estimated fair value of the guarantee asset. Pledged collateral Pledged collateral consists of cash and U.S. Treasury securities held by a custodian in association with certain agreements we have entered into. Treasury securities are carried at their fair value, which is determined using quoted prices in active markets (Level 1). Cash and cash equivalents Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. 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 in association with borrowings from the FHLBC, cash held at Servicing Investment entities, and cash held at consolidated Sequoia 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). Real estate owned Real estate owned ("REO") includes properties owned in satisfaction of foreclosed loans. Fair values are determined using available market quotes, appraisals, broker price opinions, comparable properties, or other indications of value (Level 3). 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). Contingent consideration Contingent consideration is related to our acquisition of 5 Arches and is estimated and recorded at fair value as part of purchase consideration. Each reporting period we estimate the change in fair value of the contingent consideration, and such change is recognized in our consolidated statements of income (loss), unless it is determined to be a measurement period adjustment. The estimate of the fair value of contingent consideration requires significant judgment and assumptions to be made about future operating results, discount rates, and probabilities of projected operating result scenarios (Level 3). Short-term debt Short-term debt includes our credit facilities for residential and business purpose residential loans and real estate securities as well as non-recourse short-term borrowings used to finance servicer advance investments. As these borrowings are secured and subject to margin calls and as the rates on these borrowings reset frequently to mar |
Residential Loans
Residential Loans | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Residential Loans | Residential Loans We acquire residential loans from third-party originators and may sell or securitize these loans or hold them for investment. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at March 31, 2020 and December 31, 2019 . Table 6.1 – Classifications and Carrying Values of Residential Loans March 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 2,330,669 $ — $ — $ — $ 2,330,669 Held-for-investment at fair value — 316,677 1,932,658 2,131,125 4,380,460 Total Residential Loans $ 2,330,669 $ 316,677 $ 1,932,658 $ 2,131,125 $ 6,711,129 December 31, 2019 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 536,385 $ — $ — $ — $ 536,385 Held-for-investment at fair value 2,111,897 407,890 2,291,463 2,367,215 7,178,465 Total Residential Loans $ 2,648,282 $ 407,890 $ 2,291,463 $ 2,367,215 $ 7,714,850 At March 31, 2020 , we owned mortgage servicing rights associated with $1.75 billion (principal balance) of consolidated residential loans purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At March 31, 2020 , we owned 3,345 loans held-for-sale at fair value with an aggregate unpaid principal balance of $2.37 billion and a fair value of $2.33 billion , compared to 669 loans with an aggregate unpaid principal balance of $525 million and a fair value of $536 million at December 31, 2019 . At March 31, 2020 , six of these loans with an aggregate fair value and unpaid principal balance of $3 million were greater than 90 days delinquent and one of these loans with a fair value of $0.4 million and an unpaid principal balance of $1 million was in foreclosure. At December 31, 2019 , one of these loans with a fair value of $0.6 million and an unpaid principal balance of $0.7 million was greater than 90 days delinquent and no ne of these loans were in foreclosure. During the three months ended March 31, 2020 and 2019, we purchased $2.63 billion and $0.96 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $2.66 billion and $1.16 billion (principal balance) of loans, respectively, for which we recorded a net market valuation loss of $13 million and a net market valuation gain of $4 million , respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). At March 31, 2020 , loans held-for-sale with a market value of $882 million were pledged as collateral under short-term borrowing agreements. At March 31, 2020 , we committed to sell $2.15 billion of residential loans to third parties for settlement during the second quarter of 2020. Residential Loans Held-for-Investment at Fair Value At Redwood At March 31, 2020 , we did no t own any held-for-investment loans at Redwood. At December 31, 2019 , we owned 2,940 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.05 billion and a fair value of $2.11 billion . At December 31, 2019 , two of these loans with an aggregate fair value of $1 million and an unpaid principal balance of $2 million were greater than 90 days delinquent and no ne of these loans were in foreclosure. During the three months ended March 31, 2020 and 2019, we purchased zero and $39 million (principal balance) of loans, respectively, for which we elected the fair value option, and did no t sell any loans during either of these periods. During the three months ended March 31, 2020 and 2019, we transferred loans with a fair value of $13 million and $39 million , respectively, from held-for-sale to held-for-investment. During the three months ended March 31, 2020 and 2019, we transferred loans with a fair value of $1.87 billion and $23 million , respectively, from held-for-investment to held-for-sale. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $94 million and a net market valuation gain of $28 million , respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income (loss). At Consolidated Legacy Sequoia Entities At March 31, 2020 , we consolidated 2,123 held-for-investment loans at consolidated Legacy Sequoia entities, with an aggregate unpaid principal balance of $402 million and a fair value of $317 million , as compared to 2,198 loans at December 31, 2019 , with an aggregate unpaid principal balance of $425 million and a fair value of $408 million . At origination, the weighted average FICO score of borrowers backing these loans was 727 , the weighted average LTV ratio of these loans was 65% , and the loans were nearly all first lien and prime-quality. At March 31, 2020 and December 31, 2019 , the aggregate unpaid principal balance of loans at consolidated Legacy Sequoia entities delinquent greater than 90 days was $9 million and $10 million , respectively, of which the aggregate unpaid principal balance of loans in foreclosure was $5 million and $4 million , respectively. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $69 million and a net market valuation gain of $5 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the associated ABS issued. The net impact to our income statement associated with our retained economic investment in the Legacy Sequoia securitization entities is presented in Note 5. At Consolidated Sequoia Choice Entities At March 31, 2020 , we consolidated 2,831 held-for-investment loans at the consolidated Sequoia Choice entities, with an aggregate unpaid principal balance of $1.99 billion and a fair value of $1.93 billion , as compared to 3,156 loans at December 31, 2019 with an aggregate unpaid principal balance of $2.24 billion and a fair value of $2.29 billion . At origination, the weighted average FICO score of borrowers backing these loans was 743 , the weighted average LTV ratio of these loans was 75% , and the loans were all first lien and prime-quality. At March 31, 2020 , five of these loans with an aggregate unpaid principal balance of $3 million were greater than 90 days delinquent and four of these loans with an aggregate unpaid principal balance of $3 million was in foreclosure. At December 31, 2019 , nine of these loans with an aggregate unpaid principal balance of $7 million were greater than 90 days delinquent and three of these loans with an aggregate unpaid principal balance of $2 million were in foreclosure. During the three months ended March 31, 2020 , we did no t transfer any loans from held-for-sale to held-for-investment associated with Choice securitizations. During the three months ended March 31, 2019, we transferred loans with a fair value of $350 million from held-for-sale to held-for-investment associated with Choice securitizations. During the three months ended March 31, 2020 , we recorded a net market valuation loss of $110 million and a net market valuation gain of $10 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with Choice securitizations . The net impact to our income statement associated with our retained economic investment in the Sequoia Choice securitization entities is presented in Note 5. At Consolidated Freddie Mac SLST Entities Beginning in 2018, we invested in subordinate securities issued by certain Freddie Mac SLST securitization trusts and were required to consolidate the underlying seasoned re-performing and non-performing residential loans owned at these entities for financial reporting purposes in accordance with GAAP. At securitization, each of these mortgage loans was a fully amortizing, fixed- or step-rate, first-lien loan that had been modified. At March 31, 2020 , we consolidated 14,303 held-for-investment loans at the consolidated Freddie Mac SLST entities, with an aggregate unpaid principal balance of $2.39 billion and a fair value of $2.13 billion , as compared to 14,502 loans at December 31, 2019 with an aggregate unpaid principal balance of $2.43 billion and a fair value of $2.37 billion . At securitization, the weighted average FICO score of borrowers backing these loans was 600 and the weighted average LTV ratio of these loans was 73% . At March 31, 2020 , 632 of these loans with an aggregate unpaid principal balance of $156 million were greater than 90 days delinquent, and 286 of these loans with an aggregate unpaid principal balance of $46 million were in foreclosure. At December 31, 2019 , 587 of these loans with an aggregate unpaid principal balance of $135 million were greater than 90 days delinquent and 208 of these loans with an aggregate unpaid principal balance of $33 million were in foreclosure. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $193 million and a net market valuation gain of $24 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the Freddie Mac SLST securitizations . The net impact to our income statement associated with our economic investment in the Freddie Mac SLST securitization entities is presented in We originate business purpose residential loans, including single-family rental loans and residential bridge loans. This origination activity commenced in connection with our acquisitions of 5 Arches and CoreVest in 2019. Business Purpose Residential Loan Originations During the three months ended March 31, 2020 , we funded $487 million of business purpose residential loans, of which $21 million of residential bridge loans and $26 million of single-family rental loans were sold to third parties. The remaining business purpose residential loans were transferred to our investment portfolio (residential bridge loans and certain single-family rental loans), or retained in our mortgage banking business (single-family rental loans) for future securitizations. Prior to the transfer of residential bridge loans to our investment portfolio, we recorded a net market valuation loss of $0.2 million on these loans through Mortgage banking activities, net on our consolidated statements of income (loss) for the three months ended March 31, 2020 . Market valuation adjustments on our single-family rental loans are also recorded in Mortgage banking activities, net on our consolidated statements of income (loss) prior to their sale or transfer to our investment portfolio. Additionally, during the three months ended March 31, 2020 , we recorded loan origination fee income associated with business purpose residential loans of $8 million through Mortgage banking activities, net on our consolidated statements of income (loss). The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at March 31, 2020 and December 31, 2019 . Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans March 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 415,333 — $ — $ 415,333 Held-for-investment at fair value — 2,248,665 799,744 3,048,409 Total Business Purpose Residential Loans $ 415,333 $ 2,248,665 $ 799,744 $ 3,463,742 December 31, 2019 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 331,565 $ — $ — $ 331,565 Held-for-investment at fair value 237,620 2,192,552 745,006 3,175,178 Total Business Purpose Residential Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 Business Purpose Residential Loans Held-for-Sale at Fair Value Single-Family Rental Loans At March 31, 2020 , we owned 222 single-family rental loans held-for-sale with an aggregate unpaid principal balance of $440 million and a fair value of $415 million , as compared to 201 loans at December 31, 2019 with an aggregate unpaid principal balance of $322 million and a fair value of $332 million . At March 31, 2020 , two of these loans with an aggregate unpaid principal balance and fair value of $1 million were greater than 90 days delinquent, of which one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. At December 31, 2019 , two of these loans with an aggregate unpaid principal balance and fair value of $2 million were greater than 90 days delinquent, of which one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. During the three months ended March 31, 2020 , we originated $260 million of single-family rental loans. During the three months ended March 31, 2020 , $38 million of single-family rental loans were transferred to our investment portfolio and financed with FHLB borrowings, and the remaining loans were retained in our mortgage banking business. During this same period, we transferred $378 million of single-family rental loans from held-for-sale to held-for-investment associated with a CAFL securitization and sold $26 million to third parties. Additionally, at March 31, 2020 , we transferred all held-for-investment single-family rental loans to held-for-sale. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation gain of $10 million and a net market valuation gain of $1 million , respectively, on single-family rental loans held-for-sale at fair value through Mortgage banking activities, net on our consolidated statements of income (loss). The outstanding single-family rental loans held-for-sale at March 31, 2020 were first lien, fixed-rate loans with original maturities of five, seven, or ten years. At March 31, 2020 , the weighted average coupon of our single-family rental loans was 4.93% and the weighted average remaining loan term was seven years . At origination, the weighted average LTV ratio of these loans was 70% and the weighted average debt service coverage ratio ("DSCR") was 1.38 times. Business Purpose Residential Loans Held-for-Investment at Fair Value Single-Family Rental Loans at Redwood At March 31, 2020 , we did no t own any single-family rental loan held-for-investment. At December 31, 2019 , we owned 107 single-family rental loans held-for-investment with an aggregate unpaid principal balance of $231 million and a fair value of $238 million . At December 31, 2019 , none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended March 31, 2020 , we recorded a net market valuation loss of $23 million on single-family rental loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income (loss). At March 31, 2020 , we transferred all existing loans from held-for-investment to held-for-sale. Single-Family Rental Loans at CAFL In conjunction with our acquisition of CoreVest in the fourth quarter of 2019, we consolidated the single-family rental loans owned at certain CAFL securitization entities. At March 31, 2020 , we consolidated 889 held-for-investment single-family rental loans at the consolidated CAFL entities, with an aggregate unpaid principal balance of $2.37 billion and a fair value of $2.25 billion , as compared to 783 loans at December 31, 2019 with an aggregate unpaid principal balance of $2.08 billion and a fair value of $2.19 billion . The outstanding single-family rental loans held-for-investment at CAFL at March 31, 2020 were first-lien, fixed-rate loans with original maturities of five , seven , or ten years. At March 31, 2020 , the weighted average coupon of our single-family rental loans was 5.60% and the weighted average remaining loan term was six years . At origination, the weighted average LTV ratio of these loans was 68% and the weighted average DSCR was 1.36 times. At March 31, 2020 , 14 of these loans with an aggregate unpaid principal balance of $24 million were greater than 90 days delinquent and seven of these loans with an aggregate unpaid principal balance of $10 million were in foreclosure. At December 31, 2019 , 18 of these loans with an aggregate unpaid principal balance of $29 million were greater than 90 days delinquent and five of these loans with an aggregate unpaid principal balance of $9 million were in foreclosure. During the three months ended March 31, 2020 , we recorded a net market valuation loss of $272 million on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with CAFL securitizations . The net impact to our income statement associated with our retained economic investment in the CAFL securitization entities is presented in Note 5. Residential Bridge Loans At March 31, 2020 , we owned 3,053 residential bridge loans held-for-investment with an aggregate unpaid principal balance of $833 million and a fair value of $800 million , as compared to 2,653 loans at December 31, 2019 with an aggregate unpaid principal balance of $743 million and a fair value of $745 million . As part of our credit risk management practices, our residential bridge loans are subject to individual risk assessment using an internal borrower and collateral quality evaluation framework. At March 31, 2020 , 16 loans with an aggregate fair value of $32 million and an unpaid principal balance of $36 million were greater than 90 days delinquent, of which 11 of these loans with an aggregate fair value of $21 million and an unpaid principal balance of $24 million were in foreclosure. At December 31, 2019 , 31 loans with an aggregate fair value of $12 million and an unpaid principal balance of $14 million were in foreclosure, of which 15 of these loans with an aggregate fair value of $7 million and an unpaid principal balance of $9 million were greater than 90 days delinquent. During the three months ended March 31, 2020 , we transferred one loan with a fair value of $1 million to REO, which is included in Other assets on our consolidated balance sheets. During the three months ended March 31, 2020 , $206 million of newly originated residential bridge loans were transferred to our investment portfolio. During the three months ended March 31, 2020 and 2019, we recorded net market valuation loss es of $39 million and $0.3 million , respectively, on residential bridge loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income (loss). The outstanding residential bridge loans held-for-investment at March 31, 2020 were first lien, fixed-rate, interest-only loans with a weighted average coupon of 7.95% and original maturities of six to 24 months. At origination, the weighted average FICO score of borrowers backing these loans was 728 and the weighted average LTV ratio of these loans was 69% . At March 31, 2020 , we had a $223 million commitment to fund residential bridge loans. See Note 16 for additional information on this commitment. Since 2018, we invested in multifamily subordinate securities issued by Freddie Mac K-Series securitization trusts and were required to consolidate the underlying multifamily loans owned at these entities for financial reporting purposes in accordance with GAAP. During the first quarter of 2020, we sold subordinate securities issued by four such Freddie Mac K-Series securitization trusts and deconsolidated $3.85 billion of multifamily loans. See Note 2 for further discussion. At March 31, 2020 , we consolidated 28 held-for-investment multifamily loans, with an aggregate unpaid principal balance of $465 million and a fair value of $470 million , as compared to 279 loans at December 31, 2019 with an aggregate unpaid principal balance of $4.20 billion and a fair value of $4.41 billion . The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at March 31, 2020 were first-lien, fixed-rate loans that were originated in 2015 and had original loan terms of ten years and an original weighted average LTV ratio of 67% . At March 31, 2020 , the weighted average coupon of these multifamily loans was 4.25% and the weighted average remaining loan term was five years . At both March 31, 2020 and December 31, 2019 , none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $82 million and a net market valuation gain of $34 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the securitizations . The net impact to our income statement associated with our economic investment in the securities of the Freddie Mac K-Series securitization entities is presented in |
Business Purpose Residential Lo
Business Purpose Residential Loans | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Business Purpose Residential Loans | Residential Loans We acquire residential loans from third-party originators and may sell or securitize these loans or hold them for investment. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at March 31, 2020 and December 31, 2019 . Table 6.1 – Classifications and Carrying Values of Residential Loans March 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 2,330,669 $ — $ — $ — $ 2,330,669 Held-for-investment at fair value — 316,677 1,932,658 2,131,125 4,380,460 Total Residential Loans $ 2,330,669 $ 316,677 $ 1,932,658 $ 2,131,125 $ 6,711,129 December 31, 2019 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 536,385 $ — $ — $ — $ 536,385 Held-for-investment at fair value 2,111,897 407,890 2,291,463 2,367,215 7,178,465 Total Residential Loans $ 2,648,282 $ 407,890 $ 2,291,463 $ 2,367,215 $ 7,714,850 At March 31, 2020 , we owned mortgage servicing rights associated with $1.75 billion (principal balance) of consolidated residential loans purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At March 31, 2020 , we owned 3,345 loans held-for-sale at fair value with an aggregate unpaid principal balance of $2.37 billion and a fair value of $2.33 billion , compared to 669 loans with an aggregate unpaid principal balance of $525 million and a fair value of $536 million at December 31, 2019 . At March 31, 2020 , six of these loans with an aggregate fair value and unpaid principal balance of $3 million were greater than 90 days delinquent and one of these loans with a fair value of $0.4 million and an unpaid principal balance of $1 million was in foreclosure. At December 31, 2019 , one of these loans with a fair value of $0.6 million and an unpaid principal balance of $0.7 million was greater than 90 days delinquent and no ne of these loans were in foreclosure. During the three months ended March 31, 2020 and 2019, we purchased $2.63 billion and $0.96 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $2.66 billion and $1.16 billion (principal balance) of loans, respectively, for which we recorded a net market valuation loss of $13 million and a net market valuation gain of $4 million , respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). At March 31, 2020 , loans held-for-sale with a market value of $882 million were pledged as collateral under short-term borrowing agreements. At March 31, 2020 , we committed to sell $2.15 billion of residential loans to third parties for settlement during the second quarter of 2020. Residential Loans Held-for-Investment at Fair Value At Redwood At March 31, 2020 , we did no t own any held-for-investment loans at Redwood. At December 31, 2019 , we owned 2,940 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.05 billion and a fair value of $2.11 billion . At December 31, 2019 , two of these loans with an aggregate fair value of $1 million and an unpaid principal balance of $2 million were greater than 90 days delinquent and no ne of these loans were in foreclosure. During the three months ended March 31, 2020 and 2019, we purchased zero and $39 million (principal balance) of loans, respectively, for which we elected the fair value option, and did no t sell any loans during either of these periods. During the three months ended March 31, 2020 and 2019, we transferred loans with a fair value of $13 million and $39 million , respectively, from held-for-sale to held-for-investment. During the three months ended March 31, 2020 and 2019, we transferred loans with a fair value of $1.87 billion and $23 million , respectively, from held-for-investment to held-for-sale. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $94 million and a net market valuation gain of $28 million , respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income (loss). At Consolidated Legacy Sequoia Entities At March 31, 2020 , we consolidated 2,123 held-for-investment loans at consolidated Legacy Sequoia entities, with an aggregate unpaid principal balance of $402 million and a fair value of $317 million , as compared to 2,198 loans at December 31, 2019 , with an aggregate unpaid principal balance of $425 million and a fair value of $408 million . At origination, the weighted average FICO score of borrowers backing these loans was 727 , the weighted average LTV ratio of these loans was 65% , and the loans were nearly all first lien and prime-quality. At March 31, 2020 and December 31, 2019 , the aggregate unpaid principal balance of loans at consolidated Legacy Sequoia entities delinquent greater than 90 days was $9 million and $10 million , respectively, of which the aggregate unpaid principal balance of loans in foreclosure was $5 million and $4 million , respectively. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $69 million and a net market valuation gain of $5 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the associated ABS issued. The net impact to our income statement associated with our retained economic investment in the Legacy Sequoia securitization entities is presented in Note 5. At Consolidated Sequoia Choice Entities At March 31, 2020 , we consolidated 2,831 held-for-investment loans at the consolidated Sequoia Choice entities, with an aggregate unpaid principal balance of $1.99 billion and a fair value of $1.93 billion , as compared to 3,156 loans at December 31, 2019 with an aggregate unpaid principal balance of $2.24 billion and a fair value of $2.29 billion . At origination, the weighted average FICO score of borrowers backing these loans was 743 , the weighted average LTV ratio of these loans was 75% , and the loans were all first lien and prime-quality. At March 31, 2020 , five of these loans with an aggregate unpaid principal balance of $3 million were greater than 90 days delinquent and four of these loans with an aggregate unpaid principal balance of $3 million was in foreclosure. At December 31, 2019 , nine of these loans with an aggregate unpaid principal balance of $7 million were greater than 90 days delinquent and three of these loans with an aggregate unpaid principal balance of $2 million were in foreclosure. During the three months ended March 31, 2020 , we did no t transfer any loans from held-for-sale to held-for-investment associated with Choice securitizations. During the three months ended March 31, 2019, we transferred loans with a fair value of $350 million from held-for-sale to held-for-investment associated with Choice securitizations. During the three months ended March 31, 2020 , we recorded a net market valuation loss of $110 million and a net market valuation gain of $10 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with Choice securitizations . The net impact to our income statement associated with our retained economic investment in the Sequoia Choice securitization entities is presented in Note 5. At Consolidated Freddie Mac SLST Entities Beginning in 2018, we invested in subordinate securities issued by certain Freddie Mac SLST securitization trusts and were required to consolidate the underlying seasoned re-performing and non-performing residential loans owned at these entities for financial reporting purposes in accordance with GAAP. At securitization, each of these mortgage loans was a fully amortizing, fixed- or step-rate, first-lien loan that had been modified. At March 31, 2020 , we consolidated 14,303 held-for-investment loans at the consolidated Freddie Mac SLST entities, with an aggregate unpaid principal balance of $2.39 billion and a fair value of $2.13 billion , as compared to 14,502 loans at December 31, 2019 with an aggregate unpaid principal balance of $2.43 billion and a fair value of $2.37 billion . At securitization, the weighted average FICO score of borrowers backing these loans was 600 and the weighted average LTV ratio of these loans was 73% . At March 31, 2020 , 632 of these loans with an aggregate unpaid principal balance of $156 million were greater than 90 days delinquent, and 286 of these loans with an aggregate unpaid principal balance of $46 million were in foreclosure. At December 31, 2019 , 587 of these loans with an aggregate unpaid principal balance of $135 million were greater than 90 days delinquent and 208 of these loans with an aggregate unpaid principal balance of $33 million were in foreclosure. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $193 million and a net market valuation gain of $24 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the Freddie Mac SLST securitizations . The net impact to our income statement associated with our economic investment in the Freddie Mac SLST securitization entities is presented in We originate business purpose residential loans, including single-family rental loans and residential bridge loans. This origination activity commenced in connection with our acquisitions of 5 Arches and CoreVest in 2019. Business Purpose Residential Loan Originations During the three months ended March 31, 2020 , we funded $487 million of business purpose residential loans, of which $21 million of residential bridge loans and $26 million of single-family rental loans were sold to third parties. The remaining business purpose residential loans were transferred to our investment portfolio (residential bridge loans and certain single-family rental loans), or retained in our mortgage banking business (single-family rental loans) for future securitizations. Prior to the transfer of residential bridge loans to our investment portfolio, we recorded a net market valuation loss of $0.2 million on these loans through Mortgage banking activities, net on our consolidated statements of income (loss) for the three months ended March 31, 2020 . Market valuation adjustments on our single-family rental loans are also recorded in Mortgage banking activities, net on our consolidated statements of income (loss) prior to their sale or transfer to our investment portfolio. Additionally, during the three months ended March 31, 2020 , we recorded loan origination fee income associated with business purpose residential loans of $8 million through Mortgage banking activities, net on our consolidated statements of income (loss). The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at March 31, 2020 and December 31, 2019 . Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans March 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 415,333 — $ — $ 415,333 Held-for-investment at fair value — 2,248,665 799,744 3,048,409 Total Business Purpose Residential Loans $ 415,333 $ 2,248,665 $ 799,744 $ 3,463,742 December 31, 2019 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 331,565 $ — $ — $ 331,565 Held-for-investment at fair value 237,620 2,192,552 745,006 3,175,178 Total Business Purpose Residential Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 Business Purpose Residential Loans Held-for-Sale at Fair Value Single-Family Rental Loans At March 31, 2020 , we owned 222 single-family rental loans held-for-sale with an aggregate unpaid principal balance of $440 million and a fair value of $415 million , as compared to 201 loans at December 31, 2019 with an aggregate unpaid principal balance of $322 million and a fair value of $332 million . At March 31, 2020 , two of these loans with an aggregate unpaid principal balance and fair value of $1 million were greater than 90 days delinquent, of which one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. At December 31, 2019 , two of these loans with an aggregate unpaid principal balance and fair value of $2 million were greater than 90 days delinquent, of which one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. During the three months ended March 31, 2020 , we originated $260 million of single-family rental loans. During the three months ended March 31, 2020 , $38 million of single-family rental loans were transferred to our investment portfolio and financed with FHLB borrowings, and the remaining loans were retained in our mortgage banking business. During this same period, we transferred $378 million of single-family rental loans from held-for-sale to held-for-investment associated with a CAFL securitization and sold $26 million to third parties. Additionally, at March 31, 2020 , we transferred all held-for-investment single-family rental loans to held-for-sale. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation gain of $10 million and a net market valuation gain of $1 million , respectively, on single-family rental loans held-for-sale at fair value through Mortgage banking activities, net on our consolidated statements of income (loss). The outstanding single-family rental loans held-for-sale at March 31, 2020 were first lien, fixed-rate loans with original maturities of five, seven, or ten years. At March 31, 2020 , the weighted average coupon of our single-family rental loans was 4.93% and the weighted average remaining loan term was seven years . At origination, the weighted average LTV ratio of these loans was 70% and the weighted average debt service coverage ratio ("DSCR") was 1.38 times. Business Purpose Residential Loans Held-for-Investment at Fair Value Single-Family Rental Loans at Redwood At March 31, 2020 , we did no t own any single-family rental loan held-for-investment. At December 31, 2019 , we owned 107 single-family rental loans held-for-investment with an aggregate unpaid principal balance of $231 million and a fair value of $238 million . At December 31, 2019 , none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended March 31, 2020 , we recorded a net market valuation loss of $23 million on single-family rental loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income (loss). At March 31, 2020 , we transferred all existing loans from held-for-investment to held-for-sale. Single-Family Rental Loans at CAFL In conjunction with our acquisition of CoreVest in the fourth quarter of 2019, we consolidated the single-family rental loans owned at certain CAFL securitization entities. At March 31, 2020 , we consolidated 889 held-for-investment single-family rental loans at the consolidated CAFL entities, with an aggregate unpaid principal balance of $2.37 billion and a fair value of $2.25 billion , as compared to 783 loans at December 31, 2019 with an aggregate unpaid principal balance of $2.08 billion and a fair value of $2.19 billion . The outstanding single-family rental loans held-for-investment at CAFL at March 31, 2020 were first-lien, fixed-rate loans with original maturities of five , seven , or ten years. At March 31, 2020 , the weighted average coupon of our single-family rental loans was 5.60% and the weighted average remaining loan term was six years . At origination, the weighted average LTV ratio of these loans was 68% and the weighted average DSCR was 1.36 times. At March 31, 2020 , 14 of these loans with an aggregate unpaid principal balance of $24 million were greater than 90 days delinquent and seven of these loans with an aggregate unpaid principal balance of $10 million were in foreclosure. At December 31, 2019 , 18 of these loans with an aggregate unpaid principal balance of $29 million were greater than 90 days delinquent and five of these loans with an aggregate unpaid principal balance of $9 million were in foreclosure. During the three months ended March 31, 2020 , we recorded a net market valuation loss of $272 million on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with CAFL securitizations . The net impact to our income statement associated with our retained economic investment in the CAFL securitization entities is presented in Note 5. Residential Bridge Loans At March 31, 2020 , we owned 3,053 residential bridge loans held-for-investment with an aggregate unpaid principal balance of $833 million and a fair value of $800 million , as compared to 2,653 loans at December 31, 2019 with an aggregate unpaid principal balance of $743 million and a fair value of $745 million . As part of our credit risk management practices, our residential bridge loans are subject to individual risk assessment using an internal borrower and collateral quality evaluation framework. At March 31, 2020 , 16 loans with an aggregate fair value of $32 million and an unpaid principal balance of $36 million were greater than 90 days delinquent, of which 11 of these loans with an aggregate fair value of $21 million and an unpaid principal balance of $24 million were in foreclosure. At December 31, 2019 , 31 loans with an aggregate fair value of $12 million and an unpaid principal balance of $14 million were in foreclosure, of which 15 of these loans with an aggregate fair value of $7 million and an unpaid principal balance of $9 million were greater than 90 days delinquent. During the three months ended March 31, 2020 , we transferred one loan with a fair value of $1 million to REO, which is included in Other assets on our consolidated balance sheets. During the three months ended March 31, 2020 , $206 million of newly originated residential bridge loans were transferred to our investment portfolio. During the three months ended March 31, 2020 and 2019, we recorded net market valuation loss es of $39 million and $0.3 million , respectively, on residential bridge loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income (loss). The outstanding residential bridge loans held-for-investment at March 31, 2020 were first lien, fixed-rate, interest-only loans with a weighted average coupon of 7.95% and original maturities of six to 24 months. At origination, the weighted average FICO score of borrowers backing these loans was 728 and the weighted average LTV ratio of these loans was 69% . At March 31, 2020 , we had a $223 million commitment to fund residential bridge loans. See Note 16 for additional information on this commitment. Since 2018, we invested in multifamily subordinate securities issued by Freddie Mac K-Series securitization trusts and were required to consolidate the underlying multifamily loans owned at these entities for financial reporting purposes in accordance with GAAP. During the first quarter of 2020, we sold subordinate securities issued by four such Freddie Mac K-Series securitization trusts and deconsolidated $3.85 billion of multifamily loans. See Note 2 for further discussion. At March 31, 2020 , we consolidated 28 held-for-investment multifamily loans, with an aggregate unpaid principal balance of $465 million and a fair value of $470 million , as compared to 279 loans at December 31, 2019 with an aggregate unpaid principal balance of $4.20 billion and a fair value of $4.41 billion . The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at March 31, 2020 were first-lien, fixed-rate loans that were originated in 2015 and had original loan terms of ten years and an original weighted average LTV ratio of 67% . At March 31, 2020 , the weighted average coupon of these multifamily loans was 4.25% and the weighted average remaining loan term was five years . At both March 31, 2020 and December 31, 2019 , none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $82 million and a net market valuation gain of $34 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the securitizations . The net impact to our income statement associated with our economic investment in the securities of the Freddie Mac K-Series securitization entities is presented in |
Multifamily Loans
