Cover Page
Cover Page - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 22, 2021 | Jun. 30, 2020 | |
Cover [Abstract] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2020 | ||
Current Fiscal Year End Date | --12-31 | ||
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 | 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 | ||
Title of 12(b) Security | Common stock, par value $0.01 per share | ||
Trading Symbol | RWT | ||
Security Exchange Name | NYSE | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 798,085,066 | ||
Entity Common Stock, Shares Outstanding | 112,090,006 | ||
Documents Incorporated by Reference | Portions of the registrant’s definitive Proxy Statement to be filed with the Securities and Exchange Commission under Regulation 14A within 120 days after the end of registrant’s fiscal year covered by this Annual Report are incorporated by reference into Part III. | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Entity Central Index Key | 0000930236 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
ASSETS | |||
Real estate securities, at fair value | [1] | $ 344,125 | $ 1,099,874 |
Other investments | [1] | 348,175 | 358,130 |
Cash and cash equivalents | [1] | 461,260 | 196,966 |
Restricted cash | [1] | 83,190 | 93,867 |
Goodwill and intangible assets | [1] | 56,865 | 161,464 |
Derivative assets | [1] | 53,238 | 35,701 |
Other assets | [1] | 130,588 | 419,321 |
Total Assets | [1] | 10,355,066 | 17,995,440 |
Liabilities | |||
Short-term debt | [1] | 522,609 | 2,329,145 |
Derivative liabilities | [1] | 16,072 | 163,424 |
Accrued expenses and other liabilities | [1] | 179,340 | 206,893 |
Asset-backed securities issued (includes $6,900,362 and $10,515,475 at fair value), net | [1] | 7,100,661 | 10,515,475 |
Long-term debt, net | [1] | 1,425,485 | 2,953,272 |
Total liabilities | [1] | 9,244,167 | 16,168,209 |
Commitments and Contingencies (see Note 16) | [1] | ||
Equity | |||
Common stock, par value $0.01 per share, 395,000,000 and 270,000,000 shares authorized; 112,090,006 and 114,353,036 issued and outstanding | [1] | 1,121 | 1,144 |
Additional paid-in capital | [1] | 2,264,874 | 2,269,617 |
Accumulated other comprehensive (loss) income | [1] | (4,221) | 41,513 |
Cumulative earnings | [1] | 997,277 | 1,579,124 |
Cumulative distributions to stockholders | [1] | (2,148,152) | (2,064,167) |
Total equity | [1] | 1,110,899 | 1,827,231 |
Total Liabilities and Equity | [1] | 10,355,066 | 17,995,440 |
Residential loans, held-for-sale, at fair value | |||
ASSETS | |||
Loan market valuation adjustment | [1] | 176,641 | 536,385 |
Residential loans, held-for-investment, at fair value | |||
ASSETS | |||
Loan market valuation adjustment | [1] | 4,072,410 | 7,178,465 |
Business purpose loans, held-for-sale, at fair value | |||
ASSETS | |||
Loan market valuation adjustment | [1] | 245,394 | 331,565 |
Business purpose loans, held-for-investment, at fair value | |||
ASSETS | |||
Loan market valuation adjustment | [1] | 3,890,959 | 3,175,178 |
Multifamily loans, held-for-investment, at fair value | |||
ASSETS | |||
Loan market valuation adjustment | [1] | $ 492,221 | $ 4,408,524 |
[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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Fair value | $ 6,900,362 | $ 10,515,475 | |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Common stock, shares authorized (in shares) | 395,000,000 | 270,000,000 | |
Common stock, issued (in shares) | 112,090,006 | 114,353,036 | |
Common stock, outstanding (in shares) | 112,090,006 | 114,353,036 | |
Assets | [1] | $ 10,355,066 | $ 17,995,440 |
Liabilities | [1] | 9,244,167 | 16,168,209 |
Variable Interest Entity, Primary Beneficiary | |||
Assets | 8,141,069 | 11,931,869 | |
Liabilities | $ 7,148,414 | $ 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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Consolidated Statements of Inco
Consolidated Statements of Income (Loss) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Interest Income | |||
Residential loans | $ 222,746 | $ 315,953 | $ 239,818 |
Business purpose loans | 217,617 | 53,805 | 4,333 |
Multifamily loans | 54,813 | 132,600 | 21,322 |
Real estate securities | 49,605 | 91,822 | 105,078 |
Other interest income | 27,135 | 28,101 | 8,166 |
Total interest income | 571,916 | 622,281 | 378,717 |
Interest Expense | |||
Short-term debt | (50,895) | (96,506) | (58,917) |
Asset-backed securities issued | (299,708) | (294,466) | (99,429) |
Long-term debt | (97,402) | (88,836) | (80,693) |
Total interest expense | (448,005) | (479,808) | (239,039) |
Net Interest Income | 123,911 | 142,473 | 139,678 |
Non-interest (Loss) Income | |||
Mortgage banking activities, net | 78,472 | 87,266 | 59,566 |
Investment fair value changes, net | (588,438) | 35,500 | (25,689) |
Other income | 4,188 | 19,257 | 13,070 |
Realized gains, net | 30,424 | 23,821 | 27,041 |
Total non-interest income, net | (475,354) | 165,844 | 73,988 |
General and administrative expenses | (115,204) | (108,737) | (75,298) |
Loan acquisition costs | (11,023) | (9,935) | (7,484) |
Other expenses | 108,785 | 13,022 | 196 |
Net (Loss) Income before Benefit from (Provision for) Income Taxes | (586,455) | 176,623 | 130,688 |
Benefit from (provision for) income taxes | 4,608 | (7,440) | (11,088) |
Net (Loss) Income | $ (581,847) | $ 169,183 | $ 119,600 |
Basic earnings per common share (in dollars per share) | $ (5.12) | $ 1.63 | $ 1.47 |
Diluted earnings per common share (in dollars per share) | $ (5.12) | $ 1.46 | $ 1.34 |
Basic weighted average shares outstanding (in shares) | 113,935,605 | 101,120,744 | 78,724,912 |
Diluted weighted average shares outstanding (in shares) | 113,935,605 | 136,780,594 | 110,027,770 |
Consolidated Statements of Comp
Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement of Comprehensive Income [Abstract] | |||
Net income | $ (581,847) | $ 169,183 | $ 119,600 |
Other comprehensive (loss) income: | |||
Net unrealized (loss) gain on available-for-sale securities | (3,951) | 17,077 | (7,298) |
Reclassification of unrealized gain on available-for-sale securities to net income | (12,165) | (19,967) | (25,561) |
Net unrealized (loss) gain on interest rate agreements | (32,806) | (16,894) | 8,908 |
Reclassification of unrealized loss on interest rate agreements to net income | 3,188 | 0 | 0 |
Total other comprehensive loss | (45,734) | (19,784) | (23,951) |
Total Comprehensive (Loss) Income | $ (627,581) | $ 149,399 | $ 95,649 |
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, 2017 | 76,599,972 | |||||
Balance at beginning of period at Dec. 31, 2017 | $ 1,212,287 | $ 766 | $ 1,673,845 | $ 85,248 | $ 1,290,341 | $ (1,837,913) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Net income | 119,600 | 119,600 | ||||
Other comprehensive income (loss) | (23,951) | (23,951) | ||||
Issuance of common stock (in shares) | 8,738,319 | |||||
Issuance of common stock | 142,228 | $ 88 | 142,140 | |||
Direct stock purchase and dividend reinvestment plan (in shares) | 113,004 | |||||
Direct stock purchase and dividend reinvestment plan | 1,706 | $ 1 | 1,705 | |||
Employee stock purchase and incentive plans (in shares) | 473,878 | |||||
Employee stock purchase and incentive plans | (4,466) | $ 4 | (4,470) | |||
Non-cash equity award compensation | 13,736 | 13,736 | ||||
Share repurchases (in shares) | (1,040,829) | |||||
Share repurchases | (15,544) | $ (10) | (15,534) | |||
Common dividends declared | (96,802) | (96,802) | ||||
Ending balance (in shares) at Dec. 31, 2018 | 84,884,344 | |||||
Balance at End 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 [Roll Forward] | ||||||
Net income | 169,183 | 169,183 | ||||
Other comprehensive income (loss) | (19,784) | (19,784) | ||||
Issuance of common stock (in shares) | 28,724,645 | |||||
Issuance of common stock | 442,172 | $ 288 | 441,884 | |||
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) | 344,209 | |||||
Employee stock purchase and incentive plans | (4,946) | $ 3 | (4,949) | |||
Non-cash equity award compensation | 14,957 | 14,957 | ||||
Common dividends declared | (129,452) | (129,452) | ||||
Ending balance (in shares) at Dec. 31, 2019 | 114,353,036 | |||||
Balance at End 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 [Roll Forward] | ||||||
Net income | (581,847) | (581,847) | ||||
Other comprehensive income (loss) | (45,734) | (45,734) | ||||
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) | 434,217 | |||||
Employee stock purchase and incentive plans | (3,952) | $ 4 | (3,956) | |||
Non-cash equity award compensation | 15,298 | 15,298 | ||||
Share repurchases (in shares) | (3,047,335) | |||||
Share repurchases | (21,659) | $ (30) | (21,629) | |||
Common dividends declared | (83,985) | (83,985) | ||||
Ending balance (in shares) at Dec. 31, 2020 | 112,090,006 | |||||
Balance at End of Period at Dec. 31, 2020 | $ 1,110,899 | $ 1,121 | $ 2,264,874 | $ (4,221) | $ 997,277 | $ (2,148,152) |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Stockholders' Equity (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement of Stockholders' Equity [Abstract] | |||
Common dividends declared (in dollars per share) | $ 0.725 | $ 1.20 | $ 1.18 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||||
Cash Flows From Operating Activities: | ||||||
Net income | $ (581,847) | $ 169,183 | $ 119,600 | |||
Adjustments to reconcile net (loss) income to net cash used in operating activities: | ||||||
Amortization of premiums, discounts, and debt issuance costs, net | 8,550 | (5,066) | (13,687) | |||
Depreciation and amortization of non-financial assets | 17,365 | 10,133 | 1,308 | |||
Originations of held-for-sale loans | (1,004,058) | (569,915) | 0 | |||
Purchases of held-for-sale loans | (4,431,468) | (5,823,547) | (7,162,131) | |||
Proceeds from sales of held-for-sale loans | 4,776,469 | 5,198,089 | 5,383,313 | |||
Principal payments on held-for-sale loans | 62,736 | 106,183 | 66,892 | |||
Net settlements of derivatives | (201,036) | (66,059) | 51,115 | |||
Non-cash equity award compensation expense | 15,298 | 14,957 | 13,736 | |||
Goodwill impairment expense | 88,675 | 0 | 0 | |||
Market valuation adjustments | 541,399 | (97,006) | (24,069) | |||
Realized gains, net | (30,424) | (23,821) | (27,041) | |||
Net change in: | ||||||
Accrued interest receivable and other assets | 301,381 | (83,210) | (41,849) | |||