Multifamily Loans | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Multifamily Loans | Residential Loans We acquire residential loans from third-party originators and may sell or securitize these loans or hold them for investment. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at March 31, 2020 and December 31, 2019 . Table 6.1 – Classifications and Carrying Values of Residential Loans March 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 2,330,669 $ — $ — $ — $ 2,330,669 Held-for-investment at fair value — 316,677 1,932,658 2,131,125 4,380,460 Total Residential Loans $ 2,330,669 $ 316,677 $ 1,932,658 $ 2,131,125 $ 6,711,129 December 31, 2019 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 536,385 $ — $ — $ — $ 536,385 Held-for-investment at fair value 2,111,897 407,890 2,291,463 2,367,215 7,178,465 Total Residential Loans $ 2,648,282 $ 407,890 $ 2,291,463 $ 2,367,215 $ 7,714,850 At March 31, 2020 , we owned mortgage servicing rights associated with $1.75 billion (principal balance) of consolidated residential loans purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At March 31, 2020 , we owned 3,345 loans held-for-sale at fair value with an aggregate unpaid principal balance of $2.37 billion and a fair value of $2.33 billion , compared to 669 loans with an aggregate unpaid principal balance of $525 million and a fair value of $536 million at December 31, 2019 . At March 31, 2020 , six of these loans with an aggregate fair value and unpaid principal balance of $3 million were greater than 90 days delinquent and one of these loans with a fair value of $0.4 million and an unpaid principal balance of $1 million was in foreclosure. At December 31, 2019 , one of these loans with a fair value of $0.6 million and an unpaid principal balance of $0.7 million was greater than 90 days delinquent and no ne of these loans were in foreclosure. During the three months ended March 31, 2020 and 2019, we purchased $2.63 billion and $0.96 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $2.66 billion and $1.16 billion (principal balance) of loans, respectively, for which we recorded a net market valuation loss of $13 million and a net market valuation gain of $4 million , respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). At March 31, 2020 , loans held-for-sale with a market value of $882 million were pledged as collateral under short-term borrowing agreements. At March 31, 2020 , we committed to sell $2.15 billion of residential loans to third parties for settlement during the second quarter of 2020. Residential Loans Held-for-Investment at Fair Value At Redwood At March 31, 2020 , we did no t own any held-for-investment loans at Redwood. At December 31, 2019 , we owned 2,940 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.05 billion and a fair value of $2.11 billion . At December 31, 2019 , two of these loans with an aggregate fair value of $1 million and an unpaid principal balance of $2 million were greater than 90 days delinquent and no ne of these loans were in foreclosure. During the three months ended March 31, 2020 and 2019, we purchased zero and $39 million (principal balance) of loans, respectively, for which we elected the fair value option, and did no t sell any loans during either of these periods. During the three months ended March 31, 2020 and 2019, we transferred loans with a fair value of $13 million and $39 million , respectively, from held-for-sale to held-for-investment. During the three months ended March 31, 2020 and 2019, we transferred loans with a fair value of $1.87 billion and $23 million , respectively, from held-for-investment to held-for-sale. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $94 million and a net market valuation gain of $28 million , respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income (loss). At Consolidated Legacy Sequoia Entities At March 31, 2020 , we consolidated 2,123 held-for-investment loans at consolidated Legacy Sequoia entities, with an aggregate unpaid principal balance of $402 million and a fair value of $317 million , as compared to 2,198 loans at December 31, 2019 , with an aggregate unpaid principal balance of $425 million and a fair value of $408 million . At origination, the weighted average FICO score of borrowers backing these loans was 727 , the weighted average LTV ratio of these loans was 65% , and the loans were nearly all first lien and prime-quality. At March 31, 2020 and December 31, 2019 , the aggregate unpaid principal balance of loans at consolidated Legacy Sequoia entities delinquent greater than 90 days was $9 million and $10 million , respectively, of which the aggregate unpaid principal balance of loans in foreclosure was $5 million and $4 million , respectively. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $69 million and a net market valuation gain of $5 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the associated ABS issued. The net impact to our income statement associated with our retained economic investment in the Legacy Sequoia securitization entities is presented in Note 5. At Consolidated Sequoia Choice Entities At March 31, 2020 , we consolidated 2,831 held-for-investment loans at the consolidated Sequoia Choice entities, with an aggregate unpaid principal balance of $1.99 billion and a fair value of $1.93 billion , as compared to 3,156 loans at December 31, 2019 with an aggregate unpaid principal balance of $2.24 billion and a fair value of $2.29 billion . At origination, the weighted average FICO score of borrowers backing these loans was 743 , the weighted average LTV ratio of these loans was 75% , and the loans were all first lien and prime-quality. At March 31, 2020 , five of these loans with an aggregate unpaid principal balance of $3 million were greater than 90 days delinquent and four of these loans with an aggregate unpaid principal balance of $3 million was in foreclosure. At December 31, 2019 , nine of these loans with an aggregate unpaid principal balance of $7 million were greater than 90 days delinquent and three of these loans with an aggregate unpaid principal balance of $2 million were in foreclosure. During the three months ended March 31, 2020 , we did no t transfer any loans from held-for-sale to held-for-investment associated with Choice securitizations. During the three months ended March 31, 2019, we transferred loans with a fair value of $350 million from held-for-sale to held-for-investment associated with Choice securitizations. During the three months ended March 31, 2020 , we recorded a net market valuation loss of $110 million and a net market valuation gain of $10 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with Choice securitizations . The net impact to our income statement associated with our retained economic investment in the Sequoia Choice securitization entities is presented in Note 5. At Consolidated Freddie Mac SLST Entities Beginning in 2018, we invested in subordinate securities issued by certain Freddie Mac SLST securitization trusts and were required to consolidate the underlying seasoned re-performing and non-performing residential loans owned at these entities for financial reporting purposes in accordance with GAAP. At securitization, each of these mortgage loans was a fully amortizing, fixed- or step-rate, first-lien loan that had been modified. At March 31, 2020 , we consolidated 14,303 held-for-investment loans at the consolidated Freddie Mac SLST entities, with an aggregate unpaid principal balance of $2.39 billion and a fair value of $2.13 billion , as compared to 14,502 loans at December 31, 2019 with an aggregate unpaid principal balance of $2.43 billion and a fair value of $2.37 billion . At securitization, the weighted average FICO score of borrowers backing these loans was 600 and the weighted average LTV ratio of these loans was 73% . At March 31, 2020 , 632 of these loans with an aggregate unpaid principal balance of $156 million were greater than 90 days delinquent, and 286 of these loans with an aggregate unpaid principal balance of $46 million were in foreclosure. At December 31, 2019 , 587 of these loans with an aggregate unpaid principal balance of $135 million were greater than 90 days delinquent and 208 of these loans with an aggregate unpaid principal balance of $33 million were in foreclosure. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $193 million and a net market valuation gain of $24 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the Freddie Mac SLST securitizations . The net impact to our income statement associated with our economic investment in the Freddie Mac SLST securitization entities is presented in We originate business purpose residential loans, including single-family rental loans and residential bridge loans. This origination activity commenced in connection with our acquisitions of 5 Arches and CoreVest in 2019. Business Purpose Residential Loan Originations During the three months ended March 31, 2020 , we funded $487 million of business purpose residential loans, of which $21 million of residential bridge loans and $26 million of single-family rental loans were sold to third parties. The remaining business purpose residential loans were transferred to our investment portfolio (residential bridge loans and certain single-family rental loans), or retained in our mortgage banking business (single-family rental loans) for future securitizations. Prior to the transfer of residential bridge loans to our investment portfolio, we recorded a net market valuation loss of $0.2 million on these loans through Mortgage banking activities, net on our consolidated statements of income (loss) for the three months ended March 31, 2020 . Market valuation adjustments on our single-family rental loans are also recorded in Mortgage banking activities, net on our consolidated statements of income (loss) prior to their sale or transfer to our investment portfolio. Additionally, during the three months ended March 31, 2020 , we recorded loan origination fee income associated with business purpose residential loans of $8 million through Mortgage banking activities, net on our consolidated statements of income (loss). The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at March 31, 2020 and December 31, 2019 . Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans March 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 415,333 — $ — $ 415,333 Held-for-investment at fair value — 2,248,665 799,744 3,048,409 Total Business Purpose Residential Loans $ 415,333 $ 2,248,665 $ 799,744 $ 3,463,742 December 31, 2019 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 331,565 $ — $ — $ 331,565 Held-for-investment at fair value 237,620 2,192,552 745,006 3,175,178 Total Business Purpose Residential Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 Business Purpose Residential Loans Held-for-Sale at Fair Value Single-Family Rental Loans At March 31, 2020 , we owned 222 single-family rental loans held-for-sale with an aggregate unpaid principal balance of $440 million and a fair value of $415 million , as compared to 201 loans at December 31, 2019 with an aggregate unpaid principal balance of $322 million and a fair value of $332 million . At March 31, 2020 , two of these loans with an aggregate unpaid principal balance and fair value of $1 million were greater than 90 days delinquent, of which one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. At December 31, 2019 , two of these loans with an aggregate unpaid principal balance and fair value of $2 million were greater than 90 days delinquent, of which one of these loans with an unpaid principal balance of $0.1 million was in foreclosure. During the three months ended March 31, 2020 , we originated $260 million of single-family rental loans. During the three months ended March 31, 2020 , $38 million of single-family rental loans were transferred to our investment portfolio and financed with FHLB borrowings, and the remaining loans were retained in our mortgage banking business. During this same period, we transferred $378 million of single-family rental loans from held-for-sale to held-for-investment associated with a CAFL securitization and sold $26 million to third parties. Additionally, at March 31, 2020 , we transferred all held-for-investment single-family rental loans to held-for-sale. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation gain of $10 million and a net market valuation gain of $1 million , respectively, on single-family rental loans held-for-sale at fair value through Mortgage banking activities, net on our consolidated statements of income (loss). The outstanding single-family rental loans held-for-sale at March 31, 2020 were first lien, fixed-rate loans with original maturities of five, seven, or ten years. At March 31, 2020 , the weighted average coupon of our single-family rental loans was 4.93% and the weighted average remaining loan term was seven years . At origination, the weighted average LTV ratio of these loans was 70% and the weighted average debt service coverage ratio ("DSCR") was 1.38 times. Business Purpose Residential Loans Held-for-Investment at Fair Value Single-Family Rental Loans at Redwood At March 31, 2020 , we did no t own any single-family rental loan held-for-investment. At December 31, 2019 , we owned 107 single-family rental loans held-for-investment with an aggregate unpaid principal balance of $231 million and a fair value of $238 million . At December 31, 2019 , none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended March 31, 2020 , we recorded a net market valuation loss of $23 million on single-family rental loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income (loss). At March 31, 2020 , we transferred all existing loans from held-for-investment to held-for-sale. Single-Family Rental Loans at CAFL In conjunction with our acquisition of CoreVest in the fourth quarter of 2019, we consolidated the single-family rental loans owned at certain CAFL securitization entities. At March 31, 2020 , we consolidated 889 held-for-investment single-family rental loans at the consolidated CAFL entities, with an aggregate unpaid principal balance of $2.37 billion and a fair value of $2.25 billion , as compared to 783 loans at December 31, 2019 with an aggregate unpaid principal balance of $2.08 billion and a fair value of $2.19 billion . The outstanding single-family rental loans held-for-investment at CAFL at March 31, 2020 were first-lien, fixed-rate loans with original maturities of five , seven , or ten years. At March 31, 2020 , the weighted average coupon of our single-family rental loans was 5.60% and the weighted average remaining loan term was six years . At origination, the weighted average LTV ratio of these loans was 68% and the weighted average DSCR was 1.36 times. At March 31, 2020 , 14 of these loans with an aggregate unpaid principal balance of $24 million were greater than 90 days delinquent and seven of these loans with an aggregate unpaid principal balance of $10 million were in foreclosure. At December 31, 2019 , 18 of these loans with an aggregate unpaid principal balance of $29 million were greater than 90 days delinquent and five of these loans with an aggregate unpaid principal balance of $9 million were in foreclosure. During the three months ended March 31, 2020 , we recorded a net market valuation loss of $272 million on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with CAFL securitizations . The net impact to our income statement associated with our retained economic investment in the CAFL securitization entities is presented in Note 5. Residential Bridge Loans At March 31, 2020 , we owned 3,053 residential bridge loans held-for-investment with an aggregate unpaid principal balance of $833 million and a fair value of $800 million , as compared to 2,653 loans at December 31, 2019 with an aggregate unpaid principal balance of $743 million and a fair value of $745 million . As part of our credit risk management practices, our residential bridge loans are subject to individual risk assessment using an internal borrower and collateral quality evaluation framework. At March 31, 2020 , 16 loans with an aggregate fair value of $32 million and an unpaid principal balance of $36 million were greater than 90 days delinquent, of which 11 of these loans with an aggregate fair value of $21 million and an unpaid principal balance of $24 million were in foreclosure. At December 31, 2019 , 31 loans with an aggregate fair value of $12 million and an unpaid principal balance of $14 million were in foreclosure, of which 15 of these loans with an aggregate fair value of $7 million and an unpaid principal balance of $9 million were greater than 90 days delinquent. During the three months ended March 31, 2020 , we transferred one loan with a fair value of $1 million to REO, which is included in Other assets on our consolidated balance sheets. During the three months ended March 31, 2020 , $206 million of newly originated residential bridge loans were transferred to our investment portfolio. During the three months ended March 31, 2020 and 2019, we recorded net market valuation loss es of $39 million and $0.3 million , respectively, on residential bridge loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income (loss). The outstanding residential bridge loans held-for-investment at March 31, 2020 were first lien, fixed-rate, interest-only loans with a weighted average coupon of 7.95% and original maturities of six to 24 months. At origination, the weighted average FICO score of borrowers backing these loans was 728 and the weighted average LTV ratio of these loans was 69% . At March 31, 2020 , we had a $223 million commitment to fund residential bridge loans. See Note 16 for additional information on this commitment. Since 2018, we invested in multifamily subordinate securities issued by Freddie Mac K-Series securitization trusts and were required to consolidate the underlying multifamily loans owned at these entities for financial reporting purposes in accordance with GAAP. During the first quarter of 2020, we sold subordinate securities issued by four such Freddie Mac K-Series securitization trusts and deconsolidated $3.85 billion of multifamily loans. See Note 2 for further discussion. At March 31, 2020 , we consolidated 28 held-for-investment multifamily loans, with an aggregate unpaid principal balance of $465 million and a fair value of $470 million , as compared to 279 loans at December 31, 2019 with an aggregate unpaid principal balance of $4.20 billion and a fair value of $4.41 billion . The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at March 31, 2020 were first-lien, fixed-rate loans that were originated in 2015 and had original loan terms of ten years and an original weighted average LTV ratio of 67% . At March 31, 2020 , the weighted average coupon of these multifamily loans was 4.25% and the weighted average remaining loan term was five years . At both March 31, 2020 and December 31, 2019 , none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $82 million and a net market valuation gain of $34 million , respectively, on these loans through Investment fair value changes, net on our consolidated statements of income (loss). Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the securitizations . The net impact to our income statement associated with our economic investment in the securities of the Freddie Mac K-Series securitization entities is presented in |
Real Estate Securities
Real Estate Securities | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Real Estate Securities | Real Estate Securities We invest in real estate securities that we acquire from third parties or create and retain from our Sequoia securitizations. The following table presents the fair values of our real estate securities by type at March 31, 2020 and December 31, 2019 . Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) March 31, 2020 December 31, 2019 Trading $ 164,219 $ 860,540 Available-for-sale 129,243 239,334 Total Real Estate Securities $ 293,462 $ 1,099,874 Our real estate securities include mortgage-backed securities, which are presented in accordance with their general position within a securitization structure based on their rights to cash flows. Senior securities are those interests in a securitization that generally have the first right to cash flows and are last in line to absorb losses. Mezzanine securities are interests that are generally subordinate to senior securities in their rights to receive cash flows, and have subordinate securities below them that are first to absorb losses. Many of our mezzanine classified securities were initially rated AA through BBB- and issued in 2012 or later. Subordinate securities are all interests below mezzanine. Excluding our re-performing loan securities, nearly all of our residential securities are supported by collateral that was designated as prime at the time of issuance. Trading Securities The following table presents the fair value of trading securities by position and collateral type at March 31, 2020 and December 31, 2019 . Table 9.2 – Trading Securities by Position (In Thousands) March 31, 2020 December 31, 2019 Senior $ 39,559 $ 150,067 Mezzanine 53,781 538,489 Subordinate 70,879 171,984 Total Trading Securities $ 164,219 $ 860,540 We elected the fair value option for certain securities and classify them as trading securities. Our trading securities include both residential and multifamily mortgage-backed securities, and our residential securities also include securities backed by re-performing loans ("RPL"). At March 31, 2020 and December 31, 2019 , our senior trading securities included $40 million and $64 million of interest-only securities, respectively, for which there is no principal balance, and the unpaid principal balance of our remaining senior trading securities was zero and $84 million , respectively. Our interest-only securities included $19 million and $36 million of A-IO-S securities at March 31, 2020 and December 31, 2019 , respectively, which are securities we retained from certain of our Sequoia securitizations that represent certificated servicing strips. At March 31, 2020 and December 31, 2019 , our senior trading securities included $13 million and $55 million of RPL securities, respectively. At March 31, 2020 and December 31, 2019 , our mezzanine trading securities had an unpaid principal balance of $69 million and $537 million , respectively. At March 31, 2020 and December 31, 2019 , the fair value of our mezzanine securities was $54 million and $538 million , respectively, and included $28 million and $39 million of Sequoia securities, respectively, zero and $395 million of multifamily securities, respectively, and $26 million and $104 million of other third-party residential securities, respectively, including $5 million and $30 million of RPL securities, respectively. At March 31, 2020 and December 31, 2019 , our subordinate trading securities had an unpaid principal balance of $283 million and $302 million , respectively. At March 31, 2020 and December 31, 2019 , the fair value of our subordinate securities was $71 million and $172 million , respectively, and included $20 million and $90 million , respectively, of Agency residential mortgage credit risk transfer (or "CRT") securities, $47 million and $82 million , respectively, of other third-party residential securities, including $44 million and $76 million of RPL securities, respectively. During the three months ended March 31, 2020 and 2019, we acquired $56 million and $154 million (principal balance), respectively, of securities for which we elected the fair value option and classified as trading, and sold $619 million and $29 million , respectively, of such securities. During the three months ended March 31, 2020 and 2019, we recorded a net market valuation loss of $263 million and a net market valuation gain of $22 million , respectively, on trading securities, included in Investment fair value changes, net on our consolidated statements of income (loss). AFS Securities The following table presents the fair value of our available-for-sale securities by position and collateral type at March 31, 2020 and December 31, 2019 . Table 9.3 – Available-for-Sale Securities by Position (In Thousands) March 31, 2020 December 31, 2019 Senior $ — $ 25,792 Mezzanine — 13,687 Subordinate 129,243 199,855 Total AFS Securities $ 129,243 $ 239,334 At March 31, 2020 and December 31, 2019 , our available-for-sale securities were comprised of $106 million and $230 million of residential mortgage-backed securities, respectively, and $23 million and $9 million of multifamily mortgage-backed securities, respectively. During the three months ended March 31, 2020 , we purchased $31 million and $5 million of AFS securities, respectively, and sold $46 million and $42 million of AFS securities, respectively, which resulted in net realized gains of $4 million and $7 million , respectively. We often purchase AFS securities at a discount to their outstanding principal balances. To the extent we purchase an AFS security that has a likelihood of incurring a loss, we do not amortize into income the portion of the purchase discount that we do not expect to collect due to the inherent credit risk of the security. We may also expense a portion of our investment in the security to the extent we believe that principal losses will exceed the purchase discount. We designate any amount of unpaid principal balance that we do not expect to receive and thus do not expect to earn or recover as a credit reserve on the security. Any remaining net unamortized discounts or premiums on the security are amortized into income over time using the effective yield method. At March 31, 2020 , we had $20 million of AFS securities with contractual maturities less than five years , $2 million with contractual maturities greater than five years but less than ten years , and the remainder of our AFS securities had contractual maturities greater than ten years . The following table presents the components of carrying value (which equals fair value) of AFS securities at March 31, 2020 and December 31, 2019 . Table 9.4 – Carrying Value of AFS Securities March 31, 2020 (In Thousands) Senior Mezzanine Subordinate Total Principal balance $ — $ — $ 280,024 $ 280,024 Credit reserve — — (37,717 ) (37,717 ) Unamortized discount, net — — (109,538 ) (109,538 ) Amortized cost — — 132,769 132,769 Gross unrealized gains — — 22,315 22,315 Gross unrealized losses — — (24,316 ) (24,316 ) Allowance for credit losses — — (1,525 ) (1,525 ) Carrying Value $ — $ — $ 129,243 $ 129,243 December 31, 2019 (In Thousands) Senior Mezzanine Subordinate Total Principal balance $ 26,331 $ 13,512 $ 264,234 $ 304,077 Credit reserve (533 ) — (32,407 ) (32,940 ) Unamortized discount, net (10,427 ) (527 ) (113,301 ) (124,255 ) Amortized cost 15,371 12,985 118,526 146,882 Gross unrealized gains 10,450 702 81,329 92,481 Gross unrealized losses (29 ) — — (29 ) Carrying Value $ 25,792 $ 13,687 $ 199,855 $ 239,334 The following table presents the changes for the three months ended March 31, 2020 , in unamortized discount and designated credit reserves on AFS securities. Table 9.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities Three Months Ended March 31, 2020 Credit Reserve Unamortized Discount, Net (In Thousands) Beginning balance $ 32,940 $ 124,255 Amortization of net discount — (1,754 ) Realized credit losses (519 ) — Acquisitions 5,184 777 Sales, calls, other (206 ) (13,422 ) (Release of) transfers to credit reserves, net 318 (318 ) Ending Balance $ 37,717 $ 109,538 AFS Securities with Unrealized Losses The following table presents the components comprising the total carrying value of AFS securities that were in a gross unrealized loss position at March 31, 2020 and December 31, 2019 . Table 9.6 – Components of Fair Value of AFS Securities by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Cost Unrealized Losses Fair Value Amortized Cost Unrealized Losses Fair (In Thousands) March 31, 2020 $ 97,730 $ (24,316 ) $ 71,889 $ — $ — $ — December 31, 2019 — — — 5,830 (29 ) 5,801 At March 31, 2020 , after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 100 AFS securities, of which 57 were in an unrealized loss position and zero were in a continuous unrealized loss position for 12 consecutive months or longer. At December 31, 2019 , our consolidated balance sheet included 107 AFS securities, of which one was in an unrealized loss position and one was in a continuous unrealized loss position for 12 consecutive months or longer. Evaluating AFS Securities for Credit Losses Gross unrealized losses on our AFS securities were $24 million at March 31, 2020 . Pursuant to our adoption of ASU 2016-13, "Financial Instruments - Credit Losses" in the first quarter of 2020, we evaluate all securities in an unrealized loss position to determine if the impairment is credit-related (resulting in an allowance for credit losses recorded in earnings) or non-credit-related (resulting in an unrealized loss through other comprehensive income). At March 31, 2020 , we did not intend to sell any of our AFS securities that were in an unrealized loss position, and it is more likely than not that we will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. We review our AFS securities that are in an unrealized loss position to identify those securities with losses based on an assessment of changes in expected cash flows for such securities, which considers recent security performance and expected future performance of the underlying collateral. At March 31, 2020 , our allowance for credit losses related to our AFS securities was $2 million . AFS securities for which an allowance is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. In determining our estimate of cash flows for AFS securities we may consider factors such as structural credit enhancement, past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, which are informed by prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, and geographic concentrations, as well as general market assessments. Changes in our evaluation of these factors impacted the cash flows expected to be collected at the assessment date and were used to determine if there were credit-related adverse cash flows and if so, the amount of credit related losses. Significant judgment is used in both our analysis of the expected cash flows for our AFS securities and any determination of security credit losses. The table below summarizes the weighted average of the significant credit quality indicators we used for the credit loss allowance on our AFS securities at March 31, 2020 . Table 9.7 – Significant Credit Quality Indicators March 31, 2020 Subordinate Securities Prepayment rate 12% Default rate 0.5% Loss severity 20% The following table details the activity related to the allowance for credit losses for AFS securities held at March 31, 2020 . Table 9.8 – Rollforward of Allowance for Credit Losses Three Months Ended (In Thousands) March 31, 2020 Beginning balance allowance for credit losses $ — Transition impact from adoption of new standard — Additions to allowance for credit losses on securities for which credit losses were not previously recorded 1,525 Allowance on purchased financial assets with credit deterioration — Reduction for securities sold during the period — Write-offs charged against allowance — Recoveries of amounts previously written off — Ending balance of allowance for credit losses $ 1,525 Gains and losses from the sale of AFS securities are recorded as Realized gains, net, in our consolidated statements of income (loss). The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three months ended March 31, 2020 and 2019 . Table 9.9 – Gross Realized Gains and Losses on AFS Securities Three Months Ended March 31, (In Thousands) 2020 2019 Gross realized gains - sales $ 7,705 $ 6,660 Gross realized gains - calls — 4,026 Gross realized losses - sales (3,853 ) — Total Realized Gains on Sales and Calls of AFS Securities, net $ 3,852 $ 10,686 |
Other Investments
Other Investments | 3 Months Ended |
Mar. 31, 2020 | |
Investments, All Other Investments [Abstract] | |
Other Investments | Other Investments Other investments at March 31, 2020 and December 31, 2019 are summarized in the following table. Table 10.1 – Components of Other Investments (In Thousands) March 31, 2020 December 31, 2019 Servicer advance investments $ 298,946 $ 169,204 Shared home appreciation options 40,642 45,085 Excess MSRs 31,788 31,814 Mortgage servicing rights 23,616 42,224 Investment in multifamily loan fund 15,731 39,802 Other 35,497 30,001 Total Other Investments $ 446,220 $ 358,130 Servicer advance investments In 2018, we and a third-party co-investor, through two partnerships (“SA Buyers”) consolidated by us, purchased the outstanding servicer advances and excess MSRs related to a portfolio of legacy residential mortgage-backed securitizations serviced by the co-investor (Refer to our Annual Report on Form 10-K for the year ended December 31, 2019 for additional information regarding the transaction). At March 31, 2020 , we had funded $90 million of total capital to the SA Buyers (see Note 16 for additional detail). At March 31, 2020 , our servicer advance investments had a carrying value of $299 million and were associated with a portfolio of residential mortgage loans with an unpaid principal balance of $10.25 billion . The outstanding servicer advance receivables associated with this investment were $283 million at March 31, 2020 , which were financed with short-term non-recourse securitization debt (see Note 13 for additional detail on this debt). The servicer advance receivables were comprised of the following types of advances at March 31, 2020 and December 31, 2019 : Table 10.2 – Components of Servicer Advance Receivables (In Thousands) March 31, 2020 December 31, 2019 Principal and interest advances $ 113,612 $ 15,081 Escrow advances (taxes and insurance advances) 117,876 96,732 Corporate advances 51,255 39,769 Total Servicer Advance Receivables $ 282,743 $ 151,582 We account for our servicer advance investments at fair value and during the three months ended March 31, 2020 and 2019, we recorded $3 million of interest income associated with these investments for each of these periods, and recorded a net market valuation loss of $6 million and a net market valuation gain of $1 million , respectively, through Investment fair value changes, net in our consolidated statements of income (loss). Mortgage Servicing Rights We invest in mortgage servicing rights associated with residential mortgage loans and contract with licensed sub-servicers to perform all servicing functions for these loans. The majority of our investments in MSRs were made through the retention of servicing rights associated with the residential jumbo mortgage loans that we acquired and subsequently transferred to third parties. We hold our MSR investments at our taxable REIT subsidiaries. At March 31, 2020 and December 31, 2019 , our MSRs had a fair value of $24 million and $42 million , respectively, and were associated with loans with an aggregate principal balance of $4.10 billion and $4.35 billion , respectively. The following table presents activity for MSRs for the three months ended March 31, 2020 and 2019 . Table 10.3 – Activity for MSRs Three Months Ended March 31, (In Thousands) 2020 2019 Balance at beginning of period $ 42,224 $ 60,281 Additions — 104 Changes in fair value due to: Changes in assumptions (1) (16,746 ) (3,586 ) Other changes (2) (1,862 ) (1,515 ) Balance at End of Period $ 23,616 $ 55,284 (1) Primarily reflects changes in prepayment assumptions due to changes in market interest rates. (2) Represents changes due to the realization of expected cash flows. The following table presents the components of our MSR income (loss) for the three months ended March 31, 2020 and 2019 . Table 10.4 – Components of MSR Income (Loss), net Three Months Ended March 31, (In Thousands) 2020 2019 Servicing income $ 3,311 $ 3,610 Cost of sub-servicer (478 ) (503 ) Net servicing fee income 2,833 3,107 Market valuation changes of MSRs (18,608 ) (5,101 ) Market valuation changes of associated derivatives 13,966 2,251 MSR Income (Loss), Net (1) $ (1,809 ) $ 257 (1) MSR income, net is included in Other income on our consolidated statements of income (loss). Excess MSRs In association with our servicer advance investments described above, we (through our consolidated SA Buyers) invested in excess MSRs associated with the same portfolio of legacy residential mortgage-backed securitizations. Additionally, we own excess MSRs associated with specified pools of multifamily loans. We account for our excess MSRs at fair value and during the three months ended March 31, 2020 and 2019, we recognized $3 million and $2 million of interest income, respectively, through Other interest income, and recorded net market valuation loss es of $9 million and $0.4 million , respectively, through Investment fair value changes, net on our consolidated statements of income (loss). Investment in Multifamily Loan Fund In January 2019, we invested in a limited partnership created to acquire floating rate, light-renovation multifamily loans from Freddie Mac. We committed to fund an aggregate of $78 million to the partnership, and have funded approximately $54 million at March 31, 2020 . During the three months ended March 31, 2020, we acquired $28 million of securities from the partnership's first securitization transaction. At March 31, 2020 , the carrying amount of our investment in the partnership was $16 million . During the three months ended March 31, 2020 , we recorded $1 million of income associated with this investment in Other income on our consolidated statements of income (loss). Shared Home Appreciation Options In the third quarter of 2019, we entered into a flow purchase agreement to acquire shared home appreciation options. At March 31, 2020 , we had acquired $47 million of shared home appreciation options under this flow purchase agreement and had an outstanding commitment to fund up to an additional $3 million under this agreement. We account for these investments under the fair value option and during the three months ended March 31, 2020 , we recorded a net market valuation loss of $8 million related to these assets through Investment fair value changes, net on our consolidated statements of income (loss). |
Derivative Financial Instrument
Derivative Financial Instruments | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Derivative Financial Instruments The following table presents the fair value and notional amount of our derivative financial instruments at March 31, 2020 and December 31, 2019 . Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments March 31, 2020 December 31, 2019 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ — $ — $ 17,095 $ 1,399,000 TBAs 90,717 4,490,000 5,755 2,445,000 Interest rate futures — — 777 213,700 Swaptions — — 1,925 1,065,000 Assets - Other Derivatives Loan purchase and interest rate lock commitments — — 10,149 1,537,162 Total Assets $ 90,717 $ 4,490,000 $ 35,701 $ 6,659,862 Liabilities - Cash Flow Hedges Interest rate swaps $ — $ — $ (51,530 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps — — (97,235 ) 2,314,300 TBAs (110,648 ) 4,490,000 (13,359 ) 4,160,000 Interest rate futures — — (10 ) 12,300 Liabilities - Other Derivatives Loan purchase commitments (3,966 ) 226,372 (1,290 ) 303,394 Total Liabilities $ (114,614 ) $ 4,716,372 $ (163,424 ) $ 6,929,494 Total Derivative Financial Instruments, Net $ (23,897 ) $ 9,206,372 $ (127,723 ) $ 13,589,356 Risk Management Derivatives To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheets, we may enter into derivative contracts. At March 31, 2020 , we were party to TBA agreements sold with an aggregate notional amount of $8.98 billion . At December 31, 2019 , we were party to swaps and swaptions with an aggregate notional amount of $4.78 billion , TBA agreements sold with an aggregate notional amount of $6.61 billion , and interest rate futures contracts with an aggregate notional amount of $226 million . During the three months ended March 31, 2020 and 2019, risk management derivatives had net market valuation loss es of $98 million and $45 million , respectively. These market valuation gains and losses are recorded in Mortgage banking activities, net, Investment fair value changes, net, and Other income on our consolidated statements of income (loss). During the three months ended March 31, 2020, we settled substantially all of our outstanding derivative contracts as we determined that they were no longer effectively managing the risks associated with certain assets and liabilities. Loan Purchase and Interest Rate Lock Commitments LPCs and IRLCs that qualify as derivatives are recorded at their estimated fair values. For the three months ended March 31, 2020 and 2019, LPCs and IRLCs had net market valuation gain s of $18 million and $11 million , respectively, that were recorded in Mortgage banking activities, net on our consolidated statements of income (loss). Derivatives Designated as Cash Flow Hedges To manage the variability in interest expense related to portions of our long-term debt and certain adjustable-rate securitization entity liabilities that are included in our consolidated balance sheets for financial reporting purposes, we designated certain interest rate swaps as cash flow hedges. For the three months ended March 31, 2020 and 2019, changes in the values of designated cash flow hedges were negative $33 million and negative $6 million , respectively, and were recorded in Accumulated other comprehensive income, a component of equity. During the three months ended March 31, 2020, we terminated and settled all of our outstanding derivatives that had been designated as cash flow hedges with a payment of $84 million . For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $84 million and $51 million at March 31, 2020 and December 31, 2019 , respectively. We will amortize this loss into interest expense over the remaining term of the trust preferred securities and subordinated notes. The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three months ended March 31, 2020 and 2019 . Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended March 31, (In Thousands) 2020 2019 Net interest expense on cash flows hedges $ (860 ) $ (637 ) Realized net losses reclassified from other comprehensive income (79 ) — Total Interest Expense $ (939 ) $ (637 ) Derivative Counterparty Credit Risk As discussed in our Annual Report on Form 10-K for the year ended December 31, 2019 , we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At March 31, 2020 , we assessed this risk as remote and did not record a specific valuation adjustment. At March 31, 2020 , we were in compliance with our derivative counterparty ISDA agreements. |
Other Assets and Liabilities
Other Assets and Liabilities | 3 Months Ended |
Mar. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Liabilities | Other Assets and Liabilities Other assets at March 31, 2020 and December 31, 2019 are summarized in the following table. Table 12.1 – Components of Other Assets (In Thousands) March 31, 2020 December 31, 2019 Margin receivable $ 93,745 $ 209,776 Investment receivable 58,541 23,330 FHLBC stock 43,393 43,393 Pledged collateral 33,191 32,945 Right-of-use asset 16,375 11,866 REO 14,366 9,462 Fixed assets and leasehold improvements (1) 4,966 4,901 Other 30,776 12,590 Total Other Assets $ 295,353 $ 348,263 (1) Fixed assets and leasehold improvements had a basis of $12 million and accumulated depreciation of $7 million at March 31, 2020 . Accrued expenses and other liabilities at March 31, 2020 and December 31, 2019 are summarized in the following table. Table 12.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) March 31, 2020 December 31, 2019 Dividends payable $ 37,800 $ — Lease liability 18,072 13,443 Contingent consideration 14,819 28,484 Payable to minority partner 14,804 13,189 Guarantee obligations 13,395 14,009 Accrued compensation 9,582 33,888 Residential bridge loan holdbacks 9,066 10,682 Deferred tax liabilities 5,152 5,152 Residential loan and MSR repurchase reserve 4,460 4,268 Other 36,449 23,123 Total Accrued Expenses and Other Liabilities $ 163,599 $ 146,238 Refer to our Annual Report on Form 10-K for the year ended December 31, 2019 for additional descriptions of our other assets and liabilities. Margin Receivable and Payable Margin receivable and payable resulted from margin calls between us and our counterparties under derivatives, master repurchase agreements, and warehouse facilities, whereby we or the counterparty posted collateral. Through March 31, 2020, we had met all margin calls due. Dividends Payable Dividends payable of $38 million at March 31, 2020 represent cash dividends on our common stock and certain equity awards for the first quarter of 2020, which were paid on May 8, 2020 to shareholders of record on March 16, 2020. REO The carrying value of REO at March 31, 2020 was $14 million , which included $1 million of REO from our Legacy Sequoia entities, $7 million from our residential bridge loan portfolio, $1 million from our consolidated Freddie Mac SLST entities, and $5 million from CAFL entities. At March 31, 2020 , there were five REO assets at our Legacy Sequoia entities, four residential bridge loan REO assets, nine REO assets at our Freddie Mac SLST entities, and two REO assets at our CAFL entities recorded on our consolidated balance sheets. During the three months ended March 31, 2020 , transfers into REO included $1 million from Legacy Sequoia entities, a $1 million residential bridge loan, $1 million from Freddie Mac SLST entities, and $4 million from CAFL entities. During the three months ended March 31, 2020 , there were REO liquidations of $1 million , resulting in $0.5 million of unrealized losses which were recorded in Investment fair value changes, net, on our consolidated statements of income (loss). At December 31, 2019 , there were four REO assets at our Legacy Sequoia entities, four residential bridge loan REO assets, three REO assets at our Freddie Mac SLST entities, and two REO assets at our CAFL entities recorded on our consolidated balance sheets. |
Short-Term Debt
Short-Term Debt | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Short-Term Debt | Short-Term Debt We enter into repurchase agreements, bank warehouse agreements, and other forms of collateralized (and generally uncommitted) short-term borrowings with several banks and investment banking firms. At March 31, 2020 , we had outstanding agreements with several counterparties and we were in compliance with all of the related covenants. The table below summarizes our short-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information at March 31, 2020 and December 31, 2019 . Table 13.1 – Short-Term Debt March 31, 2020 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse (1) 4 $ 841,186 $ 1,525,000 2.38 % 10/2020-3/2021 312 Business purpose residential loan warehouse (2) 6 756,384 1,410,000 3.51 % 12/2020-5/2022 404 Real estate securities repo (1) 7 485,147 — 2.77 % 4/2020-6/2020 32 Total Short-Term Debt Facilities 17 2,082,717 Servicer advance financing 1 258,931 400,000 2.57 % 11/2020 244 Total Short-Term Debt $ 2,341,648 December 31, 2019 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse (1) 4 $ 185,894 $ 1,425,000 3.23 % 1/2020-10/2020 69 Business purpose residential loan warehouse (2) 8 814,118 1,475,000 4.11 % 12/2020-5/2022 489 Real estate securities repo (1) 10 1,176,579 — 2.94 % 1/2020-3/2020 23 Total Short-Term Debt Facilities 22 2,176,591 Servicer advance financing 1 152,554 400,000 3.56 % 11/2020 335 Total Short-Term Debt $ 2,329,145 (1) Borrowings under our facilities are generally charged interest based on a specified margin over the one-month LIBOR interest rate. At March 31, 2020 and December 31, 2019, all of these borrowings were under uncommitted facilities and were due within 364 days (or less) of the borrowing date. (2) Due to the revolving nature of the borrowings under these facilities, we have classified these facilities as short-term debt at March 31, 2020 . Borrowings under these facilities will be repaid as the underlying loans mature or are sold to third parties or transferred to securitizations. The following table below presents the value of loans, securities, and other assets pledged as collateral under our short-term debt facilities at March 31, 2020 and December 31, 2019 . Table 13.2 – Collateral for Short-Term Debt (In Thousands) March 31, 2020 December 31, 2019 Collateral Type Held-for-sale residential loans $ 881,607 $ 201,949 Business purpose residential loans 908,712 988,179 Real estate securities On balance sheet 78,909 618,881 Sequoia Choice securitizations (1) 51,026 111,341 Freddie Mac SLST securitizations (1) 307,175 381,640 Freddie Mac K-Series securitizations (1) 22,785 252,284 CAFL securitizations (1) — 127,840 Total real estate securities owned 459,895 1,491,986 Other assets (2) 106,467 16,252 Total Collateral for Short-Term Debt $ 2,356,681 $ 2,698,366 (1) Represents securities we have retained from consolidated securitization entities. For GAAP purposes, we consolidate the loans and non-recourse ABS debt issued from these securitizations. (2) In addition to securities that serve as collateral for our securities repo borrowings, we had posted $74 million of cash collateral as margin with our borrowing counterparties and had trade receivables from third parties of $32 million related to securities sold in March 2020, which settled in April 2020. For the three months ended March 31, 2020 and 2019, the average balances of our short-term debt facilities were $1.74 billion and $1.61 billion , respectively. At March 31, 2020 and December 31, 2019 , accrued interest payable on our short-term debt facilities was $4 million and $6 million , respectively. Servicer advance financing consists of non-recourse short-term securitization debt used to finance servicer advance investments. We consolidate the securitization entity that issued the debt, but the entity is independent of Redwood and the assets and liabilities are not owned by and are not legal obligations of Redwood. At March 31, 2020 , the fair value of servicer advances, cash and restricted cash collateralizing the securitization financing was $297 million . At March 31, 2020 , the accrued interest payable balance on this financing was $0.2 million and the unamortized capitalized commitment costs were $1 million . We also maintain a $10 million committed line of credit with a financial institution that is secured by certain mortgage-backed securities with a fair market value of $3 million at March 31, 2020 . At both March 31, 2020 and December 31, 2019 , we had no outstanding borrowings on this facility. Remaining Maturities of Short-Term Debt The following table presents the remaining maturities of our secured short-term debt by the type of collateral securing the debt as well as our convertible notes at March 31, 2020 . Table 13.3 – Short-Term Debt by Collateral Type and Remaining Maturities March 31, 2020 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ — $ 841,186 $ 841,186 Business purpose residential loans — — 756,384 756,384 Real estate securities 260,035 225,112 — 485,147 Total Secured Short-Term Debt 260,035 225,112 1,597,570 2,082,717 Servicer advance financing — — 258,931 258,931 Total Short-Term Debt $ 260,035 $ 225,112 $ 1,856,501 $ 2,341,648 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | Asset-Backed Securities Issued The carrying values of ABS issued by our consolidated securitization entities at March 31, 2020 and December 31, 2019 , along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued March 31, 2020 Legacy Sequoia Sequoia Choice Freddie Mac SLST Freddie Mac K-Series CAFL Total (Dollars in Thousands) Certificates with principal balance $ 398,352 $ 1,776,396 $ 1,800,218 $ 418,212 $ 2,141,434 $ 6,534,612 Interest-only certificates 1,356 10,862 24,782 14,383 93,801 145,184 Market valuation adjustments (87,507 ) 2,836 — 15,104 (148,365 ) (217,932 ) ABS Issued, Net $ 312,201 $ 1,790,094 $ 1,825,000 $ 447,699 $ 2,086,870 $ 6,461,864 Range of weighted average interest rates, by series 1.81% to 2.91% 4.37% to 5.04% 3.50 % 3.53 % 3.22% to 5.22% Stated maturities 2024 - 2036 2047 - 2049 2028 - 2029 2025 2022 - 2048 Number of series 20 9 2 1 11 December 31, 2019 Legacy Sequoia Sequoia Freddie Mac SLST Freddie Mac K-Series CAFL Total (Dollars in Thousands) Certificates with principal balance $ 420,056 $ 1,979,719 $ 1,842,682 $ 3,844,789 $ 1,875,007 $ 9,962,253 Interest-only certificates 1,282 16,514 30,291 217,891 90,134 356,112 Market valuation adjustments (18,873 ) 40,965 45,349 93,559 36,110 197,110 ABS Issued, Net $ 402,465 $ 2,037,198 $ 1,918,322 $ 4,156,239 $ 2,001,251 $ 10,515,475 Range of weighted average interest rates, by series 1.94% to 3.26% 4.40% to 5.05% 3.50 % 3.35% to 4.35% 3.25% to 5.36% Stated maturities 2024 - 2036 2047 - 2049 2028 - 2029 2025 - 2049 2022 - 2048 Number of series 20 9 2 5 10 The actual maturity of each class of ABS issued is primarily determined by the rate of principal prepayments on the assets of the issuing entity. Each series is also subject to redemption prior to the stated maturity according to the terms of the respective governing documents of each ABS issuing entity. As a result, the actual maturity of ABS issued may occur earlier than its stated maturity. At March 31, 2020 , the majority of the ABS issued and outstanding had contractual maturities beyond five years . See Note 4 for detail on the carrying value components of the collateral for ABS issued and outstanding. The following table summarizes the accrued interest payable on ABS issued at March 31, 2020 and December 31, 2019 . Interest due on consolidated ABS issued is payable monthly. Table 14.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) March 31, 2020 December 31, 2019 Legacy Sequoia $ 351 $ 395 Sequoia Choice 6,920 7,732 Freddie Mac SLST 5,251 5,374 Freddie Mac K-Series 1,230 12,887 CAFL 8,078 7,298 Total Accrued Interest Payable on ABS Issued $ 21,830 $ 33,686 |
Long-Term Debt
Long-Term Debt | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Long-Term Debt Refer to our Annual Report on Form 10-K for the year ended December 31, 2019 for a full description of our long-term debt. FHLBC Borrowings At March 31, 2020 , $1.37 billion of advances were outstanding under our FHLBC borrowing agreement, with a weighted average interest rate of 1.31% and a weighted average maturity of approximately five years . At December 31, 2019 , $2.00 billion of advances were outstanding under this agreement, which were classified as long-term debt, with a weighted average interest rate of 1.88% and a weighted average maturity of six years . During the three months ended March 31, 2020, we repaid $632 million of our FHLBC borrowings. At March 31, 2020 , total advances under this agreement were secured by residential mortgage loans with a fair value of $1.43 billion , single-family rental loans with a fair value of $248 million , and $1 million of restricted cash. This agreement also requires our subsidiary to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. At March 31, 2020 , our subsidiary held $43 million of FHLBC stock that is included in Other assets in our consolidated balance sheets. The following table presents maturities of our FHLBC borrowings by year at March 31, 2020 . Table 15.1 – Maturities of FHLBC Borrowings by Year (In Thousands) March 31, 2020 2024 $ 470,171 2025 481,686 2026 415,824 Total FHLBC Borrowings $ 1,367,681 Subordinate Securities Financing Facilities In 2019, a subsidiary of Redwood entered into a repurchase agreement providing non-mark-to-market recourse debt financing of certain Sequoia securities as well as securities retained from our consolidated Sequoia Choice securitizations. In the first quarter of 2020, a subsidiary of Redwood entered into a second repurchase agreement with similar terms to provide non mark-to-market recourse debt financing of certain securities retained form our consolidated CAFL securitizations. The financing is fully and unconditionally guaranteed by Redwood, with an interest rate of approximately 4.21% through February 2023. The financing facility may be terminated, at our option, in February 2023, and has a final maturity in February 2025, provided that the interest rate on amounts outstanding under the facility increases between March 2023 and February 2025. At March 31, 2020 , we had borrowings under these facilities totaling $287 million , net of $2 million of deferred issuance costs, for a carrying value of $286 million . At March 31, 2020 , the fair value of real estate securities pledged as collateral under these long-term debt facilities was $258 million , which included $155 million of Sequoia securities and securities retained from our Sequoia Choice securitizations and $103 million of securities retained from our consolidated CAFL securitizations, respectively. Secured Revolving Debt Facility In the first quarter of 2020, a subsidiary of Redwood entered into a secured revolving debt facility agreement collateralized by MSRs and certificated mortgage servicing rights. Borrowings under this facility will accrue interest at per annum rates equal to one-month LIBOR plus 2.75% through January 2021, with an increase in rate between February 2021 and the maturity of the facility in January 2022. This facility has an aggregate maximum borrowing capacity of $50 million . Borrowings under this facility totaled $30 million at March 31, 2020. At March 31, 2020, $49 million of MSRs and certificated servicing rights were pledged as collateral under this facility. Convertible Notes At March 31, 2020 , we had $201 million principal amount outstanding of 5.75% exchangeable senior notes due 2025 . At March 31, 2020, the accrued interest payable balance on this debt was $6 million and the unamortized deferred issuance costs were $6 million . At March 31, 2020 we had $200 million principal amount outstanding of 5.625% convertible senior notes due 2024 . At March 31, 2020, the accrued interest payable on this debt was $2 million , the unamortized deferred issuance costs were $4 million , and the debt discount was $1 million . At March 31, 2020 , we had $245 million principal amount outstanding of 4.75% convertible senior notes due 2023 . At March 31, 2020, the accrued interest payable balance on this debt was $1 million and the unamortized deferred issuance costs were $4 million . Trust Preferred Securities and Subordinated Notes At March 31, 2020 , we had trust preferred securities and subordinated notes outstanding of $100 million and $40 million , respectively. At both March 31, 2020 and December 31, 2019 , the accrued interest payable balance on our trust preferred securities and subordinated notes was $1 million |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At March 31, 2020 , we were obligated under seven non-cancelable operating leases with expiration dates through 2031 for $22 million of cumulative lease payments. Our operating lease expense was $1 million for both three -month periods ended March 31, 2020 and 2019. The following table presents our future lease commitments at March 31, 2020 . Table 16.1 – Future Lease Commitments by Year (In Thousands) March 31, 2020 2020 (9 months) $ 2,776 2021 3,104 2022 2,597 2023 2,087 2024 2,095 2025 9,214 Total Lease Commitments 21,873 Less: Imputed interest (3,801 ) Lease Liability $ 18,072 During the three months ended March 31, 2020, we entered into three new office leases and determined that each of these leases qualified as operating leases. At March 31, 2020 , our lease liability was $18 million , which was a component of Accrued expenses and other liabilities, and our right-of-use asset was $16 million , which was a component of Other assets. We determined that none of our leases contained an implicit interest rate and used a discount rate equal to our incremental borrowing rate on a collateralized basis to determine the present value of our total lease payments. As such, we determined the applicable discount rate for each of our leases using a swap rate plus an applicable spread for borrowing arrangements secured by our real estate loans and securities for a length of time equal to the remaining lease term on the date of adoption. At March 31, 2020 , the weighted-average remaining lease term and weighted-average discount rate for our leases was 8 years and 4.9% , respectively. Commitment to Fund Residential Bridge Loans As of March 31, 2020 , we had commitments to fund up to $223 million of additional advances on existing residential bridge loans. These commitments are generally subject to loan agreements with covenants regarding the financial performance of the customer and other terms regarding advances that must be met before we fund the commitment. At March 31, 2020, we recorded a $4 million derivative liability related to these commitments to fund construction advances (see Note 7 for additional detail). We may also advance funds related to loans sold under a separate loan sale agreement that are generally repaid immediately by the loan purchaser and do not generally expose us to loss. The outstanding commitments related to these loans that we may temporarily fund totaled approximately $44 million at March 31, 2020 . Commitment to Fund Partnerships In the fourth quarter of 2018, we invested in two partnerships created to acquire and manage certain mortgage servicing related assets (see Note 10 for additional detail). In connection with this investment, we are required to fund future net servicer advances related to the underlying mortgage loans. The actual amount of net servicer advances we may fund in the future is subject to significant uncertainty and will be based on the credit and prepayment performance of the underlying loans. In the first quarter of 2019, we invested in a partnership created to acquire floating rate, light-renovation multifamily loans from Freddie Mac (see Note 10 for additional detail). At March 31, 2020 , we had an outstanding commitment to fund an additional $24 million to the partnership. Additionally, in connection with this transaction, we have made a guarantee to Freddie Mac in the event of losses incurred on the loans that exceed the equity available in the partnership to absorb such losses. At March 31, 2020 , the carrying value of this guarantee was $0.1 million . We believe the likelihood of performance under the guarantee is remote. Our maximum loss exposure from this guarantee arrangement is $135 million less the value of securities collateralizing our partner's portion of the partnership's guarantee obligations. 5 Arches Contingent Consideration As part of the consideration for our acquisition of 5 Arches, we were committed to make earn-out payments up to $29 million , payable in a mix of cash and Redwood common stock. These contingent earn-out payments were classified as a contingent consideration liability and carried at fair value prior to March 31, 2020. During the three months ended March 31, 2020, we made a cash payment of $11 million and granted $3 million of Redwood common stock in connection with the first anniversary of the purchase date. Additionally, as a result of an amendment to the agreement, we reclassified the contingent liability to a deferred liability, as the remaining payments became payable on a set timetable without any remaining contingencies. At March 31, 2020 , the balance of this liability was $15 million , which will be paid in a mix of cash and common stock in March 2021. Commitment to Fund Shared Home Appreciation Options In the third quarter of 2019, we entered into a flow purchase agreement to acquire shared home appreciation options. The counterparty purchases an option to buy a fractional interest in a homeowner's ownership interest in residential property, and subsequently the counterparty sells the option contract to us. Pursuant to the terms of the option contract, we share in both home price appreciation and depreciation. At March 31, 2020 , we had acquired $47 million of shared home appreciation options under this agreement, which are included in Other investments on our consolidated balance sheets. At March 31, 2020 , we had an outstanding commitment to fund up to an additional $3 million under this agreement. Loss Contingencies — Risk-Sharing During 2015 and 2016, we sold conforming loans to the Agencies with an original unpaid principal balance of $3.19 billion , subject to our risk-sharing arrangements with the Agencies. At March 31, 2020 , the maximum potential amount of future payments we could be required to make under these arrangements was $44 million and this amount was fully collateralized by assets we transferred to pledged accounts and is presented as pledged collateral in Other assets on our consolidated balance sheets. We have no recourse to any third parties that would allow us to recover any amounts related to our obligations under the arrangements. At March 31, 2020 , we had not incurred any losses under these arrangements. For the three months ended March 31, 2020 and 2019, other income related to these arrangements was $1 million for both periods, and net market valuation losses related to these investments were $0.5 million and $0.1 million , respectively. All of the loans in the reference pools subject to these risk-sharing arrangements were originated in 2014 and 2015, and at March 31, 2020 , the loans had an unpaid principal balance of $1.47 billion and a weighted average FICO score of 759 (at origination) and LTV ratio of 76% (at origination). At March 31, 2020 , $6 million of the loans were 90 days or more delinquent, of which $1 million were in foreclosure. At March 31, 2020 , the carrying value of our guarantee obligation was $13 million and included $5 million designated as a non-amortizing credit reserve, which we believe is sufficient to cover current expected losses under these obligations. Our consolidated balance sheets include assets of special purpose entities ("SPEs") associated with these risk-sharing arrangements (i.e., the "pledged collateral" referred to above) that can only be used to settle obligations of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of such SPEs totaled $47 million and $48 million , respectively, and liabilities of such SPEs totaled $13 million and $14 million , respectively. Loss Contingencies — Residential Repurchase Reserve We maintain a repurchase reserve for potential obligations arising from representation and warranty violations related to residential loans we have sold to securitization trusts or third parties and for conforming residential loans associated with MSRs that we have purchased from third parties. We do not originate residential loans and we believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, for example, where loans were acquired from companies that have since become insolvent, repurchase claims may result in our being liable for a repurchase obligation. At both March 31, 2020 and December 31, 2019 , our repurchase reserve associated with our residential loans and MSRs was $4 million and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. We received three and four repurchase requests during the three months ended March 31, 2020 and 2019, respectively, and did no t repurchase any loans during either of these periods. During the three months ended March 31, 2020 and 2019, we recorded repurchase provisions of $0.2 million and $0.1 million , respectively, that were recorded in Mortgage banking activities, net and Other income on our consolidated statements of income (loss). Loss Contingencies — Litigation There is no significant update regarding the litigation matters described in Note 16 within the financial statements included in Redwood’s Annual Report on Form 10-K for the year ended December 31, 2019 under the heading “Loss Contingencies - Litigation.” In addition to those matters, in connection with the impact of the effects of the pandemic on the non-Agency mortgage finance market and on our business and operations, we became more selective in making residential loan purchases. These actions have impacted our relationships with certain of the counterparties that have regularly sold residential mortgage loans to us and, in some cases, these counterparties have alleged that we have breached perceived obligations to them, and requested or demanded that we purchase loans from them and/or compensate them for perceived damages resulting from our decision not to purchase certain loans from them. One such counterparty has filed a breach of contract lawsuit against us alleging that it has suffered in excess of $2 million of losses as a result of our alleged failure to purchase residential mortgage loans from it. We may become subject to additional litigation and claims from these counterparties or other counterparties that are similarly situated (“Residential Loan Seller Claims”), which could have a material adverse effect on our reputation, business, financial condition, results of operations and cash flows. We believe that any such Residential Loan Seller Claims are without merit or subject to defenses and we intend to defend vigorously any such actions to which we become a party. In the ordinary course of evaluating and responding to any request, demand, claim or litigation, including in the case of certain of the Residential Loan Seller Claims, we have engaged and may engage in formal or informal resolution or settlement communications with certain counterparties. While we have not engaged in any formal or informal resolution or settlement communications with respect to Residential Loan Seller Claims that have caused us to determine that a material loss from these matters is probable, communications, including demands, we have received from certain counterparties since mid-March 2020 relating to certain Residential Loan Seller Claims, are a factor that has contributed to our concluding that we can estimate a range of reasonably possible losses with respect to Residential Loan Seller Claims we have received. Accordingly, with respect to Residential Loan Seller Claims we have received, we estimate that the aggregate range of reasonably possible losses with respect to such Residential Loan Seller Claims is between zero and $10 million . However, future developments (including receipt of additional information and documents relating to these matters, new or additional resolution or settlement communications relating to these matters, resolutions of similar claims against other industry participants in similar circumstances, or receipt of additional Residential Loan Seller Claims) could result in our concluding in the future to establish loss contingency reserves or modify our aggregate range of reasonably possible losses with respect to these matters. Our actual losses, and any loss contingency reserves we may establish in the future, relating to Residential Loan Seller Claims may be materially higher than the aggregate range of reasonably possible losses we have estimated above, including in the event that any of these matters proceed to trial and result in a judgment against us. We cannot be certain that any of these matters will be resolved through a resolution or settlement prior to trial and we cannot be certain that the resolution of these matters, whether through trial, settlement, or otherwise, will not have a material adverse effect on our financial condition or results of operations in any future period. In accordance with GAAP, we review the need for any loss contingency reserves and establish reserves when, in the opinion of management, it is probable that a matter would result in a liability and the amount of loss, if any, can be reasonably estimated. Additionally, we record receivables for insurance recoveries relating to litigation-related losses and expenses if and when such amounts are covered by insurance and recovery of such losses or expenses are due. At March 31, 2020 , the aggregate amount of loss contingency reserves established in respect of the FHLB-Seattle and Schwab litigation matters described in our Annual Report on Form 10-K for the year ended December 31, 2019 was $2 million . We review our litigation matters each quarter to assess these loss contingency reserves and make adjustments in these reserves, upwards or downwards, as appropriate, in accordance with GAAP based on our review. In the ordinary course of any litigation matter, including certain of the above-referenced matters, we have engaged and may continue to engage in formal or informal settlement communications with the plaintiffs or co-defendants. Settlement communications we have engaged in relating to certain of the above-referenced litigation matters are one of the factors that have resulted in our determination to establish the loss contingency reserves described above. We cannot be certain that any of these matters will be resolved through a settlement prior to trial and we cannot be certain that the resolution of these matters, whether through trial or settlement, will not have a material adverse effect on our financial condition or results of operations in any future period. Future developments (including resolution of substantive pre-trial motions relating to these matters, receipt of additional information and documents relating to these matters (such as through pre-trial discovery), new or additional settlement communications with plaintiffs relating to these matters, or resolutions of similar claims against other defendants in these matters) could result in our concluding in the future to establish additional loss contingency reserves or to disclose an estimate of reasonably possible losses in excess of our established reserves with respect to these matters. Our actual losses with respect to the above-referenced litigation matters may be materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters, including in the event that any of these matters proceeds to trial and the plaintiff prevails. Other factors that could result in our concluding to establish additional loss contingency reserves or estimate additional reasonably possible losses, or could result in our actual losses with respect to the above-referenced litigation matters being materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters include that: there are significant factual and legal issues to be resolved; information obtained or rulings made during the lawsuits could affect the methodology for calculation of the available remedies; and we may have additional obligations pursuant to indemnity agreements, representations and warranties, and other contractual provisions with other parties relating to these litigation matters that could increase our potential losses. |
Equity
Equity | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income by component for the three months ended March 31, 2020 and 2019 . During the three months ended March 31, 2020, the net unrealized losses recognized on our Level 3 AFS securities which we own as of March 31, 2020 totaled $81 million . Table 17.1 – Changes in Accumulated Other Comprehensive Income by Component Three Months Ended March 31, 2020 Three Months Ended March 31, 2019 (In Thousands) Net Unrealized Gains on Available-for-Sale Securities Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges Net Unrealized Gains on Available-for-Sale Securities Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges Balance at beginning of period $ 92,452 $ (50,939 ) $ 95,342 $ (34,045 ) Other comprehensive income (loss) before reclassifications (1) (80,519 ) (32,806 ) 6,718 (5,838 ) Amounts reclassified from other accumulated comprehensive income (13,798 ) 79 (9,493 ) — Net current-period other comprehensive income (loss) (94,317 ) (32,727 ) (2,775 ) (5,838 ) Balance at End of Period $ (1,865 ) $ (83,666 ) $ 92,567 $ (39,883 ) The following table provides a summary of reclassifications out of accumulated other comprehensive income for the three months ended March 31, 2020 and 2019 . Table 17.2 – Reclassifications Out of Accumulated Other Comprehensive Income Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Three Months Ended March 31, (In Thousands) Income Statement 2020 2019 Net Realized (Gain) Loss on AFS Securities Credit loss expense on AFS securities Investment fair value changes, net $ 1,525 $ — Gain on sale of AFS securities Realized gains, net (15,323 ) (9,493 ) $ (13,798 ) $ (9,493 ) Issuance of Common Stock In 2018, we established a program to sell up to an aggregate of $150 million of common stock from time to time in at-the-market ("ATM") offerings. During the three months ended March 31, 2020 , we issued 129,500 common shares for net proceeds of approximately $2 million through ATM offerings. At March 31, 2020 , approximately $85 million remained outstanding for future offerings under this program. Direct Stock Purchase and Dividend Reinvestment Plan During the three months ended March 31, 2020 , we did no t issue any shares of common stock through our Direct Stock Purchase and Dividend Reinvestment Plan. During the three months ended March 31, 2019, we issued 399,838 shares of common stock through our Direct Stock Purchase and Dividend Reinvestment Plan, resulting in net proceeds of approximately $6 million . (Loss) Earnings per Common Share The following table provides the basic and diluted (loss) earnings per common share computations for the three months ended March 31, 2020 and 2019 . Table 17.3 – Basic and Diluted (Loss) Earnings per Common Share Three Months Ended March 31, (In Thousands, except Share Data) 2020 2019 Basic (Loss) Earnings per Common Share: Net (loss) income attributable to Redwood $ (943,398 ) $ 54,464 Less: Dividends and undistributed earnings allocated to participating securities (1,209 ) (1,539 ) Net (loss) income allocated to common shareholders $ (944,607 ) $ 52,925 Basic weighted average common shares outstanding 114,076,568 92,685,350 Basic (Loss) Earnings per Common Share $ (8.28 ) $ 0.57 Diluted (Loss) Earnings per Common Share: Net (loss) income attributable to Redwood $ (943,398 ) $ 54,464 Less: Dividends and undistributed earnings allocated to participating securities (1,209 ) (1,539 ) Add back: Interest expense on convertible notes for the period, net of tax — 8,687 Net (loss) income allocated to common shareholders $ (944,607 ) $ 61,612 Weighted average common shares outstanding 114,076,568 92,685,350 Net effect of dilutive equity awards — 150,170 Net effect of assumed convertible notes conversion to common shares — 33,442,640 Diluted weighted average common shares outstanding 114,076,568 126,278,160 Diluted (Loss) Earnings per Common Share $ (8.28 ) $ 0.49 We included participating securities, which are certain equity awards that have non-forfeitable dividend participation rights, in the calculations of basic and diluted earnings per common share as we determined that the two-class method was more dilutive than the alternative treasury stock method for these shares. Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances. During the three months ended March 31, 2019 , our convertible notes were determined to be dilutive and were included in the calculation of diluted EPS under the "if-converted" method. Under this method, the periodic interest expense (net of applicable taxes) for dilutive notes is added back to the numerator and the weighted average number of shares that the notes are entitled to (if converted, regardless of whether they are in or out of the money) are included in the denominator. For the three months ended March 31, 2020, 35,435,019 of common shares related to the assumed conversion of our convertible notes were antidilutive and were excluded in the calculation of diluted earnings per share. For the three months ended March 31, 2020 and 2019, the number of outstanding equity awards that were antidilutive totaled 21,249 and 7,376 , respectively. Stock Repurchases In February 2018, our Board of Directors approved an authorization for the repurchase of our common stock, increasing the total amount authorized for repurchases of common stock to $100 million , and also authorized the repurchase of outstanding debt securities, including convertible and exchangeable debt. T his authorization increased the previous share repurchase authorization approved in February 2016 and has no expiration date. This repurchase authorization does not obligate us to acquire any specific number of shares or securities. Under this authorization, shares or securities may be repurchased in privately negotiated and/or open market transactions, including under plans complying with Rule 10b5-1 under the Securities Exchange Act of 1934, as amended. At March 31, 2020 , $100 million of the current authorization remained available for the repurchase of shares of our common stock and we also continued to be authorized to repurchase outstanding debt securities. |
Equity Compensation Plans
Equity Compensation Plans | 3 Months Ended |
Mar. 31, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans At March 31, 2020 and December 31, 2019 , 3,326,806 and 3,637,480 shares of common stock, respectively, were available for grant under our Incentive Plan. The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $32 million at March 31, 2020 , as shown in the following table. Table 18.1 – Activities of Equity Compensation Costs by Award Type Three Months Ended March 31, 2020 (In Thousands) Restricted Stock Awards Restricted Stock Units Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 1,990 $ 3,534 $ 17,858 $ 8,946 $ — $ 32,328 Equity grants 5 3,352 5,480 — 160 8,997 Performance-based valuation adjustment — — — (7,352 ) — (7,352 ) Equity grant forfeitures (24 ) (114 ) — — — (138 ) Equity compensation expense (344 ) (347 ) (1,993 ) 729 (40 ) (1,995 ) Unrecognized Compensation Cost at End of Period $ 1,627 $ 6,425 $ 21,345 $ 2,323 $ 120 $ 31,840 At March 31, 2020 , the weighted average amortization period remaining for all of our equity awards was two years . Restricted Stock Awards ("RSAs") At March 31, 2020 and December 31, 2019 , there were 113,836 and 216,470 shares, respectively, of RSAs outstanding. Restrictions on these shares lapse through 2022 . During the three months ended March 31, 2020 , there were no RSAs granted, restrictions on 101,063 RSAs lapsed and those shares were distributed, and 1,571 RSAs were forfeited. Restricted Stock Units ("RSUs") At March 31, 2020 and December 31, 2019 , there were 409,311 and 275,173 shares, respectively, of RSUs outstanding. Restrictions on these shares lapse through 2024 . During the three months ended March 31, 2020 , there were 190,624 RSUs granted, 49,385 RSUs distributed, and 7,101 RSUs forfeited. Deferred Stock Units (“DSUs”) At March 31, 2020 and December 31, 2019 , there were 2,721,349 and 2,630,805 DSUs, respectively, outstanding of which 1,218,304 and 1,286,063 , respectively, had vested. During the three months ended March 31, 2020 , there were 310,473 DSUs granted, 219,929 DSUs distributed, and no DSUs forfeited. Unvested DSUs at March 31, 2020 vest through 2024 . Performance Stock Units (“PSUs”) At both March 31, 2020 and December 31, 2019 , the target number of PSUs that were unvested was 839,070 . Vesting for all PSUs will generally occur at the end of three years from their grant date based on various TSR performance calculations, as discussed in our Annual Report on Form 10-K for the year ended December 31, 2019 . During the three months ended March 31, 2020, we adjusted our vesting estimate of certain PSUs to reflect updated assumptions regarding performance-based vesting and recorded a reversal of $1 million of stock-based compensation expense recorded in prior quarters. Employee Stock Purchase Plan ("ESPP") The ESPP allows a maximum of 600,000 shares of common stock to be purchased in aggregate for all employees. As of March 31, 2020 and December 31, 2019 , 452,021 and 430,772 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at March 31, 2020 . |
Mortgage Banking Activities, Ne
Mortgage Banking Activities, Net | 3 Months Ended |
Mar. 31, 2020 | |
Mortgage Banking [Abstract] | |
Mortgage Banking Activities, Net | Mortgage Banking Activities, Net The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income (loss) for the three months ended March 31, 2020 and 2019 . Table 19.1 – Mortgage Banking Activities Three Months Ended March 31, (In Thousands) 2020 2019 Residential Mortgage Banking Activities, Net Changes in fair value of: Residential loans, at fair value (1) $ 7,955 $ 14,844 Risk management derivatives (2) (31,294 ) (4,138 ) Other income, net (3) 258 121 Total residential mortgage banking activities, net (23,081 ) 10,827 Business Purpose Mortgage Banking Activities, Net: Changes in fair value of: Single-family rental loans, at fair value (1) 11,808 1,744 Risk management derivatives (2) (21,538 ) (846 ) Residential bridge loans, at fair value (3,934 ) 86 Other income, net (4) 8,334 498 Total business purpose mortgage banking activities, net (5,330 ) 1,482 Mortgage Banking Activities, Net $ (28,411 ) $ 12,309 (1) For residential loans, includes changes in fair value for associated loan purchase and forward sale commitments. For single-family rental loans, includes changes in fair value for associated interest rate lock commitments. (2) Represents market valuation changes of derivatives that were used to manage risks associated with our accumulation of loans. (3) Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. (4) Amounts in this line item include other fee income from loan originations. |
Investment Fair Value Changes,
Investment Fair Value Changes, Net | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Fair Value Changes, Net | Investment Fair Value Changes, Net The following table presents the components of Investment fair value changes, net, recorded in our consolidated statements of income (loss) for the three months ended March 31, 2020 and 2019 . Table 20.1 – Investment Fair Value Changes Three Months Ended March 31, (In Thousands) 2020 2019 Investment Fair Value Changes, Net Changes in fair value of: Residential loans held-for-investment at Redwood $ (93,636 ) $ 28,108 Single-family rental loans held-for-investment (23,028 ) — Residential bridge loans held-for-investment (38,602 ) (303 ) Trading securities (263,325 ) 21,860 Servicer advance investments (6,062 ) 1,008 Excess MSRs (9,494 ) (437 ) Shared home appreciation options (7,554 ) — REO (498 ) — Net investments in Legacy Sequoia entities (1) (391 ) (374 ) Net investments in Sequoia Choice entities (1) (69,669 ) 3,265 Net investments in Freddie Mac SLST entities (1) (142,162 ) 6,365 Net investments in Freddie Mac K-Series entities (1) (86,509 ) 3,119 Net investments in CAFL entities (1) (67,846 ) — Risk-sharing and other investments (1,389 ) (77 ) Risk management derivatives, net (59,142 ) (42,375 ) Credit losses on AFS securities (1,525 ) — Investment Fair Value Changes, Net $ (870,832 ) $ 20,159 (1) Includes changes in fair value of the loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs. For certain Freddie Mac K-Series entities, includes the impact of sales of underlying securities and subsequent deconsolidation of these entities for the three months ended March 31, 2020. For the three months ended March 31, 2020, Investment fair value changes, net includes $274 million of net realized losses associated with the sales of loans and securities and the settlement of derivatives. These realized amounts included, among other items, $129 million associated with trading securities, $72 million associated with investments in Freddie Mac K-Series entities, and $59 million associated with risk management derivatives. The remaining changes, totaling $597 million , were unrealized and associated with assets and liabilities we continued to hold at March 31, 2020. |
Other Income
Other Income | 3 Months Ended |
Mar. 31, 2020 | |
Other Income and Expenses [Abstract] | |
Other Income | Other Income The following table presents the components of Other income recorded in our consolidated statements of income (loss) for the three months ended March 31, 2020 and 2019 . Table 21.1 – Other Income Three Months Ended March 31, (In Thousands) 2020 2019 MSR (loss) income, net $ (1,809 ) $ 257 Risk share income 765 646 FHLBC capital stock dividend 547 547 Equity investment income 848 268 5 Arches loan administration fee income 870 466 Gain on re-measurement of investment in 5 Arches — 2,441 Other 1,216 — Other Income $ 2,437 $ 4,625 |
General and Administrative Expe
General and Administrative Expenses and Other Expenses | 3 Months Ended |
Mar. 31, 2020 | |
Other Income and Expenses [Abstract] | |
General and Administrative Expenses and Other Expenses | General and Administrative Expenses and Other Expenses Components of our general and administrative, and other expenses for the three months ended March 31, 2020 and 2019 are presented in the following table. Table 22.1 – Components of General and Administrative Expenses and Other Expenses Three Months Ended March 31, (In Thousands) 2020 2019 General and Administrative Expenses Fixed compensation expense $ 14,684 $ 8,097 Variable compensation expense 11 4,402 Equity compensation expense 1,995 2,953 Acquisition-related equity compensation expense (1) 1,212 — Systems and consulting 3,212 1,828 Loan acquisition costs (2) 4,726 1,585 Office costs 2,108 1,304 Accounting and legal 2,216 1,125 Corporate costs 671 674 Other operating expenses 1,833 1,191 Total General and Administrative Expenses 32,668 23,159 Other Expenses Goodwill impairment expense 88,675 — Amortization of purchase-related intangible assets 4,309 811 Contingent consideration expense (3) 312 — Other (1,881 ) 227 Total Other Expenses 91,415 1,038 Total General and Administrative Expenses and Other Expenses $ 124,083 $ 24,197 (1) Acquisition-related equity compensation expense relates to 588,260 shares of restricted stock that were issued to members of CoreVest management as a component of the consideration paid to them for our purchase of their interests in CoreVest. The grant date fair value of these restricted stock awards was $10 million , which will be recognized as compensation expense over the two-year vesting period on a straight-line basis in accordance with GAAP. (2) Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value as well as employee commissions related to our business purpose loan originations. (3) Contingent consideration expense relates to the acquisition of 5 Arches during 2019. Refer to Note 2 for additional detail. |
Taxes
Taxes | 3 Months Ended |
Mar. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Taxes | Taxes For the three months ended March 31, 2020 and 2019 , we recognized a benefit for income taxes of $22 million and a provision from income taxes of $1 million , respectively. The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at March 31, 2020 and 2019 . Table 23.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate March 31, 2020 March 31, 2019 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of Federal tax effect 8.6 % 8.6 % Differences in taxable (loss) income from GAAP income (25.9 )% (8.5 )% Change in valuation allowance (2.5 )% (4.1 )% Dividends paid deduction 1.1 % (15.4 )% Effective Tax Rate 2.3 % 1.6 % We assessed our tax positions for all open tax years (i.e., Federal, 2016 to 2020, and State, 2015 to 2020) at March 31, 2020 and December 31, 2019 , and concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. |
Segment Information
Segment Information | 3 Months Ended |
Mar. 31, 2020 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information Redwood operates in four segments: Residential Lending, Business Purpose Lending, Multifamily Investments, and Third-Party Residential Investments. For a full description of our segments, see Part I, Item 1—Business in our Annual Report on Form 10-K for the year ended December 31, 2019 . Segment contribution represents the measure of profit that management uses to assess the performance of our business segments and make resource allocation and operating decisions. Certain corporate expenses not directly assigned or allocated to one of our four segments, as well as activity from certain consolidated Sequoia entities, are included in the Corporate/Other column as reconciling items to our consolidated financial statements. These unallocated corporate expenses primarily include indirect general and administrative expenses and other expense. The following tables present financial information by segment for the three months ended March 31, 2020 and 2019 . Table 24.1 – Business Segment Financial Information Three Months Ended March 31, 2020 (In Thousands) Residential Lending Business Purpose Lending Multifamily Investments Third-Party Residential Investments Corporate/ Other Total Interest income $ 60,631 $ 53,060 $ 46,883 $ 34,313 $ 3,194 $ 198,081 Interest expense (41,402 ) (34,990 ) (43,286 ) (24,471 ) (2,522 ) (146,671 ) Net interest income 19,229 18,070 3,597 9,842 672 51,410 Non-interest income Mortgage banking activities, net (23,081 ) (5,330 ) — — — (28,411 ) Investment fair value changes, net (196,635 ) (142,130 ) (227,122 ) (304,436 ) (509 ) (870,832 ) Other income (497 ) 1,693 1,240 1 — 2,437 Realized gains, net 1,796 — (1,604 ) 3,660 — 3,852 Total non-interest income, net (218,417 ) (145,767 ) (227,486 ) (300,775 ) (509 ) (892,954 ) General and administrative expenses (5,632 ) (14,333 ) (610 ) (1,178 ) (10,915 ) (32,668 ) Other expenses — (92,985 ) — 1,882 (312 ) (91,415 ) Benefit from (provision for) income taxes 5,330 6,582 (106 ) 10,423 — 22,229 Segment Contribution $ (199,490 ) $ (228,433 ) $ (224,605 ) $ (279,806 ) $ (11,064 ) Net Loss $ (943,398 ) Non-cash amortization income (expense), net $ 367 $ (5,363 ) $ 54 $ 812 $ (367 ) $ (4,497 ) Other significant non-cash expense: goodwill impairment $ — $ (88,675 ) $ — $ — $ — $ (88,675 ) Three Months Ended March 31, 2019 (In Thousands) Residential Lending Business Purpose Lending Multifamily Investments Third-Party Residential Investments Corporate/ Total Interest income $ 66,839 $ 2,937 $ 28,208 $ 28,204 $ 4,853 $ 131,041 Interest expense (47,676 ) (1,539 ) (25,870 ) (20,076 ) (4,115 ) (99,276 ) Net interest income 19,163 1,398 2,338 8,128 738 31,765 Non-interest income Mortgage banking activities, net 10,827 1,482 — — — 12,309 Investment fair value changes, net (1,720 ) (303 ) 8,524 14,055 (397 ) 20,159 Other income 1,449 466 — — 2,710 4,625 Realized gains, net 4,937 — — 5,749 — 10,686 Total non-interest income, net 15,493 1,645 8,524 19,804 2,313 47,779 General and administrative expenses (7,203 ) (2,565 ) (323 ) (663 ) (12,405 ) (23,159 ) Other expenses — (633 ) — (227 ) (178 ) (1,038 ) Provision for income taxes (501 ) (5 ) — (377 ) — (883 ) Segment Contribution $ 26,952 $ (160 ) $ 10,539 $ 26,665 $ (9,532 ) Net Income $ 54,464 Non-cash amortization income (expense), net $ 1,975 $ (732 ) $ (136 ) $ (271 ) $ (491 ) $ 345 The following table presents the components of Corporate/Other for the three months ended March 31, 2020 and 2019 . Table 24.2 – Components of Corporate/Other Three Months Ended March 31, 2020 2019 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 3,194 $ — $ 3,194 $ 4,853 $ — $ 4,853 Interest expense (2,522 ) — (2,522 ) (4,115 ) — (4,115 ) Net interest income 672 — 672 738 — 738 Non-interest income Investment fair value changes, net (391 ) (118 ) (509 ) (374 ) (23 ) (397 ) Other income — — — — 2,710 2,710 Total non-interest income, net (391 ) (118 ) (509 ) (374 ) 2,687 2,313 General and administrative expenses — (10,915 ) (10,915 ) — (12,405 ) (12,405 ) Other expenses — (312 ) (312 ) — (178 ) (178 ) Total $ 281 $ (11,345 ) $ (11,064 ) $ 364 $ (9,896 ) $ (9,532 ) (1) Legacy consolidated VIEs represent Legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 for further discussion on VIEs. The following table presents supplemental information by segment at March 31, 2020 and December 31, 2019 . Table 24.3 – Supplemental Segment Information (In Thousands) Residential Lending Business Purpose Lending Multifamily Investments Third-Party Residential Investments Corporate/ Total March 31, 2020 Residential loans $ 4,263,327 $ — $ — $ 2,131,125 $ 316,677 $ 6,711,129 Business purpose residential loans — 3,463,742 — — — 3,463,742 Multifamily loans — — 470,484 — — 470,484 Real estate securities 132,326 — 26,487 134,649 — 293,462 Other investments 23,616 26,877 36,691 359,036 — 446,220 Goodwill and intangible assets — 68,483 — — — 68,483 Total assets 4,639,181 3,675,336 557,964 2,735,677 692,632 12,300,790 December 31, 2019 Residential loans $ 4,939,745 $ — $ — $ 2,367,215 $ 407,890 $ 7,714,850 Business purpose residential loans — 3,506,743 — — — 3,506,743 Multifamily loans — 4,408,524 — — 4,408,524 Real estate securities 229,074 404,128 466,672 — 1,099,874 Other investments 42,224 21,002 61,018 233,886 — 358,130 Goodwill and intangible assets — 161,464 — — — 161,464 Total assets 5,410,540 3,786,641 4,889,330 3,139,616 769,313 17,995,440 |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On March 25, 2020, the SEC issued an order (the “Order”) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), extending the deadlines for filing certain reports made under the Exchange Act, including quarterly reports on Form 10-Q, for registrants subject to the reporting obligations under the Exchange Act that have been particularly impacted by the pandemic and which reports have filing deadlines between March 1 and July 31, 2020. In a Current Report on Form 8-K filed on May 7, 2020, we disclosed our reliance on the Order with respect to this Quarterly Report on Form 10-Q for the three months ended March 31, 2020 (the “Form 10-Q”). We are relying on the Order because, in light of the pandemic, non-essential businesses in the State of California have been closed by the state’s governor’s order, as a result of which our personnel, our auditors, and our other advisors have generally been required to work and communicate remotely, which has slowed their ability to complete preparation and review of the Form 10-Q. Additional information regarding the impact of on our business, operations, and financial results is included in Part II, Item 1A of this Form 10-Q under the heading “Risk Factors.” The pandemic has had serious and adverse consequences on business conditions in North America, the principal geographic area in which we invest, and elsewhere around the globe, including limitations on travel, transportation, education, production of goods, provision of services and business operations generally. Further, the equity and credit markets have experienced significant volatility, and it is uncertain how long this volatility will continue. Although the long-term economic fallout of the pandemic is difficult to predict, the challenging business and market conditions we currently face have had and may continue to have adverse effects on our financial performance and, as a result, may adversely impact valuations of our residential loans, securities, and other investments in future periods. If the continued economic fallout is severe and/or extended, the adverse impacts may be material. Continuing our efforts to reduce our outstanding debt and leverage, and to generate additional liquidity, between April 1, 2020 and May 13, 2020, we settled sales of residential mortgage loans for aggregate proceeds of approximately $1.8 billion and repaid approximately $1.5 billion of associated borrowings. Additionally, as of May 13, 2020, we had entered into agreements to sell residential mortgage loans with a principal balance of $203 million , which transactions are expected to settle during the second quarter of 2020, subject to customary closing conditions. Additionally, subsequent to March 31, 2020, we have also reduced our exposure to marginable borrowing facilities (which may be subject to margin calls if the value of the assets securing borrowings declines), by entering into two new non-marginable borrowing facilities and transferring residential loans and business purpose loans previously financed on marginable facilities onto these new non-marginable facilities. As a result of these activities, in the coming weeks, we expect to have sold or refinanced substantially all of the remaining assets financed through our FHLBC facility and to have substantially repaid our borrowings under this facility. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at March 31, 2020 and December 31, 2019 , and for the three months ended March 31, 2020 and 2019 . These interim unaudited consolidated financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission ("SEC"). Certain information and note disclosures normally included in our annual financial statements prepared in accordance with U.S. generally accepted accounting principles ("GAAP") — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — have been condensed or omitted in these interim financial statements according to these SEC rules and regulations. Management believes that the disclosures included in these interim financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the company's Annual Report on Form 10-K for the year ended December 31, 2019 . In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at March 31, 2020 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2020 should not be construed as indicative of the results to be expected for the full year. |