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities | (68,507) | 4,502 | 21,080 | |||
Net cash used in operating activities | (505,467) | (1,165,577) | (1,611,733) | |||
Cash Flows From Investing Activities: | ||||||
Originations of loans held-for-investment | (426,404) | (448,189) | 0 | |||
Purchases of loans held-for-investment | 0 | (49,489) | (147,523) | |||
Proceeds from sales of loans held-for-investment | 1,574,160 | 9,422 | 0 | |||
Principal payments on loans held-for-investment | 2,256,196 | 1,751,303 | 781,063 | |||
Purchases of real estate securities | (112,626) | (345,403) | (609,568) | |||
Sales of multifamily securities held in consolidated securitization trusts | 142,990 | 0 | 0 | |||
Proceeds from sales of real estate securities | 658,899 | 707,357 | 582,331 | |||
Principal payments on real estate securities | 27,210 | 84,303 | 84,495 | |||
Purchases of servicer advance investments | (179,419) | (69,610) | (395,813) | |||
Principal repayments from servicer advance investments | 107,527 | 203,876 | 94,644 | |||
Acquisition of 5 Arches, net of cash acquired | 0 | (3,714) | (9,999) | |||
Acquisition of CoreVest, net of cash acquired | 0 | (451,626) | 0 | |||
Equity investment | 40,226 | (40,467) | 0 | |||
Other investing activities, net | (18,345) | (29,468) | (57,322) | |||
Net cash provided by (used in) investing activities | 4,070,414 | 1,025,862 | (12,752) | |||
Cash Flows From Financing Activities: | ||||||
Proceeds from borrowings on short-term debt | 5,496,761 | 6,452,566 | 6,975,965 | |||
Repayments on short-term debt | (7,303,543) | (7,193,677) | (6,711,264) | |||
Proceeds from issuance of asset-backed securities | 1,684,778 | 1,397,126 | 1,658,848 | |||
Repayments on asset-backed securities issued | (1,493,438) | (1,123,119) | (459,171) | |||
Proceeds from issuance of long-term debt | 1,473,590 | 387,053 | 199,000 | |||
Deferred debt issuance costs | (10,244) | (7,023) | (4,977) | |||
Repayments on long-term debt | (2,974,795) | (1,137) | 0 | |||
Net settlements of derivatives | (84,336) | 0 | 0 | |||
Net proceeds from issuance of common stock | 5,881 | 450,710 | 142,601 | |||
Net payments on repurchase of common stock | (21,659) | 0 | (16,315) | |||
Taxes paid on equity award distributions | (4,286) | (5,471) | (4,839) | |||
Dividends paid | (83,985) | (129,452) | (96,802) | |||
Other financing activities, net | 3,946 | (2,105) | (291) | |||
Net cash provided by (used in) financing activities | (3,311,330) | 225,471 | 1,682,755 | |||
Net decrease in cash and cash equivalents | 253,617 | 85,756 | 58,270 | |||
Cash, cash equivalents and restricted cash at beginning of period | [1] | 290,833 | 205,077 | 146,807 | ||
Cash, cash equivalents and restricted cash at end of period | [1] | 544,450 | 290,833 | 205,077 | ||
Cash paid during the period for: | ||||||
Interest | 456,147 | 452,216 | 207,014 | |||
Taxes | 1,190 | 7,963 | 10,594 | |||
Supplemental Noncash Information: | ||||||
Real estate securities retained from loan securitizations | 53,276 | 13,729 | 51,911 | |||
Retention of mortgage servicing rights from loan securitizations and sales | 0 | 868 | 328 | |||
Consolidation of residential loans held in securitization trust | 0 | 1,190,995 | 1,206,645 | |||
Consolidation of residential ABS issued | 0 | 997,783 | 978,996 | |||
(Deconsolidation) consolidation of multifamily loans held in securitization trusts | 3,849,779 | (2,162,385) | 2,099,916 | |||
(Deconsolidation) consolidation of multifamily ABS issued | 3,706,789 | (2,058,214) | 1,975,324 | |||
Consolidation of single-family rental loans held in securitization trusts | 0 | 1,829,281 | 0 | |||
Consolidation of single-family rental ABS issued | 0 | 1,656,023 | 0 | |||
Transfers from loans held-for-sale to loans held-for-investment | 1,868,656 | 1,801,560 | 2,062,809 | |||
Transfers from loans held-for-investment to loans held-for-sale | 64,520 | 22,808 | 15,717 | |||
Transfers from residential loans to real estate owned | 14,229 | 8,609 | 4,104 | |||
Operating lease right-of-use assets obtained in exchange for operating lease liabilities | 7,862 | 13,094 | 0 | |||
Reduction in operating lease liabilities due to lease modification | 1,722 | 0 | 0 | |||
Cash and cash equivalents | 461,260 | [2] | 196,966 | [2] | 176,000 | |
Restricted cash | 83,190 | [2] | 93,867 | [2] | 29,000 | |
Residential Loans | ||||||
Cash Flows From Investing Activities: | ||||||
Purchases of multifamily securities held in consolidated securitization trusts | 0 | (193,212) | (227,649) | |||
Multifamily securities | ||||||
Cash Flows From Investing Activities: | ||||||
Purchases of multifamily securities held in consolidated securitization trusts | $ 0 | $ (99,221) | $ (107,411) | |||
[1] | Cash, cash equivalents, and restricted cash at December 31, 2020 included cash and cash equivalents of $461 million and restricted cash of $83 million; at December 31, 2019 included cash and cash equivalents of $197 million and restricted cash of $94 million; and at December 31, 2018 included cash and cash equivalents of $176 million and restricted cash of $29 million. | |||||
[2] | 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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Consolidated Statements of Ca_2
Consolidated Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2020 | [1] | Dec. 31, 2019 | [1] | Dec. 31, 2018 |
Statement of Cash Flows [Abstract] | |||||
Cash and cash equivalents | $ 461,260 | $ 196,966 | $ 176,000 | ||
Restricted cash | $ 83,190 | $ 93,867 | $ 29,000 | ||
[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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Organization
Organization | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Organization | Organization Redwood Trust, Inc., together with its subsidiaries, is a specialty finance company focused on several distinct areas of housing credit. Our operating platforms occupy a unique position in the housing finance value chain, providing liquidity to growing segments of the U.S. housing market not served by government programs. We deliver customized housing credit investments to a diverse mix of investors, through our best-in-class securitization platforms; whole-loan distribution activities; and our publicly-traded shares. Our consolidated investment portfolio has evolved to incorporate a diverse mix of residential, business purpose and multifamily investments. Our goal is to provide attractive returns to shareholders through a stable and growing stream of earnings and dividends, capital appreciation, and a commitment to technological innovation that facilitates risk-minded scale. We operate our business in three segments: Residential Lending, Business Purpose Lending, and Third-Party 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 “Internal Revenue 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.” Redwood was incorporated in the State of Maryland on April 11, 1994, and commenced operations on August 19, 1994. On March 1, 2019, Redwood completed the acquisition of 5 Arches, LLC ("5 Arches"), at which time 5 Arches became a wholly-owned subsidiary of Redwood. On October 15, 2019, Redwood acquired CoreVest American Finance Lender, LLC and certain affiliated entities ("CoreVest"), at which time CoreVest became wholly owned by Redwood. References herein to “Redwood,” the “company,” “we,” “us,” and “our” include Redwood Trust, Inc. and its consolidated subsidiaries, unless the context otherwise requires. In statements regarding qualification as a REIT, such terms refer solely to Redwood Trust, Inc. Refer to Item 1 - Business in this Annual Report on Form 10-K for additional information on our business. |
Basis of Presentation
Basis of Presentation | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of PresentationThe consolidated financial statements presented herein are at December 31, 2020 and December 31, 2019, and for the years ended December 31, 2020, 2019, and 2018. These consolidated financial statements have been 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”) — and the rules and regulations of the Securities and Exchange Commission ("SEC"). In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the Company at December 31, 2020 and 2019, and results of operations for all periods presented have been made. 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 in which we have invested. 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 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 (and transferred directing certificate holder status as a result of these sales) 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, an originator of business purpose 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 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 loans, for $10 million in cash, with a one-year option to purchase all remaining equity in the company. On March 1, 2019, we completed the acquisition of the remaining 80% interest in 5 Arches. At closing, we paid approximately $13 million of cash, with the remaining $27 million in consideration to be paid in a mix of cash and Redwood common stock over a two A liability resulting from the contingent consideration arrangement with 5 Arches was initially recorded at its acquisition-date fair value of $25 million as part of total consideration for the acquisition of 5 Arches. The 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 December 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 years ended December 31, 2020 and 2019, we recorded $0.2 million and $3 million of contingent consideration expense, respectively, through Other expenses on our consolidated statements of income (loss). See Note 16 for additional information on our contingent consideration liability. In October 2019, we acquired CoreVest, an originator and portfolio manager of business purpose loans. Aggregate consideration for this acquisition totaled approximately $492 million, net of in-place financing on existing assets. The consideration consisted of $482 million of cash and $10 million of restricted stock awards issued to the CoreVest management team. Based on the terms of the equity interest purchase agreement, we determined that the $10 million of shares should be accounted for as compensation expense for post-combination services, and