Principles of Consolidation | Principles of Consolidation In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities issued prior to 2012 where we maintain an ongoing involvement ("Legacy Sequoia"), as well as entities formed in connection with the securitization of Redwood Choice expanded-prime loans ("Sequoia Choice"). We also consolidate the assets and liabilities of certain Freddie Mac K-Series and Freddie Mac Seasoned Loans Structured Transaction ("SLST") securitizations we invested in. Finally, we consolidated the assets and liabilities of certain CoreVest American Finance Lender ("CAFL") securitizations beginning in the fourth quarter of 2019, in connection with our acquisition of CoreVest. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have purchased or retained, although for the consolidated Sequoia and CAFL entities we are exposed to certain financial risks associated with our role as a sponsor, servicing administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. |
Use of Estimates | Use of Estimates The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. |
Available-for-Sale Securities | Available-for-Sale Securities Upon adoption of ASU 2016-13, "Financial Instruments - Credit Losses" in the first quarter of 2020, we modified our policy for recording impairments on available-for-sale securities. This new guidance requires that credit impairments on our available-for-sale securities be recorded in earnings using an allowance for credit losses, with the allowance limited to the amount by which the security's fair value is less than its amortized cost basis. The allowance for credit losses is calculated using a discounted cash flow approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected, discounted at the effective interest rate used to accrete the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the discounted cash flows will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate. If we intend to sell or it is more likely than not that we will be required to sell the security before it recovers in value, the entire impairment amount will be recognized in earnings with a corresponding adjustment to the security's amortized cost basis. |
Goodwill | Goodwill Pursuant to our adoption of ASU 2017-04, "Intangibles - Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment" in the first quarter of 2020, we modified our goodwill impairment testing policy. We first assess qualitative factors to determine whether it is more likely than not that the fair value of the reporting unit is less than its carrying value. If, based on that assessment, we believe it is more likely than not that the fair value of the reporting unit is less than its carrying value, we measure the fair value of reporting unit and record a goodwill impairment charge for the amount by which a reporting unit's carrying value exceeds its fair value, not to exceed the carrying amount of the goodwill. Any such impairment charges would be recorded through Other expenses on our consolidated statements of income (loss). |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Newly Adopted Accounting Standards Updates ("ASUs") In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement." This new guidance amends previous guidance by removing and modifying certain existing fair value disclosure requirements, while adding other new disclosure requirements. This new guidance is effective for fiscal years beginning after December 15, 2019. We adopted this new guidance, as required, in the first quarter of 2020, which did not have a material impact on our consolidated financial statements but impacted certain of our fair value footnote disclosures. In January 2017, the FASB issued ASU 2017-04, "Intangibles - Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment." This new guidance simplifies the subsequent measurement of goodwill by eliminating Step 2 from the goodwill impairment test. This new guidance is effective for fiscal years beginning after December 15, 2019. We adopted this new guidance, as required, in the first quarter of 2020, which did not have a material impact on our consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, "Financial Instruments - Credit Losses." This new guidance provides a new impairment model that is based on expected losses rather than incurred losses to determine the allowance for credit losses. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for fiscal years beginning after December 15, 2018. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses," which clarifies the scope of the amendments in ASU 2016-13. In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments," which is intended to clarify this guidance. In May 2019, the FASB issued ASU 2019-05, "Financial Instruments - Credit Losses (Topic 326): Targeted Transition Relief," which provides an option to irrevocably elect the fair value option for certain financial assets previously measured at amortized cost. In November 2019, the FASB issued ASU 2019-11, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses," which is intended to clarify Codification guidance. In February 2020, the FASB issued ASU 2020-02, "Financial Instruments - Credit Losses (Topic 326) and Leases (Topic 842) - Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date Related to Accounting Standards Update No. 2016-02, Leases (Topic 842) (SEC Update)," and in March 2020, the FASB issued ASU 2020-03, "Codification Improvements to Financial Instruments." These updates amend certain sections of the guidance. We currently have only a small balance of loans receivable that are not carried at fair value and would be subject to this new guidance for allowance for credit losses. Separately, we accounted for our available-for-sale securities under the other-than-temporary impairment ("OTTI") model for debt securities prior to the issuance of this new guidance. This new guidance requires that credit impairments on our available-for-sale securities be recorded in earnings using an allowance for credit losses, with the allowance limited to the amount by which the security's fair value is less than its amortized cost basis. Subsequent reversals in credit loss estimates are recognized in income. We adopted this guidance, as required, in the first quarter of 2020, which did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In March 2020, the FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This new guidance provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. This new guidance is effective for all entities as of March 12, 2020 through December 31, 2022. We are currently evaluating the impact the adoption of this standard would have on our consolidated financial statements. In January 2020, the FASB issued ASU 2020-01, "Investments - Equity Securities (Topic 321), Investments - Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)." This new guidance clarifies the interaction of the accounting for equity securities, equity method investments, and certain forward contracts and purchased options. This new guidance is effective for fiscal years beginning after December 15, 2020. Early adoption is permitted. We plan to adopt this new guidance by the required date and do not anticipate that this update will have a material impact on the consolidated financial statements. In December 2019, the FASB issued ASU 2019-12, "Income Taxes (Topic 740): Simplifying the Accounting for Income Taxes." This new guidance simplifies the accounting for income taxes by removing certain exceptions to the general principles in Topic 740 and by clarifying and amending existing guidance. This new guidance is effective for fiscal years beginning after December 15, 2020. Early adoption is permitted. We plan to adopt this new guidance by the required date and do not anticipate that this update will have a material impact on our consolidated financial statements. |
Balance Sheet Netting | For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between us and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be aggregated and treated as a single transaction. For certain categories of these instruments, some of our transactions are cleared and settled through one or more clearinghouses that are substituted as our counterparty. References herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting agreement or similar agreement provides for settlement on a net basis. Any such settlement would include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party. Such limitations should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral. Balance Sheet Netting |
Basis of Presentation (Tables)
Basis of Presentation (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Schedule of Finite-Lived Intangible Assets | The amortization period for each of these assets and the activity for the three months ended March 31, 2020 is summarized in the table below. Table 2.1 – Intangible Assets – Activity Carrying Value at December 31, 2019 Additions Amortization Expense Carrying Value at March 31, 2020 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 43,952 $ — $ (1,618 ) $ 42,334 7 Broker network 15,083 — (905 ) 14,178 4 Non-compete agreements 8,236 — (792 ) 7,444 3 Tradenames 3,472 — (333 ) 3,139 3 Developed technology 1,613 — (225 ) 1,388 2 Loan administration fees on existing loan assets 433 — (433 ) — — Total $ 72,789 $ — $ (4,306 ) $ 68,483 6 |
Finite-lived Intangible Assets Amortization Expense | All of our intangible assets are amortized on a straight-line basis. Estimated future amortization expense is summarized in the table below. Table 2.2 – Intangible Asset Amortization Expense by Year (In Thousands) March 31, 2020 2020 (9 months) $ 11,619 2021 15,304 2022 12,800 2023 10,091 2024 7,073 2025 and thereafter 11,596 Total Future Intangible Asset Amortization $ 68,483 |
Pro Forma Information | The following unaudited pro forma financial information presents Net interest income, Non-interest income, and Net income of Redwood, 5 Arches, and CoreVest combined, for the three months ended March 31, 2019, as if the acquisitions occurred as of January 1, 2018. These pro forma amounts have been adjusted to include the amortization of intangible assets and acquisition-related compensation expense for both periods, and to exclude the income statement impacts related to our equity method investment in 5 Arches. The unaudited pro forma financial information is not intended to represent or be indicative of the consolidated financial results of operations that would have been reported if the acquisitions had been completed as of January 1, 2018 and should not be taken as indicative of our future consolidated results of operations. Table 2.3 – Unaudited Pro Forma Financial Information Three Months Ended March 31, 2019 (In Thousands) Supplementary pro forma information: Net interest income $ 43,390 Non-interest income 42,976 Net income 56,028 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Offsetting of Financial Assets, Liabilities, and Collateral | The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at March 31, 2020 and December 31, 2019 . Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in Consolidated Balance Sheet Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet Gross Amounts Not Offset in Consolidated (1) Net Amount March 31, 2020 Financial Instruments Cash Collateral (Received) Pledged Assets (2) TBAs $ 90,717 $ — $ 90,717 $ (89,433 ) $ (1,283 ) $ 1 Total Assets $ 90,717 $ — $ 90,717 $ (89,433 ) $ (1,283 ) $ 1 Liabilities (2) TBAs $ (110,648 ) $ — $ (110,648 ) $ 89,433 $ 19,308 $ (1,907 ) Loan warehouse debt (1,035,817 ) — (1,035,817 ) 1,034,622 — (1,195 ) Security repurchase agreements (485,147 ) — (485,147 ) 482,528 1,574 (1,045 ) Total Liabilities $ (1,631,612 ) $ — $ (1,631,612 ) $ 1,606,583 $ 20,882 $ (4,147 ) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in Consolidated Balance Sheet Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet Gross Amounts Not Offset in Consolidated (1) Net Amount December 31, 2019 Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 19,020 $ — $ 19,020 $ (14,178 ) $ (915 ) $ 3,927 TBAs 5,755 — 5,755 (5,755 ) — — Futures 137 — 137 — — 137 Total Assets $ 24,912 $ — $ 24,912 $ (19,933 ) $ (915 ) $ 4,064 Liabilities (2) Interest rate agreements $ (148,765 ) $ — $ (148,765 ) $ 14,178 $ 134,587 $ — TBAs (13,359 ) — (13,359 ) 5,755 6,673 (931 ) Loan warehouse debt (432,126 ) — (432,126 ) 432,126 — — Security repurchase agreements (1,096,578 ) — (1,096,578 ) 1,096,578 — — Total Liabilities $ (1,690,828 ) $ — $ (1,690,828 ) $ 1,548,637 $ 141,260 $ (931 ) (1) Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. (2) Interest rate agreements and TBAs are components of derivatives instruments on our consolidated balance sheets. Loan warehouse debt, which is secured by residential mortgage loans, and security repurchase agreements are components of Short-term debt on our consolidated balance sheets. |
Principles of Consolidation (Ta
Principles of Consolidation (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated VIEs | The following table presents a summary of the assets and liabilities of these VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs March 31, 2020 Legacy Sequoia Sequoia Choice Freddie Mac SLST Freddie Mac K-Series CAFL Servicing Investment Total Consolidated VIEs (Dollars in Thousands) Residential loans, held-for-investment $ 316,677 $ 1,932,658 $ 2,131,125 $ — $ — $ — $ 4,380,460 Business purpose residential loans, held-for-investment — — — — 2,248,665 — 2,248,665 Multifamily loans, held-for-investment — — — 470,484 — — 470,484 Other investments — — — — — 314,394 314,394 Cash and cash equivalents — — — — — 2,886 2,886 Restricted cash 143 15 — — — 11,810 11,968 Accrued interest receivable 580 8,574 7,184 1,390 10,803 5,567 34,098 Other assets 952 — 1,050 — 5,749 — 7,751 Total Assets $ 318,352 $ 1,941,247 $ 2,139,359 $ 471,874 $ 2,265,217 $ 334,657 $ 7,470,706 Short-term debt $ — $ — $ — $ — $ — $ 258,931 $ 258,931 Accrued interest payable 351 6,920 5,251 1,230 8,188 205 22,145 Accrued expenses and other liabilities — 15 — — — 16,305 16,320 Asset-backed securities issued 312,201 1,790,094 1,825,000 447,699 2,086,870 — 6,461,864 Total Liabilities $ 312,552 $ 1,797,029 $ 1,830,251 $ 448,929 $ 2,095,058 $ 275,441 $ 6,759,260 Number of VIEs 20 9 2 1 11 3 46 December 31, 2019 Legacy Sequoia Sequoia Freddie Mac SLST Freddie Mac K-Series CAFL Servicing Investment Total Consolidated VIEs (Dollars in Thousands) Residential loans, held-for-investment $ 407,890 $ 2,291,463 $ 2,367,215 $ — $ — $ — $ 5,066,568 Business purpose residential loans, held-for-investment — — — — 2,192,552 — 2,192,552 Multifamily loans, held-for-investment — — — 4,408,524 — — 4,408,524 Other investments — — — — — 184,802 184,802 Cash and cash equivalents — — — — — 9,015 9,015 Restricted cash 143 27 — — — 21,766 21,936 Accrued interest receivable 655 9,824 7,313 13,539 9,572 4,869 45,772 Other assets 460 — 445 — 1,795 — 2,700 Total Assets $ 409,148 $ 2,301,314 $ 2,374,973 $ 4,422,063 $ 2,203,919 $ 220,452 $ 11,931,869 Short-term debt $ — $ — $ — $ — $ — $ 152,554 $ 152,554 Accrued interest payable 395 7,732 5,374 12,887 7,485 187 34,060 Accrued expenses and other liabilities — 27 — — — 14,956 14,983 Asset-backed securities issued 402,465 2,037,198 1,918,322 4,156,239 2,001,251 — 10,515,475 Total Liabilities $ 402,860 $ 2,044,957 $ 1,923,696 $ 4,169,126 $ 2,008,736 $ 167,697 $ 10,717,072 Number of VIEs 20 9 2 5 10 3 49 The following table presents income (loss) from these VIEs for the three months ended March 31, 2020 and 2019. Table 4.2 – Income (Loss) from Consolidated VIEs Three Months Ended March 31, 2020 Legacy Sequoia Sequoia Choice Freddie Mac SLST Freddie Mac K-Series CAFL Servicing Investment Total Consolidated VIEs (Dollars in Thousands) Interest income $ 3,194 $ 25,083 $ 21,986 $ 40,172 $ 30,010 $ 4,083 $ 124,528 Interest expense (2,522 ) (21,510 ) (16,176 ) (38,348 ) (21,939 ) (1,577 ) (102,072 ) Net interest income 672 3,573 5,810 1,824 8,071 2,506 22,456 Non-interest income Investment fair value changes, net (391 ) (69,668 ) (142,161 ) (86,509 ) (67,846 ) (11,884 ) (378,459 ) Total non-interest income, net (391 ) (69,668 ) (142,161 ) (86,509 ) (67,846 ) (11,884 ) (378,459 ) General and administrative expenses — — — — — (31 ) (31 ) Other expenses — — — — — 1,882 1,882 Income (Loss) from Consolidated VIEs $ 281 $ (66,095 ) $ (136,351 ) $ (84,685 ) $ (59,775 ) $ (7,527 ) $ (354,152 ) Three Months Ended March 31, 2019 Legacy Sequoia Sequoia Choice Freddie Mac SLST Freddie Mac K-Series CAFL Servicing Investment Total Consolidated VIEs (Dollars in Thousands) Interest income $ 4,853 $ 25,662 $ 11,794 $ 21,388 $ — $ 3,346 $ 67,043 Interest expense (4,115 ) (22,113 ) (8,747 ) (20,320 ) — (3,613 ) (58,908 ) Net interest income 738 3,549 3,047 1,068 — (267 ) 8,135 Non-interest income Investment fair value changes, net (374 ) 3,265 6,365 3,119 — 1,430 13,805 Total non-interest income, net (374 ) 3,265 6,365 3,119 — 1,430 13,805 General and administrative expenses — — — — — (30 ) (30 ) Other expenses — — — — — (227 ) (227 ) Income from Consolidated VIEs $ 364 $ 6,814 $ 9,412 $ 4,187 $ — $ 906 $ 21,683 |
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents information related to securitization transactions that occurred during the three months ended March 31, 2020 and 2019 . Table 4.3 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, (In Thousands) 2020 2019 Principal balance of loans transferred $ 1,573,703 $ 348,257 Trading securities retained, at fair value 43,362 1,716 AFS securities retained, at fair value 3,198 885 |
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three months ended March 31, 2020 and 2019 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.4 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, (In Thousands) 2020 2019 Proceeds from new transfers $ 1,610,761 $ 352,371 MSR fees received 2,690 3,060 Funding of compensating interest, net (92 ) (90 ) Cash flows received on retained securities 6,581 7,546 |
Assumptions Related to Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents the key weighted-average assumptions used to measure MSRs and securities retained at the date of securitization for securitizations completed during the three months ended March 31, 2020 and 2019 . Table 4.5 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Three Months Ended March 31, 2020 Three Months Ended March 31, 2019 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates 41 % 13 % 16 % 14 % Discount rates 16 % 6 % 14 % 8 % Credit loss assumptions 0.21 % 0.22 % 0.20 % 0.20 % |
Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents additional information at March 31, 2020 and December 31, 2019 , related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.6 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) March 31, 2020 December 31, 2019 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 54,894 $ 88,425 Subordinate securities, classified as AFS 77,433 140,649 Mortgage servicing rights 22,482 40,254 Maximum loss exposure (1) $ 154,809 $ 269,328 Assets transferred: Principal balance of loans outstanding $ 11,181,034 $ 10,299,442 Principal balance of loans 30+ days delinquent 40,930 41,809 (1) Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. |
Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at March 31, 2020 and December 31, 2019 . Table 4.7 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood March 31, 2020 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at March 31, 2020 $ 22,482 $ 26,980 $ 105,347 Expected life (in years) (2) 4 3 14 Prepayment speed assumption (annual CPR) (2) 21 % 28 % 15 % Decrease in fair value from: 10% adverse change $ 1,760 $ 2,414 $ 1,404 25% adverse change 4,278 5,954 3,836 Discount rate assumption (2) 13 % 18 % 10 % Decrease in fair value from: 100 basis point increase $ 611 $ 549 $ 8,088 200 basis point increase 1,188 1,072 15,165 Credit loss assumption (2) N/A 0.22 % 0.22 % Decrease in fair value from: 10% higher losses N/A $ — $ 1,107 25% higher losses N/A — 2,723 December 31, 2019 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2019 $ 40,254 $ 48,765 $ 180,309 Expected life (in years) (2) 6 6 14 Prepayment speed assumption (annual CPR) (2) 11 % 14 % 16 % Decrease in fair value from: 10% adverse change $ 1,643 $ 1,908 $ 205 25% adverse change 3,913 5,086 1,434 Discount rate assumption (2) 11 % 12 % 5 % Decrease in fair value from: 100 basis point increase $ 1,447 $ 1,079 $ 18,127 200 basis point increase 2,795 2,482 33,630 Credit loss assumption (2) N/A 0.21 % 0.21 % Decrease in fair value from: 10% higher losses N/A $ — $ 1,804 25% higher losses N/A — 4,520 (1) Senior securities included $27 million and $49 million of interest-only securities at March 31, 2020 and December 31, 2019 , respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. |
Schedule of Third-Party Sponsored VIE Summary | The following table presents a summary of our interests in third-party VIEs at March 31, 2020 and December 31, 2019 , grouped by asset type. Table 4.8 – Third-Party Sponsored VIE Summary (In Thousands) March 31, 2020 December 31, 2019 Mortgage-Backed Securities Senior $ 12,580 $ 127,094 Mezzanine 25,867 508,195 Subordinate 122,689 235,510 Total Mortgage-Backed Securities 161,136 870,799 Excess MSR 16,339 16,216 Total Investments in Third-Party Sponsored VIEs $ 177,475 $ 887,015 |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Carrying Values and Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at March 31, 2020 and December 31, 2019 . Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities March 31, 2020 December 31, 2019 Carrying Value Fair Value Carrying Value Fair Value (In Thousands) Assets Residential loans, held-for-sale at fair value $ 2,330,566 $ 2,330,566 $ 536,385 $ 536,509 Residential loans, held-for-investment 4,380,460 4,380,460 7,178,465 7,178,465 Business purpose residential loans, held-for-sale 415,333 415,333 331,565 331,565 Business purpose residential loans, held-for-investment 3,048,409 3,048,409 3,175,178 3,175,178 Multifamily loans 470,484 470,484 4,408,524 4,408,524 Trading securities 164,219 164,219 860,540 860,540 Available-for-sale securities 129,243 129,243 239,334 239,334 Servicer advance investments (1) 298,946 298,946 169,204 169,204 MSRs (1) 23,616 23,616 42,224 42,224 Excess MSRs (1) 31,788 31,788 31,814 31,814 Shared home appreciation options (1) 40,642 40,642 45,085 45,085 Cash and cash equivalents 378,233 378,233 196,966 196,966 Restricted cash 25,752 25,752 93,867 93,867 Accrued interest receivable 57,215 57,215 71,058 71,058 Derivative assets 90,717 90,717 35,701 35,701 REO (2) 14,366 15,714 9,462 10,389 Margin receivable (2) 93,745 93,745 209,776 209,776 FHLBC stock (2) 43,393 43,393 43,393 43,393 Guarantee asset (2) 905 905 1,686 1,686 Pledged collateral (2) 33,191 33,191 32,945 32,945 Liabilities Short-term debt facilities $ 2,082,717 $ 2,082,717 $ 2,176,591 $ 2,176,591 Short-term debt - servicer advance financing 258,931 258,931 152,554 152,554 Accrued interest payable 40,102 40,102 60,655 60,655 Margin payable (3) 1,283 1,283 1,700 1,700 Guarantee obligation (3) 13,395 12,382 14,009 13,754 Contingent consideration (3) 14,819 14,819 28,484 28,484 Derivative liabilities 114,614 114,614 163,424 163,424 ABS issued at fair value 6,461,864 6,461,864 10,515,475 10,515,475 FHLBC long-term borrowings 1,367,681 1,367,681 1,999,999 1,999,999 Other long-term debt, net 315,583 317,498 183,520 184,666 Convertible notes, net 631,857 359,875 631,125 661,985 Trust preferred securities and subordinated notes, net 138,640 27,900 138,628 99,045 (1) These investments are included in Other investments on our consolidated balance sheets. (2) These assets are included in Other assets on our consolidated balance sheets. (3) These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets. |
Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at March 31, 2020 and December 31, 2019 , as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis March 31, 2020 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 6,711,025 $ — $ — $ 6,711,025 Business purpose residential loans 3,463,742 — — 3,463,742 Multifamily loans 470,484 — — 470,484 Trading securities 164,219 — — 164,219 Available-for-sale securities 129,243 — — 129,243 Servicer advance investments 298,946 — — 298,946 MSRs 23,616 — — 23,616 Excess MSRs 31,788 — — 31,788 Shared home appreciation options 40,642 — — 40,642 Derivative assets 90,717 90,717 — — Pledged collateral 33,191 33,191 — — FHLBC stock 43,393 — 43,393 — Guarantee asset 905 — — 905 Liabilities Contingent consideration $ 14,819 $ — $ — $ 14,819 Derivative liabilities 114,614 110,648 — 3,966 ABS issued 6,461,864 — — 6,461,864 December 31, 2019 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 7,714,745 $ — $ — $ 7,714,745 Business purpose residential loans 3,506,743 — — 3,506,743 Multifamily loans 4,408,524 — — 4,408,524 Trading securities 860,540 — — 860,540 Available-for-sale securities 239,334 — — 239,334 Servicer advance investments 169,204 — — 169,204 MSRs 42,224 — — 42,224 Excess MSRs 31,814 — — 31,814 Shared home appreciation options 45,085 — — 45,085 Derivative assets 35,701 6,531 19,020 10,150 Pledged collateral 32,945 32,945 — — FHLBC stock 43,393 — 43,393 — Guarantee asset 1,686 — — 1,686 Liabilities Contingent consideration $ 28,484 $ — $ — $ 28,484 Derivative liabilities 163,424 13,368 148,766 1,290 ABS issued 10,515,475 — — 10,515,475 |
Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2020 . Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Purpose Residential Loans Multifamily Loans Trading Securities AFS Securities Servicer Advance Investments MSRs Excess MSRs Shared Home Appreciation Options (In Thousands) Beginning balance - December 31, 2019 $ 7,714,745 $ 3,506,743 $ 4,408,524 $ 860,540 $ 239,334 $ 169,204 $ 42,224 $ 31,814 $ 45,085 Acquisitions 2,695,846 — — 67,639 31,181 158,618 — 9,468 3,517 Originations — 486,710 — — — — — — — Sales (2,729,161 ) (42,802 ) — (493,126 ) (46,457 ) — — — — Principal paydowns (490,439 ) (161,896 ) (5,830 ) (7,507 ) (4,445 ) (22,815 ) — — (406 ) Deconsolidations — — (3,849,779 ) — — — — — — Gains (losses) in net (loss) income, net (478,743 ) (320,528 ) (82,431 ) (263,327 ) (90,370 ) (6,061 ) (18,608 ) (9,494 ) (7,554 ) Other settlements, net (1) (1,223 ) (4,485 ) — — — — — — — Ending balance - March 31, 2020 $ 6,711,025 $ 3,463,742 $ 470,484 $ 164,219 $ 129,243 $ 298,946 $ 23,616 $ 31,788 $ 40,642 Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued) Assets Liabilities Guarantee Asset Derivatives (2) Contingent Consideration ABS Issued (In Thousands) Beginning balance - December 31, 2019 $ 1,686 $ 8,860 $ 28,484 $ 10,515,475 Acquisitions — — — 377,164 Principal paydowns — — (13,353 ) (363,696 ) Deconsolidations — — — (3,706,789 ) Gains (losses) in net (loss) income, net (781 ) 18,005 (312 ) (360,290 ) Other settlements, net (1) — (30,831 ) — — Ending balance - March 31, 2020 $ 905 $ (3,966 ) $ 14,819 $ 6,461,864 (1) Other settlements, net for residential and business purpose residential loans represents the transfer of loans to REO, and for derivatives, the settlement of forward sale commitments and the transfer of the fair value of loan purchase or interest rate lock commitments at the time loans are acquired to the basis of residential and single-family rental loans. (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 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 March 31, 2020 and 2019 . Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three months ended March 31, 2020 and 2019 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at March 31, 2020 and 2019 Included in Net Income Included in Net Income Three Months Ended March 31, (In Thousands) 2020 2019 Assets Residential loans at Redwood $ (102,867 ) $ 35,801 Residential loans at consolidated Sequoia entities (179,499 ) 14,472 Residential loans at consolidated Freddie Mac SLST entities (193,035 ) 23,527 Business purpose residential loans (68,864 ) 1,050 Single-family rental loans at consolidated CAFL entities (271,917 ) — Multifamily loans at consolidated Freddie Mac K-Series entity (10,351 ) 34,372 Trading securities (136,359 ) 21,543 Servicer advance investments (6,062 ) 1,008 MSRs (16,640 ) (4,295 ) Excess MSRs (9,494 ) (437 ) Shared home appreciation options (7,554 ) — Loan purchase and interest rate lock commitments — 4,962 Other assets - Guarantee asset (781 ) (277 ) Liabilities Loan purchase commitments $ (3,967 ) $ (753 ) Contingent consideration (312 ) — ABS issued 360,640 (60,182 ) |
Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at March 31, 2020 . This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at March 31, 2020 . Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at March 31, 2020 Gain (Loss) for March 31, 2020 Carrying Value Fair Value Measurements Using Three Months Ended (In Thousands) Level 1 Level 2 Level 3 March 31, 2020 Assets REO $ 4,456 $ — $ — $ 4,456 $ (476 ) |
Market Valuation Gains and Losses, Net | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three months ended March 31, 2020 and 2019 . Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended March 31, (In Thousands) 2020 2019 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ (13,480 ) $ 3,533 Residential loan purchase and forward sale commitments 21,435 11,311 Single-family rental loans held-for-sale, at fair value 11,467 1,603 Single-family rental loan purchase and interest rate lock commitments 341 141 Residential bridge loans (3,934 ) 86 Risk management derivatives, net (52,832 ) (4,984 ) Total mortgage banking activities, net (1) $ (37,003 ) $ 11,690 Investment Fair Value Changes, Net Residential loans held-for-investment, at Redwood $ (93,636 ) $ 28,108 Single-family rental loans held-for-investment (23,028 ) — Residential bridge loans held-for-investment (38,602 ) (303 ) Trading securities (263,325 ) 21,860 Servicer advance investments (6,062 ) 1,008 Excess MSRs (9,494 ) (437 ) Net investments in Legacy Sequoia entities (2) (391 ) (374 ) Net investments in Sequoia Choice entities (2) (69,669 ) 3,265 Net investments in Freddie Mac SLST entities (2) (142,162 ) 6,365 Net investments in Freddie Mac K-Series entities (2) (86,509 ) 3,119 Net investments in CAFL entities (2) (67,846 ) — Other investments (9,441 ) (77 ) Risk management derivatives, net (59,142 ) (42,375 ) Credit losses on AFS securities (1,525 ) — Total investment fair value changes, net $ (870,832 ) $ 20,159 Other Income MSRs $ (18,608 ) $ (5,102 ) Risk management derivatives, net 13,966 2,251 Gain on re-measurement of 5 Arches investment — 2,441 Total other income (3) $ (4,642 ) $ (410 ) Total Market Valuation (Losses) Gains, Net $ (912,477 ) $ 31,439 (1) Mortgage banking activities, net presented above does not include fee income or provisions for repurchases 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. (2) Includes changes in fair value of the residential loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs. (3) Other income presented above does not include net MSR fee income or provisions for repurchases for MSRs, as these amounts do not represent market valuation adjustments. |
Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value | The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments March 31, 2020 Fair Value Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (5) Assets Residential loans, at fair value: Jumbo fixed-rate loans $ 86,053 Dollar price $ 74.38 - $ 99.50 $ 96.73 Jumbo hybrid loans 97,956 Dollar price $ 90.00 - $ 99.00 $ 97.78 Jumbo loans committed to sell 2,146,557 Whole loan committed sales price $ 95.00 - $ 103.50 $ 98.32 Loans held by Legacy Sequoia (1) 316,677 Liability price N/A N/A Loans held by Sequoia Choice (1) 1,932,658 Liability price N/A N/A Loans held by Freddie Mac SLST (1) 2,131,125 Liability price N/A N/A Business purpose residential loans: Single-family rental loans 415,333 Senior credit spread 290 - 290 bps 290 bps Subordinate credit spread 400 - 2,700 bps 688 bps Senior credit support 32 - 47 % 34 % IO discount rate 14 - 14 % 14 % Prepayment rate (annual CPR) 5 - 5 % 5 % Single-family rental loans held by CAFL 2,248,665 Liability price N/A N/A Residential bridge loans 799,744 Discount rate 9 - 17 % 12 % Multifamily loans held by Freddie Mac K-Series (1) 470,484 Liability price N/A N/A Trading and AFS securities 293,462 Discount rate 5 - 51 % 17 % Prepayment rate (annual CPR) 6 - 34 % 12 % Default rate — - 7 % 1 % Loss severity — - 50 % 9 % Servicer advance investments 298,946 Discount rate 5 - 5 % 5 % Prepayment rate (annual CPR) 8 - 14 % 14 % Expected remaining life (2) 2 - 2 years 2 years Mortgage servicing income 8 - 13 bps 10 bps MSRs 23,616 Discount rate 13 - 13 % 13 % Prepayment rate (annual CPR) 8 - 63 % 21 % Per loan annual cost to service $ 95 - $ 95 $ 95 Excess MSRs 31,788 Discount rate 18 - 26 % 22 % Prepayment rate (annual CPR) 9 - 14 % 11 % Excess mortgage servicing income 8 - 17 bps 12 bps Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) March 31, 2020 Fair Value Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (5) Assets (continued) Shared home appreciation options $ 40,642 Discount rate 18 - 18 % 18 % Prepayment rate (annual CPR) 10 - 30 % 23 % Home price appreciation 3 - 3 % 3 % Guarantee asset 905 Discount rate 11 - 11 % 11 % Prepayment rate (annual CPR) 37 - 37 % 37 % REO 4,456 Loss severity 3 - 55 % 32 % Liabilities Residential loan purchase commitments, net 196 Committed sales price $ 95.50 - $ 95.50 $ 95.50 Pull-through rate 100 - 100 % 100 % ABS issued (1) : At consolidated Sequoia entities 2,102,295 Discount rate 3 - 32 % 6 % Prepayment rate (annual CPR) 15 - 43 % 25 % Default rate — - 15 % 1 % Loss severity — - 50 % 19 % At consolidated Freddie Mac SLST entities 1,825,000 Discount rate 3 - 17 % 4 % Prepayment rate (annual CPR) 6 - 6 % 6 % Default rate 17 - 18 % 17 % Loss severity 30 - 30 % 30 % At consolidated Freddie Mac K-Series entities (4) 447,699 Discount rate 2 - 20 % 3 % Non-IO prepayment rate (annual CPR) — - — % — % IO prepayment rate (annual CPY/CPP) 100 - 100 % 100 % At consolidated CAFL entities (4) 2,086,870 Discount rate 1 - 68 % 6 % Prepayment rate (annual CPR) — - 5 % — % Contingent consideration 14,819 Discount rate 23 - 23 % 23 % Probability of outcomes (3) 100 - 100 % 100 % (1) The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. At March 31, 2020, the fair value of securities we owned at the consolidated Sequoia, Freddie Mac SLST, Freddie Mac K-Series, and CAFL entities was $148 million , $307 million , $23 million , and $167 million , respectively. (2) 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). (3) Represents the probability of a full payout of contingent purchase consideration. (4) |
Residential Loans (Tables)
Residential Loans (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at March 31, 2020 and December 31, 2019 . Table 6.1 – Classifications and Carrying Values of Residential Loans March 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 2,330,669 $ — $ — $ — $ 2,330,669 Held-for-investment at fair value — 316,677 1,932,658 2,131,125 4,380,460 Total Residential Loans $ 2,330,669 $ 316,677 $ 1,932,658 $ 2,131,125 $ 6,711,129 December 31, 2019 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 536,385 $ — $ — $ — $ 536,385 Held-for-investment at fair value 2,111,897 407,890 2,291,463 2,367,215 7,178,465 Total Residential Loans $ 2,648,282 $ 407,890 $ 2,291,463 $ 2,367,215 $ 7,714,850 The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at March 31, 2020 and December 31, 2019 . Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans March 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 415,333 — $ — $ 415,333 Held-for-investment at fair value — 2,248,665 799,744 3,048,409 Total Business Purpose Residential Loans $ 415,333 $ 2,248,665 $ 799,744 $ 3,463,742 December 31, 2019 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 331,565 $ — $ — $ 331,565 Held-for-investment at fair value 237,620 2,192,552 745,006 3,175,178 Total Business Purpose Residential Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 |
Business Purpose Residential _2
Business Purpose Residential Loans (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at March 31, 2020 and December 31, 2019 . Table 6.1 – Classifications and Carrying Values of Residential Loans March 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 2,330,669 $ — $ — $ — $ 2,330,669 Held-for-investment at fair value — 316,677 1,932,658 2,131,125 4,380,460 Total Residential Loans $ 2,330,669 $ 316,677 $ 1,932,658 $ 2,131,125 $ 6,711,129 December 31, 2019 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 536,385 $ — $ — $ — $ 536,385 Held-for-investment at fair value 2,111,897 407,890 2,291,463 2,367,215 7,178,465 Total Residential Loans $ 2,648,282 $ 407,890 $ 2,291,463 $ 2,367,215 $ 7,714,850 The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at March 31, 2020 and December 31, 2019 . Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans March 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 415,333 — $ — $ 415,333 Held-for-investment at fair value — 2,248,665 799,744 3,048,409 Total Business Purpose Residential Loans $ 415,333 $ 2,248,665 $ 799,744 $ 3,463,742 December 31, 2019 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 331,565 $ — $ — $ 331,565 Held-for-investment at fair value 237,620 2,192,552 745,006 3,175,178 Total Business Purpose Residential Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Fair Values of Real Estate Securities by Type | The following table presents the fair values of our real estate securities by type at March 31, 2020 and December 31, 2019 . Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) March 31, 2020 December 31, 2019 Trading $ 164,219 $ 860,540 Available-for-sale 129,243 239,334 Total Real Estate Securities $ 293,462 $ 1,099,874 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at March 31, 2020 and December 31, 2019 . Table 9.2 – Trading Securities by Position (In Thousands) March 31, 2020 December 31, 2019 Senior $ 39,559 $ 150,067 Mezzanine 53,781 538,489 Subordinate 70,879 171,984 Total Trading Securities $ 164,219 $ 860,540 |
Available-for-Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale securities by position and collateral type at March 31, 2020 and December 31, 2019 . Table 9.3 – Available-for-Sale Securities by Position (In Thousands) March 31, 2020 December 31, 2019 Senior $ — $ 25,792 Mezzanine — 13,687 Subordinate 129,243 199,855 Total AFS Securities $ 129,243 $ 239,334 |
Carrying Value of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at March 31, 2020 and December 31, 2019 . Table 9.4 – Carrying Value of AFS Securities March 31, 2020 (In Thousands) Senior Mezzanine Subordinate Total Principal balance $ — $ — $ 280,024 $ 280,024 Credit reserve — — (37,717 ) (37,717 ) Unamortized discount, net — — (109,538 ) (109,538 ) Amortized cost — — 132,769 132,769 Gross unrealized gains — — 22,315 22,315 Gross unrealized losses — — (24,316 ) (24,316 ) Allowance for credit losses — — (1,525 ) (1,525 ) Carrying Value $ — $ — $ 129,243 $ 129,243 December 31, 2019 (In Thousands) Senior Mezzanine Subordinate Total Principal balance $ 26,331 $ 13,512 $ 264,234 $ 304,077 Credit reserve (533 ) — (32,407 ) (32,940 ) Unamortized discount, net (10,427 ) (527 ) (113,301 ) (124,255 ) Amortized cost 15,371 12,985 118,526 146,882 Gross unrealized gains 10,450 702 81,329 92,481 Gross unrealized losses (29 ) — — (29 ) Carrying Value $ 25,792 $ 13,687 $ 199,855 $ 239,334 |
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | The following table presents the changes for the three months ended March 31, 2020 , in unamortized discount and designated credit reserves on AFS securities. Table 9.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities Three Months Ended March 31, 2020 Credit Reserve Unamortized Discount, Net (In Thousands) Beginning balance $ 32,940 $ 124,255 Amortization of net discount — (1,754 ) Realized credit losses (519 ) — Acquisitions 5,184 777 Sales, calls, other (206 ) (13,422 ) (Release of) transfers to credit reserves, net 318 (318 ) Ending Balance $ 37,717 $ 109,538 |
Components of Fair Value of Available for Sale Securities by Holding Periods | The following table presents the components comprising the total carrying value of AFS securities that were in a gross unrealized loss position at March 31, 2020 and December 31, 2019 . Table 9.6 – Components of Fair Value of AFS Securities by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Cost Unrealized Losses Fair Value Amortized Cost Unrealized Losses Fair (In Thousands) March 31, 2020 $ 97,730 $ (24,316 ) $ 71,889 $ — $ — $ — December 31, 2019 — — — 5,830 (29 ) 5,801 |
Summary of Significant Valuation Assumptions for Available for Sale Securities Credit Loss | The table below summarizes the weighted average of the significant credit quality indicators we used for the credit loss allowance on our AFS securities at March 31, 2020 . Table 9.7 – Significant Credit Quality Indicators March 31, 2020 Subordinate Securities Prepayment rate 12% Default rate 0.5% Loss severity 20% |
Activity of Allowance for Credit Losses for Available-for-sale Securities | The following table details the activity related to the allowance for credit losses for AFS securities held at March 31, 2020 . Table 9.8 – Rollforward of Allowance for Credit Losses Three Months Ended (In Thousands) March 31, 2020 Beginning balance allowance for credit losses $ — Transition impact from adoption of new standard — Additions to allowance for credit losses on securities for which credit losses were not previously recorded 1,525 Allowance on purchased financial assets with credit deterioration — Reduction for securities sold during the period — Write-offs charged against allowance — Recoveries of amounts previously written off — Ending balance of allowance for credit losses $ 1,525 |
Gross Realized Gains and Losses on Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three months ended March 31, 2020 and 2019 . Table 9.9 – Gross Realized Gains and Losses on AFS Securities Three Months Ended March 31, (In Thousands) 2020 2019 Gross realized gains - sales $ 7,705 $ 6,660 Gross realized gains - calls — 4,026 Gross realized losses - sales (3,853 ) — Total Realized Gains on Sales and Calls of AFS Securities, net $ 3,852 $ 10,686 |
Other Investments (Tables)
Other Investments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, All Other Investments [Abstract] | |
Summary of Other Investments | Other investments at March 31, 2020 and December 31, 2019 are summarized in the following table. Table 10.1 – Components of Other Investments (In Thousands) March 31, 2020 December 31, 2019 Servicer advance investments $ 298,946 $ 169,204 Shared home appreciation options 40,642 45,085 Excess MSRs 31,788 31,814 Mortgage servicing rights 23,616 42,224 Investment in multifamily loan fund 15,731 39,802 Other 35,497 30,001 Total Other Investments $ 446,220 $ 358,130 |
Components of Servicer Advance Investments | The servicer advance receivables were comprised of the following types of advances at March 31, 2020 and December 31, 2019 : Table 10.2 – Components of Servicer Advance Receivables (In Thousands) March 31, 2020 December 31, 2019 Principal and interest advances $ 113,612 $ 15,081 Escrow advances (taxes and insurance advances) 117,876 96,732 Corporate advances 51,255 39,769 Total Servicer Advance Receivables $ 282,743 $ 151,582 |
Income from Mortgage Servicing Rights, Net | The following table presents activity for MSRs for the three months ended March 31, 2020 and 2019 . Table 10.3 – Activity for MSRs Three Months Ended March 31, (In Thousands) 2020 2019 Balance at beginning of period $ 42,224 $ 60,281 Additions — 104 Changes in fair value due to: Changes in assumptions (1) (16,746 ) (3,586 ) Other changes (2) (1,862 ) (1,515 ) Balance at End of Period $ 23,616 $ 55,284 (1) Primarily reflects changes in prepayment assumptions due to changes in market interest rates. (2) Represents changes due to the realization of expected cash flows. The following table presents the components of our MSR income (loss) for the three months ended March 31, 2020 and 2019 . Table 10.4 – Components of MSR Income (Loss), net Three Months Ended March 31, (In Thousands) 2020 2019 Servicing income $ 3,311 $ 3,610 Cost of sub-servicer (478 ) (503 ) Net servicing fee income 2,833 3,107 Market valuation changes of MSRs (18,608 ) (5,101 ) Market valuation changes of associated derivatives 13,966 2,251 MSR Income (Loss), Net (1) $ (1,809 ) $ 257 (1) MSR income, net is included in Other income on our consolidated statements of income (loss). |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value and Notional Amount of Derivative Financial Instruments | The following table presents the fair value and notional amount of our derivative financial instruments at March 31, 2020 and December 31, 2019 . Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments March 31, 2020 December 31, 2019 Fair Value Notional Amount Fair Value Notional Amount (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ — $ — $ 17,095 $ 1,399,000 TBAs 90,717 4,490,000 5,755 2,445,000 Interest rate futures — — 777 213,700 Swaptions — — 1,925 1,065,000 Assets - Other Derivatives Loan purchase and interest rate lock commitments — — 10,149 1,537,162 Total Assets $ 90,717 $ 4,490,000 $ 35,701 $ 6,659,862 Liabilities - Cash Flow Hedges Interest rate swaps $ — $ — $ (51,530 ) $ 139,500 Liabilities - Risk Management Derivatives Interest rate swaps — — (97,235 ) 2,314,300 TBAs (110,648 ) 4,490,000 (13,359 ) 4,160,000 Interest rate futures — — (10 ) 12,300 Liabilities - Other Derivatives Loan purchase commitments (3,966 ) 226,372 (1,290 ) 303,394 Total Liabilities $ (114,614 ) $ 4,716,372 $ (163,424 ) $ 6,929,494 Total Derivative Financial Instruments, Net $ (23,897 ) $ 9,206,372 $ (127,723 ) $ 13,589,356 |
Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges | The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three months ended March 31, 2020 and 2019 . Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended March 31, (In Thousands) 2020 2019 Net interest expense on cash flows hedges $ (860 ) $ (637 ) Realized net losses reclassified from other comprehensive income (79 ) — Total Interest Expense $ (939 ) $ (637 ) |
Other Assets and Liabilities (T
Other Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Components of Other Assets | Other assets at March 31, 2020 and December 31, 2019 are summarized in the following table. Table 12.1 – Components of Other Assets (In Thousands) March 31, 2020 December 31, 2019 Margin receivable $ 93,745 $ 209,776 Investment receivable 58,541 23,330 FHLBC stock 43,393 43,393 Pledged collateral 33,191 32,945 Right-of-use asset 16,375 11,866 REO 14,366 9,462 Fixed assets and leasehold improvements (1) 4,966 4,901 Other 30,776 12,590 Total Other Assets $ 295,353 $ 348,263 (1) Fixed assets and leasehold improvements had a basis of $12 million and accumulated depreciation of $7 million at March 31, 2020 . |
Components of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at March 31, 2020 and December 31, 2019 are summarized in the following table. Table 12.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) March 31, 2020 December 31, 2019 Dividends payable $ 37,800 $ — Lease liability 18,072 13,443 Contingent consideration 14,819 28,484 Payable to minority partner 14,804 13,189 Guarantee obligations 13,395 14,009 Accrued compensation 9,582 33,888 Residential bridge loan holdbacks 9,066 10,682 Deferred tax liabilities 5,152 5,152 Residential loan and MSR repurchase reserve 4,460 4,268 Other 36,449 23,123 Total Accrued Expenses and Other Liabilities $ 163,599 $ 146,238 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Short-Term Debt Facilities | The table below summarizes our short-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information at March 31, 2020 and December 31, 2019 . Table 13.1 – Short-Term Debt March 31, 2020 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse (1) 4 $ 841,186 $ 1,525,000 2.38 % 10/2020-3/2021 312 Business purpose residential loan warehouse (2) 6 756,384 1,410,000 3.51 % 12/2020-5/2022 404 Real estate securities repo (1) 7 485,147 — 2.77 % 4/2020-6/2020 32 Total Short-Term Debt Facilities 17 2,082,717 Servicer advance financing 1 258,931 400,000 2.57 % 11/2020 244 Total Short-Term Debt $ 2,341,648 December 31, 2019 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse (1) 4 $ 185,894 $ 1,425,000 3.23 % 1/2020-10/2020 69 Business purpose residential loan warehouse (2) 8 814,118 1,475,000 4.11 % 12/2020-5/2022 489 Real estate securities repo (1) 10 1,176,579 — 2.94 % 1/2020-3/2020 23 Total Short-Term Debt Facilities 22 2,176,591 Servicer advance financing 1 152,554 400,000 3.56 % 11/2020 335 Total Short-Term Debt $ 2,329,145 (1) Borrowings under our facilities are generally charged interest based on a specified margin over the one-month LIBOR interest rate. At March 31, 2020 and December 31, 2019, all of these borrowings were under uncommitted facilities and were due within 364 days (or less) of the borrowing date. (2) Due to the revolving nature of the borrowings under these facilities, we have classified these facilities as short-term debt at March 31, 2020 |
Collateral for Short-Term Debt | The following table below presents the value of loans, securities, and other assets pledged as collateral under our short-term debt facilities at March 31, 2020 and December 31, 2019 . Table 13.2 – Collateral for Short-Term Debt (In Thousands) March 31, 2020 December 31, 2019 Collateral Type Held-for-sale residential loans $ 881,607 $ 201,949 Business purpose residential loans 908,712 988,179 Real estate securities On balance sheet 78,909 618,881 Sequoia Choice securitizations (1) 51,026 111,341 Freddie Mac SLST securitizations (1) 307,175 381,640 Freddie Mac K-Series securitizations (1) 22,785 252,284 CAFL securitizations (1) — 127,840 Total real estate securities owned 459,895 1,491,986 Other assets (2) 106,467 16,252 Total Collateral for Short-Term Debt $ 2,356,681 $ 2,698,366 (1) Represents securities we have retained from consolidated securitization entities. For GAAP purposes, we consolidate the loans and non-recourse ABS debt issued from these securitizations. (2) In addition to securities that serve as collateral for our securities repo borrowings, we had posted $74 million |
Short-Term Debt by Collateral Type and Remaining Maturities | The following table presents the remaining maturities of our secured short-term debt by the type of collateral securing the debt as well as our convertible notes at March 31, 2020 . Table 13.3 – Short-Term Debt by Collateral Type and Remaining Maturities March 31, 2020 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ — $ 841,186 $ 841,186 Business purpose residential loans — — 756,384 756,384 Real estate securities 260,035 225,112 — 485,147 Total Secured Short-Term Debt 260,035 225,112 1,597,570 2,082,717 Servicer advance financing — — 258,931 258,931 Total Short-Term Debt $ 260,035 $ 225,112 $ 1,856,501 $ 2,341,648 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | The carrying values of ABS issued by our consolidated securitization entities at March 31, 2020 and December 31, 2019 , along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued March 31, 2020 Legacy Sequoia Sequoia Choice Freddie Mac SLST Freddie Mac K-Series CAFL Total (Dollars in Thousands) Certificates with principal balance $ 398,352 $ 1,776,396 $ 1,800,218 $ 418,212 $ 2,141,434 $ 6,534,612 Interest-only certificates 1,356 10,862 24,782 14,383 93,801 145,184 Market valuation adjustments (87,507 ) 2,836 — 15,104 (148,365 ) (217,932 ) ABS Issued, Net $ 312,201 $ 1,790,094 $ 1,825,000 $ 447,699 $ 2,086,870 $ 6,461,864 Range of weighted average interest rates, by series 1.81% to 2.91% 4.37% to 5.04% 3.50 % 3.53 % 3.22% to 5.22% Stated maturities 2024 - 2036 2047 - 2049 2028 - 2029 2025 2022 - 2048 Number of series 20 9 2 1 11 December 31, 2019 Legacy Sequoia Sequoia Freddie Mac SLST Freddie Mac K-Series CAFL Total (Dollars in Thousands) Certificates with principal balance $ 420,056 $ 1,979,719 $ 1,842,682 $ 3,844,789 $ 1,875,007 $ 9,962,253 Interest-only certificates 1,282 16,514 30,291 217,891 90,134 356,112 Market valuation adjustments (18,873 ) 40,965 45,349 93,559 36,110 197,110 ABS Issued, Net $ 402,465 $ 2,037,198 $ 1,918,322 $ 4,156,239 $ 2,001,251 $ 10,515,475 Range of weighted average interest rates, by series 1.94% to 3.26% 4.40% to 5.05% 3.50 % 3.35% to 4.35% 3.25% to 5.36% Stated maturities 2024 - 2036 2047 - 2049 2028 - 2029 2025 - 2049 2022 - 2048 Number of series 20 9 2 5 10 |
Accrued Interest Payable on Asset-Backed Securities Issued | The following table summarizes the accrued interest payable on ABS issued at March 31, 2020 and December 31, 2019 . Interest due on consolidated ABS issued is payable monthly. Table 14.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) March 31, 2020 December 31, 2019 Legacy Sequoia $ 351 $ 395 Sequoia Choice 6,920 7,732 Freddie Mac SLST 5,251 5,374 Freddie Mac K-Series 1,230 12,887 CAFL 8,078 7,298 Total Accrued Interest Payable on ABS Issued $ 21,830 $ 33,686 |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Maturities of FHLBC Borrowings by Year | The following table presents maturities of our FHLBC borrowings by year at March 31, 2020 . Table 15.1 – Maturities of FHLBC Borrowings by Year (In Thousands) March 31, 2020 2024 $ 470,171 2025 481,686 2026 415,824 Total FHLBC Borrowings $ 1,367,681 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Lease Commitments by Year | The following table presents our future lease commitments at March 31, 2020 . Table 16.1 – Future Lease Commitments by Year (In Thousands) March 31, 2020 2020 (9 months) $ 2,776 2021 3,104 2022 2,597 2023 2,087 2024 2,095 2025 9,214 Total Lease Commitments 21,873 Less: Imputed interest (3,801 ) Lease Liability $ 18,072 |
Equity (Tables)
Equity (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
Changes to Accumulated Other Comprehensive Income by Component | The following table provides a summary of changes to accumulated other comprehensive income by component for the three months ended March 31, 2020 and 2019 . During the three months ended March 31, 2020, the net unrealized losses recognized on our Level 3 AFS securities which we own as of March 31, 2020 totaled $81 million . Table 17.1 – Changes in Accumulated Other Comprehensive Income by Component Three Months Ended March 31, 2020 Three Months Ended March 31, 2019 (In Thousands) Net Unrealized Gains on Available-for-Sale Securities Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges Net Unrealized Gains on Available-for-Sale Securities Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges Balance at beginning of period $ 92,452 $ (50,939 ) $ 95,342 $ (34,045 ) Other comprehensive income (loss) before reclassifications (1) (80,519 ) (32,806 ) 6,718 (5,838 ) Amounts reclassified from other accumulated comprehensive income (13,798 ) 79 (9,493 ) — Net current-period other comprehensive income (loss) (94,317 ) (32,727 ) (2,775 ) (5,838 ) Balance at End of Period $ (1,865 ) $ (83,666 ) $ 92,567 $ (39,883 ) |
Reclassifications out of Accumulated Other Comprehensive Income | The following table provides a summary of reclassifications out of accumulated other comprehensive income for the three months ended March 31, 2020 and 2019 . Table 17.2 – Reclassifications Out of Accumulated Other Comprehensive Income Amount Reclassified From Accumulated Other Comprehensive Income Affected Line Item in the Three Months Ended March 31, (In Thousands) Income Statement 2020 2019 Net Realized (Gain) Loss on AFS Securities Credit loss expense on AFS securities Investment fair value changes, net $ 1,525 $ — Gain on sale of AFS securities Realized gains, net (15,323 ) (9,493 ) $ (13,798 ) $ (9,493 ) |
Basic and Diluted Earnings Per Common Share | The following table provides the basic and diluted (loss) earnings per common share computations for the three months ended March 31, 2020 and 2019 . Table 17.3 – Basic and Diluted (Loss) Earnings per Common Share Three Months Ended March 31, (In Thousands, except Share Data) 2020 2019 Basic (Loss) Earnings per Common Share: Net (loss) income attributable to Redwood $ (943,398 ) $ 54,464 Less: Dividends and undistributed earnings allocated to participating securities (1,209 ) (1,539 ) Net (loss) income allocated to common shareholders $ (944,607 ) $ 52,925 Basic weighted average common shares outstanding 114,076,568 92,685,350 Basic (Loss) Earnings per Common Share $ (8.28 ) $ 0.57 Diluted (Loss) Earnings per Common Share: Net (loss) income attributable to Redwood $ (943,398 ) $ 54,464 Less: Dividends and undistributed earnings allocated to participating securities (1,209 ) (1,539 ) Add back: Interest expense on convertible notes for the period, net of tax — 8,687 Net (loss) income allocated to common shareholders $ (944,607 ) $ 61,612 Weighted average common shares outstanding 114,076,568 92,685,350 Net effect of dilutive equity awards — 150,170 Net effect of assumed convertible notes conversion to common shares — 33,442,640 Diluted weighted average common shares outstanding 114,076,568 126,278,160 Diluted (Loss) Earnings per Common Share $ (8.28 ) $ 0.49 |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Equity Compensation Costs by Award Type | The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $32 million at March 31, 2020 , as shown in the following table. Table 18.1 – Activities of Equity Compensation Costs by Award Type Three Months Ended March 31, 2020 (In Thousands) Restricted Stock Awards Restricted Stock Units Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 1,990 $ 3,534 $ 17,858 $ 8,946 $ — $ 32,328 Equity grants 5 3,352 5,480 — 160 8,997 Performance-based valuation adjustment — — — (7,352 ) — (7,352 ) Equity grant forfeitures (24 ) (114 ) — — — (138 ) Equity compensation expense (344 ) (347 ) (1,993 ) 729 (40 ) (1,995 ) Unrecognized Compensation Cost at End of Period $ 1,627 $ 6,425 $ 21,345 $ 2,323 $ 120 $ 31,840 |
Mortgage Banking Activities, _2
Mortgage Banking Activities, Net (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Mortgage Banking [Abstract] | |
Mortgage Banking Activities | The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income (loss) for the three months ended March 31, 2020 and 2019 . Table 19.1 – Mortgage Banking Activities Three Months Ended March 31, (In Thousands) 2020 2019 Residential Mortgage Banking Activities, Net Changes in fair value of: Residential loans, at fair value (1) $ 7,955 $ 14,844 Risk management derivatives (2) (31,294 ) (4,138 ) Other income, net (3) 258 121 Total residential mortgage banking activities, net (23,081 ) 10,827 Business Purpose Mortgage Banking Activities, Net: Changes in fair value of: Single-family rental loans, at fair value (1) 11,808 1,744 Risk management derivatives (2) (21,538 ) (846 ) Residential bridge loans, at fair value (3,934 ) 86 Other income, net (4) 8,334 498 Total business purpose mortgage banking activities, net (5,330 ) 1,482 Mortgage Banking Activities, Net $ (28,411 ) $ 12,309 (1) For residential loans, includes changes in fair value for associated loan purchase and forward sale commitments. For single-family rental loans, includes changes in fair value for associated interest rate lock commitments. (2) Represents market valuation changes of derivatives that were used to manage risks associated with our accumulation of loans. (3) Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. (4) Amounts in this line item include other fee income from loan originations. |
Investment Fair Value Changes_2
Investment Fair Value Changes, Net (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Fair Value Changes | The following table presents the components of Investment fair value changes, net, recorded in our consolidated statements of income (loss) for the three months ended March 31, 2020 and 2019 . Table 20.1 – Investment Fair Value Changes Three Months Ended March 31, (In Thousands) 2020 2019 Investment Fair Value Changes, Net Changes in fair value of: Residential loans held-for-investment at Redwood $ (93,636 ) $ 28,108 Single-family rental loans held-for-investment (23,028 ) — Residential bridge loans held-for-investment (38,602 ) (303 ) Trading securities (263,325 ) 21,860 Servicer advance investments (6,062 ) 1,008 Excess MSRs (9,494 ) (437 ) Shared home appreciation options (7,554 ) — REO (498 ) — Net investments in Legacy Sequoia entities (1) (391 ) (374 ) Net investments in Sequoia Choice entities (1) (69,669 ) 3,265 Net investments in Freddie Mac SLST entities (1) (142,162 ) 6,365 Net investments in Freddie Mac K-Series entities (1) (86,509 ) 3,119 Net investments in CAFL entities (1) (67,846 ) — Risk-sharing and other investments (1,389 ) (77 ) Risk management derivatives, net (59,142 ) (42,375 ) Credit losses on AFS securities (1,525 ) — Investment Fair Value Changes, Net $ (870,832 ) $ 20,159 (1) Includes changes in fair value of the loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs. For certain Freddie Mac K-Series entities, includes the impact of sales of underlying securities and subsequent deconsolidation of these entities for the three months ended March 31, 2020. |
Other Income (Tables)
Other Income (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Other Income and Expenses [Abstract] | |
Schedule of other income | The following table presents the components of Other income recorded in our consolidated statements of income (loss) for the three months ended March 31, 2020 and 2019 . Table 21.1 – Other Income Three Months Ended March 31, (In Thousands) 2020 2019 MSR (loss) income, net $ (1,809 ) $ 257 Risk share income 765 646 FHLBC capital stock dividend 547 547 Equity investment income 848 268 5 Arches loan administration fee income 870 466 Gain on re-measurement of investment in 5 Arches — 2,441 Other 1,216 — Other Income $ 2,437 $ 4,625 |
General and Administrative Ex_2
General and Administrative Expenses and Other Expenses (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Other Income and Expenses [Abstract] | |
Components of General and Administrative Expenses and Other Expenses | Components of our general and administrative, and other expenses for the three months ended March 31, 2020 and 2019 are presented in the following table. Table 22.1 – Components of General and Administrative Expenses and Other Expenses Three Months Ended March 31, (In Thousands) 2020 2019 General and Administrative Expenses Fixed compensation expense $ 14,684 $ 8,097 Variable compensation expense 11 4,402 Equity compensation expense 1,995 2,953 Acquisition-related equity compensation expense (1) 1,212 — Systems and consulting 3,212 1,828 Loan acquisition costs (2) 4,726 1,585 Office costs 2,108 1,304 Accounting and legal 2,216 1,125 Corporate costs 671 674 Other operating expenses 1,833 1,191 Total General and Administrative Expenses 32,668 23,159 Other Expenses Goodwill impairment expense 88,675 — Amortization of purchase-related intangible assets 4,309 811 Contingent consideration expense (3) 312 — Other (1,881 ) 227 Total Other Expenses 91,415 1,038 Total General and Administrative Expenses and Other Expenses $ 124,083 $ 24,197 (1) Acquisition-related equity compensation expense relates to 588,260 shares of restricted stock that were issued to members of CoreVest management as a component of the consideration paid to them for our purchase of their interests in CoreVest. The grant date fair value of these restricted stock awards was $10 million , which will be recognized as compensation expense over the two-year vesting period on a straight-line basis in accordance with GAAP. (2) Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value as well as employee commissions related to our business purpose loan originations. (3) Contingent consideration expense relates to the acquisition of 5 Arches during 2019. Refer to Note 2 for additional detail. |
Taxes (Tables)
Taxes (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Reconciliation of Statutory Tax Rate to Effective Tax Rate | The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at March 31, 2020 and 2019 . Table 23.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate March 31, 2020 March 31, 2019 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of Federal tax effect 8.6 % 8.6 % Differences in taxable (loss) income from GAAP income (25.9 )% (8.5 )% Change in valuation allowance (2.5 )% (4.1 )% Dividends paid deduction 1.1 % (15.4 )% Effective Tax Rate 2.3 % 1.6 % |
Segment Information (Tables)
Segment Information (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Segment Reporting [Abstract] | |
Business Segment Financial Information | The following tables present financial information by segment for the three months ended March 31, 2020 and 2019 . Table 24.1 – Business Segment Financial Information Three Months Ended March 31, 2020 (In Thousands) Residential Lending Business Purpose Lending Multifamily Investments Third-Party Residential Investments Corporate/ Other Total Interest income $ 60,631 $ 53,060 $ 46,883 $ 34,313 $ 3,194 $ 198,081 Interest expense (41,402 ) (34,990 ) (43,286 ) (24,471 ) (2,522 ) (146,671 ) Net interest income 19,229 18,070 3,597 9,842 672 51,410 Non-interest income Mortgage banking activities, net (23,081 ) (5,330 ) — — — (28,411 ) Investment fair value changes, net (196,635 ) (142,130 ) (227,122 ) (304,436 ) (509 ) (870,832 ) Other income (497 ) 1,693 1,240 1 — 2,437 Realized gains, net 1,796 — (1,604 ) 3,660 — 3,852 Total non-interest income, net (218,417 ) (145,767 ) (227,486 ) (300,775 ) (509 ) (892,954 ) General and administrative expenses (5,632 ) (14,333 ) (610 ) (1,178 ) (10,915 ) (32,668 ) Other expenses — (92,985 ) — 1,882 (312 ) (91,415 ) Benefit from (provision for) income taxes 5,330 6,582 (106 ) 10,423 — 22,229 Segment Contribution $ (199,490 ) $ (228,433 ) $ (224,605 ) $ (279,806 ) $ (11,064 ) Net Loss $ (943,398 ) Non-cash amortization income (expense), net $ 367 $ (5,363 ) $ 54 $ 812 $ (367 ) $ (4,497 ) Other significant non-cash expense: goodwill impairment $ — $ (88,675 ) $ — $ — $ — $ (88,675 ) Three Months Ended March 31, 2019 (In Thousands) Residential Lending Business Purpose Lending Multifamily Investments Third-Party Residential Investments Corporate/ Total Interest income $ 66,839 $ 2,937 $ 28,208 $ 28,204 $ 4,853 $ 131,041 Interest expense (47,676 ) (1,539 ) (25,870 ) (20,076 ) (4,115 ) (99,276 ) Net interest income 19,163 1,398 2,338 8,128 738 31,765 Non-interest income Mortgage banking activities, net 10,827 1,482 — — — 12,309 Investment fair value changes, net (1,720 ) (303 ) 8,524 14,055 (397 ) 20,159 Other income 1,449 466 — — 2,710 4,625 Realized gains, net 4,937 — — 5,749 — 10,686 Total non-interest income, net 15,493 1,645 8,524 19,804 2,313 47,779 General and administrative expenses (7,203 ) (2,565 ) (323 ) (663 ) (12,405 ) (23,159 ) Other expenses — (633 ) — (227 ) (178 ) (1,038 ) Provision for income taxes (501 ) (5 ) — (377 ) — (883 ) Segment Contribution $ 26,952 $ (160 ) $ 10,539 $ 26,665 $ (9,532 ) Net Income $ 54,464 Non-cash amortization income (expense), net $ 1,975 $ (732 ) $ (136 ) $ (271 ) $ (491 ) $ 345 |
Components of Corporate and Other | The following table presents the components of Corporate/Other for the three months ended March 31, 2020 and 2019 . Table 24.2 – Components of Corporate/Other Three Months Ended March 31, 2020 2019 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 3,194 $ — $ 3,194 $ 4,853 $ — $ 4,853 Interest expense (2,522 ) — (2,522 ) (4,115 ) — (4,115 ) Net interest income 672 — 672 738 — 738 Non-interest income Investment fair value changes, net (391 ) (118 ) (509 ) (374 ) (23 ) (397 ) Other income — — — — 2,710 2,710 Total non-interest income, net (391 ) (118 ) (509 ) (374 ) 2,687 2,313 General and administrative expenses — (10,915 ) (10,915 ) — (12,405 ) (12,405 ) Other expenses — (312 ) (312 ) — (178 ) (178 ) Total $ 281 $ (11,345 ) $ (11,064 ) $ 364 $ (9,896 ) $ (9,532 ) (1) Legacy consolidated VIEs represent Legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 for further discussion on VIEs. |
Supplemental Information by Segment | The following table presents supplemental information by segment at March 31, 2020 and December 31, 2019 . Table 24.3 – Supplemental Segment Information (In Thousands) Residential Lending Business Purpose Lending Multifamily Investments Third-Party Residential Investments Corporate/ Total March 31, 2020 Residential loans $ 4,263,327 $ — $ — $ 2,131,125 $ 316,677 $ 6,711,129 Business purpose residential loans — 3,463,742 — — — 3,463,742 Multifamily loans — — 470,484 — — 470,484 Real estate securities 132,326 — 26,487 134,649 — 293,462 Other investments 23,616 26,877 36,691 359,036 — 446,220 Goodwill and intangible assets — 68,483 — — — 68,483 Total assets 4,639,181 3,675,336 557,964 2,735,677 692,632 12,300,790 December 31, 2019 Residential loans $ 4,939,745 $ — $ — $ 2,367,215 $ 407,890 $ 7,714,850 Business purpose residential loans — 3,506,743 — — — 3,506,743 Multifamily loans — 4,408,524 — — 4,408,524 Real estate securities 229,074 404,128 466,672 — 1,099,874 Other investments 42,224 21,002 61,018 233,886 — 358,130 Goodwill and intangible assets — 161,464 — — — 161,464 Total assets 5,410,540 3,786,641 4,889,330 3,139,616 769,313 17,995,440 |
Organization (Details)
Organization (Details) | 3 Months Ended |
Mar. 31, 2020segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 4 |
- Narrative (Details)
- Narrative (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2020USD ($) | Mar. 31, 2019USD ($) | Dec. 31, 2018partnership | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Variable Interest Entity [Line Items] | |||||
Consolidation of multifamily loans held in securitization trusts | $ 3,849,779 | $ 0 | |||
Consolidation of multifamily ABS | $ 3,706,789 | $ 0 | |||
Deconsolidation, realized market valuation gain (loss) | $ (72,000) | ||||
Number of partnerships consolidated | partnership | 2 | ||||
VIE, ownership interest rate | 80.00% | ||||
Multifamily loans | |||||
Variable Interest Entity [Line Items] | |||||
Consolidation of multifamily loans held in securitization trusts | $ 3,860,000 | ||||
Consolidation of multifamily ABS | $ 3,720,000 |
Basis of Presentation - Acquisi
Basis of Presentation - Acquisitions (Details) - USD ($) | Oct. 15, 2019 | Mar. 31, 2019 | May 31, 2018 | Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Mar. 01, 2019 |
Business Acquisition [Line Items] | |||||||
Acquisition-related equity compensation expense | $ 1,212,000 | $ 0 | |||||
Remeasurement gain | 0 | 2,441,000 | |||||
Goodwill impairment expense | 88,675,000 | 0 | |||||
Intangible assets impairment expense | 0 | ||||||
Contingent consideration | 14,819,000 | $ 28,484,000 | |||||
Acquisition related costs | 312,000 | $ 0 | |||||
5 Arches | |||||||
Business Acquisition [Line Items] | |||||||
Minority interest, percentage | 20.00% | ||||||
Percent acquired | 80.00% | ||||||
Contingent consideration maximum amount | $ 29,000,000 | ||||||
Restricted stock awards | 3,000,000 | ||||||
Intangible assets | $ 25,000,000 | ||||||
Contingent consideration | 15,000,000 | $ 25,000,000 | |||||
Cash payment for contingent consideration liability | 11,000,000 | ||||||
Acquisition related costs | $ 300,000 | ||||||
CoreVest | |||||||
Business Acquisition [Line Items] | |||||||
Contingent consideration performance term | 2 years | ||||||
Restricted stock awards | $ 10,000,000 | ||||||
Intangible assets | $ 57,000,000 | ||||||
5 Arches LLC and CoreVest | |||||||
Business Acquisition [Line Items] | |||||||
Goodwill | 89,000,000 | ||||||
Goodwill deductible for tax purposes | $ 75,000,000 | ||||||
5 Arches | |||||||
Business Acquisition [Line Items] | |||||||
Option to purchase additional equity, term | 1 year |
Basis of Presentation - Intangi
Basis of Presentation - Intangible Assets – Activity (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Finite-lived Intangible Assets [Roll Forward] | |
Carrying Value at December 31, 2019 | $ 72,789 |
Additions | 0 |
Amortization Expense | (4,306) |
Carrying Value at March 31, 2020 | $ 68,483 |
Weighted Average Amortization Period (in years) | 6 years |
5 Arches LLC and CoreVest | Borrower network | |
Finite-lived Intangible Assets [Roll Forward] | |
Carrying Value at December 31, 2019 | $ 43,952 |
Additions | 0 |
Amortization Expense | (1,618) |
Carrying Value at March 31, 2020 | $ 42,334 |
Weighted Average Amortization Period (in years) | 7 years |
5 Arches LLC and CoreVest | Broker network | |
Finite-lived Intangible Assets [Roll Forward] | |
Carrying Value at December 31, 2019 | $ 15,083 |
Additions | 0 |
Amortization Expense | (905) |
Carrying Value at March 31, 2020 | $ 14,178 |
Weighted Average Amortization Period (in years) | 4 years |
5 Arches LLC and CoreVest | Non-compete agreements | |
Finite-lived Intangible Assets [Roll Forward] | |
Carrying Value at December 31, 2019 | $ 8,236 |
Additions | 0 |
Amortization Expense | (792) |
Carrying Value at March 31, 2020 | $ 7,444 |
Weighted Average Amortization Period (in years) | 3 years |
5 Arches LLC and CoreVest | Tradename | |
Finite-lived Intangible Assets [Roll Forward] | |
Carrying Value at December 31, 2019 | $ 3,472 |
Additions | 0 |
Amortization Expense | (333) |
Carrying Value at March 31, 2020 | $ 3,139 |
Weighted Average Amortization Period (in years) | 3 years |
5 Arches LLC and CoreVest | Developed technology | |
Finite-lived Intangible Assets [Roll Forward] | |
Carrying Value at December 31, 2019 | $ 1,613 |
Additions | 0 |
Amortization Expense | (225) |
Carrying Value at March 31, 2020 | $ 1,388 |
Weighted Average Amortization Period (in years) | 2 years |
5 Arches LLC and CoreVest | Loan administration fees on existing loan assets | |
Finite-lived Intangible Assets [Roll Forward] | |
Carrying Value at December 31, 2019 | $ 433 |
Additions | 0 |
Amortization Expense | (433) |
Carrying Value at March 31, 2020 | $ 0 |
Basis of Presentation - Intan_2
Basis of Presentation - Intangible Asset Amortization Expense by Year (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Finite-Lived Intangible Assets [Line Items] | ||
2020 (9 months) | $ 11,619 | |
2021 | 15,304 | |
2022 | 12,800 | |
2023 | 10,091 | |
2024 | 7,073 | |
2025 and thereafter | 11,596 | |
Total Future Intangible Asset Amortization | $ 68,483 | $ 72,789 |
Basis of Presentation - Pro For
Basis of Presentation - Pro Forma Information (Details) - 5 Arches LLC and CoreVest $ in Thousands | 3 Months Ended |
Mar. 31, 2019USD ($) | |
Business Acquisition [Line Items] | |
Net interest income | $ 43,390 |
Non-interest income | 42,976 |
Net income | $ 56,028 |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | $ 90,717 | ||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | 90,717 | $ 35,701 |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (89,433) | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (1,283) | ||
Net Amount | 1 | ||
Liabilities | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | (114,614) | (163,424) |
Total Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (1,631,612) | (1,690,828) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (1,631,612) | (1,690,828) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,606,583 | 1,548,637 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 20,882 | 141,260 | |
Net Amount | (4,147) | (931) | |
Interest rate agreements | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 19,020 | ||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 19,020 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (14,178) | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (915) | ||
Net Amount | 3,927 | ||
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (148,765) | ||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (148,765) | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 14,178 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 134,587 | ||
Net Amount | 0 | ||
TBAs | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 90,717 | 5,755 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 90,717 | 5,755 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (89,433) | (5,755) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (1,283) | 0 | |
Net Amount | 1 | 0 | |
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (110,648) | (13,359) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (110,648) | (13,359) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 89,433 | 5,755 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 19,308 | 6,673 | |
Net Amount | (1,907) | (931) | |
Futures | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 137 | ||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 137 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | ||
Net Amount | 137 | ||
Interest Rate Agreement, TBAs, and Futures | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 24,912 | ||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 24,912 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (19,933) | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (915) | ||
Net Amount | 4,064 | ||
Loan warehouse debt | |||
Loan warehouse debt and Security repurchase agreement | |||
Gross Amounts of Recognized Assets (Liabilities) | (1,035,817) | (432,126) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (1,035,817) | (432,126) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,034,622 | 432,126 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | 0 | |
Net Amount | (1,195) | ||
Security repurchase agreements | |||
Loan warehouse debt and Security repurchase agreement | |||
Gross Amounts of Recognized Assets (Liabilities) | (485,147) | (1,096,578) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (485,147) | (1,096,578) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 482,528 | 1,096,578 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 1,574 | 0 | |
Net Amount | $ (1,045) | $ 0 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Principles of Consolidation - A
Principles of Consolidation - Additional Information (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2020USD ($)entity | Mar. 31, 2019USD ($) | Dec. 31, 2018partnership | Dec. 31, 2018USD ($) | Dec. 31, 2019USD ($) | |
Variable Interest Entity [Line Items] | |||||
Number of partnerships consolidated | partnership | 2 | ||||
VIE, ownership interest rate | 80.00% | ||||
MSRs | $ 282,743 | $ 151,582 | |||
Consolidation of multifamily loans held in securitization trusts | 3,849,779 | $ 0 | |||
Consolidation of multifamily ABS | $ 3,706,789 | $ 0 | |||
Deconsolidation, realized market valuation gain (loss) | $ (72,000) | ||||
Variable Interest Entity, Not Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Number of securitization entities to which asset transferred (in entities) | entity | 51 | ||||
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | $ 6,000 | ||||
Sequoia Choice | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | 144,000 | ||||
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | 309,000 | ||||
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | 23,000 | ||||
CoreVest | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | 170,000 | ||||
Servicing Investment | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
MSRs | $ 59,000 |
Principles of Consolidation -_2
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entity's (Details) $ in Thousands | Mar. 31, 2020USD ($)investment | Dec. 31, 2019USD ($)investment | |
Variable Interest Entity [Line Items] | |||
Other investments | [1] | $ 446,220 | $ 358,130 |
Cash and cash equivalents | [1] | 378,233 | 196,966 |
Restricted cash | [1] | 25,752 | 93,867 |
Accrued interest receivable | [1] | 57,215 | 71,058 |
Other assets | [1] | 295,353 | 348,263 |
Total Assets | [1] | 12,300,790 | 17,995,440 |
Short-term debt | [1] | 2,341,648 | 2,329,145 |
Accrued interest payable | [1] | 40,102 | 60,655 |
Accrued expenses and other liabilities | [1] | 163,599 | 146,238 |
Asset-backed securities issued | [1] | 6,461,864 | 10,515,475 |
Total liabilities | [1] | $ 11,575,588 | $ 16,168,209 |
Number of VIEs | investment | 46 | 49 | |
Legacy Sequoia | |||
Variable Interest Entity [Line Items] | |||
Number of VIEs | investment | 20 | 20 | |
Sequoia Choice | |||
Variable Interest Entity [Line Items] | |||
Number of VIEs | investment | 9 | 9 | |
Freddie Mac SLST | |||
Variable Interest Entity [Line Items] | |||
Number of VIEs | investment | 2 | 2 | |
Freddie Mac K-Series | |||
Variable Interest Entity [Line Items] | |||
Number of VIEs | investment | 1 | 5 | |
CAFL | |||
Variable Interest Entity [Line Items] | |||
Number of VIEs | investment | 11 | 10 | |
Servicing Investment | |||
Variable Interest Entity [Line Items] | |||
Number of VIEs | investment | 3 | 3 | |
Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Total Assets | $ 7,470,706 | $ 11,931,869 | |
Total liabilities | 6,759,260 | 10,717,072 | |
Variable Interest Entity, Primary Beneficiary | Residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 4,380,460 | 5,066,568 | |
Variable Interest Entity, Primary Beneficiary | Business purpose residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 2,248,665 | 2,192,552 | |
Variable Interest Entity, Primary Beneficiary | Multifamily loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 470,484 | 4,408,524 | |
Variable Interest Entity, Primary Beneficiary | Other investments | |||
Variable Interest Entity [Line Items] | |||
Other investments | 314,394 | 184,802 | |
Variable Interest Entity, Primary Beneficiary | Cash and cash equivalents | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 2,886 | 9,015 | |
Variable Interest Entity, Primary Beneficiary | Restricted cash | |||
Variable Interest Entity [Line Items] | |||
Restricted cash | 11,968 | 21,936 | |
Variable Interest Entity, Primary Beneficiary | Accrued interest receivable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest receivable | 34,098 | 45,772 | |
Variable Interest Entity, Primary Beneficiary | Other assets | |||
Variable Interest Entity [Line Items] | |||
Other assets | 7,751 | 2,700 | |
Variable Interest Entity, Primary Beneficiary | Short-term debt | |||
Variable Interest Entity [Line Items] | |||
Short-term debt | 258,931 | 152,554 | |
Variable Interest Entity, Primary Beneficiary | Accrued interest payable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest payable | 22,145 | 34,060 | |
Variable Interest Entity, Primary Beneficiary | Accrued expenses and other liabilities | |||
Variable Interest Entity [Line Items] | |||
Accrued expenses and other liabilities | 16,320 | 14,983 | |
Variable Interest Entity, Primary Beneficiary | Asset-backed securities issued | |||
Variable Interest Entity [Line Items] | |||
Asset-backed securities issued | 6,461,864 | 10,515,475 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | |||
Variable Interest Entity [Line Items] | |||
Total Assets | 318,352 | 409,148 | |
Total liabilities | 312,552 | 402,860 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 316,677 | 407,890 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Business purpose residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Multifamily loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Other investments | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Cash and cash equivalents | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Restricted cash | |||
Variable Interest Entity [Line Items] | |||
Restricted cash | 143 | 143 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Accrued interest receivable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest receivable | 580 | 655 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Other assets | |||
Variable Interest Entity [Line Items] | |||
Other assets | 952 | 460 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Short-term debt | |||
Variable Interest Entity [Line Items] | |||
Short-term debt | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Accrued interest payable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest payable | 351 | 395 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Accrued expenses and other liabilities | |||
Variable Interest Entity [Line Items] | |||
Accrued expenses and other liabilities | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Legacy Sequoia | Asset-backed securities issued | |||
Variable Interest Entity [Line Items] | |||
Asset-backed securities issued | 312,201 | 402,465 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | |||
Variable Interest Entity [Line Items] | |||
Total Assets | 1,941,247 | 2,301,314 | |
Total liabilities | 1,797,029 | 2,044,957 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 1,932,658 | 2,291,463 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Business purpose residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Multifamily loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Other investments | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Cash and cash equivalents | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Restricted cash | |||
Variable Interest Entity [Line Items] | |||
Restricted cash | 15 | 27 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Accrued interest receivable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest receivable | 8,574 | 9,824 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Other assets | |||
Variable Interest Entity [Line Items] | |||
Other assets | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Short-term debt | |||
Variable Interest Entity [Line Items] | |||
Short-term debt | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Accrued interest payable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest payable | 6,920 | 7,732 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Accrued expenses and other liabilities | |||
Variable Interest Entity [Line Items] | |||
Accrued expenses and other liabilities | 15 | 27 | |
Variable Interest Entity, Primary Beneficiary | Sequoia Choice | Asset-backed securities issued | |||
Variable Interest Entity [Line Items] | |||
Asset-backed securities issued | 1,790,094 | 2,037,198 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | |||
Variable Interest Entity [Line Items] | |||
Total Assets | 2,139,359 | 2,374,973 | |
Total liabilities | 1,830,251 | 1,923,696 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 2,131,125 | 2,367,215 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Business purpose residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Multifamily loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Other investments | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Cash and cash equivalents | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Restricted cash | |||
Variable Interest Entity [Line Items] | |||
Restricted cash | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Accrued interest receivable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest receivable | 7,184 | 7,313 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Other assets | |||
Variable Interest Entity [Line Items] | |||
Other assets | 1,050 | 445 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Short-term debt | |||
Variable Interest Entity [Line Items] | |||
Short-term debt | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Accrued interest payable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest payable | 5,251 | 5,374 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Accrued expenses and other liabilities | |||
Variable Interest Entity [Line Items] | |||
Accrued expenses and other liabilities | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | Asset-backed securities issued | |||
Variable Interest Entity [Line Items] | |||
Asset-backed securities issued | 1,825,000 | 1,918,322 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | |||
Variable Interest Entity [Line Items] | |||
Total Assets | 471,874 | 4,422,063 | |
Total liabilities | 448,929 | 4,169,126 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Business purpose residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Multifamily loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 470,484 | 4,408,524 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Other investments | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Cash and cash equivalents | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Restricted cash | |||
Variable Interest Entity [Line Items] | |||
Restricted cash | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Accrued interest receivable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest receivable | 1,390 | 13,539 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Other assets | |||
Variable Interest Entity [Line Items] | |||
Other assets | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Short-term debt | |||
Variable Interest Entity [Line Items] | |||
Short-term debt | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Accrued interest payable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest payable | 1,230 | 12,887 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Accrued expenses and other liabilities | |||
Variable Interest Entity [Line Items] | |||
Accrued expenses and other liabilities | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Freddie Mac K-Series | Asset-backed securities issued | |||
Variable Interest Entity [Line Items] | |||
Asset-backed securities issued | 447,699 | 4,156,239 | |
Variable Interest Entity, Primary Beneficiary | CAFL | |||
Variable Interest Entity [Line Items] | |||
Total Assets | 2,265,217 | 2,203,919 | |