therefore, it is not included in the GAAP purchase price allocated to the assets and liabilities acquired. See Note 21 for additional information related to the restricted stock awards issued in connection with the CoreVest acquisition. During 2019, we accounted for the acquisitions of 5 Arches and CoreVest under the acquisition method of accounting pursuant to ASC 805. We performed the purchase price allocations and recorded underlying assets acquired and liabilities assumed based on their estimated fair values using the information available as of each acquisition date, with the excess of the purchase price allocated to goodwill. Through December 31, 2020, there were no significant changes to our purchase price allocations, which are summarized in the following table. Table 2.1 – Purchase Price Allocations (In Thousands) 5 Arches CoreVest Acquisition Date March 1, 2019 October 15, 2019 Purchase price: Cash $ 12,575 $ 482,311 Contingent consideration, at fair value 24,621 — Purchase option, at fair value 5,082 — Equity method investment, at fair value 8,052 — Total consideration $ 50,330 $ 482,311 Allocated to: Business purpose loans, at fair value $ 2,022 $ 2,610,490 Cash and cash equivalents 2,128 30,685 Restricted cash 9,082 — Other assets 5,473 67,420 Goodwill 28,747 59,928 Intangible assets 24,800 56,500 Deferred tax asset — 2,577 Total assets acquired 72,252 2,827,600 Asset-backed securities issued, at fair value — 1,656,023 Short-term debt, net 3,800 663,275 Accrued expenses and other liabilities 13,920 25,991 Deferred tax liability 4,202 — Total liabilities assumed 21,922 2,345,289 Total net assets acquired $ 50,330 $ 482,311 Because we owned a 20% noncontrolling interest in 5 Arches immediately before obtaining full control, we remeasured our initial minority investment and purchase option at their acquisition-date fair values using the income approach, which resulted in a gain of $2 million that was recorded in Other income on our consolidated statements of income during the three months ended March 31, 2019. We recognized $2 million of acquisition costs related our acquisitions of 5 Arches and CoreVest during the year ended December 31, 2019. These costs primarily related to accounting, consulting, and legal expenses and are included in our General and administrative expenses on our consolidated statements of income. 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 table below presents the amortization period and carrying value of our intangible assets, net of accumulated amortization at December 31, 2020 and December 31, 2019. Table 2.2 – Intangible Assets – Activity Intangible Assets at Acquisition Accumulated Amortization at December 31, 2020 Carrying Value at December 31, 2020 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 45,300 $ (7,819) $ 37,481 7 Broker network 18,100 (6,637) 11,463 5 Non-compete agreements 9,500 (4,431) 5,069 3 Tradenames 4,000 (1,860) 2,140 3 Developed technology 1,800 (1,088) 712 2 Loan administration fees on existing loan assets 2,600 (2,600) — 1 Total $ 81,300 $ (24,435) $ 56,865 6 Intangible Assets at Acquisition Accumulated Amortization at December 31, 2019 Carrying Value at December 31, 2019 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 45,300 $ (1,348) $ 43,952 7 Broker network 18,100 (3,017) 15,083 5 Non-compete agreements 9,500 (1,264) 8,236 3 Tradenames 4,000 (527) 3,473 3 Developed technology 1,800 (188) 1,612 2 Loan administration fees on existing loan assets 2,600 (2,167) 433 1 Total $ 81,300 $ (8,511) $ 72,789 6 All of our intangible assets are amortized on a straight-line basis. For the years ended December 31, 2020 and 2019, we recorded intangible asset amortization expense of $16 million and $9 million, respectively. Estimated future amortization expense is summarized in the table below. Table 2.3 – Intangible Asset Amortization Expense by Year (In Thousands) December 31, 2020 2021 $ 15,304 2022 12,800 2023 10,091 2024 7,073 2025 and thereafter 11,597 Total Future Intangible Asset Amortization $ 56,865 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. Of the total goodwill recorded, $75 million is 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 at March 31, 2020 and determined they were not impaired. On a quarterly basis, we evaluate our finite-lived intangible assets for impairment indicators and additionally evaluate the useful lives of our intangible assets to determine if revisions to the remaining periods of amortization are warranted. We reviewed our finite-lived intangible assets and determined that the estimated lives were appropriate and that there were no indicators of impairment at December 31, 2020. 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 year ended December 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 2.4 – Unaudited Pro Forma Financial Information Year Ended (In Thousands) December 31, 2019 Supplementary pro forma information: Net interest income $ 167,680 Non-interest income 193,519 Net income 185,896 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Significant Accounting Policies Business Combinations We use the acquisition method of accounting for business combinations, under which the purchase price is allocated to the fair values of the assets acquired and liabilities assumed at the acquisition date. The excess of the purchase price over the amount allocated to the assets acquired and liabilities assumed is recorded as goodwill. Acquisition-related costs are expensed as incurred. Fair Value Measurements Our consolidated financial statements include assets and liabilities that are measured at their estimated fair values in accordance with GAAP. A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. We develop fair values for financial assets or liabilities based on available inputs and pricing that is observed in the marketplace. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. The markets for many of the assets that we invest in and issue are generally illiquid. Establishing fair values for illiquid assets and liabilities is inherently subjective and is often dependent upon our estimates and modeling assumptions. If we determine that either the volume and/or level of trading activity for an asset or liability has significantly decreased from normal market conditions, or price quotations or observable inputs are not associated with orderly transactions, the market inputs that we obtain might not be relevant. For example, broker or pricing service quotes might not be relevant if an active market does not exist for the financial asset or liability. The nature of the quote (for example, whether the quote is an indicative price or a binding offer) is also evaluated. In circumstances where relevant market inputs cannot be obtained, increased analysis and management judgment are required to estimate fair value. This generally requires us to establish internal assumptions about future cash flows and appropriate risk-adjusted discount rates. Regardless of the valuation inputs we apply, the objective of fair value measurement for assets is unchanged from what it would be if markets were operating at normal activity levels and/or transactions were orderly; that is, to determine the current exit price. See Note 5 for further discussion on fair value measurements. Fair Value Option We have the option to measure eligible financial assets, financial liabilities, and commitments at fair value on an instrument-by-instrument basis. This option is available when we first recognize a financial asset or financial liability or enter into a firm commitment. Subsequent changes in the fair value of assets, liabilities, and commitments where we have elected the fair value option are recorded in our consolidated statements of income. We elect the fair value option for certain residential loans, business purpose loans, interest-only (“IO”) and certain subordinate securities, MSRs, servicer advance investments, excess MSRs, and certain of our other investments. We generally elect the fair value option for residential and single-family rental loans that are held-for-sale, due to our intent to sell or securitize the loans in the near-term. We elect the fair value option for our IO and certain subordinate securities, and MSRs, for which we generally hedge market interest rate risk. As such, we seek to offset interest rate related changes in the values of these investments with changes in the values of their associated hedges through our consolidated statements of income. In addition, we elect the fair value option for the assets and liabilities of our consolidated Sequoia, Freddie Mac SLST, Freddie Mac K-Series, and CAFL entities in accordance with GAAP accounting for collateralized financing entities ("CFEs"). See Note 5 for further discussion on the fair value option. Real Estate Loans Residential Loans - Held-for-Sale at Fair Value Residential loans held-for-sale include loans that we are marketing for sale to third parties, including transfers to securitization entities that we plan to sponsor. We generally elect the fair value option for residential loans that we purchase with the intent to sell to third parties or transfer to Sequoia securitizations. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status and any accrued interest is reversed against interest income. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value for these loans are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. Residential Loans - Held-for-Investment At Fair Value Certain loans that were originally purchased with the intent to sell as part of our residential mortgage banking operations, and for which we elected the fair value option at acquisition, were subsequently reclassified to held-for-investment ("HFI"). Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status and any accrued interest is reversed against interest income. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. During 2020, we completed the sale of all of our residential loans previously held for investment and had no residential loans held-for-investment at Redwood at December 31, 2020. In addition, we record residential loans held at consolidated Sequoia and Freddie Mac SLST entities at fair value. In accordance with accounting guidance for CFEs, we use the fair value of the ABS issued by these entities (which we determined to be more observable) to determine the fair value of the loans held at these entities. Coupon interest for these loans is recognized as revenue based on amounts expected to be paid to the securities issued by these entities. Changes in fair value for these loans are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. Business Purpose Loans - Held-for-Sale at Fair Value We originate business purpose loans, including single-family rental loans through our business purpose lending platform. Single-family rental loans are mortgage loans secured by residential real estate (primarily 1-4 unit) that the borrower owns as an investment property and rents to residential tenants. We classify single-family rental loans as held-for-sale at fair value when we originate these loans with the intent to transfer to securitization entities or sell to third parties. Coupon interest for these loans is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status and any accrued interest is reversed against interest income. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are recurring and reported through our consolidated statements of income in Mortgage banking activities, net. Business Purpose Loans - Held-for-Investment at Fair Value We also originate bridge loans through our business purpose lending platform. Business purpose bridge loans are mortgage loans generally secured by unoccupied residential or small-balance multifamily real estate that the borrower owns as an investment and that is being renovated, rehabilitated or constructed. Bridge loans are classified as held-for-investment at fair value if we intend to hold these loans to maturity. Coupon interest for these loans is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status and any accrued interest is reversed against interest income. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. In addition, we record residential loans held at consolidated CAFL entities at fair value. In accordance with accounting guidance for CFEs, we use the fair value of the ABS issued by these entities (which we determined to be more observable) to determine the fair value of the loans held at these entities. Coupon interest for these loans is recognized as revenue based on amounts expected to be paid to the securities issued by these entities. Changes in fair value for these loans are recurring and reported through our consolidated statements of income in Investment fair value changes, net. Multifamily Loans, Held-for-Investment at Fair Value Multifamily loans are mortgage loans secured by multifamily properties, held in Freddie Mac-sponsored K-series securitization trusts that we consolidate. In accordance with accounting guidance for CFEs, we use the fair value of the ABS issued by the Freddie Mac K-Series entities (which we determined to be more observable) to determine the fair value of the loans held at these entities. Coupon interest for these loans is recognized as revenue based on amounts expected to be paid to the securities issued by these entities. Changes in fair value for the assets and liabilities of these trusts are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. Repurchase Reserves We sell and have sold residential and business purpose mortgage loans to various parties, including (1) securitization trusts, and (2) banks and other financial institutions that purchase mortgage loans for investment or private label securitization. We may be required to repurchase mortgage loans we have sold, or loans associated with MSRs we have purchased, in the event of a breach of specified contractual representations and warranties made in connection with these sales and purchases. Additionally, we generally have a direct obligation to repurchase residential whole loans we sell in the event of any early payment defaults (or EPDs) by the underlying mortgage borrowers within certain specified periods following the sales. We do not originate residential mortgage loans and 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 or MSRs. However, in some cases, such as where loans or MSRs were acquired from companies that have since become insolvent, we may have to bear the loss associated with a loan repurchase. Furthermore, even if we do not have to ultimately bear such a loss because we can recover from the company that sold us the loan or the MSR, there could be a delay in making that recovery. We establish reserves for mortgage repurchase liabilities related to various representations and warranties that reflect management’s estimate of losses for loans for which we could have a repurchase obligation, based on a combination of factors. Such factors can include estimated future defaults and loan repurchase rates, the potential severity of loss in the event of defaults, and the probability of our being liable for a repurchase obligation. We establish a reserve at the time loans are sold and MSRs are purchased and continually update our reserve estimate during its life. The reserve for mortgage loan repurchase losses is included in other liabilities on our consolidated balance sheets and the related expense is included as a component of Mortgage banking activities, net on our consolidated statements of income. See Note 16 for further discussion on the residential repurchase reserves. Real Estate Securities, at Fair Value Our securities primarily consist of mortgage-backed securities (“MBS”) collateralized by residential and multifamily mortgage loans. We classify our real estate securities as trading or available-for-sale securities. Trading Securities We primarily denote trading securities as those securities where we have adopted the fair value option. Trading securities are carried at their estimated fair values. Coupon interest is recognized as interest income when earned and deemed collectible. Changes in the fair value of securities designated as trading securities are reported in Investment fair value changes, net on our consolidated statements of income. Available-for-Sale Securities AFS securities are carried at their estimated fair value with unrealized gains and losses excluded from earnings (except when an allowance for credit losses is recognized, as discussed below) and reported in Accumulated other comprehensive income (“AOCI”), a component of stockholders’ equity. Interest income on AFS securities is accrued based on their outstanding principal balance and contractual terms and interest income is recognized based on the security’s effective interest rate. In order to calculate the effective interest rate, we must project cash flows over the remaining life of each security and make assumptions with regards to interest rates, prepayment rates, the timing and amount of credit losses, and other factors. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our own judgments about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield and interest income recognized on these securities or in the recognition of an allowance for credit losses as discussed below. For AFS securities purchased and held at a discount, a portion of the discount may be designated as non-accretable purchase discount (“credit reserve”), based on the cash flows we have projected for the security. The amount designated as credit reserve may be adjusted over time, based on our periodic evaluation of projected cash flows. If the performance of a security with a credit reserve is more favorable than previously forecasted, a portion of the credit reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. 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. See Note 9 for further discussion on real estate securities. Other Investments Servicer Advance Investments Our servicer advance investments are comprised of outstanding servicer advances receivable, the requirement to purchase all future servicer advances made with respect to a specified pool of residential mortgage loans and a fee component of the related MSR. We have elected to record these investments at fair value. We recognize income from our servicer advance investments when earned and deemed collectible and record the income as a component of Other interest income in our consolidated statements of income. Our servicer advance investments are marked-to-market on a recurring basis with changes in the fair value reported in Investment fair value changes, net on our consolidated statements of income. See Note 10 for further discussion on our servicer advance investments. MSRs We recognize MSRs through the retention of servicing rights associated with residential mortgage loans that we acquired and subsequently transferred to third parties when the transfer meets the GAAP criteria for sale accounting, or through the direct acquisition of MSRs sold by third parties. We contract with licensed sub-servicers to perform servicing functions for loans associated with our MSRs. We have elected the fair value option for all of our MSRs, and they are initially recognized and subsequently carried at their estimated fair values. Servicing fee income from MSRs is recorded on a cash basis when received. Net servicing income and changes in the estimated fair value of MSRs are reported in Other income on our consolidated statements of income. See Note 10 for further discussion on MSRs. Excess MSRs Our excess MSR investments represent the right to receive a portion of mortgage servicing cash flows in excess of amounts paid for the underlying mortgage loans to be serviced. As owners of excess MSRs, we are not required to be a licensed servicer, and we are not required to assume any servicing duties, advance obligations or liabilities associated with the loan pool underlying the MSR. We have elected to record these investments at fair value. We recognize income from Excess MSRs when it is earned and deemed collectible and record the income as a component of Other interest income in our consolidated statements of income. Changes in fair value are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. See Note 10 for further discussion on excess MSRs. 