Total liabilities | 2,095,058 | 2,008,736 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Business purpose residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 2,248,665 | 2,192,552 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Multifamily loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Other investments | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Cash and cash equivalents | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Restricted cash | |||
Variable Interest Entity [Line Items] | |||
Restricted cash | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Accrued interest receivable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest receivable | 10,803 | 9,572 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Other assets | |||
Variable Interest Entity [Line Items] | |||
Other assets | 5,749 | 1,795 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Short-term debt | |||
Variable Interest Entity [Line Items] | |||
Short-term debt | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Accrued interest payable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest payable | 8,188 | 7,485 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Accrued expenses and other liabilities | |||
Variable Interest Entity [Line Items] | |||
Accrued expenses and other liabilities | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | CAFL | Asset-backed securities issued | |||
Variable Interest Entity [Line Items] | |||
Asset-backed securities issued | 2,086,870 | 2,001,251 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | |||
Variable Interest Entity [Line Items] | |||
Total Assets | 334,657 | 220,452 | |
Total liabilities | 275,441 | 167,697 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Business purpose residential loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Multifamily loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Other investments | |||
Variable Interest Entity [Line Items] | |||
Other investments | 314,394 | 184,802 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Cash and cash equivalents | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 2,886 | 9,015 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Restricted cash | |||
Variable Interest Entity [Line Items] | |||
Restricted cash | 11,810 | 21,766 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Accrued interest receivable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest receivable | 5,567 | 4,869 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Other assets | |||
Variable Interest Entity [Line Items] | |||
Other assets | 0 | 0 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Short-term debt | |||
Variable Interest Entity [Line Items] | |||
Short-term debt | 258,931 | 152,554 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Accrued interest payable | |||
Variable Interest Entity [Line Items] | |||
Accrued interest payable | 205 | 187 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Accrued expenses and other liabilities | |||
Variable Interest Entity [Line Items] | |||
Accrued expenses and other liabilities | 16,305 | 14,956 | |
Variable Interest Entity, Primary Beneficiary | Servicing Investment | Asset-backed securities issued | |||
Variable Interest Entity [Line Items] | |||
Asset-backed securities issued | $ 0 | $ 0 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Principles of Consolidation - I
Principles of Consolidation - Income (Loss) from Consolidated VIEs (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Variable Interest Entity [Line Items] | ||
Interest income | $ 198,081 | $ 131,041 |
Interest expense | (146,671) | (99,276) |
Net Interest Income | 51,410 | 31,765 |
Investment fair value changes, net | (870,832) | 20,159 |
Total non-interest (loss) income, net | (892,954) | 47,779 |
General and administrative expenses | (32,668) | (23,159) |
Other expenses | 91,415 | 1,038 |
Net (Loss) Income | (943,398) | 54,464 |
Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Interest income | 124,528 | 67,043 |
Interest expense | (102,072) | (58,908) |
Net Interest Income | 22,456 | 8,135 |
Investment fair value changes, net | (378,459) | 13,805 |
Total non-interest (loss) income, net | (378,459) | 13,805 |
General and administrative expenses | (31) | (30) |
Other expenses | 1,882 | (227) |
Net (Loss) Income | (354,152) | 21,683 |
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Interest income | 3,194 | 4,853 |
Interest expense | (2,522) | (4,115) |
Net Interest Income | 672 | 738 |
Investment fair value changes, net | (391) | (374) |
Total non-interest (loss) income, net | (391) | (374) |
General and administrative expenses | 0 | 0 |
Other expenses | 0 | 0 |
Net (Loss) Income | 281 | 364 |
Sequoia Choice | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Interest income | 25,083 | 25,662 |
Interest expense | (21,510) | (22,113) |
Net Interest Income | 3,573 | 3,549 |
Investment fair value changes, net | (69,668) | 3,265 |
Total non-interest (loss) income, net | (69,668) | 3,265 |
General and administrative expenses | 0 | 0 |
Other expenses | 0 | 0 |
Net (Loss) Income | (66,095) | 6,814 |
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Interest income | 21,986 | 11,794 |
Interest expense | (16,176) | (8,747) |
Net Interest Income | 5,810 | 3,047 |
Investment fair value changes, net | (142,161) | 6,365 |
Total non-interest (loss) income, net | (142,161) | 6,365 |
General and administrative expenses | 0 | 0 |
Other expenses | 0 | 0 |
Net (Loss) Income | (136,351) | 9,412 |
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Interest income | 40,172 | 21,388 |
Interest expense | (38,348) | (20,320) |
Net Interest Income | 1,824 | 1,068 |
Investment fair value changes, net | (86,509) | 3,119 |
Total non-interest (loss) income, net | (86,509) | 3,119 |
General and administrative expenses | 0 | 0 |
Other expenses | 0 | 0 |
Net (Loss) Income | (84,685) | 4,187 |
CAFL | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Interest income | 30,010 | 0 |
Interest expense | (21,939) | 0 |
Net Interest Income | 8,071 | 0 |
Investment fair value changes, net | (67,846) | 0 |
Total non-interest (loss) income, net | (67,846) | 0 |
General and administrative expenses | 0 | 0 |
Other expenses | 0 | 0 |
Net (Loss) Income | (59,775) | 0 |
Servicing Investment | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Interest income | 4,083 | 3,346 |
Interest expense | (1,577) | (3,613) |
Net Interest Income | 2,506 | (267) |
Investment fair value changes, net | (11,884) | 1,430 |
Total non-interest (loss) income, net | (11,884) | 1,430 |
General and administrative expenses | (31) | (30) |
Other expenses | 1,882 | (227) |
Net (Loss) Income | $ (7,527) | $ 906 |
Principles of Consolidation - S
Principles of Consolidation - Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Variable Interest Entity [Line Items] | ||
Principal balance of loans transferred | $ 1,573,703 | $ 348,257 |
Trading securities retained, at fair value | ||
Variable Interest Entity [Line Items] | ||
Securities retained, at fair value | 43,362 | 1,716 |
AFS securities retained, at fair value | ||
Variable Interest Entity [Line Items] | ||
Securities retained, at fair value | $ 3,198 | $ 885 |
Principles of Consolidation - C
Principles of Consolidation - Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Variable Interest Entity [Line Items] | ||
Proceeds from new transfers | $ 1,610,761 | $ 352,371 |
MSR fees received | 2,690 | 3,060 |
Funding of compensating interest, net | (92) | (90) |
Cash flows received on retained securities | $ 6,581 | $ 7,546 |
Principles of Consolidation -_3
Principles of Consolidation - Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Senior IO Securities | ||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||
Prepayment rates | 41.00% | 16.00% |
Discount rates | 16.00% | 14.00% |
Credit loss assumptions | 0.21% | 0.20% |
Subordinate Securities | ||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||
Prepayment rates | 13.00% | 14.00% |
Discount rates | 6.00% | 8.00% |
Credit loss assumptions | 0.22% | 0.20% |
Principles of Consolidation -_4
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
On-balance sheet assets, at fair value: | ||||
Available-for-sale securities | $ 129,243 | $ 239,334 | ||
Servicing asset, fair value | 282,743 | 151,582 | ||
Mortgage servicing rights | ||||
On-balance sheet assets, at fair value: | ||||
Servicing asset, fair value | 23,616 | 42,224 | $ 55,284 | $ 60,281 |
Variable Interest Entity, Not Primary Beneficiary | ||||
On-balance sheet assets, at fair value: | ||||
Maximum loss exposure | 154,809 | 269,328 | ||
Assets transferred: | ||||
Principal balance of loans outstanding | 11,181,034 | 10,299,442 | ||
Principal balance of loans 30 days delinquent | 40,930 | 41,809 | ||
Variable Interest Entity, Not Primary Beneficiary | Interest-only, senior and subordinate securities, classified as trading | ||||
On-balance sheet assets, at fair value: | ||||
Interest-only, senior and subordinate securities, classified as trading | 54,894 | 88,425 | ||
Variable Interest Entity, Not Primary Beneficiary | Subordinate securities, classified as AFS | ||||
On-balance sheet assets, at fair value: | ||||
Available-for-sale securities | 77,433 | 140,649 | ||
Variable Interest Entity, Not Primary Beneficiary | Mortgage servicing rights | ||||
On-balance sheet assets, at fair value: | ||||
Servicing asset, fair value | $ 22,482 | $ 40,254 |
Principles of Consolidation - K
Principles of Consolidation - Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2020 |
MSRs | |||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | |||
Fair value | $ 22,482 | $ 40,254 | $ 22,482 |
Expected life (in years) | 4 years | 6 years | |
Prepayment speed assumption (annual CPR) | 21.00% | 11.00% | |
Decrease in fair value from: | |||
10% adverse change | $ 1,760 | $ 1,643 | 1,760 |
25% adverse change | $ 4,278 | $ 3,913 | 4,278 |
Discount rate assumption | 13.00% | 11.00% | |
Decrease in fair value from: | |||
100 basis point increase | $ 611 | $ 1,447 | 611 |
200 basis point increase | 1,188 | 2,795 | 1,188 |
Senior Securities | |||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | |||
Fair value | $ 26,980 | $ 48,765 | 26,980 |
Expected life (in years) | 3 years | 6 years | |
Prepayment speed assumption (annual CPR) | 28.00% | 14.00% | |
Decrease in fair value from: | |||
10% adverse change | $ 2,414 | $ 1,908 | 2,414 |
25% adverse change | $ 5,954 | $ 5,086 | 5,954 |
Discount rate assumption | 18.00% | 12.00% | |
Decrease in fair value from: | |||
100 basis point increase | $ 549 | $ 1,079 | 549 |
200 basis point increase | $ 1,072 | $ 2,482 | 1,072 |
Credit loss assumption | 0.22% | 0.21% | |
Decrease in fair value from: | |||
10% higher losses | $ 0 | $ 0 | 0 |
25% higher losses | 0 | 0 | 0 |
Subordinate Securities | |||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | |||
Fair value | $ 105,347 | $ 180,309 | 105,347 |
Expected life (in years) | 14 years | 14 years | |
Prepayment speed assumption (annual CPR) | 15.00% | 16.00% | |
Decrease in fair value from: | |||
10% adverse change | $ 1,404 | $ 205 | 1,404 |
25% adverse change | $ 3,836 | $ 1,434 | 3,836 |
Discount rate assumption | 10.00% | 5.00% | |
Decrease in fair value from: | |||
100 basis point increase | $ 8,088 | $ 18,127 | 8,088 |
200 basis point increase | $ 15,165 | $ 33,630 | 15,165 |
Credit loss assumption | 0.22% | 0.21% | |
Decrease in fair value from: | |||
10% higher losses | $ 1,107 | $ 1,804 | 1,107 |
25% higher losses | $ 2,723 | $ 4,520 | $ 2,723 |
Minimum | MSRs | |||
Decrease in fair value from: | |||
Impact of adverse change in prepayment speed | 10.00% | ||
Impact of increase in discount rate assumption | 1.00% | ||
Impact of adverse change in expected credit losses | 10.00% | ||
Minimum | Senior Securities | |||
Decrease in fair value from: | |||
Impact of adverse change in prepayment speed | 10.00% | ||
Impact of increase in discount rate assumption | 1.00% | ||
Impact of adverse change in expected credit losses | 10.00% | ||
Minimum | Subordinate Securities | |||
Decrease in fair value from: | |||
Impact of adverse change in prepayment speed | 10.00% | ||
Impact of increase in discount rate assumption | 1.00% | ||
Impact of adverse change in expected credit losses | 10.00% | ||
Maximum | MSRs | |||
Decrease in fair value from: | |||
Impact of adverse change in prepayment speed | 25.00% | ||
Impact of increase in discount rate assumption | 2.00% | ||
Impact of adverse change in expected credit losses | 25.00% | ||
Maximum | Senior Securities | |||
Decrease in fair value from: | |||
Impact of adverse change in prepayment speed | 25.00% | ||
Impact of increase in discount rate assumption | 2.00% | ||
Impact of adverse change in expected credit losses | 25.00% | ||
Maximum | Subordinate Securities | |||
Decrease in fair value from: | |||
Impact of adverse change in prepayment speed | 25.00% | ||
Impact of increase in discount rate assumption | 2.00% | ||
Impact of adverse change in expected credit losses | 25.00% |
Principles of Consolidation -_5
Principles of Consolidation - Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||
Real estate securities | [1] | $ 293,462 | $ 1,099,874 |
Variable Interest Entity, Not Primary Beneficiary | Other assets | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 177,475 | 887,015 | |
Variable Interest Entity, Not Primary Beneficiary | Other assets | Senior | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 12,580 | 127,094 | |
Variable Interest Entity, Not Primary Beneficiary | Other assets | Mezzanine | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 25,867 | 508,195 | |
Variable Interest Entity, Not Primary Beneficiary | Other assets | Subordinate | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 122,689 | 235,510 | |
Variable Interest Entity, Not Primary Beneficiary | Other assets | Total Mortgage-Backed Securities | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 161,136 | 870,799 | |
Variable Interest Entity, Not Primary Beneficiary | Other assets | Excess MSR | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | $ 16,339 | $ 16,216 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Trading securities | $ 164,219 | $ 860,540 | |
Available-for-sale securities | 129,243 | 239,334 | |
MSRs | 282,743 | 151,582 | |
Derivative assets | [1] | 90,717 | 35,701 |
Pledged collateral | 33,191 | 32,945 | |
Liabilities | |||
Contingent consideration | 14,819 | 28,484 | |
Derivative liabilities | [1] | 114,614 | 163,424 |
Residential Loans | |||
Assets | |||
MSRs | 298,946 | 169,204 | |
Carrying Value | |||
Assets | |||
Trading securities | 164,219 | 860,540 | |
Available-for-sale securities | 129,243 | 239,334 | |
Cash and cash equivalents | 378,233 | 196,966 | |
Shared home appreciation options | 45,085 | ||
Restricted cash | 25,752 | 93,867 | |
Accrued interest receivable | 57,215 | 71,058 | |
Derivative assets | 90,717 | 35,701 | |
Margin receivable | 93,745 | 209,776 | |
FHLBC stock | 43,393 | 43,393 | |
Guarantee asset | 905 | 1,686 | |
Pledged collateral | 33,191 | 32,945 | |
Liabilities | |||
Accrued interest payable | 40,102 | 60,655 | |
Margin payable | 1,283 | 1,700 | |
Guarantee obligation | 13,395 | 14,009 | |
Contingent consideration | 14,819 | 28,484 | |
Derivative liabilities | 114,614 | 163,424 | |
ABS issued at fair value | 6,461,864 | 10,515,475 | |
FHLBC long-term borrowings | 1,367,681 | 1,999,999 | |
Subordinate securities financing facility | 315,583 | 183,520 | |
Convertible notes, net | 631,857 | 631,125 | |
Trust preferred securities and subordinated notes, net | 138,640 | 138,628 | |
Carrying Value | Servicer advance investments | |||
Assets | |||
MSRs | 298,946 | 169,204 | |
Carrying Value | MSRs | |||
Assets | |||
MSRs | 23,616 | 42,224 | |
Carrying Value | Excess MSRs | |||
Assets | |||
REO | 31,788 | 31,814 | |
Carrying Value | REO | |||
Assets | |||
REO | 14,366 | 9,462 | |
Carrying Value | Short-term debt facilities | |||
Liabilities | |||
Short-term debt facilities | 2,082,717 | 2,176,591 | |
Carrying Value | Short-term debt - servicer advance financing | |||
Liabilities | |||
Short-term debt facilities | 258,931 | 152,554 | |
Carrying Value | Residential Loans | Residential loans, at fair value | |||
Assets | |||
Loans, held-for-sale | 2,330,566 | 536,385 | |
Carrying Value | Residential Loans | Residential loans, held-for-investment | |||
Assets | |||
Loans receivable, fair value | 4,380,460 | 7,178,465 | |
Carrying Value | Residential Loans | Business purpose residential loans, held-for-sale | |||
Assets | |||
Loans, held-for-sale | 415,333 | 331,565 | |
Carrying Value | Residential Loans | Business purpose residential loans, held-for-investment | |||
Assets | |||
Loans receivable, fair value | 3,048,409 | 3,175,178 | |
Carrying Value | Residential Loans | Multifamily loans | |||
Assets | |||
Loans receivable, fair value | 470,484 | 4,408,524 | |
Fair Value | |||
Assets | |||
Trading securities | 164,219 | 860,540 | |
Available-for-sale securities | 129,243 | 239,334 | |
Cash and cash equivalents | 378,233 | 196,966 | |
Shared home appreciation options | 40,642 | 45,085 | |
Restricted cash | 25,752 | 93,867 | |
Accrued interest receivable | 57,215 | 71,058 | |
Derivative assets | 90,717 | 35,701 | |
Margin receivable | 93,745 | 209,776 | |
FHLBC stock | 43,393 | 43,393 | |
Guarantee asset | 905 | 1,686 | |
Pledged collateral | 33,191 | 32,945 | |
Liabilities | |||
Accrued interest payable | 40,102 | 60,655 | |
Margin payable | 1,283 | 1,700 | |
Guarantee obligation | 12,382 | 13,754 | |
Contingent consideration | 14,819 | 28,484 | |
Derivative liabilities | 114,614 | 163,424 | |
ABS issued at fair value | 6,461,864 | 10,515,475 | |
FHLBC long-term borrowings | 1,367,681 | 1,999,999 | |
Subordinate securities financing facility | 317,498 | 184,666 | |
Convertible notes, net | 359,875 | 661,985 | |
Trust preferred securities and subordinated notes, net | 27,900 | 99,045 | |
Fair Value | Servicer advance investments | |||
Assets | |||
MSRs | 298,946 | 169,204 | |
Fair Value | MSRs | |||
Assets | |||
MSRs | 23,616 | 42,224 | |
Fair Value | Excess MSRs | |||
Assets | |||
REO | 31,788 | 31,814 | |
Fair Value | REO | |||
Assets | |||
REO | 15,714 | 10,389 | |
Fair Value | Short-term debt facilities | |||
Liabilities | |||
Short-term debt facilities | 2,082,717 | 2,176,591 | |
Fair Value | Short-term debt - servicer advance financing | |||
Liabilities | |||
Short-term debt facilities | 258,931 | 152,554 | |
Fair Value | Residential Loans | Residential loans, at fair value | |||
Assets | |||
Loans, held-for-sale | 2,330,566 | 536,509 | |
Fair Value | Residential Loans | Residential loans, held-for-investment | |||
Assets | |||
Loans receivable, fair value | 4,380,460 | 7,178,465 | |
Fair Value | Residential Loans | Business purpose residential loans, held-for-sale | |||
Assets | |||
Loans, held-for-sale | 415,333 | 331,565 | |
Fair Value | Residential Loans | Business purpose residential loans, held-for-investment | |||
Assets | |||
Loans receivable, fair value | 3,048,409 | 3,175,178 | |
Fair Value | Residential Loans | Multifamily loans | |||
Assets | |||
Loans receivable, fair value | 470,484 | 4,408,524 | |
Shared home appreciation options | |||
Assets | |||
Shared home appreciation options | $ 40,642 | $ 45,085 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Additional Information (Details) $ in Millions | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Securities | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | $ 68 |
Residential loans | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | 2,630 |
Business purpose residential loans | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | $ 467 |
Real estate securities | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Dealer marks of securities (as a percent) | 78.00% |
Carrying value for which dealer quotes have been received (as a percent) | 91.00% |
Servicer advance investments | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | $ 159 |
Excess MSR | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | 9 |
Shared home appreciation options | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Fair value option elected aggregate carrying amount, asset | $ 4 |
Mortgage servicing rights | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Difference of internal valuation than dealer marks (as a percent) | 5.00% |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Trading securities | $ 164,219 | $ 860,540 | |
Available-for-sale securities | 129,243 | 239,334 | |
MSRs | 282,743 | 151,582 | |
Derivative assets | [1] | 90,717 | 35,701 |
Pledged collateral | 33,191 | 32,945 | |
Liabilities | |||
Contingent consideration | 14,819 | 28,484 | |
Derivative liabilities | [1] | 114,614 | 163,424 |
Fair Value, Measurements, Recurring | |||
Assets | |||
Business purpose residential loans | 3,463,742 | 3,506,743 | |
Multifamily loans | 470,484 | 4,408,524 | |
Trading securities | 164,219 | 860,540 | |
Available-for-sale securities | 129,243 | 239,334 | |
Servicer advance investments | 298,946 | 169,204 | |
MSRs | 23,616 | 42,224 | |
Excess MSRs | 31,788 | 31,814 | |
Shared home appreciation options | 40,642 | 45,085 | |
Derivative assets | 90,717 | 35,701 | |
Pledged collateral | 33,191 | 32,945 | |
FHLBC stock | 43,393 | 43,393 | |
Guarantee asset | 905 | 1,686 | |
Liabilities | |||
Contingent consideration | 14,819 | 28,484 | |
Derivative liabilities | 114,614 | 163,424 | |
ABS issued | 6,461,864 | 10,515,475 | |
Fair Value, Measurements, Recurring | Residential Loans | |||
Assets | |||
Residential loans | 6,711,025 | 7,714,745 | |
Fair Value, Measurements, Recurring | Level 1 | |||
Assets | |||
Business purpose residential loans | 0 | 0 | |
Multifamily loans | 0 | 0 | |
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Servicer advance investments | 0 | 0 | |
MSRs | 0 | 0 | |
Excess MSRs | 0 | 0 | |
Shared home appreciation options | 0 | 0 | |
Derivative assets | 90,717 | 6,531 | |
Pledged collateral | 33,191 | 32,945 | |
FHLBC stock | 0 | 0 | |
Guarantee asset | 0 | 0 | |
Liabilities | |||
Contingent consideration | 0 | 0 | |
Derivative liabilities | 110,648 | 13,368 | |
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Residential Loans | |||
Assets | |||
Residential loans | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | |||
Assets | |||
Business purpose residential loans | 0 | 0 | |
Multifamily loans | 0 | 0 | |
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Servicer advance investments | 0 | 0 | |
MSRs | 0 | 0 | |
Excess MSRs | 0 | 0 | |
Shared home appreciation options | 0 | 0 | |
Derivative assets | 0 | 19,020 | |
Pledged collateral | 0 | 0 | |
FHLBC stock | 43,393 | 43,393 | |
Guarantee asset | 0 | 0 | |
Liabilities | |||
Contingent consideration | 0 | 0 | |
Derivative liabilities | 0 | 148,766 | |
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Residential Loans | |||
Assets | |||
Residential loans | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | |||
Assets | |||
Business purpose residential loans | 3,463,742 | 3,506,743 | |
Multifamily loans | 470,484 | 4,408,524 | |
Trading securities | 164,219 | 860,540 | |
Available-for-sale securities | 129,243 | 239,334 | |
Servicer advance investments | 298,946 | 169,204 | |
MSRs | 23,616 | 42,224 | |
Excess MSRs | 31,788 | 31,814 | |
Shared home appreciation options | 40,642 | 45,085 | |
Derivative assets | 0 | 10,150 | |
Pledged collateral | 0 | 0 | |
FHLBC stock | 0 | 0 | |
Guarantee asset | 905 | 1,686 | |
Liabilities | |||
Contingent consideration | 14,819 | 28,484 | |
Derivative liabilities | 3,966 | 1,290 | |
ABS issued | 6,461,864 | 10,515,475 | |
Fair Value, Measurements, Recurring | Level 3 | Residential Loans | |||
Assets | |||
Residential loans | 6,711,025 | 7,714,745 | |
Residential Loans | |||
Assets | |||
MSRs | 298,946 | 169,204 | |
Fair Value | |||
Assets | |||
Trading securities | 164,219 | 860,540 | |
Available-for-sale securities | 129,243 | 239,334 | |
Derivative assets | 90,717 | 35,701 | |
Pledged collateral | 33,191 | 32,945 | |
FHLBC stock | 43,393 | 43,393 | |
Guarantee asset | 905 | 1,686 | |
Liabilities | |||
Contingent consideration | 14,819 | 28,484 | |
Derivative liabilities | 114,614 | 163,424 | |
ABS issued | 6,461,864 | 10,515,475 | |
Carrying Value | |||
Assets | |||
Trading securities | 164,219 | 860,540 | |
Available-for-sale securities | 129,243 | 239,334 | |
Derivative assets | 90,717 | 35,701 | |
Pledged collateral | 33,191 | 32,945 | |
FHLBC stock | 43,393 | 43,393 | |
Guarantee asset | 905 | 1,686 | |
Liabilities | |||
Contingent consideration | 14,819 | 28,484 | |
Derivative liabilities | 114,614 | 163,424 | |
ABS issued | $ 6,461,864 | $ 10,515,475 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Contingent Consideration | |
Liabilities | |
Beginning balance - December 31, 2019 | $ 28,484 |
Acquisitions | 0 |
Principal paydowns | (13,353) |
Deconsolidations | 0 |
Gains (losses) in net income, net | (312) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 14,819 |
ABS Issued | |
Liabilities | |
Beginning balance - December 31, 2019 | 10,515,475 |
Acquisitions | 377,164 |
Principal paydowns | (363,696) |
Deconsolidations | (3,706,789) |
Gains (losses) in net income, net | (360,290) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 6,461,864 |
Residential Loans | |
Assets | |
Beginning balance - December 31, 2019 | 7,714,745 |
Acquisitions | 2,695,846 |
Originations | 0 |
Sales | (2,729,161) |
Principal paydowns | (490,439) |
Deconsolidations | 0 |
Gains (losses) in net income, net | (478,743) |
Other settlements, net | (1,223) |
Ending balance - March 31, 2020 | 6,711,025 |
Business purpose residential loans | |
Assets | |
Beginning balance - December 31, 2019 | 3,506,743 |
Acquisitions | 0 |
Originations | 486,710 |
Sales | (42,802) |
Principal paydowns | (161,896) |
Deconsolidations | 0 |
Gains (losses) in net income, net | (320,528) |
Other settlements, net | (4,485) |
Ending balance - March 31, 2020 | 3,463,742 |
Multifamily loans | |
Assets | |
Beginning balance - December 31, 2019 | 4,408,524 |
Acquisitions | 0 |
Originations | 0 |
Sales | 0 |
Principal paydowns | (5,830) |
Deconsolidations | (3,849,779) |
Gains (losses) in net income, net | (82,431) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 470,484 |
Trading securities | |
Assets | |
Beginning balance - December 31, 2019 | 860,540 |
Acquisitions | 67,639 |
Originations | 0 |
Sales | (493,126) |
Principal paydowns | (7,507) |
Deconsolidations | 0 |
Gains (losses) in net income, net | (263,327) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 164,219 |
AFS Securities | |
Assets | |
Beginning balance - December 31, 2019 | 239,334 |
Acquisitions | 31,181 |
Originations | 0 |
Sales | (46,457) |
Principal paydowns | (4,445) |
Deconsolidations | 0 |
Gains (losses) in net income, net | (90,370) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 129,243 |
Servicer Advance Investments | |
Assets | |
Beginning balance - December 31, 2019 | 169,204 |
Acquisitions | 158,618 |
Originations | 0 |
Sales | 0 |
Principal paydowns | (22,815) |
Deconsolidations | 0 |
Gains (losses) in net income, net | (6,061) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 298,946 |
MSRs | |
Assets | |
Beginning balance - December 31, 2019 | 42,224 |
Acquisitions | 0 |
Originations | 0 |
Sales | 0 |
Principal paydowns | 0 |
Deconsolidations | 0 |
Gains (losses) in net income, net | (18,608) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 23,616 |
Excess MSRs | |
Assets | |
Beginning balance - December 31, 2019 | 31,814 |
Acquisitions | 9,468 |
Originations | 0 |
Sales | 0 |
Principal paydowns | 0 |
Deconsolidations | 0 |
Gains (losses) in net income, net | (9,494) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 31,788 |
Shared Home Appreciation Options | |
Assets | |
Beginning balance - December 31, 2019 | 45,085 |
Acquisitions | 3,517 |
Originations | 0 |
Sales | 0 |
Principal paydowns | (406) |
Deconsolidations | 0 |
Gains (losses) in net income, net | (7,554) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 40,642 |
Shared Home Appreciation Options | |
Assets | |
Beginning balance - December 31, 2019 | 1,686 |
Acquisitions | 0 |
Principal paydowns | 0 |
Deconsolidations | 0 |
Gains (losses) in net income, net | (781) |
Other settlements, net | 0 |
Ending balance - March 31, 2020 | 905 |
Derivatives | |
Assets | |
Beginning balance - December 31, 2019 | 8,860 |
Acquisitions | 0 |
Principal paydowns | 0 |
Deconsolidations | 0 |
Gains (losses) in net income, net | 18,005 |
Other settlements, net | (30,831) |
Ending balance - March 31, 2020 | $ (3,966) |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held Included in Net Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Loan purchase and interest rate lock commitments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 liabilities still held included in net income | $ (3,967) | $ (753) |
Contingent Consideration | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 liabilities still held included in net income | (312) | 0 |
ABS Issued | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 liabilities still held included in net income | 360,640 | (60,182) |
Held-for-investment at fair value | Residential loans at Redwood | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (102,867) | 35,801 |
Held-for-investment at fair value | Residential loans at consolidated Sequoia entities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (179,499) | 14,472 |
Held-for-investment at fair value | Freddie Mac K-Series | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (193,035) | 23,527 |
Business purpose residential loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (68,864) | 1,050 |
Single family rental loans | CAFL | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (271,917) | 0 |
Multifamily loans | Freddie Mac K-Series | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (10,351) | 34,372 |
Trading securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (136,359) | 21,543 |
Servicer advance investments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (6,062) | 1,008 |
MSRs | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (16,640) | (4,295) |
Excess MSRs | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (9,494) | (437) |
Loan purchase and interest rate lock commitments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | 0 | 4,962 |
Other assets - Guarantee asset | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | (781) | (277) |
Shared home appreciation options | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Net gains (losses) attributable to level 3 assets still held included in net income | $ (7,554) | $ 0 |
Fair Value of Financial Instr_8
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - REO $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
REO | $ 4,456 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (476) |
Level 1 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
REO | 0 |
Level 2 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
REO | 0 |
Level 3 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
REO | $ 4,456 |
Fair Value of Financial Instr_9
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other Income | $ (1,809) | $ 257 |
Gain on re-measurement of 5 Arches investment | 0 | 2,441 |
Total Market Valuation (Losses) Gains, Net | (912,477) | 31,439 |
Mortgage Banking Activities, Net | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (37,003) | 11,690 |
Mortgage Banking Activities, Net | Residential loans, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (13,480) | 3,533 |
Mortgage Banking Activities, Net | Residential loan purchase and forward sale commitments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | 21,435 | 11,311 |
Mortgage Banking Activities, Net | Single-family rental loans held-for-sale, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | 11,467 | 1,603 |
Mortgage Banking Activities, Net | Single-family rental loan purchase and interest rate lock commitments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | 341 | 141 |
Mortgage Banking Activities, Net | Residential bridge loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (3,934) | 86 |
Mortgage Banking Activities, Net | Risk management derivatives, net | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (52,832) | (4,984) |
Investment Fair Value Changes, Net | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (870,832) | 20,159 |
Investment Fair Value Changes, Net | REO | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (498) | 0 |
Investment Fair Value Changes, Net | Risk management derivatives, net | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (59,142) | (42,375) |
Investment Fair Value Changes, Net | Residential loans held-for-investment, at Redwood | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (93,636) | 28,108 |
Investment Fair Value Changes, Net | Single-family rental loans held-for-investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (23,028) | 0 |
Investment Fair Value Changes, Net | Residential bridge loans held-for-investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (38,602) | (303) |
Investment Fair Value Changes, Net | Trading securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (263,325) | 21,860 |
Investment Fair Value Changes, Net | Servicer advance investments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (6,062) | 1,008 |
Investment Fair Value Changes, Net | Excess MSRs | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (9,494) | (437) |
Investment Fair Value Changes, Net | Legacy Sequoia | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (391) | (374) |
Investment Fair Value Changes, Net | Sequoia Choice | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (69,669) | 3,265 |
Investment Fair Value Changes, Net | Freddie Mac SLST | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (142,162) | 6,365 |
Investment Fair Value Changes, Net | Freddie Mac K-Series | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (86,509) | 3,119 |
Investment Fair Value Changes, Net | CAFL | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (67,846) | 0 |
Investment Fair Value Changes, Net | Other investments | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (9,441) | (77) |
Investment Fair Value Changes, Net | Credit losses on AFS securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Changes in fair value of assets | (1,525) | 0 |
Other Income | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other Income | (4,642) | (410) |
Gain on re-measurement of 5 Arches investment | 0 | 2,441 |
Other Income | Risk management derivatives, net | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other Income | 13,966 | 2,251 |
Other Income | MSRs | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other Income | $ (18,608) | $ (5,102) |
Fair Value of Financial Inst_10
Fair Value of Financial Instruments - Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020USD ($)$ / loan | Dec. 31, 2019USD ($) | |
Liabilities | ||
Contingent consideration | $ | $ 14,819 | $ 28,484 |
Loan purchase and interest rate lock commitments | ||
Assets | ||
Loan purchase commitments, net | $ | $ 196 | |
Loan purchase and interest rate lock commitments | Committed sales price | Minimum | ||
Assets | ||
Residential loans, measurement input | 95.50 | |
Loan purchase and interest rate lock commitments | Committed sales price | Maximum | ||
Assets | ||
Residential loans, measurement input | 95.50 | |
Loan purchase and interest rate lock commitments | Committed sales price | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 95.50 | |
Loan purchase and interest rate lock commitments | Pull-through rate | Minimum | ||
Assets | ||
Residential loans, measurement input | 1 | |
Loan purchase and interest rate lock commitments | Pull-through rate | Maximum | ||
Assets | ||
Residential loans, measurement input | 1 | |
Loan purchase and interest rate lock commitments | Pull-through rate | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 1 | |
ABS Issued | ||
Liabilities | ||
ABS issued | $ | $ 2,102,295 | |
ABS Issued | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.15 | |
ABS Issued | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.43 | |
ABS Issued | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.25 | |
ABS Issued | Discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
ABS Issued | Discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.32 | |
ABS Issued | Discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
ABS Issued | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
ABS Issued | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.15 | |
ABS Issued | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.01 | |
ABS Issued | Loss severity | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
ABS Issued | Loss severity | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.50 | |
ABS Issued | Loss severity | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.19 | |
Freddie Mac SLST | ||
Liabilities | ||
ABS issued | $ | $ 1,825,000 | |
Freddie Mac SLST | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Freddie Mac SLST | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Freddie Mac SLST | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Freddie Mac SLST | Discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
Freddie Mac SLST | Discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.17 | |
Freddie Mac SLST | Discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.04 | |
Freddie Mac SLST | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.17 | |
Freddie Mac SLST | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.18 | |
Freddie Mac SLST | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.17 | |
Freddie Mac SLST | Loss severity | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.30 | |
Freddie Mac SLST | Loss severity | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.30 | |
Freddie Mac SLST | Loss severity | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.30 | |
Freddie Mac K-Series | ||
Liabilities | ||
ABS issued | $ | $ 447,699 | |
Freddie Mac K-Series | IO prepayment rate (annual CPY/CPP) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 1 | |
Freddie Mac K-Series | IO prepayment rate (annual CPY/CPP) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 1 | |
Freddie Mac K-Series | IO prepayment rate (annual CPY/CPP) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 1 | |
Freddie Mac K-Series | Discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.02 | |
Freddie Mac K-Series | Discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.20 | |
Freddie Mac K-Series | Discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
Freddie Mac K-Series | Non-IO prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
Freddie Mac K-Series | Non-IO prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
Freddie Mac K-Series | Non-IO prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
CAFL | ||
Liabilities | ||
ABS issued | $ | $ 2,086,870 | |
CAFL | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
CAFL | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.05 | |
CAFL | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
CAFL | Discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.01 | |
CAFL | Discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.68 | |
CAFL | Discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Contingent Consideration | ||
Liabilities | ||
Contingent consideration | $ | $ 14,819 | |
Contingent Consideration | Discount rate | Minimum | ||
Liabilities | ||
Contingent consideration, measurement input | 0.23 | |
Contingent Consideration | Discount rate | Maximum | ||
Liabilities | ||
Contingent consideration, measurement input | 0.23 | |
Contingent Consideration | Discount rate | Weighted Average | ||
Liabilities | ||
Contingent consideration, measurement input | 0.23 | |
Contingent Consideration | Probability of outcomes | Minimum | ||
Liabilities | ||
Contingent consideration, measurement input | 1 | |
Contingent Consideration | Probability of outcomes | Maximum | ||
Liabilities | ||
Contingent consideration, measurement input | 1 | |
Contingent Consideration | Probability of outcomes | Weighted Average | ||
Liabilities | ||
Contingent consideration, measurement input | 1 | |
Jumbo fixed-rate loans | ||
Assets | ||
Residential loans, at fair value | $ | $ 86,053 | |
Jumbo fixed-rate loans | Dollar price | Minimum | ||
Assets | ||
Residential loans, measurement input | 74.38 | |
Jumbo fixed-rate loans | Dollar price | Maximum | ||
Assets | ||
Residential loans, measurement input | 99.50 | |
Jumbo fixed-rate loans | Dollar price | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 96.73 | |
Jumbo hybrid loans | ||
Assets | ||
Residential loans, at fair value | $ | $ 97,956 | |
Jumbo hybrid loans | Dollar price | Minimum | ||
Assets | ||
Residential loans, measurement input | 90 | |
Jumbo hybrid loans | Dollar price | Maximum | ||
Assets | ||
Residential loans, measurement input | 99 | |
Jumbo hybrid loans | Dollar price | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 97.78 | |
Jumbo loans committed to sell | ||
Assets | ||
Residential loans, at fair value | $ | $ 2,146,557 | |
Jumbo loans committed to sell | Whole loan committed sales price | Minimum | ||
Assets | ||
Residential loans, measurement input | 95 | |
Jumbo loans committed to sell | Whole loan committed sales price | Maximum | ||
Assets | ||
Residential loans, measurement input | 103.50 | |
Jumbo loans committed to sell | Whole loan committed sales price | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 98.32 | |
Legacy Sequoia | ||
Assets | ||
Residential loans, at fair value | $ | $ 316,677 | |
Sequoia Choice | ||
Assets | ||
Residential loans, at fair value | $ | 1,932,658 | |
Liabilities | ||
Fair value of securities owned | $ | 148,000 | |
Freddie Mac SLST | ||
Assets | ||
Residential loans, at fair value | $ | 2,131,125 | |
Liabilities | ||
Fair value of securities owned | $ | 307,000 | |
Single-family rental loans | ||
Assets | ||
Residential loans, at fair value | $ | $ 415,333 | |
Single-family rental loans | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Residential loans, measurement input | 0.05 | |
Single-family rental loans | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Residential loans, measurement input | 0.05 | |
Single-family rental loans | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 0.05 | |
Single-family rental loans | Senior credit support | Minimum | ||
Assets | ||
MSR, measurement input | 0.32 | |
Single-family rental loans | Senior credit support | Maximum | ||
Assets | ||
MSR, measurement input | 0.47 | |
Single-family rental loans | Senior credit support | Weighted Average | ||
Assets | ||
MSR, measurement input | 0.34 | |
Single-family rental loans | IO discount rate | Minimum | ||
Assets | ||
Residential loans, measurement input | 0.14 | |
Single-family rental loans | IO discount rate | Maximum | ||
Assets | ||
Residential loans, measurement input | 0.14 | |
Single-family rental loans | IO discount rate | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 0.14 | |
CAFL | ||
Assets | ||
Residential loans, at fair value | $ | $ 2,248,665 | |
Liabilities | ||
Fair value of securities owned | $ | $ 167,000 | |
Business purpose residential loans | Senior credit spread | Minimum | ||
Assets | ||
Residential loans, measurement input | 0.0290 | |
Business purpose residential loans | Senior credit spread | Maximum | ||
Assets | ||
Residential loans, measurement input | 0.0290 | |
Business purpose residential loans | Senior credit spread | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 0.0290 | |
Business purpose residential loans | Subordinate credit spread | Minimum | ||
Assets | ||
Residential loans, measurement input | 0.0400 | |
Business purpose residential loans | Subordinate credit spread | Maximum | ||
Assets | ||
Residential loans, measurement input | 0.2700 | |
Business purpose residential loans | Subordinate credit spread | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 0.0688 | |
Loan purchase and interest rate lock commitments | Mortgage servicing income | Minimum | ||
Assets | ||
Loan purchase commitments, measurement input | 0.0008 | |
Loan purchase and interest rate lock commitments | Mortgage servicing income | Maximum | ||
Assets | ||
Loan purchase commitments, measurement input | 0.0013 | |
Loan purchase and interest rate lock commitments | Mortgage servicing income | Weighted Average | ||
Assets | ||
Loan purchase commitments, measurement input | 0.001 | |
Residential bridge loans | ||
Assets | ||
Residential loans, at fair value | $ | $ 799,744 | |
Residential bridge loans | Discount rate | Minimum | ||
Assets | ||
Residential loans, measurement input | 0.09 | |
Residential bridge loans | Discount rate | Maximum | ||
Assets | ||
Residential loans, measurement input | 0.17 | |
Residential bridge loans | Discount rate | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 0.12 | |
Freddie Mac K-Series | ||
Assets | ||
Residential loans, at fair value | $ | $ 470,484 | |
Liabilities | ||
Fair value of securities owned | $ | 23,000 | |
Trading and AFS securities | ||
Assets | ||
Trading and AFS securities | $ | $ 293,462 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Trading and AFS securities | 0.06 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Trading and AFS securities | 0.34 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.12 | |
Trading and AFS securities | Discount rate | Minimum | ||
Assets | ||
Trading and AFS securities | 0.05 | |
Trading and AFS securities | Discount rate | Maximum | ||
Assets | ||
Trading and AFS securities | 0.51 | |
Trading and AFS securities | Discount rate | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.17 | |
Trading and AFS securities | Default rate | Minimum | ||
Assets | ||
Trading and AFS securities | 0 | |
Trading and AFS securities | Default rate | Maximum | ||
Assets | ||
Trading and AFS securities | 0.07 | |
Trading and AFS securities | Default rate | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.01 | |
Trading and AFS securities | Loss severity | Minimum | ||
Assets | ||
Trading and AFS securities | 0 | |
Trading and AFS securities | Loss severity | Maximum | ||
Assets | ||
Trading and AFS securities | 0.50 | |
Trading and AFS securities | Loss severity | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.09 | |
Servicer advance investments | ||
Assets | ||
Mortgage servicing rights | $ | $ 298,946 | |
Servicer advance investments | Minimum | ||
Assets | ||
Expected remaining life | 2 years | |
Servicer advance investments | Maximum | ||
Assets | ||
Expected remaining life | 2 years | |
Servicer advance investments | Weighted Average | ||
Assets | ||
Expected remaining life | 2 years | |
Servicer advance investments | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
MSR, measurement input | 0.08 | |
Servicer advance investments | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
MSR, measurement input | 0.14 | |
Servicer advance investments | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
MSR, measurement input | 0.14 | |
Servicer advance investments | Discount rate | Minimum | ||
Assets | ||
MSR, measurement input | 0.05 | |
Servicer advance investments | Discount rate | Maximum | ||
Assets | ||
MSR, measurement input | 0.05 | |
Servicer advance investments | Discount rate | Weighted Average | ||
Assets | ||
MSR, measurement input | 0.05 | |
MSRs | ||
Assets | ||
Mortgage servicing rights | $ | $ 23,616 | |
MSRs | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
MSR, measurement input | 0.08 | |
MSRs | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
MSR, measurement input | 0.63 | |
MSRs | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
MSR, measurement input | 0.21 | |
MSRs | Discount rate | Minimum | ||
Assets | ||
MSR, measurement input | 0.13 | |
MSRs | Discount rate | Maximum | ||
Assets | ||
MSR, measurement input | 0.13 | |
MSRs | Discount rate | Weighted Average | ||
Assets | ||
MSR, measurement input | 0.13 | |
MSRs | Per loan annual cost to service | Minimum | ||
Assets | ||
MSR, measurement input | 95 | |
MSRs | Per loan annual cost to service | Maximum | ||
Assets | ||
MSR, measurement input | 95 | |
MSRs | Per loan annual cost to service | Weighted Average | ||
Assets | ||
MSR, measurement input | 95 | |
Excess MSRs | ||
Assets | ||
Mortgage servicing rights | $ | $ 31,788 | |
Excess MSRs | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
MSR, measurement input | 0.09 | |
Excess MSRs | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
MSR, measurement input | 0.14 | |
Excess MSRs | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
MSR, measurement input | 0.11 | |
Excess MSRs | Discount rate | Minimum | ||
Assets | ||
MSR, measurement input | 0.18 | |
Excess MSRs | Discount rate | Maximum | ||
Assets | ||
MSR, measurement input | 0.26 | |
Excess MSRs | Discount rate | Weighted Average | ||
Assets | ||
MSR, measurement input | 0.22 | |
Excess MSRs | Excess mortgage servicing income | Minimum | ||
Assets | ||
MSR, measurement input | 0.0008 | |
Excess MSRs | Excess mortgage servicing income | Maximum | ||
Assets | ||
MSR, measurement input | 0.0017 | |
Excess MSRs | Excess mortgage servicing income | Weighted Average | ||
Assets | ||
MSR, measurement input | 0.0012 | |
Shared home appreciation options | ||
Assets | ||
Shared home appreciation options | $ | $ 40,642 | |
Shared home appreciation options | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Shared home appreciation options | 0.10 | |
Shared home appreciation options | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Shared home appreciation options | 0.30 | |
Shared home appreciation options | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Shared home appreciation options | 0.23 | |
Shared home appreciation options | Discount rate | Minimum | ||
Assets | ||
Shared home appreciation options | 0.18 | |
Shared home appreciation options | Discount rate | Maximum | ||
Assets | ||
Shared home appreciation options | 0.18 | |
Shared home appreciation options | Discount rate | Weighted Average | ||
Assets | ||
Shared home appreciation options | 0.18 | |
Shared home appreciation options | Home price appreciation | Minimum | ||
Assets | ||
Shared home appreciation options | 0.03 | |
Shared home appreciation options | Home price appreciation | Maximum | ||
Assets | ||
Shared home appreciation options | 0.03 | |
Shared home appreciation options | Home price appreciation | Weighted Average | ||
Assets | ||
Shared home appreciation options | 0.03 | |
Guarantee asset | ||
Assets | ||
Guarantee asset | $ | $ 905 | |
Guarantee asset | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Guarantee asset | 0.37 | |
Guarantee asset | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Guarantee asset | 0.37 | |
Guarantee asset | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Guarantee asset | 0.37 | |
Guarantee asset | Discount rate | Minimum | ||
Assets | ||
Guarantee asset | 0.11 | |
Guarantee asset | Discount rate | Maximum | ||
Assets | ||
Guarantee asset | 0.11 | |
Guarantee asset | Discount rate | Weighted Average | ||
Assets | ||
Guarantee asset | 0.11 | |
REO | ||
Assets | ||
REO | $ | $ 4,456 | |
REO | Loss severity | Minimum | ||
Assets | ||
REO, measurement input | 0.03 | |
REO | Loss severity | Maximum | ||
Assets | ||
REO, measurement input | 0.55 | |
REO | Loss severity | Weighted Average | ||
Assets | ||
REO, measurement input | 0.32 |
Residential Loans - Summary of
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | [1] | $ 2,330,669 | $ 536,385 |
Legacy Sequoia | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 317,000 | 408,000 | |
Sequoia Choice | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,930,000 | 2,290,000 | |
Freddie Mac SLST | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 2,130,000 | 2,370,000 | |
Redwood | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 415,333 | 569,185 | |
Redwood | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 0 | 2,110,000 | |
Residential Loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 6,711,129 | 7,714,850 | |
Residential Loans | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 2,330,669 | 536,385 | |
Residential Loans | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 4,380,460 | 7,178,465 | |
Residential Loans | Legacy Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 316,677 | 407,890 | |
Residential Loans | Legacy Sequoia | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 0 | 0 | |
Residential Loans | Legacy Sequoia | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 316,677 | 407,890 | |
Residential Loans | Sequoia Choice | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,932,658 | 2,291,463 | |
Residential Loans | Sequoia Choice | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 0 | 0 | |
Residential Loans | Sequoia Choice | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 1,932,658 | 2,291,463 | |
Residential Loans | Freddie Mac SLST | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 2,131,125 | 2,367,215 | |
Residential Loans | Freddie Mac SLST | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 0 | 0 | |
Residential Loans | Freddie Mac SLST | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 2,131,125 | 2,367,215 | |
Residential Loans | Redwood | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | 2,330,669 | 2,648,282 | |
Residential Loans | Redwood | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | $ 2,330,669 | 536,385 | |
Residential Loans | Redwood | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Residential loans | $ 2,111,897 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Residential Loans - Additional
Residential Loans - Additional Information (Details) | Mar. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Mar. 31, 2020USD ($)loan | Mar. 31, 2019USD ($)loan |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Transfers from loans held-for-sale to loans held-for-investment | $ 382,635,000 | $ 389,486,000 | ||
Transfers from loans held-for-investment to loans held-for-sale | 1,857,781,000 | 22,758,000 | ||
Held-for-sale residential loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | $ 6,711,129,000 | $ 7,714,850,000 | 6,711,129,000 | |
Held-for-sale residential loans | Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 316,677,000 | 407,890,000 | 316,677,000 | |
Held-for-sale residential loans | Sequoia Choice | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 1,932,658,000 | 2,291,463,000 | 1,932,658,000 | |
Held-for-sale residential loans | Freddie Mac SLST | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 2,131,125,000 | 2,367,215,000 | 2,131,125,000 | |
Redwood | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 415,333,000 | 569,185,000 | 415,333,000 | |
Redwood | Held-for-sale residential loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | $ 2,330,669,000 | $ 2,648,282,000 | 2,330,669,000 | |
Residential Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 3,345 | 669 | ||
Loan principal | $ 2,370,000,000 | $ 525,000,000 | 2,370,000,000 | |
Residential loans | 2,330,000,000 | $ 536,000,000 | 2,330,000,000 | |
Unpaid principal balance on delinquent or foreclosure loans | $ 1,000,000 | $ 1,000,000 | ||
Number of loans in foreclosure | loan | 1 | 0 | 1 | |
Principal value of loans purchased | $ 2,630,000,000 | 960,000,000 | ||
Principal balance of loans sold during period | 2,660,000,000 | 1,160,000,000 | ||
Gain (loss) on assets measured at fair value on a non-recurring basis | (13,000,000) | 4,000,000 | ||
Loan pledged as collateral | $ 881,607,000 | $ 201,949,000 | 881,607,000 | |
Loans committed to be sold to third parties | 2,150,000,000 | 2,150,000,000 | ||
Loans held-for-investment, in foreclosure | $ 400,000 | $ 400,000 | ||
Residential Loans | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans past due | loan | 6 | 1 | 6 | |
Unpaid principal balance on delinquent or foreclosure loans | $ 3,000,000 | $ 600,000 | $ 3,000,000 | |
Loans held-for-investment, delinquent greater than 90 days | $ 3,000,000 | $ 700,000 | 3,000,000 | |
Held-for-investment at fair value | Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Net market valuation gain (loss) | (69,000,000) | 5,000,000 | ||
Held-for-investment at fair value | Sequoia Choice | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Transfers from loans held-for-sale to loans held-for-investment | 0 | 350,000,000 | ||
Held-for-investment at fair value | Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 2,123 | 2,198 | ||
Loan principal | $ 402,000,000 | $ 425,000,000 | 402,000,000 | |
Residential loans | 317,000,000 | 408,000,000 | 317,000,000 | |
Loans held-for-investment, delinquent greater than 90 days | $ 9,000,000 | 10,000,000 | $ 9,000,000 | |
Weighted average original FICO score | 727 | 727 | ||
Weighted average original loan-to-value (LTV) | 65.00% | 65.00% | ||
Loans held-for-investment, in foreclosure | $ 5,000,000 | $ 4,000,000 | $ 5,000,000 | |
Held-for-investment at fair value | Sequoia Choice | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 2,831 | 3,156 | ||
Loan principal | $ 1,990,000,000 | $ 2,240,000,000 | 1,990,000,000 | |
Residential loans | $ 1,930,000,000 | $ 2,290,000,000 | $ 1,930,000,000 | |
Number of loans in foreclosure | loan | 4 | 3 | 4 | |
Weighted average original FICO score | 743 | 743 | ||
Weighted average original loan-to-value (LTV) | 75.00% | 75.00% | ||
Loans held-for-investment, in foreclosure | $ 3,000,000 | $ 2,000,000 | $ 3,000,000 | |
Net market valuation gain (loss) | $ (110,000,000) | $ 10,000,000 | ||
Held-for-investment at fair value | Freddie Mac SLST | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 14,303 | 14,502 | ||
Loan principal | 2,390,000,000 | 2,430,000,000 | $ 2,390,000,000 | |
Residential loans | $ 2,130,000,000 | $ 2,370,000,000 | $ 2,130,000,000 | |
Number of loans in foreclosure | loan | 286 | 208 | 286 | |
Weighted average original FICO score | 600 | 600 | ||
Weighted average original loan-to-value (LTV) | 73.00% | 73.00% | ||
Loans held-for-investment, in foreclosure | $ 46,000,000 | $ 33,000,000 | $ 46,000,000 | |
Net market valuation gain (loss) | (193,000,000) | $ 24,000,000 | ||
Held-for-investment at fair value | Held-for-sale residential loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 4,380,460,000 | 7,178,465,000 | 4,380,460,000 | |
Held-for-investment at fair value | Held-for-sale residential loans | Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 316,677,000 | 407,890,000 | 316,677,000 | |
Held-for-investment at fair value | Held-for-sale residential loans | Sequoia Choice | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 1,932,658,000 | 2,291,463,000 | 1,932,658,000 | |
Held-for-investment at fair value | Held-for-sale residential loans | Freddie Mac SLST | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | $ 2,131,125,000 | $ 2,367,215,000 | 2,131,125,000 | |
Held-for-investment at fair value | Redwood | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 0 | 2,940 | ||
Loan principal | $ 2,050,000,000 | |||
Residential loans | $ 0 | $ 2,110,000,000 | 0 | |
Number of loans in foreclosure | loan | 0 | |||
Principal value of loans purchased | 0 | 39,000,000 | ||
Gain (loss) on assets measured at fair value on a non-recurring basis | (94,000,000) | 28,000,000 | ||
Transfers from loans held-for-sale to loans held-for-investment | 13,000,000 | 39,000,000 | ||
Transfers from loans held-for-investment to loans held-for-sale | $ 1,870,000,000 | $ 23,000,000 | ||
Held-for-investment at fair value | Redwood | Held-for-sale residential loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | $ 2,111,897,000 | |||
Held-for-investment at fair value | Financing Receivables, Equal to Greater than 90 Days Past Due | Sequoia Choice | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans past due | loan | 5 | 9 | 5 | |
Loans held-for-investment, delinquent greater than 90 days | $ 3,000,000 | $ 7,000,000 | $ 3,000,000 | |
Held-for-investment at fair value | Financing Receivables, Equal to Greater than 90 Days Past Due | Freddie Mac SLST | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans past due | loan | 632 | 587 | 632 | |
Loans held-for-investment, delinquent greater than 90 days | $ 156,000,000 | $ 135,000,000 | $ 156,000,000 | |
Held-for-investment at fair value | Financing Receivables, Equal to Greater than 90 Days Past Due | Redwood | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loan principal | $ 1,000,000 | |||
Number of loans past due | loan | 2 | |||
Loans held-for-investment, delinquent greater than 90 days | $ 2,000,000 | |||
MSRs | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Mortgage servicing rights, at amortized cost | 1,750,000,000 | 1,750,000,000 | ||
Residential Real Estate | Redwood | Held-for-sale residential loans | FHLB Chicago | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans pledged as collateral under borrowing agreement with FHLBC | $ 1,430,000,000 | $ 1,430,000,000 |
Business Purpose Residential _3
Business Purpose Residential Loans (Details) $ in Thousands | Mar. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Mar. 31, 2020USD ($)loan | Mar. 31, 2019USD ($) |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Purchases of held-for-sale loans | $ 2,665,447 | $ 989,977 | ||
Proceeds from sales of held-for-sale loans | $ 2,733,285 | 851,331 | ||
Number of loans transferred | loan | 1 | |||
Transfer to REO | $ 6,363 | 5,035 | ||
Commitment To Fund Residential Bridge Loan | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Commitment to fund loan | $ 223,000 | 223,000 | ||
Business purpose residential loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Proceeds from loan originations | 487,000 | |||
Market valuations gains (losses), net | (200) | |||
Fee income | 8,000 | |||
Loans, at fair value | 3,463,742 | $ 3,506,743 | 3,463,742 | |
Residential bridge loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Proceeds from loan originations to third parties | 21,000 | |||
Loans, at fair value | $ 799,744 | $ 745,006 | 799,744 | |
Single-Family Rental, Held-for-sale at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 222 | 201 | ||
Loan principal | $ 440,000 | $ 322,000 | 440,000 | |
Loans, at fair value | $ 415,000 | $ 332,000 | 415,000 | |
Purchases of held-for-sale loans | 260,000 | |||
Gain (loss) on investments | $ 10,000 | 1,000 | ||
Weighted average coupon rate | 4.93% | 4.93% | ||
Contract maturities | 7 years | |||
Weighted average original loan-to-value (LTV) | 70.00% | 70.00% | ||
Weighted-average debt service coverage ratio | 1.38 | |||
Number of loans in foreclosure | loan | 1 | 1 | 1 | |
Loans held-for-investment, in foreclosure | $ 100 | $ 100 | $ 100 | |
Loans maturity one | 5 years | |||
Loans maturity two | 7 years | |||
Loans maturity three | 10 years | |||
Residential Bridge, Held-for-sale at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans, at fair value | 0 | 0 | $ 0 | |
Held-for-sale at fair value, Total | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans, at fair value | $ 415,333 | $ 331,565 | 415,333 | |
Single-family rental loans held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Transfer from Investments | 38,000 | |||
Residential Bridge, Held-for-investment at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 3,053 | 2,653 | ||
Loan principal | $ 833,000 | $ 743,000 | 833,000 | |
Loans, at fair value | $ 799,744 | 745,006 | 799,744 | |
Purchases of held-for-sale loans | 206,000 | |||
Gain (loss) on investments | $ (39,000) | (300) | ||
Weighted average coupon rate | 7.95% | 7.95% | ||
Weighted average original loan-to-value (LTV) | 69.00% | 69.00% | ||
Unpaid principal balance on delinquent or foreclosure loans | $ 21,000 | $ 12,000 | $ 21,000 | |
Number of loans in foreclosure | loan | 16 | 31 | 16 | |
Loans held-for-investment, in foreclosure | $ 24,000 | $ 14,000 | $ 24,000 | |
Transfer to REO | $ 1,000 | |||
Weighted average original FICO score | 728 | 728 | ||
Residential Bridge, Held-for-investment at fair value | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Contract maturities | 6 months | |||
Residential Bridge, Held-for-investment at fair value | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Contract maturities | 24 months | |||
Held-for-investment at fair value, Total | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans, at fair value | $ 3,048,409 | $ 3,175,178 | $ 3,048,409 | |
Business Purpose Mortgage Banking Activities | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Market valuations gains (losses), net | $ (3,934) | $ 86 | ||
Financing Receivables, Equal to Greater than 90 Days Past Due | Single-Family Rental, Held-for-sale at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans past due | loan | 2 | 2 | 2 | |
Loans held-for-investment, delinquent greater than 90 days | $ 1,000 | $ 2,000 | $ 1,000 | |
Financing Receivables, Equal to Greater than 90 Days Past Due | Residential Bridge, Held-for-investment at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans past due | loan | 11 | 15 | 11 | |
Loans held-for-investment, delinquent greater than 90 days | $ 36,000 | $ 9,000 | $ 36,000 | |
Unpaid principal balance on delinquent or foreclosure loans | 32,000 | 7,000 | 32,000 | |
Redwood | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans, at fair value | 415,333 | 569,185 | 415,333 | |
Redwood | Single-Family Rental, Held-for-sale at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans, at fair value | $ 415,333 | $ 331,565 | 415,333 | |
Redwood | Single-family rental loans held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 0 | 107 | ||
Loan principal | $ 231,000 | |||
Loans, at fair value | $ 0 | 237,620 | 0 | |
Gain (loss) on investments | $ (23,000) | |||
Number of loans in foreclosure | loan | 0 | 0 | ||
CoreVest | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans, at fair value | $ 2,248,665 | 2,192,552 | $ 2,248,665 | |
CoreVest | Single-Family Rental, Held-for-sale at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans, at fair value | 0 | 0 | 0 | |
CoreVest | Single-family rental loans held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans, at fair value | $ 2,248,665 | $ 2,192,552 | 2,248,665 | |
CAFL | Single family rental loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Proceeds from sales of held-for-sale loans | 26,000 | |||
CAFL | Single-family rental loans held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 889 | 783 | ||
Loan principal | $ 2,370,000 | $ 2,080,000 | 2,370,000 | |
Loans, at fair value | $ 2,250,000 | $ 2,190,000 | 2,250,000 | |
Gain (loss) on investments | $ (272,000) | |||
Weighted average coupon rate | 5.60% | 5.60% | ||
Contract maturities | 6 years | |||
Weighted average original loan-to-value (LTV) | 68.00% | 68.00% | ||
Weighted-average debt service coverage ratio | 1.36 | |||
Number of loans in foreclosure | loan | 7 | 5 | 7 | |
Loans held-for-investment, in foreclosure | $ 10,000 | $ 9,000 | $ 10,000 | |
Loans maturity one | 5 years | |||
Loans maturity two | 7 years | |||
Loans maturity three | 10 years | |||
CAFL | Financing Receivables, Equal to Greater than 90 Days Past Due | Single-family rental loans held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans past due | loan | 14 | 18 | 14 | |
Loans held-for-investment, delinquent greater than 90 days | $ 24,000 | $ 29,000 | $ 24,000 |
Multifamily Loans (Details)
Multifamily Loans (Details) $ in Thousands | Mar. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Mar. 31, 2020USD ($)loan | Dec. 31, 2018USD ($) |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Multifamily loans deconsolidated | $ 3,850,000 | |||
Multifamily loans, held-for-investment, at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 28 | 279 | ||
Loan principal | $ 465,000 | $ 4,200,000 | 465,000 | |
Loans, at fair value | $ 470,000 | $ 4,410,000 | $ 470,000 | |
Weighted average original loan-to-value (LTV) | 67.00% | 67.00% | ||
Weighted average coupon rate | 4.25% | 4.25% | ||
Contract maturities | 5 years | |||
Number of loans past due | loan | 0 | 0 | 0 | |
Number of loans in foreclosure | loan | 0 | 0 | 0 | |
Net market valuation gain (loss) | $ (82,000) | $ 34,000 | ||
Multifamily loans, held-for-investment, at fair value | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Weighted average maturity (in years) | 7 years | |||
Multifamily loans, held-for-investment, at fair value | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Weighted average maturity (in years) | 10 years | |||
Redwood | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loans, at fair value | $ 415,333 | $ 569,185 | $ 415,333 | |
Held-for-investment at fair value | Redwood | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans | loan | 0 | 2,940 | ||
Loan principal | $ 2,050,000 | |||
Loans, at fair value | $ 0 | $ 2,110,000 | $ 0 | |
Number of loans in foreclosure | loan | 0 | |||
Held-for-investment at fair value | Redwood | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Loan principal | $ 1,000 | |||
Number of loans past due | loan | 2 |
Real Estate Securities - Fair V
Real Estate Securities - Fair Values of Real Estate Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |||
Trading | $ 164,219 | $ 860,540 | |
Available-for-sale | 129,243 | 239,334 | |
Total Real Estate Securities | [1] | $ 293,462 | $ 1,099,874 |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Real Estate Securities - Tradin
Real Estate Securities - Trading Securities by Collateral Type (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Investment Holdings [Line Items] | ||
Trading securities | $ 164,219 | $ 860,540 |
Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 39,559 | 150,067 |
Subordinate Securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Trading securities | 53,781 | 538,489 |
Subordinate Securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Trading securities | $ 70,879 | $ 171,984 |
Real Estate Securities - Additi
Real Estate Securities - Additional Information (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020USD ($)investment | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($)investment | |
Investment Holdings [Line Items] | |||
Available-for-sale securities | $ 129,243 | $ 239,334 | |
Trading securities | 164,219 | $ 860,540 | |
Trading securities acquired | 56,000 | $ 154,000 | |
Trading securities sold | 619,000 | 29,000 | |
Increase (decrease) in valuation of trading securities | (263,000) | 22,000 | |
Available-for-sale securities purchased | 31,000 | 5,000 | |
Available-for-sale securities sold | 46,000 | 42,000 | |
Net realized gains on AFS securities | $ 4,000 | $ 7,000 | |
Number of AFS securities (in investments) | investment | 100 | 107 | |
Number of securities in unrealized loss position | investment | 57 | 1 | |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer (in investments) | investment | 0 | 1 | |
Gross unrealized losses | $ 24,316 | $ 29 | |
CECL credit allowance | 1,525 | 0 | |
Interest Only Senior Trading Securities | |||
Investment Holdings [Line Items] | |||
Debt securities, trading | 40,000 | 64,000 | |
Unpaid principal balance | 0 | 84,000 | |
Certificated Servicing Strips | |||
Investment Holdings [Line Items] | |||
Debt securities, trading | 19,000 | 36,000 | |
Re-preforming Loans Securities [Member] | |||
Investment Holdings [Line Items] | |||
Debt securities, trading | 13,000 | 55,000 | |
Residential | |||
Investment Holdings [Line Items] | |||
Available-for-sale securities | 106,000 | 230,000 | |
AFS securities, contractual maturities | 20,000 | ||
Marketable securities, due from five to ten years | 2,000 | ||
CECL credit allowance | 37,717 | 32,940 | |
Third Party Multifamily Mortgage-backed Securities | |||
Investment Holdings [Line Items] | |||
Available-for-sale securities | 23,000 | 9,000 | |
Mezzanine | |||
Investment Holdings [Line Items] | |||
Available-for-sale securities | 0 | 13,687 | |
Gross unrealized losses | 0 | 0 | |
CECL credit allowance | 0 | ||
Mezzanine | Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Available-for-sale securities | 0 | 13,687 | |
Trading securities | 53,781 | 538,489 | |
Mezzanine | Sequoia securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 28,000 | 39,000 | |
Mezzanine | Re-preforming Loans Securities [Member] | |||
Investment Holdings [Line Items] | |||
Trading securities | 5,000 | 30,000 | |
Mezzanine | Other Third Party Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 26,000 | 104,000 | |
Mezzanine | Third Party Multifamily Mortgage-backed Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 0 | 395,000 | |
Mezzanine | Trading securities | |||
Investment Holdings [Line Items] | |||
Unpaid principal balance | 69,000 | 537,000 | |
Residential Subordinate Securities | Trading securities | |||
Investment Holdings [Line Items] | |||
Unpaid principal balance | 283,000 | 302,000 | |
Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Available-for-sale securities | 129,243 | 199,855 | |
Gross unrealized losses | 24,316 | 0 | |
CECL credit allowance | 1,525 | ||
Subordinate Securities | Credit Risk Transfer (CRT) Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 20,000 | 90,000 | |
Subordinate Securities | Other Third Party Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 47,000 | 82,000 | |
Subordinate Securities | Third Party Multifamily Mortgage-backed Securities | |||
Investment Holdings [Line Items] | |||
Trading securities | 44,000 | 76,000 | |
Subordinate | Subordinate Securities | |||
Investment Holdings [Line Items] | |||
Available-for-sale securities | 129,243 | 199,855 | |
Trading securities | 70,879 | 171,984 | |
Short Term Borrowing Agreement | Sequoia Choice | Sequoia securities | |||
Investment Holdings [Line Items] | |||
Trading securities pledged as collateral | 51,026 | 111,341 | |
Short Term Borrowing Agreement | Freddie Mac SLST | Sequoia securities | |||
Investment Holdings [Line Items] | |||
Trading securities pledged as collateral | 307,175 | 381,640 | |
Short Term Borrowing Agreement | Freddie Mac K-Series | Sequoia securities | |||
Investment Holdings [Line Items] | |||
Trading securities pledged as collateral | $ 22,785 | $ 252,284 |
Real Estate Securities - Availa
Real Estate Securities - Available for Sale Securities by Collateral Type (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Investment Holdings [Line Items] | ||
Available-for-sale | $ 129,243 | $ 239,334 |
Mezzanine | ||
Investment Holdings [Line Items] | ||
Available-for-sale | 0 | 13,687 |
Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale | 0 | 25,792 |
Subordinate Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale | 129,243 | 199,855 |
Subordinate Securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Available-for-sale | 129,243 | 199,855 |
Subordinate Securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Available-for-sale | 0 | 13,687 |
Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale | $ 0 | $ 25,792 |
Real Estate Securities - Compon
Real Estate Securities - Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | $ 280,024 | $ 304,077 |
Credit reserve | (37,717) | (32,940) |
Unamortized discount, net | (109,538) | (124,255) |
Amortized cost | 132,769 | 146,882 |
Gross unrealized gains | 22,315 | 92,481 |
Gross unrealized losses | (24,316) | (29) |
Allowance for credit losses | (1,525) | 0 |
Carrying Value | 129,243 | 239,334 |
Senior | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | 0 | 26,331 |
Credit reserve | 0 | (533) |
Unamortized discount, net | 0 | (10,427) |
Amortized cost | 0 | 15,371 |
Gross unrealized gains | 0 | 10,450 |
Gross unrealized losses | 0 | (29) |
Allowance for credit losses | 0 | |
Carrying Value | 0 | 25,792 |
Mezzanine | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | 0 | 13,512 |
Credit reserve | 0 | 0 |
Unamortized discount, net | 0 | (527) |
Amortized cost | 0 | 12,985 |
Gross unrealized gains | 0 | 702 |
Gross unrealized losses | 0 | 0 |
Allowance for credit losses | 0 | |
Carrying Value | 0 | 13,687 |
Subordinate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | 280,024 | 264,234 |
Credit reserve | (37,717) | (32,407) |
Unamortized discount, net | (109,538) | (113,301) |
Amortized cost | 132,769 | 118,526 |
Gross unrealized gains | 22,315 | 81,329 |
Gross unrealized losses | (24,316) | 0 |
Allowance for credit losses | (1,525) | |
Carrying Value | $ 129,243 | $ 199,855 |
Real Estate Securities - Change
Real Estate Securities - Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Credit Reserve | |
Beginning balance | $ 0 |
Sales, calls, other | 0 |
Ending Balance | 1,525 |
Unamortized Discount, Net | |
Beginning balance | 124,255 |
Ending Balance | 109,538 |
Residential | |
Credit Reserve | |
Beginning balance | 32,940 |
Amortization of net discount | 0 |
Realized credit losses | (519) |
Acquisitions | 5,184 |
Sales, calls, other | (206) |
(Release of) transfers to credit reserves, net | 318 |
Ending Balance | 37,717 |
Unamortized Discount, Net | |
Beginning balance | 124,255 |
Amortization of net discount | (1,754) |
Realized credit losses | 0 |
Acquisitions | 777 |
Sales, calls, other | (13,422) |
(Release of) transfers to credit reserves, net | (318) |
Ending Balance | $ 109,538 |
Real Estate Securities - Comp_2
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Details) - Residential - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Consecutive Months, Amortized Cost | $ 97,730 | $ 0 |
Less Than 12 Consecutive Months, Unrealized Losses | (24,316) | 0 |
Less Than 12 Consecutive Months, Fair Value | 71,889 | 0 |
12 Consecutive Months or Longer, Amortized Cost | 0 | 5,830 |
12 Consecutive Months or Longer, Unrealized Losses | 0 | (29) |
12 Consecutive Months or Longer, Fair Value | $ 0 | $ 5,801 |
Real Estate Securities - Summar
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities Credit Loss (Details) - Subordinate Securities | 3 Months Ended |
Mar. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |
Prepayment rate | 12.00% |
Default rate | 0.50% |
Loss severity | 20.00% |
Real Estate Securities - Activi
Real Estate Securities - Activity of Allowance for Credit Losses for Available-for-sale Securities (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Rollforward of Allowance for Credit Losses | |
Beginning balance | $ 0 |
Additions to allowance for credit losses on securities for which credit losses were not previously recorded | 1,525 |
Allowance on purchased financial assets with credit deterioration | 0 |
Reduction for securities sold during the period | 0 |
Write-offs charged against allowance | 0 |
Recoveries of amounts previously written off | 0 |
Ending Balance | 1,525 |
Cumulative Effect, Period of Adoption, Adjustment | |
Rollforward of Allowance for Credit Losses | |
Beginning balance | $ 0 |
Real Estate Securities - Gross
Real Estate Securities - Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | ||
Gross realized gains | $ 4,000 | $ 7,000 |
Total Realized Gains on Sales and Calls of AFS Securities, net | 3,852 | 10,686 |
Sales | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross realized gains | 7,705 | 6,660 |
Gross realized losses - sales | (3,853) | 0 |
Calls | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross realized gains | $ 0 | $ 4,026 |
Other Investments - Summary of
Other Investments - Summary of Other Investments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 | |
Net Investment Income [Line Items] | |||||
Servicing asset, fair value | $ 282,743 | $ 151,582 | |||
Other Investments | [1] | 446,220 | 358,130 | ||
Residential Loans | |||||
Net Investment Income [Line Items] | |||||
Servicing asset, fair value | 298,946 | 169,204 | |||
Excess MSRs | |||||
Net Investment Income [Line Items] | |||||
Servicing asset, fair value | 31,788 | 31,814 | |||
Shared home appreciation options | |||||
Net Investment Income [Line Items] | |||||
Shared home appreciation options | 40,642 | 45,085 | |||
Mortgage servicing rights | |||||
Net Investment Income [Line Items] | |||||
Servicing asset, fair value | 23,616 | 42,224 | $ 55,284 | $ 60,281 | |
Investment in multifamily loan fund | |||||
Net Investment Income [Line Items] | |||||
Shared home appreciation options | 15,731 | 39,802 | |||
Other | |||||
Net Investment Income [Line Items] | |||||
Shared home appreciation options | $ 35,497 | $ 30,001 | |||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Other Investments - Additional
Other Investments - Additional Information (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Jan. 31, 2019 | Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 |
Net Investment Income [Line Items] | ||||||
Commitment to fund partnership | $ 90,000 | |||||
Servicing asset, fair value | 282,743 | $ 282,743 | $ 151,582 | |||
Equity method investment earnings | 3,000 | $ 3,000 | ||||
Investment fair value changes, net | (870,832) | 20,159 | ||||
Interest income | 198,081 | 131,041 | ||||
Equity investment income | 848 | 268 | ||||
Servicer advance financing | ||||||
Net Investment Income [Line Items] | ||||||
Collateral amounts | 283,000 | 283,000 | ||||
Investment fair value changes, net | (6,000) | 1,000 | ||||
Residential Loans | ||||||
Net Investment Income [Line Items] | ||||||
Servicing asset, fair value | 298,946 | 298,946 | 169,204 | |||
Servicing asset, unpaid principal balance on underlying loan | 10,250,000 | 10,250,000 | ||||
Excess MSRs | ||||||
Net Investment Income [Line Items] | ||||||
Servicing asset, fair value | 31,788 | 31,788 | 31,814 | |||
Investment fair value changes, net | (9,000) | (400) | ||||
Interest income | 3,000 | 2,000 | ||||
Light-Renovation Multifamily Loans | ||||||
Net Investment Income [Line Items] | ||||||
Commitment to fund partnership | $ 78,000 | |||||
Commitment to fund partnership, funded amount | 54,000 | 54,000 | ||||
Securities acquired from first securitization transaction | 28,000 | |||||
Carrying amount of investment in partnership | 16,000 | 16,000 | ||||
Equity investment income | 1,000 | |||||
MSRs | ||||||
Net Investment Income [Line Items] | ||||||
Servicing asset, fair value | 23,616 | 23,616 | $ 55,284 | 42,224 | $ 60,281 | |
Servicing asset | 4,100,000 | 4,100,000 | $ 4,350,000 | |||
Shared home appreciation options | ||||||
Net Investment Income [Line Items] | ||||||
Investment fair value changes, net | (8,000) | |||||
Payments to acquire investments | 47,000 | |||||
Shared home appreciation options | Commitment To Fund Investment | ||||||
Net Investment Income [Line Items] | ||||||
Commitment to fund loan | $ 3,000 | $ 3,000 |
Other Investments - Servicing A
Other Investments - Servicing Advance Investments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Schedule of Investments [Line Items] | ||
Total Servicer Advance Receivables | $ 282,743 | $ 151,582 |
Residential Loans | ||
Schedule of Investments [Line Items] | ||
Principal and interest advances | 113,612 | 15,081 |
Escrow advances (taxes and insurance advances) | 117,876 | 96,732 |
Corporate advances | $ 51,255 | $ 39,769 |
Other Investments - Mortgage Se
Other Investments - Mortgage Servicing Rights (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Balance at beginning of period | $ 151,582 | |||
Additions | $ 0 | $ 223 | ||
Changes in fair value due to: | ||||
Balance at End of Period | 282,743 | 151,582 | ||
Mortgage servicing rights | ||||
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Balance at beginning of period | 42,224 | $ 60,281 | 60,281 | |
Additions | 0 | 104 | ||
Changes in fair value due to: | ||||
Changes in assumptions | (16,746) | (3,586) | ||
Other changes | (1,862) | (1,515) | ||
Balance at End of Period | 23,616 | 55,284 | $ 42,224 | $ 60,281 |
Servicing income | 3,311 | 3,610 | ||
Cost of sub-servicer | (478) | (503) | ||
Net servicing fee income | 2,833 | 3,107 | ||
Market valuation changes of MSRs | (18,608) | (5,101) | ||
Market valuation changes of associated derivatives | 13,966 | 2,251 | ||
MSR Income, Net | $ (1,809) | $ 257 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Fair Value | $ (23,897) | $ (127,723) |
Notional Amount | 9,206,372 | 13,589,356 |
TBAs | ||
Derivative [Line Items] | ||
Notional Amount | 8,980,000 | 6,610,000 |
Interest rate futures | ||
Derivative [Line Items] | ||
Notional Amount | 226,000 | |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (114,614) | (163,424) |
Notional Amount | 4,716,372 | 6,929,494 |
Derivative Liabilities | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | 0 | (97,235) |
Notional Amount | 0 | 2,314,300 |
Derivative Liabilities | Interest rate swaps | Cash Flow Hedging | ||
Derivative [Line Items] | ||
Fair Value | 0 | (51,530) |
Notional Amount | 0 | 139,500 |
Derivative Liabilities | TBAs | ||
Derivative [Line Items] | ||
Fair Value | (110,648) | (13,359) |
Notional Amount | 4,490,000 | 4,160,000 |
Derivative Liabilities | Interest rate futures | ||
Derivative [Line Items] | ||
Fair Value | 0 | (10) |
Notional Amount | 0 | 12,300 |
Derivative Liabilities | Loan purchase and interest rate lock commitments | ||
Derivative [Line Items] | ||
Fair Value | (3,966) | (1,290) |
Notional Amount | 226,372 | 303,394 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 90,717 | 35,701 |
Notional Amount | 4,490,000 | 6,659,862 |
Derivative Assets | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | 0 | 17,095 |
Notional Amount | 0 | 1,399,000 |
Derivative Assets | TBAs | ||
Derivative [Line Items] | ||
Fair Value | 90,717 | 5,755 |
Notional Amount | 4,490,000 | 2,445,000 |
Derivative Assets | Interest rate futures | ||
Derivative [Line Items] | ||
Fair Value | 0 | 777 |
Notional Amount | 0 | 213,700 |
Derivative Assets | Swaptions | ||
Derivative [Line Items] | ||
Fair Value | 0 | 1,925 |
Notional Amount | 0 | 1,065,000 |
Derivative Assets | Loan purchase and interest rate lock commitments | ||
Derivative [Line Items] | ||
Fair Value | 0 | 10,149 |
Notional Amount | $ 0 | $ 1,537,162 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | ||||
Notional amount | $ 9,206,372 | $ 13,589,356 | ||
Accumulated other comprehensive income (loss) | 725,202 | $ 1,549,927 | 1,827,231 | $ 1,348,794 |
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||
Derivative [Line Items] | ||||
Accumulated other comprehensive income (loss) | (83,666) | (39,883) | (50,939) | $ (34,045) |
Derivative Liabilities | ||||
Derivative [Line Items] | ||||
Notional amount | 4,716,372 | 6,929,494 | ||
Mortgage Banking Activities, Net | ||||
Derivative [Line Items] | ||||
Market valuations gains (losses), net | (37,003) | 11,690 | ||
Loan purchase commitments and forward sales commitments | Mortgage Banking Activities, Net | ||||
Derivative [Line Items] | ||||
Market valuations gains (losses), net | 18,000 | 11,000 | ||
Interest rate contract | ||||
Derivative [Line Items] | ||||
Notional amount | 4,780,000 | |||
TBAs | ||||
Derivative [Line Items] | ||||
Notional amount | 8,980,000 | 6,610,000 | ||
TBAs | Derivative Liabilities | ||||
Derivative [Line Items] | ||||
Notional amount | 4,490,000 | 4,160,000 | ||
Interest rate futures | ||||
Derivative [Line Items] | ||||
Notional amount | 226,000 | |||
Interest rate futures | Derivative Liabilities | ||||
Derivative [Line Items] | ||||
Notional amount | 0 | 12,300 | ||
Unsecuritized Residential and Commercial Loans | ||||
Derivative [Line Items] | ||||
Derivative gain (loss) | (98,000) | (45,000) | ||
Interest rate swaps | Cash Flow Hedging | ||||
Derivative [Line Items] | ||||
Derivative gain (loss) | (33,000) | $ (6,000) | ||
Derivative, cost of hedge | 84,000 | |||
Interest rate swaps | Derivative Liabilities | ||||
Derivative [Line Items] | ||||
Notional amount | 0 | 2,314,300 | ||
Interest rate swaps | Derivative Liabilities | Cash Flow Hedging | ||||
Derivative [Line Items] | ||||
Notional amount | $ 0 | $ 139,500 |
Derivative Financial Instrume_5
Derivative Financial Instruments - Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative [Line Items] | ||
Total interest expense | $ (146,671) | $ (99,276) |
Cash Flow Hedging | Interest rate contract | ||
Derivative [Line Items] | ||
Net interest expense on cash flows hedges | (860) | (637) |
Realized net losses reclassified from other comprehensive income | (79) | 0 |
Total interest expense | $ (939) | $ (637) |
Other Assets and Liabilities -
Other Assets and Liabilities - Components of Other Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Margin receivable | $ 93,745 | $ 209,776 | |
Investment receivable | 58,541 | 23,330 | |
FHLBC stock | 43,393 | 43,393 | |
Pledged collateral | 33,191 | 32,945 | |
Right-of-use asset | 16,375 | 11,866 | |
REO | 14,366 | 9,462 | |
Fixed assets and leasehold improvements | 4,966 | 4,901 | |
Other | 30,776 | 12,590 | |
Total Other Assets | [1] | 295,353 | $ 348,263 |
Fixed assets | 12,000 | ||
Accumulated depreciation | $ 7,000 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Other Assets and Liabilities _2
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||
Dividends payable | $ 37,800 | $ 0 | $ 0 | |
Lease liability | 18,072 | 13,443 | ||
Contingent consideration | 14,819 | 28,484 | ||
Payable to minority partner | 14,804 | 13,189 | ||
Guarantee obligations | 13,395 | 14,009 | ||
Accrued compensation | 9,582 | 33,888 | ||
Residential bridge loan holdbacks | 9,066 | 10,682 | ||
Deferred tax liabilities | 5,152 | 5,152 | ||
Residential loan and MSR repurchase reserve | 4,460 | 4,268 | ||
Other | 36,449 | 23,123 | ||
Total Accrued Expenses and Other Liabilities | [1] | $ 163,599 | $ 146,238 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Other Assets and Liabilities _3
Other Assets and Liabilities - Additional Information (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2020USD ($)property | Dec. 31, 2018partnership | Dec. 31, 2019USD ($)property | Mar. 31, 2019USD ($) | |
Other Assets and Other Liabilities [Line Items] | ||||
Dividends payable | $ 37,800 | $ 0 | $ 0 | |
Real estate owned (REO) | 14,366 | 9,462 | ||
REO liquidations | 1,000 | |||
Unrealized gain resulting from market valuation adjustments on REO | (500) | |||
Number of partnerships consolidated | partnership | 2 | |||
Payable to minority partner | 14,804 | $ 13,189 | ||
Legacy Sequoia | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Real estate owned (REO) | 1,000 | |||
Amount related to transfers into REO | $ 1,000 | |||
Number of REO properties recorded on balance sheet | property | 5 | 4 | ||
Freddie Mac SLST | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Real estate owned (REO) | $ 1,000 | |||
Amount related to transfers into REO | $ 1,000 | |||
Number of REO properties recorded on balance sheet | property | 9 | 3 | ||
CAFL | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Real estate owned (REO) | $ 5,000 | |||
Amount related to transfers into REO | $ 4,000 | |||
Number of REO properties recorded on balance sheet | property | 2 | 2 | ||
Bridge Loan | Debt Securities | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Real estate owned (REO) | $ 7,000 | |||
Amount related to transfers into REO | $ 1,000 | |||
Number of REO properties recorded on balance sheet | property | 4 | 4 |
Short-Term Debt - Outstanding B
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Details) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020USD ($)facility | Dec. 31, 2019USD ($)facility | ||
Short-term Debt [Line Items] | |||
Outstanding Balance | [1] | $ 2,341,648,000 | $ 2,329,145,000 |
Facilities | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 17 | 22 | |
Outstanding Balance | $ 2,082,717,000 | $ 2,176,591,000 | |
Facilities | Residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 4 | 4 | |
Outstanding Balance | $ 841,186,000 | $ 185,894,000 | |
Limit | $ 1,525,000,000 | $ 1,425,000,000 | |
Weighted Average Interest Rate | 2.38% | 3.23% | |
Weighted Average Days Until Maturity | 312 days | 69 days | |
Facilities | Business purpose residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 6 | 8 | |
Outstanding Balance | $ 756,384,000 | $ 814,118,000 | |
Limit | $ 1,410,000,000 | $ 1,475,000,000 | |
Weighted Average Interest Rate | 3.51% | 4.11% | |
Weighted Average Days Until Maturity | 404 days | 489 days | |
Facilities | Real estate securities repo | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 7 | 10 | |
Outstanding Balance | $ 485,147,000 | $ 1,176,579,000 | |
Limit | $ 0 | $ 0 | |
Weighted Average Interest Rate | 2.77% | 2.94% | |
Weighted Average Days Until Maturity | 32 days | 23 days | |
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 1 | 1 | |
Outstanding Balance | $ 258,931,000 | $ 152,554,000 | |
Limit | $ 400,000,000 | $ 400,000,000 | |
Weighted Average Interest Rate | 2.57% | 3.56% | |
Weighted Average Days Until Maturity | 244 days | 335 days | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Short-Term Debt - Collateral fo