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. At December 31, 2020, the carrying amount of our investment in the partnership was zero and we had no remaining funding obligations to the partnership. We accounted for our ownership interest in this partnership using the equity method of accounting as we were able to exert significant influence over but did not control the activities of the investee. We assessed our investment for impairment whenever events or changes in circumstances indicated that the carrying amount of our investment might not be recoverable. We elected to record our share of earnings or losses from this investment on a one-quarter lag, as a component of Other income on our consolidated statements of income. See Note 10 for further discussion on our investment in the multifamily loan fund. Shared Home Appreciation Options During 2019, we invested in shared home appreciation options that allow us to share in both home price appreciation and depreciation. We have elected to record these investments at fair value and report changes in fair value through Investment fair value changes, net on our consolidated statements of income. See Note 10 for further discussion on shared home appreciation options. Cash and Cash Equivalents Cash and cash equivalents include non-restricted cash and highly liquid investments with original maturities of three months or less and money market fund investments which are generally invested in U.S. government securities and are available to us on a daily basis. The Company maintains its cash and cash equivalents with major financial institutions. Accounts at these institutions are guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) up to $250,000 for each bank. The Company is exposed to credit risk for amounts held in excess of the FDIC limit. The Company does not anticipate nonperformance by these institutions. Restricted Cash Restricted cash primarily includes cash held at our consolidated Servicing Investment entities, and cash associated with our risk-sharing transactions with Fannie Mae and Freddie Mac ("the Agencies"), as well as cash collateral for certain consolidated securitization entities. Goodwill and Intangible Assets Significant judgment is required to estimate the fair value of intangible assets and in assigning their estimated useful lives. Accordingly, we typically seek the assistance of independent third-party valuation specialists for significant intangible assets. The fair value estimates are based on available historical information and on future expectations and assumptions we deem reasonable. We generally use an income-based valuation method to estimate the fair value of intangible assets, which discounts expected future cash flows to present value using estimates and assumptions we deem reasonable. Determining the estimated useful lives of intangible assets also requires judgment. Our assessment as to which intangible assets are deemed to have finite or indefinite lives is based on several factors including economic barriers of entry for the acquired business, retention trends, and our operating plans, among other factors. Finite-lived intangible assets are amortized over their estimated useful lives on a straight-line basis and reviewed for impairment if indicators are present. Additionally, useful lives are evaluated each reporting period to determine if revisions to the remaining periods of amortization are warranted. Goodwill is tested for impairment annually or more frequently if indicators of impairment exist. We have elected to make the first day of our fiscal fourth quarter the annual impairment assessment date for 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). Derivative Financial Instruments Derivative financial instruments we typically utilize include swaps, swaptions, financial futures contracts, and “To Be Announced” (“TBA”) contracts. These derivatives are primarily used to manage interest rate risk associated with our operations. In addition, we enter into certain residential loan purchase commitments (“LPCs”), interest rate lock commitments ("IRLCs"), and residential loan forward sale commitments (“FSCs”) that are treated as derivatives for financial reporting purposes. All derivative financial instruments are recorded at their estimated fair value on our consolidated balance sheets. Derivatives with positive fair values to us are reported as assets and derivatives with negative fair values to us are reported as liabilities. We classify each derivative as either (i) a trading instrument (no specific hedging designation for financial reporting purposes) or (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Changes in the fair values of derivatives accounted for as trading instruments, including any associated interest income or expense, are recorded in our consolidated statements of income through Other income if they are used to manage risks associated with our MSR investments, through Mortgage banking activities , net if they are used to manage risks associated with our mortgage banking activities, or through Investment fair value changes, net if they are used to manage risks associated with our investments. Valuation changes related to residential LPCs, IRLCs, and FSCs are included in Mortgage banking activities, net on our consolidated statements of income. Changes in the fair values of derivatives accounted for as cash flow hedges, to the extent they are effective, are recorded in Accumulated other comprehensive income, a component of equity on our consolidated balance sheets. Interest income or expense, and any ineffectiveness associated with these derivatives, are recorded as a component of net interest income in our consolidated statements of income. We measure the effective portion of cash flow hedges by comparing the change in fair value of the expected future variable cash flows of the derivative hedging instruments with the change in fair value of the expected future variable cash flows of the hedged item. We will discontinue a designated cash flow hedge relationship if (i) we determine that the hedging derivative is no longer expected to be effective in offsetting changes in the cash flows of the designated hedged item; (ii) the derivative expires or is sold, terminated, or exercised; (iii) the derivative is de-designated as a cash flow hedge; or (iv) it is probable that a forecasted transaction associated with the hedged item will not occur by the end of the originally specified time period. To the extent we de-designate or terminate a cash flow hedging relationship and the associated hedged item continues to exist, any unrealized gain or loss of the cash flow hedge at the time of de-designation remains in accumulated other comprehensive income and is amortized using the straight-line method through interest expense over the remaining life of the hedged item. Swaps and Swaptions Interest rate swaps are agreements in which (i) one counterparty exchanges a stream of fixed interest payments for another counterparty’s stream of variable interest cash flows; or (ii) each counterparty exchanges variable interest cash flows that are referenced to different indices. Interest rate swaptions are agreements that provide the owner the right but not the obligation to enter into an underlying interest rate swap with a counterparty in the future. We enter into swap and swaptions primarily to reduce significant changes in our income or equity caused by interest rate volatility. Certain of these interest rate agreements may be designated as cash flow hedges. Interest Rate Futures Interest rate futures are futures contracts based on U.S. Treasury notes, U.S. dollar-denominated interest rate swaps, or U.S. dollar-denominated interest rate indices. TBA Agreements TBA agreements are forward contracts to purchase mortgage-backed securities that will be issued by a U.S. government sponsored enterprise in the future. We purchase or sell these derivatives to offset - to varying degrees - changes in the values of mortgage products for which we have exposure to interest rate volatility. Loan Purchase and Forward Sale Commitments We use the term LPCs to refer to agreements with third-party residential loan originators to purchase residential loans at a future date that qualify as a derivative under GAAP and we use the term FSCs to refer to agreements with third-parties to sell residential loans at a future date that also qualify as derivatives under GAAP. LPCs and FSCs are recorded at their estimated fair values on our consolidated balance sheets and changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. Interest Rate Lock Commitments IRLCs are agreements we have made with third-party borrowers for single-family rental loans that will be originated and held for sale. IRLCs qualify as derivatives under GAAP and are recorded at their estimated fair values on our consolidated balance sheets. Changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. See Note 11 for further discussion on derivative financial instruments. Deferred Tax Assets and Liabilities Our deferred tax assets/liabilities are generated by temporary differences in GAAP and taxable income at our taxable REIT subsidiaries. These differences generally reflect differing accounting treatments for GAAP and tax, such as accounting for mortgage servicing rights, security discount and premium amortization, credit losses, asset impairments, and certain valuation estimates. As a result of these differences, we may recognize taxable income in periods prior to when we recognize income for GAAP. When this occurs, we pay the tax liability as required and establish a deferred tax asset. As the income is subsequently realized in future periods under GAAP, the deferred tax asset is reduced. We may also recognize GAAP income in periods prior to when we recognize income for tax. When this occurs, we establish a deferred tax liability for GAAP. As the income is subsequently realized in future periods for tax, the deferred tax liability is reduced. We may also record deferred tax assets/liabilities resulting from GAAP and tax basis differences of assets and liabilities acquired in a business combination at our taxable REIT subsidiaries. These deferred tax assets/liabilities generally do not affect our GAAP income at the time of establishment as the offsetting accounting entry is recorded in GAAP goodwill. They also do not generally affect GAAP income when they are subsequently realized as the deferred tax provision or benefit resulting from the realization is offset by a corresponding current tax benefit or provision. In assessing the realizability of deferred tax assets, we consider whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during the periods in which those temporary differences become deductible. We consider historical and projected future taxable income and capital gains as well as tax planning strategies in making this assessment. We determine the extent to which realization of this deferred asset is not assured and establish a valuation allowance accordingly. The estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. Other Assets and Other Liabilities Other assets primarily consists of investment receivable, accrued interest receivable, operating lease right-of-use assets, margin receivable, FHLBC stock, pledged collateral, fixed assets and leasehold improvements, and REO. Other liabilities primarily consists of accrued interest payable, accrued compensation, payable to minority partner, guarantee obligations, operating lease liabilities, deferred tax liabilities, margin payable, and residential loan and MSR repurchase reserves. See Note 12 for further discussion. Accrued Interest Receivable Accrued interest receivable includes interest that is due and payab |