Short-Term Debt - Collateral for Short-Term Debt (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Short-term Debt [Line Items] | ||
Total real estate securities owned | $ 459,895 | $ 1,491,986 |
Total Collateral for Short-Term Debt | 2,356,681 | 2,698,366 |
Cash collateraas for borrowing counterparties | 74,000 | |
Residential Loans | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | 881,607 | 201,949 |
Business purpose residential loans | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | 908,712 | 988,179 |
On balance sheet | ||
Short-term Debt [Line Items] | ||
Available-for-sale securities pledged as collateral | 78,909 | 618,881 |
Sequoia Choice | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 51,026 | 111,341 |
Freddie Mac SLST | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 307,175 | 381,640 |
Freddie Mac K-Series | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 22,785 | 252,284 |
CAFL | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | $ 0 | $ 127,840 |
Short-Term Debt - Additional In
Short-Term Debt - Additional Information (Details) - USD ($) | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Short-term Debt [Line Items] | |||
Average balance of short-term debt | $ 1,740,000,000 | $ 1,610,000,000 | |
Accrued interest payable on short-term debt | 4,000,000 | $ 6,000,000 | |
Committed line of credit | 10,000,000 | ||
Fair value of mortgage backed securities securing loan (in excess) | 3,000,000 | ||
Committed line of credit with financial institutions, outstanding | 0 | 0 | |
Sequoia securities | Sequoia Choice | Short Term Borrowing Agreement | |||
Short-term Debt [Line Items] | |||
Trading securities pledged as collateral | 51,026,000 | 111,341,000 | |
Sequoia securities | Freddie Mac SLST | Short Term Borrowing Agreement | |||
Short-term Debt [Line Items] | |||
Trading securities pledged as collateral | 307,175,000 | 381,640,000 | |
Sequoia securities | Freddie Mac K-Series | Short Term Borrowing Agreement | |||
Short-term Debt [Line Items] | |||
Trading securities pledged as collateral | 22,785,000 | 252,284,000 | |
Residential Loans | |||
Short-term Debt [Line Items] | |||
Fair value of servicer advances, cash and restricted cash | 297,000,000 | ||
Residential Loans | |||
Short-term Debt [Line Items] | |||
Loan pledged as collateral | 881,607,000 | $ 201,949,000 | |
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Collateral amounts | 283,000,000 | ||
Accrued interest payable on short-term debt | 200,000 | ||
Unamortized capitalized commitment costs | $ (1,000,000) |
Short-Term Debt - Remaining Mat
Short-Term Debt - Remaining Maturities of Short Term Debt (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Short-term Debt [Line Items] | |||
Short-term debt | [1] | $ 2,341,648 | $ 2,329,145 |
Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 260,035 | ||
31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 225,112 | ||
Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,856,501 | ||
Facilities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 2,082,717 | 2,176,591 | |
Facilities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 260,035 | ||
Facilities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 225,112 | ||
Facilities | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,597,570 | ||
Facilities | Held-for-sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 841,186 | 185,894 | |
Facilities | Held-for-sale residential loans | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | Held-for-sale residential loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | Held-for-sale residential loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 841,186 | ||
Facilities | Business purpose residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 756,384 | ||
Facilities | Business purpose residential loans | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | Business purpose residential loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | Business purpose residential loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 756,384 | ||
Facilities | Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 485,147 | ||
Facilities | Real estate securities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 260,035 | ||
Facilities | Real estate securities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 225,112 | ||
Facilities | Real estate securities | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Short-term debt | 258,931 | $ 152,554 | |
Servicer advance financing | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Servicer advance financing | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Servicer advance financing | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | $ 258,931 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issue_2
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Details) - Asset-backed securities issued $ in Thousands | Mar. 31, 2020USD ($)series | Dec. 31, 2019USD ($)series |
Debt Instrument [Line Items] | ||
Market valuation adjustments | $ (217,932) | $ 197,110 |
Total FHLBC Borrowings | 6,461,864 | 10,515,475 |
Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | 6,534,612 | 9,962,253 |
Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 145,184 | 356,112 |
Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
Market valuation adjustments | (87,507) | (18,873) |
Total FHLBC Borrowings | $ 312,201 | $ 402,465 |
Number of series | series | 20 | 20 |
Legacy Sequoia | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 1.81% | 1.94% |
Legacy Sequoia | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 2.91% | 3.26% |
Legacy Sequoia | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 398,352 | $ 420,056 |
Legacy Sequoia | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 1,356 | 1,282 |
Sequoia Choice | ||
Debt Instrument [Line Items] | ||
Market valuation adjustments | 2,836 | 40,965 |
Total FHLBC Borrowings | $ 1,790,094 | $ 2,037,198 |
Number of series | series | 9 | 9 |
Sequoia Choice | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 4.37% | 4.40% |
Sequoia Choice | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 5.04% | 5.05% |
Sequoia Choice | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 1,776,396 | $ 1,979,719 |
Sequoia Choice | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 10,862 | 16,514 |
Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
Market valuation adjustments | 0 | 45,349 |
Total FHLBC Borrowings | $ 1,825,000 | $ 1,918,322 |
Range of weighted average interest rates, by series | 3.50% | 3.50% |
Number of series | series | 2 | 2 |
Freddie Mac SLST | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 1,800,218 | $ 1,842,682 |
Freddie Mac SLST | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 24,782 | 30,291 |
Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
Market valuation adjustments | 15,104 | 93,559 |
Total FHLBC Borrowings | $ 447,699 | $ 4,156,239 |
Range of weighted average interest rates, by series | 3.53% | |
Number of series | series | 1 | 5 |
Freddie Mac K-Series | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 3.35% | |
Freddie Mac K-Series | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 4.35% | |
Freddie Mac K-Series | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 418,212 | $ 3,844,789 |
Freddie Mac K-Series | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 14,383 | 217,891 |
CAFL | ||
Debt Instrument [Line Items] | ||
Market valuation adjustments | (148,365) | 36,110 |
Total FHLBC Borrowings | $ 2,086,870 | $ 2,001,251 |
Number of series | series | 11 | 10 |
CAFL | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 3.22% | 3.25% |
CAFL | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 5.22% | 5.36% |
CAFL | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 2,141,434 | $ 1,875,007 |
CAFL | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | $ 93,801 | $ 90,134 |
Asset-Backed Securities Issue_3
Asset-Backed Securities Issued - Additional Information (Details) | 3 Months Ended |
Mar. 31, 2020 | |
Asset-backed securities issued | Contractual maturities of over five years | |
Debt Instrument [Line Items] | |
Contractual maturities of securities (in years) | 5 years |
Asset-Backed Securities Issue_4
Asset-Backed Securities Issued - Accrued Interest Payable (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | $ 21,830 | $ 33,686 |
Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | 5,251 | 5,374 |
Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | 1,230 | 12,887 |
CAFL | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | 8,078 | 7,298 |
Asset-backed securities issued | Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | 351 | 395 |
Asset-backed securities issued | Sequoia Choice | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | $ 6,920 | $ 7,732 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Details) | Mar. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Mar. 31, 2020USD ($) | |
Debt Instrument [Line Items] | ||||
Repayments for FHLBC borrowings | $ 632,000,000 | |||
FHLBC stock | $ 43,393,000 | $ 43,393,000 | 43,393,000 | |
Existing debt | 0 | 0 | 0 | |
Accrued interest payable | 4,000,000 | 6,000,000 | 4,000,000 | |
Notional amount | 9,206,372,000 | 13,589,356,000 | 9,206,372,000 | |
Accrued interest payable | [1] | 40,102,000 | 60,655,000 | 40,102,000 |
Facilities | MSR/AIOS Repurchase Facility | ||||
Debt Instrument [Line Items] | ||||
Maximum borrowing limit | 50,000,000 | 50,000,000 | ||
Existing debt | 30,000,000 | 30,000,000 | ||
Collateral amounts | $ 49,000,000 | $ 49,000,000 | ||
Facilities | MSR/AIOS Repurchase Facility | LIBOR | ||||
Debt Instrument [Line Items] | ||||
Basis spread on variable rate | 2.75% | |||
Convertible Debt | Exchangeable Senior Notes Due 2025 | ||||
Debt Instrument [Line Items] | ||||
Debt Instrument interest rate | 5.75% | 5.75% | ||
Unamortized debt issuance costs | $ 6,000,000 | $ 6,000,000 | ||
Convertible notes | 201,000,000 | $ 201,000,000 | ||
Convertible senior notes conversion rate | 0.0551967 | |||
Accrued interest payable | $ 6,000,000 | $ 6,000,000 | ||
Convertible Debt | Senior Notes Due 2024 | ||||
Debt Instrument [Line Items] | ||||
Debt Instrument interest rate | 5.625% | 5.625% | ||
Unamortized debt issuance costs | $ 4,000,000 | $ 4,000,000 | ||
Convertible notes | 200,000,000 | $ 200,000,000 | ||
Convertible senior notes conversion rate | 0.0547645 | |||
Accrued interest payable | 2,000,000 | $ 2,000,000 | ||
Unamortized discount | $ 1,000,000 | $ 1,000,000 | ||
Convertible Debt | Senior Notes Due 2023 | ||||
Debt Instrument [Line Items] | ||||
Debt Instrument interest rate | 4.75% | 4.75% | ||
Unamortized debt issuance costs | $ 4,000,000 | $ 4,000,000 | ||
Convertible notes | 245,000,000 | $ 245,000,000 | ||
Convertible senior notes conversion rate | 0.0543346 | |||
Accrued interest payable | 1,000,000 | $ 1,000,000 | ||
Trust Preferred Securities | ||||
Debt Instrument [Line Items] | ||||
Debt instrument face amount | 100,000,000 | 100,000,000 | ||
Subordinated Notes | ||||
Debt Instrument [Line Items] | ||||
Debt instrument face amount | 40,000,000 | 40,000,000 | ||
Trust Preferred Securities And Subordinated Notes | ||||
Debt Instrument [Line Items] | ||||
Accrued interest payable | 1,000,000 | 1,000,000 | 1,000,000 | |
FHLB Chicago | FHLB Member Subsidiary | ||||
Debt Instrument [Line Items] | ||||
Federal home loan bank advances outstanding | $ 1,370,000,000 | $ 2,000,000,000 | $ 1,370,000,000 | |
Weighted average interest rate | 1.31% | 1.88% | 1.31% | |
Weighted average maturity (in years) | 5 years | 6 years | ||
Debt instrument face amount | $ 1,367,681,000 | $ 1,367,681,000 | ||
FHLB Chicago | Redwood | Single-family rental loans held-for-investment | Residential Real Estate | ||||
Debt Instrument [Line Items] | ||||
Loans pledged as collateral under borrowing agreement with FHLBC | $ 248,000,000 | |||
FHLB Chicago | Redwood | Held-for-sale residential loans | Residential Real Estate | ||||
Debt Instrument [Line Items] | ||||
Loans pledged as collateral under borrowing agreement with FHLBC | 1,430,000,000 | 1,430,000,000 | ||
FHLB Chicago | Redwood | Held-for-sale residential loans | Restricted cash | ||||
Debt Instrument [Line Items] | ||||
Loans pledged as collateral under borrowing agreement with FHLBC | $ 1,000,000 | $ 1,000,000 | ||
Affiliated Entity | Long Term Non Market To market Recourse Debt Financing | ||||
Debt Instrument [Line Items] | ||||
Debt Instrument interest rate | 4.21% | 4.21% | ||
Amount outstanding | $ 287,000,000 | $ 287,000,000 | ||
Unamortized debt issuance costs | 2,000,000 | 2,000,000 | ||
Debt instrument face amount | 286,000,000 | 286,000,000 | ||
Pledged assets real estate pledged as collateral, at fair value | 258,000,000 | 258,000,000 | ||
Affiliated Entity | Sequoia Choice | Long Term Non Market To market Recourse Debt Financing | ||||
Debt Instrument [Line Items] | ||||
Pledged assets real estate pledged as collateral, at fair value | 155,000,000 | 155,000,000 | ||
Affiliated Entity | CAFL | Long Term Non Market To market Recourse Debt Financing | ||||
Debt Instrument [Line Items] | ||||
Pledged assets real estate pledged as collateral, at fair value | $ 103,000,000 | $ 103,000,000 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Long-Term Debt - FHLBC Borrowin
Long-Term Debt - FHLBC Borrowings (Details) - FHLB Chicago - FHLB Member Subsidiary $ in Thousands | Mar. 31, 2020USD ($) |
Debt Instrument [Line Items] | |
2024 | $ 470,171 |
2025 | 481,686 |
2026 | 415,824 |
Total FHLBC Borrowings | $ 1,367,681 |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Details) | Mar. 31, 2020USD ($)lease | Mar. 31, 2020USD ($)loanrepurchase_requestcertificatelease | Mar. 31, 2019USD ($)loanrepurchase_request | Dec. 31, 2018partnership | Dec. 31, 2007certificate | Dec. 31, 2004certificate | Dec. 31, 2007certificate | Dec. 31, 2019USD ($) | Mar. 01, 2019USD ($) | May 31, 2018USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | |
Loss Contingencies [Line Items] | |||||||||||||
Lessee, number of leases | lease | 7 | 7 | |||||||||||
Present value of remaining lease payments | $ 21,873,000 | $ 21,873,000 | |||||||||||
Operating lease expense | $ 1,000,000 | $ 1,000,000 | |||||||||||
Lessee, Operating Lease, Number of New Leases | lease | 3 | ||||||||||||
Lease liability | 18,072,000 | $ 18,072,000 | $ 13,443,000 | ||||||||||
Right-of-use asset | $ 16,375,000 | $ 16,375,000 | 11,866,000 | ||||||||||
Weighted average remaining lease term | 8 years | 8 years | |||||||||||
Discount rate | 4.90% | 4.90% | |||||||||||
Derivative liabilities | [1] | $ 114,614,000 | $ 114,614,000 | 163,424,000 | |||||||||
Number of partnerships, committed to fund | partnership | 2 | ||||||||||||
Commitment to fund partnership | 90,000,000 | ||||||||||||
Contingent consideration | 14,819,000 | 14,819,000 | 28,484,000 | ||||||||||
Other income related to risk sharing agreement | 765,000 | $ 646,000 | |||||||||||
Guarantee obligations | 13,395,000 | 13,395,000 | 14,009,000 | ||||||||||
Guarantee obligations, credit reserve | 5,000,000 | 5,000,000 | |||||||||||
Special purpose entities assets | 47,000,000 | 47,000,000 | 48,000,000 | ||||||||||
Special purpose entities liabilities | 13,000,000 | 13,000,000 | 14,000,000 | ||||||||||
Residential repurchase reserve | 4,460,000 | $ 4,460,000 | 4,268,000 | ||||||||||
Number of residential repurchase requests (in repurchase requests) | repurchase_request | 3 | 4 | |||||||||||
Number of loans repurchased | loan | 0 | 0 | |||||||||||
Residential loans repurchase provision (reversal) | $ (200,000) | $ (100,000) | |||||||||||
Damages sought | 2,000,000 | ||||||||||||
Aggregate amount of loss contingency reserves | 2,000,000 | ||||||||||||
Minimum | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Reasonably possible losses estimated | 0 | 0 | |||||||||||
Maximum | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Reasonably possible losses estimated | 10,000,000 | $ 10,000,000 | |||||||||||
Morgan Stanley And Company | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Number of mortgage pass-through certificates issued (in certificates) | certificate | 28 | ||||||||||||
Sequoia Residential Funding | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Number of mortgage pass-through certificates issued (in certificates) | certificate | 2 | 2 | 4 | ||||||||||
Residential Loans | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Loan principal | 2,370,000,000 | $ 2,370,000,000 | $ 525,000,000 | ||||||||||
Loans held-for-investment, in foreclosure | 400,000 | 400,000 | |||||||||||
Other income | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Other income related to risk sharing agreement | 1,000,000 | 1,000,000 | |||||||||||
Mortgage banking and investment activities | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Market valuation losses related to these investments | (500,000) | $ (100,000) | |||||||||||
Guarantee Obligations | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Original unpaid balance of loans subject to risk sharing agreements | $ 3,190,000,000 | $ 3,190,000,000 | |||||||||||
Potential future payments on loans | 44,000,000 | 44,000,000 | |||||||||||
Loan principal | $ 1,470,000,000 | $ 1,470,000,000 | |||||||||||
Weighted average original FICO score | 759 | 759 | |||||||||||
Weighted average original loan-to-value (LTV) | 76.00% | 76.00% | |||||||||||
Guarantee Obligations | Residential Loans | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Loans held-for-investment, in foreclosure | $ 1,000,000 | $ 1,000,000 | |||||||||||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Balance of loans 90 days or more delinquent | 6,000,000 | 6,000,000 | |||||||||||
Financial Guarantee | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Commitment to fund partnership | 24,000,000 | ||||||||||||
Guarantor obligations, current carrying value | 100,000 | 100,000 | |||||||||||
Guarantor obligations, maximum exposure, undiscounted | 135,000,000 | 135,000,000 | |||||||||||
Commitment To Fund Residential Bridge Loan | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Commitments to fund temporary advances | 223,000,000 | 223,000,000 | |||||||||||
Derivative liabilities | 4,000,000 | 4,000,000 | |||||||||||
Commitment To Fund Temporary Advances On Residential Bridge Loans | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Commitments to fund temporary advances | 44,000,000 | 44,000,000 | |||||||||||
5 Arches | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Contingent consideration maximum amount | $ 29,000,000 | ||||||||||||
Cash payment for contingent consideration liability | 11,000,000 | ||||||||||||
Restricted stock awards | 3,000,000 | ||||||||||||
Contingent consideration | 15,000,000 | 15,000,000 | $ 25,000,000 | ||||||||||
Shared home appreciation options | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Payments to acquire investments | 47,000,000 | ||||||||||||
Shared home appreciation options | Commitment To Fund Investment | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Commitments to fund temporary advances | $ 3,000,000 | $ 3,000,000 | |||||||||||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Commitments and Contingencies_2
Commitments and Contingencies - Future Lease Commitments (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Commitments and Contingencies Disclosure [Abstract] | ||
2020 (9 months) | $ 2,776 | |
2021 | 3,104 | |
2022 | 2,597 | |
2023 | 2,087 | |
2024 | 2,095 | |
2025 | 9,214 | |
Total Lease Commitments | 21,873 | |
Less: Imputed interest | (3,801) | |
Lease liability | $ 18,072 | $ 13,443 |
Equity - Changes to Accumulated
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Balance at beginning of period | $ 1,827,231 | $ 1,348,794 |
Total other comprehensive loss | (127,044) | (8,613) |
Balance at End of Period | 725,202 | 1,549,927 |
Net Unrealized Gains on Available-for-Sale Securities | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Balance at beginning of period | 92,452 | 95,342 |
Other comprehensive income (loss) before reclassifications | (80,519) | 6,718 |
Amounts reclassified from other accumulated comprehensive income | (13,798) | (9,493) |
Total other comprehensive loss | (94,317) | (2,775) |
Balance at End of Period | (1,865) | 92,567 |
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||
Balance at beginning of period | (50,939) | (34,045) |
Other comprehensive income (loss) before reclassifications | (32,806) | (5,838) |
Amounts reclassified from other accumulated comprehensive income | 79 | 0 |
Total other comprehensive loss | (32,727) | (5,838) |
Balance at End of Period | $ (83,666) | $ (39,883) |
Equity - Reclassifications out
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Investment fair value changes, net | $ (870,832) | $ 20,159 |
Realized gains, net | (3,852) | (10,686) |
Net income before provision for income taxes | (965,627) | 55,347 |
Reclassification out of Accumulated Other Comprehensive Income | Net Unrealized Gains on Available-for-Sale Securities | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Investment fair value changes, net | 1,525 | 0 |
Realized gains, net | (15,323) | (9,493) |
Net income before provision for income taxes | $ (13,798) | $ (9,493) |
Equity - Additional Information
Equity - Additional Information (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2018 | Feb. 28, 2018 | |
Stockholders Equity Note [Line Items] | ||||
Net proceeds from issuance of common stock | $ 2,262,000 | $ 182,512,000 | ||
Issuance of common stock | 5,547,000 | 177,597,000 | ||
Direct stock purchase and dividend reinvestment plan | $ 6,307,000 | |||
Share Repurchase Plan, February 2018 | ||||
Stockholders Equity Note [Line Items] | ||||
Common stock authorized to repurchase by Board | $ 100,000,000 | |||
Available authorization remaining for repurchase | $ 100,000,000 | |||
Convertible Debt Securities | ||||
Stockholders Equity Note [Line Items] | ||||
Securities excluded in the calculation of diluted earnings per share (in shares) | 35,435,019 | |||
Equity awards | ||||
Stockholders Equity Note [Line Items] | ||||
Securities excluded in the calculation of diluted earnings per share (in shares) | 21,249 | 7,376 | ||
At The Market Offerings | Common Stock | ||||
Stockholders Equity Note [Line Items] | ||||
Stock issuance program, authorized amount | $ 150,000,000 | |||
Issuance of common stock (in shares) | 129,500 | |||
Net proceeds from issuance of common stock | $ 2,000,000 | |||
Remaining outstanding | $ 85,000,000 | |||
Common Stock | ||||
Stockholders Equity Note [Line Items] | ||||
Issuance of common stock (in shares) | 350,088 | 11,500,000 | ||
Issuance of common stock | $ 3,000 | $ 115,000 | ||
Direct stock purchase and dividend reinvestment plan (in shares) | 0 | 399,838 | ||
Direct stock purchase and dividend reinvestment plan | $ 4,000 |
Equity - Basic and Diluted Earn
Equity - Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Basic (Loss) Earnings per Common Share: | ||
Net (loss) income attributable to Redwood | $ (943,398) | $ 54,464 |
Less: Dividends and undistributed earnings allocated to participating securities | (1,209) | (1,539) |
Net (loss) income allocated to common shareholders | $ (944,607) | $ 52,925 |
Basic weighted average common shares outstanding (in shares) | 114,076,568 | 92,685,350 |
Basic Earnings per Common Share (in dollars per share) | $ (8.28) | $ 0.57 |
Diluted (Loss) Earnings per Common Share: | ||
Net (loss) income attributable to Redwood | $ (943,398) | $ 54,464 |
Less: Dividends and undistributed earnings allocated to participating securities | (1,209) | (1,539) |
Add back: Interest expense on convertible notes for the period, net of tax | 0 | 8,687 |
Net (loss) income allocated to common shareholders | $ (944,607) | $ 61,612 |
Weighted average common shares outstanding (in shares) | 114,076,568 | 92,685,350 |
Net effect of dilutive equity awards (in shares) | 0 | 150,170 |
Net effect of assumed convertible notes conversion to common shares (in shares) | 0 | 33,442,640 |
Diluted weighted average common shares outstanding (in shares) | 114,076,568 | 126,278,160 |
Diluted Earnings per Common Share (in dollars per share) | $ (8.28) | $ 0.49 |
Equity Compensation Plans - Add
Equity Compensation Plans - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Shares of common stock available for grant under Redwood's Incentive Plan (in shares) | 3,326,806 | 3,637,480 |
Unrecognized compensation cost | $ 31,840 | $ 32,328 |
Weighted average amortization period remaining for equity awards | 2 years | |
Reversal of stock-based compensation expense previously recorded | $ 1,000 | |
Shares of common stock to be purchased in aggregate for all employees (in shares) | 600,000 | |
Number of shares purchased by employees (in shares) | 452,021 | 430,772 |
Restricted Stock Awards | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards (in shares) | 113,836 | 216,470 |
Number of stock awards granted (in shares) | 0 | |
Number of stock awards vested (in shares) | 101,063 | |
Number of stock awards forfeited (in shares) | 1,571 | |
Restricted Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards (in shares) | 409,311 | 275,173 |
Number of stock awards granted (in shares) | 190,624 | |
Number of stock awards vested (in shares) | 49,385 | |
Number of stock awards forfeited (in shares) | 7,101 | |
Deferred Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards (in shares) | 2,721,349 | 2,630,805 |
Number of stock awards granted (in shares) | 310,473 | |
Number of stock awards vested (in shares) | 1,218,304 | 1,286,063 |
Number of stock awards forfeited (in shares) | 0 | |
Stock units distributed (in shares) | 219,929 | |
Performance Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards (in shares) | 839,070 | 839,070 |
Share-based compensation, vesting period (in years) | 3 years |
Equity Compensation Plans - Unr
Equity Compensation Plans - Unrecognized Compensation Cost (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | $ 32,328 |
Equity grants | 8,997 |
Performance-based valuation adjustment | (7,352) |
Equity grant forfeitures | (138) |
Equity compensation expense | (1,995) |
Unrecognized Compensation Cost at End of Period | 31,840 |
Incentive Plans | Restricted Stock Awards | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 1,990 |
Equity grants | 5 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (24) |
Equity compensation expense | (344) |
Unrecognized Compensation Cost at End of Period | 1,627 |
Incentive Plans | Restricted Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 3,534 |
Equity grants | 3,352 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (114) |
Equity compensation expense | (347) |
Unrecognized Compensation Cost at End of Period | 6,425 |
Incentive Plans | Deferred Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 17,858 |
Equity grants | 5,480 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | 0 |
Equity compensation expense | (1,993) |
Unrecognized Compensation Cost at End of Period | 21,345 |
Incentive Plans | Performance Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 8,946 |
Equity grants | 0 |
Performance-based valuation adjustment | (7,352) |
Equity grant forfeitures | 0 |
Equity compensation expense | 729 |
Unrecognized Compensation Cost at End of Period | 2,323 |
Employee Stock Purchase Plan | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 0 |
Equity grants | 160 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | 0 |
Equity compensation expense | (40) |
Unrecognized Compensation Cost at End of Period | $ 120 |
Mortgage Banking Activities, _3
Mortgage Banking Activities, Net - Components of Mortgage Banking Activities (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Other income, net | $ 2,437 | $ 4,625 |
Mortgage banking activities, net | (28,411) | 12,309 |
Residential Mortgage Banking Activities, Net | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Other income, net | 258 | 121 |
Mortgage banking activities, net | (23,081) | 10,827 |
Residential Mortgage Banking Activities, Net | Residential loans, at fair value | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Changes in fair value of assets | 7,955 | 14,844 |
Residential Mortgage Banking Activities, Net | Risk management derivatives | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Risk management derivatives | (31,294) | (4,138) |
Business Purpose Mortgage Banking Activities, Net: | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Changes in fair value of assets | (3,934) | 86 |
Other income, net | 8,334 | 498 |
Mortgage banking activities, net | (5,330) | 1,482 |
Business Purpose Mortgage Banking Activities, Net: | Risk management derivatives | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Risk management derivatives | (21,538) | (846) |
Business Purpose Mortgage Banking Activities, Net: | Single-family rental loans, at fair value | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Changes in fair value of assets | $ 11,808 | $ 1,744 |
Investment Fair Value Changes_3
Investment Fair Value Changes, Net - Components of Investment Activities (Details) - Investment Fair Value Changes, Net - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Investment Holdings [Line Items] | ||
Changes in fair value of assets | $ (870,832) | $ 20,159 |
Residential loans held-for-investment, at Redwood | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (93,636) | 28,108 |
Single-family rental loans held-for-investment | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (23,028) | 0 |
Residential bridge loans | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (38,602) | (303) |
Trading securities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (263,325) | 21,860 |
Servicer advance investments | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (6,062) | 1,008 |
Excess MSRs | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (9,494) | (437) |
Shared home appreciation options | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (7,554) | 0 |
REO | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (498) | 0 |
Net investments in Legacy Sequoia entities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (391) | (374) |
Net investments in Sequoia Choice entities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (69,669) | 3,265 |
Net investments in Freddie Mac SLST entities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (142,162) | 6,365 |
Net investments in Freddie Mac K-Series entities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (86,509) | 3,119 |
Net investments in CAFL entities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (67,846) | 0 |
Risk-sharing and other investments | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (1,389) | (77) |
Risk management derivatives, net | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | (59,142) | (42,375) |
Credit losses on AFS securities | ||
Investment Holdings [Line Items] | ||
Changes in fair value of assets | $ (1,525) | $ 0 |
Investment Fair Value Changes_4
Investment Fair Value Changes, Net - Additional Information (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Loans and Securities Sales and Derivative Settlement | |
Investment Holdings [Line Items] | |
Investment fair value changes, net | $ 274,000 |
Investment Fair Value Changes, Net | Trading securities | |
Investment Holdings [Line Items] | |
Investment fair value changes, net | 129,000 |
Investment Fair Value Changes, Net | Freddie Mac K-Series | |
Investment Holdings [Line Items] | |
Investment fair value changes, net | 72,000 |
Investment Fair Value Changes, Net | Risk management derivatives, net | |
Investment Holdings [Line Items] | |
Investment fair value changes, net | 59,000 |
Asset and Liability Continually Held | |
Investment Holdings [Line Items] | |
Investment fair value changes, net | $ 597,000 |
Other Income (Details)
Other Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Other Income and Expenses [Abstract] | ||
MSR (loss) income, net | $ (1,809) | $ 257 |
Risk share income | 765 | 646 |
FHLBC capital stock dividend | 547 | 547 |
Equity investment income | 848 | 268 |
5 Arches loan administration fee income | 870 | 466 |
Gain on re-measurement of investment in 5 Arches | 0 | 2,441 |
Other | 1,216 | 0 |
Other Income | $ 2,437 | $ 4,625 |
General and Administrative Ex_3
General and Administrative Expenses and Other Expenses - Components of General and Administrative Expenses and Other Expenses (Details) - USD ($) $ in Thousands | Oct. 15, 2019 | Mar. 31, 2020 | Mar. 31, 2019 |
Business Acquisition [Line Items] | |||
Fixed compensation expense | $ 14,684 | $ 8,097 | |
Variable compensation expense | 11 | 4,402 | |
Equity compensation expense | 1,995 | 2,953 | |
Acquisition-related equity compensation expense | 1,212 | 0 | |
Systems and consulting | 3,212 | 1,828 | |
Loan acquisition costs | 4,726 | 1,585 | |
Office costs | 2,108 | 1,304 | |
Accounting and legal | 2,216 | 1,125 | |
Corporate costs | 671 | 674 | |
Other operating expenses | 1,833 | 1,191 | |
Total General and Administrative Expenses | 32,668 | 23,159 | |
Goodwill impairment expense | 88,675 | 0 | |
Amortization of purchase-related intangible assets | 4,309 | 811 | |
Contingent consideration expense | 312 | 0 | |
Other | (1,881) | 227 | |
Total Other Expenses | 91,415 | 1,038 | |
Total General and Administrative Expenses and Other Expenses | $ 124,083 | $ 24,197 | |
CoreVest | |||
Business Acquisition [Line Items] | |||
Restricted stock awards (in shares) | 588,260 | ||
Restricted stock awards | $ 10,000 | ||
Contingent consideration performance term | 2 years |
Taxes - Additional Information
Taxes - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Income Tax Disclosure [Abstract] | ||
Provision for income taxes | $ (22,229) | $ 883 |
Taxes - Reconciliation of Statu
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Details) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Income Tax Disclosure [Abstract] | ||
Federal statutory rate | 21.00% | 21.00% |
State statutory rate, net of Federal tax effect | 8.60% | 8.60% |
Differences in taxable (loss) income from GAAP income | (25.90%) | (8.50%) |
Change in valuation allowance | (2.50%) | (4.10%) |
Dividends paid deduction | 1.10% | (15.40%) |
Effective Tax Rate | 2.30% | 1.60% |
Segment Information - Additiona
Segment Information - Additional Information (Details) | 3 Months Ended |
Mar. 31, 2020segment | |
Segment Reporting [Abstract] | |
Number of operating segments | 4 |
Segment Information - Financial
Segment Information - Financial Information by Segment (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Segment Reporting Information [Line Items] | ||
Interest income | $ 198,081 | $ 131,041 |
Interest expense | (146,671) | (99,276) |
Net Interest Income | 51,410 | 31,765 |
Non-interest (Loss) Income | ||
Mortgage banking activities, net | (28,411) | 12,309 |
Investment fair value changes, net | (870,832) | 20,159 |
Other income | 2,437 | 4,625 |
Realized gains, net | 3,852 | 10,686 |
Total non-interest (loss) income, net | (892,954) | 47,779 |
General and administrative expenses | (32,668) | (23,159) |
Other expenses | (91,415) | (1,038) |
Benefit from (provision for) income taxes | 22,229 | (883) |
Net (Loss) Income | (943,398) | 54,464 |
Non-cash amortization income (expense), net | (4,497) | 345 |
Other significant non-cash expense: goodwill impairment | (88,675) | 0 |
Operating Segments | Residential Lending | ||
Segment Reporting Information [Line Items] | ||
Interest income | 60,631 | 66,839 |
Interest expense | (41,402) | (47,676) |
Net Interest Income | 19,229 | 19,163 |
Non-interest (Loss) Income | ||
Mortgage banking activities, net | (23,081) | 10,827 |
Investment fair value changes, net | (196,635) | (1,720) |
Other income | (497) | 1,449 |
Realized gains, net | 1,796 | 4,937 |
Total non-interest (loss) income, net | (218,417) | 15,493 |
General and administrative expenses | (5,632) | (7,203) |
Other expenses | 0 | 0 |
Benefit from (provision for) income taxes | 5,330 | (501) |
Net (Loss) Income | (199,490) | 26,952 |
Non-cash amortization income (expense), net | 367 | 1,975 |
Other significant non-cash expense: goodwill impairment | 0 | |
Operating Segments | Business Purpose Lending | ||
Segment Reporting Information [Line Items] | ||
Interest income | 53,060 | 2,937 |
Interest expense | (34,990) | (1,539) |
Net Interest Income | 18,070 | 1,398 |
Non-interest (Loss) Income | ||
Mortgage banking activities, net | (5,330) | 1,482 |
Investment fair value changes, net | (142,130) | (303) |
Other income | 1,693 | 466 |
Realized gains, net | 0 | 0 |
Total non-interest (loss) income, net | (145,767) | 1,645 |
General and administrative expenses | (14,333) | (2,565) |
Other expenses | (92,985) | (633) |
Benefit from (provision for) income taxes | 6,582 | (5) |
Net (Loss) Income | (228,433) | (160) |
Non-cash amortization income (expense), net | (5,363) | (732) |
Other significant non-cash expense: goodwill impairment | (88,675) | |
Operating Segments | Multifamily Investments | ||
Segment Reporting Information [Line Items] | ||
Interest income | 46,883 | 28,208 |
Interest expense | (43,286) | (25,870) |
Net Interest Income | 3,597 | 2,338 |
Non-interest (Loss) Income | ||
Mortgage banking activities, net | 0 | 0 |
Investment fair value changes, net | (227,122) | 8,524 |
Other income | 1,240 | 0 |
Realized gains, net | (1,604) | 0 |
Total non-interest (loss) income, net | (227,486) | 8,524 |
General and administrative expenses | (610) | (323) |
Other expenses | 0 | 0 |
Benefit from (provision for) income taxes | (106) | 0 |
Net (Loss) Income | (224,605) | 10,539 |
Non-cash amortization income (expense), net | 54 | (136) |
Other significant non-cash expense: goodwill impairment | 0 | |
Operating Segments | Third-Party Residential Investments | ||
Segment Reporting Information [Line Items] | ||
Interest income | 34,313 | 28,204 |
Interest expense | (24,471) | (20,076) |
Net Interest Income | 9,842 | 8,128 |
Non-interest (Loss) Income | ||
Mortgage banking activities, net | 0 | 0 |
Investment fair value changes, net | (304,436) | 14,055 |
Other income | 1 | 0 |
Realized gains, net | 3,660 | 5,749 |
Total non-interest (loss) income, net | (300,775) | 19,804 |
General and administrative expenses | (1,178) | (663) |
Other expenses | 1,882 | (227) |
Benefit from (provision for) income taxes | 10,423 | (377) |
Net (Loss) Income | (279,806) | 26,665 |
Non-cash amortization income (expense), net | 812 | (271) |
Other significant non-cash expense: goodwill impairment | 0 | |
Corporate/ Other | ||
Segment Reporting Information [Line Items] | ||
Interest income | 3,194 | 4,853 |
Interest expense | (2,522) | (4,115) |
Net Interest Income | 672 | 738 |
Non-interest (Loss) Income | ||
Mortgage banking activities, net | 0 | 0 |
Investment fair value changes, net | (509) | (397) |
Other income | 0 | 2,710 |
Realized gains, net | 0 | 0 |
Total non-interest (loss) income, net | (509) | 2,313 |
General and administrative expenses | (10,915) | (12,405) |
Other expenses | (312) | (178) |
Benefit from (provision for) income taxes | 0 | 0 |
Net (Loss) Income | (11,064) | (9,532) |
Non-cash amortization income (expense), net | (367) | $ (491) |
Other significant non-cash expense: goodwill impairment | $ 0 |
Segment Information - Component
Segment Information - Components of Corporate/Other (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Segment Reporting Information [Line Items] | ||
Interest income | $ 198,081 | $ 131,041 |
Interest expense | (146,671) | (99,276) |
Net Interest Income | 51,410 | 31,765 |
Mortgage banking activities, net | (28,411) | 12,309 |
Investment fair value changes, net | (870,832) | 20,159 |
Realized gains, net | 3,852 | 10,686 |
Total non-interest (loss) income, net | (892,954) | 47,779 |
General and administrative expenses | (32,668) | (23,159) |
Other expenses | (91,415) | (1,038) |
Benefit from (provision for) income taxes | 22,229 | (883) |
Net (Loss) Income | (943,398) | 54,464 |
Corporate/ Other | ||
Segment Reporting Information [Line Items] | ||
Interest income | 3,194 | 4,853 |
Interest expense | (2,522) | (4,115) |
Net Interest Income | 672 | 738 |
Mortgage banking activities, net | 0 | 0 |
Investment fair value changes, net | (509) | (397) |
Other income | 0 | 2,710 |
Realized gains, net | 0 | 0 |
Total non-interest (loss) income, net | (509) | 2,313 |
General and administrative expenses | (10,915) | (12,405) |
Other expenses | (312) | (178) |
Benefit from (provision for) income taxes | 0 | 0 |
Net (Loss) Income | (11,064) | (9,532) |
Corporate/ Other | Legacy Consolidated VIEs | ||
Segment Reporting Information [Line Items] | ||
Interest income | 3,194 | 4,853 |
Interest expense | (2,522) | (4,115) |
Net Interest Income | 672 | 738 |
Investment fair value changes, net | (391) | (374) |
Other income | 0 | 0 |
Total non-interest (loss) income, net | (391) | (374) |
General and administrative expenses | 0 | 0 |
Other expenses | 0 | 0 |
Net (Loss) Income | 281 | 364 |
Corporate/ Other | Other | ||
Segment Reporting Information [Line Items] | ||
Interest income | 0 | 0 |
Interest expense | 0 | 0 |
Net Interest Income | 0 | 0 |
Investment fair value changes, net | (118) | (23) |
Other income | 0 | 2,710 |
Total non-interest (loss) income, net | (118) | 2,687 |
General and administrative expenses | (10,915) | (12,405) |
Other expenses | (312) | (178) |
Net (Loss) Income | $ (11,345) | $ (9,896) |
Segment Information - Supplemen
Segment Information - Supplemental Information by Segment (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | |||
Real estate securities | [1] | $ 293,462 | $ 1,099,874 |
Other investments | [1] | 446,220 | 358,130 |
Goodwill and intangible assets | [1] | 68,483 | 161,464 |
Total Assets | [1] | 12,300,790 | 17,995,440 |
Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 6,711,129 | 7,714,850 | |
Business purpose residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 3,463,742 | 3,506,743 | |
Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 470,484 | 4,408,524 | |
Operating Segments | Residential Lending | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 132,326 | 229,074 | |
Other investments | 23,616 | 42,224 | |
Goodwill and intangible assets | 0 | 0 | |
Total Assets | 4,639,181 | 5,410,540 | |
Operating Segments | Residential Lending | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 4,263,327 | 4,939,745 | |
Operating Segments | Residential Lending | Business purpose residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Operating Segments | Residential Lending | Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Operating Segments | Business Purpose Lending | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 0 | ||
Other investments | 26,877 | 21,002 | |
Goodwill and intangible assets | 68,483 | 161,464 | |
Total Assets | 3,675,336 | 3,786,641 | |
Operating Segments | Business Purpose Lending | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Operating Segments | Business Purpose Lending | Business purpose residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 3,463,742 | 3,506,743 | |
Operating Segments | Business Purpose Lending | Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | ||
Operating Segments | Multifamily Investments | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 26,487 | 404,128 | |
Other investments | 36,691 | 61,018 | |
Goodwill and intangible assets | 0 | 0 | |
Total Assets | 557,964 | 4,889,330 | |
Operating Segments | Multifamily Investments | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Operating Segments | Multifamily Investments | Business purpose residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Operating Segments | Multifamily Investments | Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 470,484 | 4,408,524 | |
Operating Segments | Third-Party Residential Investments | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 134,649 | 466,672 | |
Other investments | 359,036 | 233,886 | |
Goodwill and intangible assets | 0 | 0 | |
Total Assets | 2,735,677 | 3,139,616 | |
Operating Segments | Third-Party Residential Investments | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 2,131,125 | 2,367,215 | |
Operating Segments | Third-Party Residential Investments | Business purpose residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Operating Segments | Third-Party Residential Investments | Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Corporate/ Other | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 0 | 0 | |
Other investments | 0 | 0 | |
Goodwill and intangible assets | 0 | 0 | |
Total Assets | 692,632 | 769,313 | |
Corporate/ Other | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 316,677 | 407,890 | |
Corporate/ Other | Business purpose residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Corporate/ Other | Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | $ 0 | $ 0 | |
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) | 1 Months Ended | 3 Months Ended | ||||
May 13, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Jun. 30, 2020 | Dec. 31, 2019 | ||
Subsequent Event [Line Items] | ||||||
Associated borrowings repaid | $ 2,960,444,000 | $ 1,459,648,000 | ||||
Short-term debt | [1] | 2,341,648,000 | $ 2,329,145,000 | |||
Short-term debt facilities | ||||||
Subsequent Event [Line Items] | ||||||
Short-term debt | 2,082,717,000 | 2,176,591,000 | ||||
Residential loan warehouse | Short-term debt facilities | ||||||
Subsequent Event [Line Items] | ||||||
Short-term debt | $ 841,186,000 | $ 185,894,000 | ||||
Residential loan warehouse | Short-term debt facilities | Forecast | ||||||
Subsequent Event [Line Items] | ||||||
Short-term debt | $ 145,000,000 | |||||
Subsequent Event | ||||||
Subsequent Event [Line Items] | ||||||
Proceeds from sale of residential mortgage loans | $ 1,800,000,000 | |||||
Associated borrowings repaid | 1,500,000,000 | |||||
Principal balance of residential mortgage loans sold | $ 203,000,000 | |||||
Subsequent Event | Forecast | ||||||
Subsequent Event [Line Items] | ||||||
Federal home loan bank advances outstanding | $ 0 | |||||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At March 31, 2020 and December 31, 2019 , assets of consolidated VIEs totaled $7,470,706 and $11,931,869 , respectively. At March 31, 2020 and December 31, 2019 , liabilities of consolidated VIEs totaled $6,759,260 and $10,717,072 , respectively. See Note 4 for further discussion. |