Principles of Consolidation
Principles of Consolidation | 12 Months Ended |
Dec. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Principles of Consolidation | Principles of ConsolidationGAAP 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 December 31, 2020, we consolidated Legacy Sequoia, Sequoia Choice, 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 December 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 $5 million, $220 million, $430 million, $28 million, and $242 million, respectively. During the first quarter of 2020, we sold subordinate securities (and transferred directing certificate holder status as a result of these sales) 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). 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 December 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 December 31, 2020, the estimated fair value of our investment in the Servicing Investment entities was $68 million. The following table presents a summary of the assets and liabilities of these VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs Accounted for as Collateralized Financing Entities December 31, 2020 Legacy Sequoia Freddie Mac SLST Freddie Mac CAFL Servicing Investment Total (Dollars in Thousands) Residential loans, held-for-investment $ 285,935 $ 1,565,322 $ 2,221,153 $ — $ — $ — $ 4,072,410 Business purpose loans, held-for-investment — — — — 3,249,194 — 3,249,194 Multifamily loans, held-for-investment — — — 492,221 — — 492,221 Other investments — — — — — 251,773 251,773 Cash and cash equivalents — — — — — 11,579 11,579 Restricted cash 148 — — — — 23,220 23,368 Accrued interest receivable 305 6,802 6,754 1,337 13,055 2,334 30,587 Other assets 638 — 646 — 2,930 5,723 9,937 Total Assets $ 287,026 $ 1,572,124 $ 2,228,553 $ 493,558 $ 3,265,179 $ 294,629 $ 8,141,069 Short-term debt $ — $ — $ — $ — $ — $ 208,375 $ 208,375 Accrued interest payable 141 4,697 4,846 1,177 10,278 135 21,274 Accrued expenses and other liabilities — 50 — — — 18,353 18,403 Asset-backed securities issued 282,326 1,347,357 1,793,620 463,966 3,013,093 — 6,900,362 Total Liabilities $ 282,467 $ 1,352,104 $ 1,798,466 $ 465,143 $ 3,023,371 $ 226,863 $ 7,148,414 Number of VIEs 20 10 2 1 14 3 50 December 31, 2019 Legacy Sequoia Freddie Mac SLST Freddie Mac CAFL Servicing Investment Total (Dollars in Thousands) Residential loans, held-for-investment $ 407,890 $ 2,291,463 $ 2,367,215 $ — $ — $ — $ 5,066,568 Business purpose 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 tables present income (loss) from these VIEs for the years ended December 31, 2020 and 2019. Table 4.2 – Income (Loss) from Consolidated VIEs Accounted for as Collateralized Financing Entities Year Ended December 31, 2020 Legacy Sequoia Freddie Mac SLST Freddie Mac CAFL Servicing Investment Total (Dollars in Thousands) Interest income $ 9,061 $ 87,093 $ 85,609 $ 54,813 $ 136,950 $ 17,665 $ 391,191 Interest expense (5,945) (73,643) (62,483) (51,521) (105,732) (6,441) (305,765) Net interest income 3,116 13,450 23,126 3,292 31,218 11,224 85,426 Non-interest income Investment fair value changes, net (1,512) (13,244) (21,160) (81,039) (39,574) (11,327) (167,856) Total non-interest income, net (1,512) (13,244) (21,160) (81,039) (39,574) (11,327) (167,856) General and administrative expenses — — — — — (867) (867) Other expenses — — — — — 193 193 Income (Loss) from Consolidated VIEs $ 1,604 $ 206 $ 1,966 $ (77,747) $ (8,356) $ (777) $ (83,104) Year Ended December 31, 2019 Legacy Sequoia Freddie Mac SLST Freddie Mac CAFL Servicing Investment Total (Dollars in Thousands) Interest income $ 17,649 $ 108,798 $ 57,840 $ 132,600 $ 23,072 $ 14,511 $ 354,470 Interest expense (14,418) (93,354) (42,574) (126,948) (17,173) (11,952) (306,419) Net interest income 3,231 15,444 15,266 5,652 5,899 2,559 48,051 Non-interest income Investment fair value changes, net (1,545) 6,947 27,206 21,430 (3,636) 3,311 53,713 Total non-interest income, net (1,545) 6,947 27,206 21,430 (3,636) 3,311 53,713 General and administrative expenses — — — — — (343) (343) Other expenses — — — — — (1,106) (1,106) Income from Consolidated VIEs $ 1,686 $ 22,391 $ 42,472 $ 27,082 $ 2,263 $ 4,421 $ 100,315 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. During the third quarter of 2020, we re-securitized subordinate securities we owned in our consolidated Freddie Mac SLST securitization trusts through the transfer of these financial assets to a re-securitization trust that we sponsored. We retain a subordinate investment in the re-securitization trust and maintain certain discretionary rights associated with the ownership of this investment that we determined reflected a controlling financial interest in the entity, as we have both the power to direct the activities that most significantly impact the performance of the VIE and the right to receive benefits of and the obligation to absorb losses from the VIE that could potentially be significant to the VIE. At securitization, we issued $210 million of ABS and have elected to account for the ABS issued at amortized cost. Analysis of Unconsolidated VIEs with Continuing Involvement Since 2012, we have transferred residential loans to 53 Sequoia securitization entities sponsored by us that are still outstanding as of December 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 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. During each of the years ended December 31, 2020 and 2019, we transferred residential loans to five Sequoia securitization entities sponsored by us, and accounted for these transfers as sales for financial reporting purposes. The following table presents information related to securitization transactions that occurred during the years ended December 31, 2020 and 2019. Table 4.3 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Years Ended December 31, (In Thousands) 2020 2019 Principal balance of loans transferred $ 2,223,462 $ 1,872,910 Trading securities retained, at fair value 49,089 8,882 AFS securities retained, at fair value 4,187 4,847 The following table summarizes the cash flows during the years ended December 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 Years Ended December 31, (In Thousands) 2020 2019 Proceeds from new transfers $ 2,276,521 $ 1,912,334 MSR fees received 9,749 11,857 Funding of compensating interest, net (405) (368) Cash flows received on retained securities 24,172 27,045 The following table presents the key weighted average assumptions used to value securities retained at the date of securitization for securitizations completed during 2020 and 2019. Table 4.5 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Year Ended December 31, 2020 Year Ended December 31, 2019 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates 29 % 14 % 25 % 15 % Discount rates 14 % 7 % 14 % 7 % Credit loss assumptions 0.27 % 0.24 % 0.20 % 0.20 % The following table presents additional information at December 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) December 31, 2020 December 31, 2019 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 20,982 $ 88,425 Subordinate securities, classified as AFS 136,475 140,649 Mortgage servicing rights 8,413 40,254 Maximum loss exposure (1) $ 165,870 $ 269,328 Assets transferred: Principal balance of loans outstanding $ 7,728,432 $ 10,299,442 Principal balance of loans 30+ days delinquent 138,029 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 December 31, 2020 and December 31, 2019. Table 4.7 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood December 31, 2020 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2020 $ 8,413 $ 17,333 $ 140,124 Expected life (in years) (2) 2 3 8 Prepayment speed assumption (annual CPR) (2) 37 % 31 % 33 % Decrease in fair value from: 10% adverse change $ 906 $ 1,557 $ 452 25% adverse change 2,058 3,754 2,298 Discount rate assumption (2) 12 % 21 % 5 % Decrease in fair value from: 100 basis point increase $ 196 $ 337 $ 9,769 200 basis point increase 380 659 18,650 Credit loss assumption (2) N/A 0.41 % 0.41 % Decrease in fair value from: 10% higher losses N/A $ — $ 2,409 25% higher losses N/A — 5,915 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 $17 million and $49 million of interest-only securities at December 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 December 31, 2020 and December 31, 2019, grouped by asset type. Table 4.8 – Third-Party Sponsored VIE Summary (In Thousands) December 31, 2020 December 31, 2019 Mortgage-Backed Securities Senior $ 11,131 $ 127,094 Mezzanine 2,014 508,195 Subordinate 173,523 235,510 Total Mortgage-Backed Securities 186,668 870,799 Excess MSR 14,133 16,216 Total Investments in Third-Party Sponsored VIEs $ 200,801 $ 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 | 12 Months Ended |
Dec. 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 December 31, 2020 and December 31, 2019. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities December 31, 2020 December 31, 2019 Carrying Fair Carrying Fair (In Thousands) Assets Residential loans, held-for-sale at fair value $ 176,604 $ 176,604 $ 536,280 $ 536,280 Residential loans, held-for-investment 4,072,410 4,072,410 7,178,465 7,178,465 Business purpose loans, held-for-sale 245,394 245,394 331,565 331,565 Business purpose loans, held-for-investment 3,890,959 3,890,959 3,175,178 3,175,178 Multifamily loans 492,221 492,221 4,408,524 4,408,524 Real estate securities 344,125 344,125 1,099,874 1,099,874 Servicer advance investments (1) 231,489 231,489 169,204 169,204 MSRs (1) 8,815 8,815 42,224 42,224 Excess MSRs (1) 34,418 34,418 31,814 31,814 Shared home appreciation options (1) 42,440 42,440 45,085 45,085 Cash and cash equivalents 461,260 461,260 196,966 196,966 Restricted cash 83,190 83,190 93,867 93,867 Derivative assets 53,238 53,238 35,701 35,701 REO (2) 8,413 9,229 9,462 10,389 Margin receivable (2) 4,758 4,758 209,776 209,776 FHLBC stock (2) 5,000 5,000 43,393 43,393 Pledged collateral (2) 1,177 1,177 32,945 32,945 Liabilities Short-term debt $ 522,609 $ 522,609 $ 2,329,145 $ 2,329,145 Margin payable (3) — — 1,700 1,700 Guarantee obligation (3) 10,039 7,843 14,009 13,754 Contingent consideration (3) — — 28,484 28,484 Derivative liabilities 16,072 16,072 163,424 163,424 ABS issued net Fair value 6,900,362 6,900,362 10,515,475 10,515,475 Amortized cost 200,299 204,892 — — FHLBC long-term borrowings 1,000 1,000 1,999,999 1,999,999 Other long-term debt, net 774,726 783,570 183,520 184,666 Convertible notes, net 511,085 499,865 631,125 661,985 Trust preferred securities and subordinated notes, net 138,674 80,910 138,628 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 years ended December 31, 2020 and 2019, we elected the fair value option for $108 million and $333 million of securities, respectively, $4.37 billion and $6.99 billion of residential loans (principal balance), respectively, $1.40 billion and $4.02 billion of business purpose loans (principal balance), respectively, zero and $1.43 billion of multifamily loans (principal balance), respectively, $179 million and $70 million of servicer advance investments, respectively, $11 million and $8 million of excess MSRs, respectively, and $4 million and $43 million of shared home appreciation options, respectively. We anticipate electing the fair value option for all future purchases of residential and business purpose 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 December 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 December 31, 2020 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 4,249,014 $ — $ — $ 4,249,014 Business purpose loans 4,136,353 — — 4,136,353 Multifamily loans 492,221 — — 492,221 Real estate securities 344,125 — — 344,125 Servicer advance investments 231,489 — — 231,489 MSRs 8,815 — — 8,815 Excess MSRs 34,418 — — 34,418 Shared home appreciation options 42,440 — — 42,440 Derivative assets 53,238 18,260 19,951 15,027 Pledged collateral 1,177 1,177 — — FHLBC stock 5,000 — 5,000 — Liabilities Derivative liabilities $ 16,072 $ 15,495 $ — $ 577 ABS issued 6,900,362 — — 6,900,362 December 31, 2019 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 7,714,745 $ — $ — $ 7,714,745 Business purpose loans 3,506,743 — — 3,506,743 Multifamily loans 4,408,524 — — 4,408,524 Real estate securities 1,099,874 — — 1,099,874 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 — 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 years ended December 31, 2020 and December 31, 2019. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Multifamily Trading Securities AFS 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 4,483,473 — — 108,249 57,652 179,419 — 10,906 3,517 Originations — 1,431,251 — — — — — — — Sales (6,262,958) (135,800) — (603,529) (55,192) — — — — Principal paydowns (1,552,171) (753,026) (7,703) (8,687) (17,924) (107,527) — — (4,278) Deconsolidations — — (3,849,779) — — — — — — Gains (losses) in net income (loss), net (132,307) 99,590 (58,821) (230,906) 10,792 (9,607) (33,409) (8,302) (1,884) Unrealized losses in OCI, net — — — — (16,204) — — — — Other settlements, net (1) (1,768) (12,405) — — — — — — — Ending balance - December 31, 2020 $ 4,249,014 $ 4,136,353 $ 492,221 $ 125,667 $ 218,458 $ 231,489 $ 8,815 $ 34,418 $ 42,440 Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued) Liabilities Derivatives (2) Contingent Consideration ABS (In Thousands) Beginning balance - December 31, 2019 $ 8,860 $ 28,484 $ 10,515,475 Acquisitions — — 1,478,589 Principal paydowns — (13,353) (1,487,958) Deconsolidations — — (3,706,789) Gains (losses) in net income (loss), net 56,972 (446) 101,045 Other settlements, net (1) (51,382) (14,685) — Ending balance - December 31, 2020 $ 14,450 $ — $ 6,900,362 Assets (In Thousands) Residential Business Purpose Loans Multifamily Loans Trading AFS Servicer Advance Investments MSRs Excess MSRs Shared Beginning balance - December 31, 2018 $ 7,254,631 $ 141,258 $ 2,144,598 $ 1,118,612 $ 333,882 $ 300,468 $ 60,281 $ 27,312 $ — Acquisitions 7,092,866 2,639,615 2,162,386 332,593 26,538 69,610 868 7,762 44,243 Originations — 1,015,436 — — — — — — — Sales (5,141,886) (76,909) — (597,122) (110,070) — — — — Principal paydowns (1,609,220) (213,655) (28,543) (44,600) (39,702) (203,876) — — — Gains (losses) in net income, net 119,132 7,423 130,083 56,008 24,580 3,002 (18,925) (3,260) 842 Unrealized gains in OCI, net — — — — 4,106 — — — — Other settlements, net (1) (778) (6,425) — (4,951) — — — — — Ending 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 Liabilities (In Thousands) Derivatives (2) Contingent Consideration ABS Beginning balance - December 31, 2018 $ 2,181 $ — $ 5,410,073 Acquisitions — 25,267 6,098,462 Principal paydowns — — (1,112,437) Gains (losses) in net income, net 62,220 3,217 119,377 Other settlements, net (1) (55,541) — — Ending balance - December 31, 2019 $ 8,860 $ 28,484 $ 10,515,475 (1) Other settlements, net for residential and business purpose 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. Other settlements, net for contingent consideration reflects the reclassification from a contingent liability to a deferred liability during the period due to an amendment in the underlying agreement. See Note 16 for further discussion. Other settlements, net for trading securities relates to the consolidation of Freddie Mac K-Series securitization entities. (2) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, forward sale commitments, and interest rate lock commitments, are presented on a net basis. The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at December 31, 2020, 2019, and 2018. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2020, 2019, and 2018 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at December 31, 2020, 2019, and 2018 Included in Net Income Included in Net Income Years Ended December 31, (In Thousands) 2020 2019 2018 Assets Residential loans at Redwood $ 1,138 $ 67,470 $ (17,757) Business purpose loans 9,420 14,603 445 Net investments in consolidated Sequoia entities (1) (14,646) 4,529 (1,046) Net investments in consolidated Freddie Mac SLST entities (1) (21,220) 27,225 21,295 Net investments in consolidated Freddie Mac K-Series entities (1) (9,309) 21,430 931 Net investments in consolidated CAFL entities (1) (37,062) (14,681) — Trading securities (83,327) 18,865 (12,256) Available-for-sale securities (388) — (89) Servicer advance investments (8,902) 3,001 (702) MSRs (17,545) (11,957) 1,942 Excess MSRs (8,302) (3,260) 1,824 Shared home appreciation options (1,884) 842 — Loan purchase and interest rate lock commitments 15,027 10,190 2,913 Liabilities Loan purchase commitments $ (577) $ (1,290) $ (732) Contingent consideration — (3,217) — (1) Represents the portion of net gains or losses included in our consolidated statements of income (loss) related to loans and the associated ABS issued at our consolidated securitization entities held at December 31, 2020, 2019, and 2018, which netted together represent the change in value of our investments at the consolidated VIEs. The following table presents information on assets recorded at fair value on a non-recurring basis at December 31, 2020 and December 31, 2019. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis Gain (Loss) for December 31, 2020 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 December 31, 2020 Assets REO $ 1,117 $ — $ — $ 1,117 $ (157) Gain (Loss) for December 31, 2019 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 December 31, 2019 Assets REO $ 4,051 $ — $ — $ 4,051 $ (1,363) The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the years ended December 31, 2020, 2019, and 2018. Table 5.6 – Market Valuation Gains and Losses, Net Years Ended December 31, (In Thousands) 2020 2019 2018 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ (15,477) $ 3,267 $ 23,144 Residential loan purchase and forward sale commitments 56,761 60,260 (1,336) Single-family rental loans held-for-sale, at fair value 82,169 15,043 375 Single-family rental loan purchase and interest rate lock commitments 341 1,961 78 Bridge loans (4,998) 4,518 — Trading securities (1) (4,535) — — Risk management derivatives, net (47,779) (15,723) 34,739 Total mortgage banking activities, net (2) $ 66,482 $ 69,326 $ 57,000 Investment Fair Value Changes, Net Residential loans held-for-investment at Redwood $ (93,314) $ 58,891 $ (29,573) Single-family rental loans held-for-investment (20,806) 272 — Bridge loans held-for-investment (10,629) (2,139) (29) Trading securities (226,196) 56,046 (8,055) Servicer advance investments (8,901) 3,001 (701) Excess MSRs (8,302) (3,260) 1,823 Net investments in Legacy Sequoia entities (3) (1,513) (1,545) (1,016) Net investments in Sequoia Choice entities (3) (13,244) 6,947 443 Net investments in Freddie Mac SLST entities (3) (21,160) 27,206 1,271 Net investments in Freddie Mac K-Series entities (3) (81,039) 21,430 931 Net investments in CAFL entities (3) (36,754) (3,636) — Other investments (7,050) (544) (434) Risk management derivatives, net (59,142) (127,169) 9,740 Change in allowance for credit losses on AFS securities (388) — (89) Total investment fair value changes, net $ (588,438) $ 35,500 $ (25,689) Other Income MSRs $ (33,409) $ (18,856) $ (2,508) Risk management derivatives, net 13,966 8,595 (4,734) Gain on re-measurement of 5 Arches investment — 2,441 — Total other income (4) $ (19,443) $ (7,820) $ (7,242) Total Market Valuation (Losses) Gains, Net $ (541,399) $ 97,006 $ 24,069 (1) Represents fair value changes on trading securities that are being used along with risk management derivatives to manage the mark-to-market risks associated with our residential mortgage banking operations. (2) Mortgage banking activities, net presented above does not include fee income from loan originations or acquisitions, provisions for repurchases expense, and other expenses that are components of Mortgage banking activities, net presented on our consolidated statements of income (loss), as these amounts do not represent market valuation changes. (3) 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. (4) Other income presented above does not include net MSR fee income or provisions for repurchases for MSRs, as these amounts do not represent market valuation adjustments. Valuation Policy We maintain policies that specify the methodologies we use to value different types of financial instruments. Significant changes to the valuation methodologies are reviewed by members of senior management to confirm the changes are appropriate and reasonable. Valuations based on information from external sources are performed on an instrument-by-instrument basis with the resulting amounts analyzed individually against internal calculations as well as in the aggregate by product type classification. Initial valuations are performed by our portfolio management groups using the valuation processes described below. Our finance department then independently reviews all fair value estimates using available market, portfolio, and industry information to ensure they are reasonable. Finally, members of senior management review all fair value estimates, including an analysis of the methodology and valuation changes from prior reporting periods. Valuation Process We estimate fair values for financial assets or liabilities based on available inputs observed in the marketplace as well as unobservable inputs. We primarily use two pricing valuation techniques: market comparable pricing and discounted cash flow analysis. Market comparable pricing is used to determine the estimated fair value of certain instruments by incorporating known inputs and performance metrics, such as observed prepayment rates, delinquencies, severities, credit support, recent transaction prices, pending transactions, or prices of other similar instruments. Discounted cash flow analysis techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument and then discounting those cash flows at a rate of return that results in an estimate of fair value. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. We also consider counterparty credit quality and risk as part of our fair value assessments. The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments December 31, 2020 Fair Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (1) Assets Residential loans, at fair value: Jumbo fixed-rate loans $ 19,464 Prepayment rate (annual CPR) 20 - 20 % 20 % Whole loan spread to swap rate 305 - 305 bps 305 bps Jumbo loans committed to sell 157,140 Whole loan committed sales price $ 102.54 - $ 103.22 $ 102.83 Loans held by Legacy Sequoia (2) 285,935 Liability price N/A N/A Loans held by Sequoia Choice (2) 1,565,322 Liability price N/A N/A Loans held by Freddie Mac SLST (2) 2,221,153 Liability price N/A N/A Business purpose loans: Single-family rental loans 245,394 Senior credit spread 120 - 190 bps 131 bps Subordinate credit spread 160 - 1,650 bps 389 bps Senior credit support 25 - 34 % 32 % IO discount rate 9 - 9 % 9 % Prepayment rate (annual CPR) 3 - 3 % 3 % Non-securitizable loan dollar price $ 86 - $ 105 $ 99 Single-family rental loans held by CAFL 3,249,194 Liability price N/A N/A Bridge loans 641,765 Discount rate 6 - 15 % 9 % Multifamily loans held by Freddie Mac K-Series (2) 492,221 Liability price N/A N/A Trading and AFS securities 344,125 Discount rate 3 - 25 % 9 % Prepayment rate (annual CPR) 9 - 56 % 28 % Default rate — - 25 % 3 % Loss severity — - 50 % 21 % CRT dollar price $ 84 - $ 104 $ 95 Servicer advance investments 231,489 Discount rate 3 - 4 % 3 % Prepayment rate (annual CPR) 8 - 14 % 14 % Expected remaining life (3) 4 - 4 yrs 4 yrs Mortgage servicing income — - 16 bps 7 bps MSRs 8,815 Discount rate 12 - 12 % 12 % Prepayment rate (annual CPR) 10 - 100 % 38 % Per loan annual cost to service $ 97 - $ 97 $ 97 Excess MSRs 34,418 Discount rate 15 - 19 % 17 % Prepayment rate (annual CPR) 14 - 27 % 19 % Excess mortgage servicing amount 9 - 16 bps 12 bps Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) December 31, 2020 Fair Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Assets (continued) Shared home appreciation options $ 42,440 Discount rate 15 - 15 % 15 % Prepayment rate (annual CPR) 10 - 24 % 18 % Home price appreciation 3 - 3 % 3 % REO 1,117 Loss severity 1 - 46 % 21 % Residential loan purchase commitments, net 14,450 Committed sales price $ 100.94 - $ 103.22 $ 102.25 Pull-through rate 17 - 100 % 65 % Whole loan spread to TBA price $ 2.50 - $ 2.50 $ 2.50 Whole loan spread to swap rate - fixed rate 305 - 305 bps 305 bps Prepayment rate (annual CPR) 20 - 20 % 20 % MSR multiple — - 3.9 x 3.0 x Liabilities ABS issued (2) At consolidated Sequoia entities 1,629,683 Discount rate 2 - 26 % 3 % Prepayment rate (annual CPR) 8 - 55 % 31 % Default rate — - 41 % 3 % Loss severity 30 - 50 % 31 % At consolidated Freddie Mac SLST entities 1,793,620 Discount rate 1 - 7 % 2 % Prepayment rate (annual CPR) 6 - 7 % 6 % Default rate 9 - 15 % 11 % Loss severity 35 - 35 % 35 % At consolidated Freddie Mac K-Series entities (4) 463,966 Discount rate 1 - 17 % 2 % At consolidated CAFL entities (4) 3,013,093 Discount rate 1 - 40 % 3 % Prepayment rate (annual CPR) 3 - 3 % 3 % Default rate — - 18 % 10 % Loss severity 30 - 30 % 30 % (1) The weighted average input values for all loan types are based on the unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value. (2) The fair value of the loans 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 December 31, 2020, the fair value of securities we owned at the consolidated Sequoia, Freddie Mac SLST, Freddie Mac K-Series, and CAFL entities was $222 million, $428 million, $28 million, and $239 million, respectively. (3) Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool). (4) As a market convention, certain securities are priced to a no-loss yield and therefore do not include default and loss severity assumptions. 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 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 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 MBS and indexed swap rates for subordinate MBS, 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 loans, and multifamily loans at consolidated entities We have elected to account for our consolidated securitization entities as collateralized financing entities in accordance with GAAP. A CFE is a variable interest entity that holds financial assets and issues beneficial interests in those assets, and these beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allows companies to elect to measure both the financial assets and financial liabilities of a CFE using the more observable of the fair value of the financial assets or fair value of the financial liabilities. Pursuant to this guidance, we use the fair value of the ABS issued by the CFEs (which we determined to be more observable) to determine the fair value of the loans 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 loans Business purpose loans include single-family rental loans and bridge loans. Significant inputs in the valuation analysis for these assets are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. Estimated fair values for our securitizable 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. Non-securitizable single-family rental loans are generally comprised of performing loans that cannot be securitized and certain delinquent loans, and are valued at a dollar price that is informed by various market data, including the estimated fair value of the collateral securing the loan, for which we typically receive third-party appraisals (Level 3). Prices for our bridge loans are determined using discounted cash flow modeling, which incorporates a primary significant unobservable input of discount rate. Cash flows for performing loans are generally based on contractual loan terms, whereas cash flows for delinquent loans are generally based on the estimated fair value of the underlying collateral, for which we typically receive third-party appraisals (Level 3) . 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 for these assets are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. For real estate securities, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Relevant market indicators that are factored into the analysis include bid/ask spreads, the amount and timing of credit losses, interest rates, and collateral prepayment rates. 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 December 31, 2020, we received dealer price indications on 75% of our securities, representing 88% of our carrying value. In the aggregate, our internal valuations of the securities for which we received dealer price indications were within 3% of the aggregate average dealer valuations. 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, and forward sale commitments. Fair values of derivative instruments are determined using quoted prices from active markets, when available, or from valuation models and are supported by valuations provided by dealers active in derivative markets. Fair values of TBAs and interest rate futures are generally obtained using quoted prices from active markets (Level 1). Our derivative valuation models for swaps and swaptions require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, and correlations of certain inputs. Model inputs can generally be verified and model selection does not involve significant management judgment (Level 2). LPC, IRLC and FSC 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 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). 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. Excess MSRs Estimated fair values for excess MSRs are determined through internal pricing models that estimate future cash flows and utilize certain significant inputs that are considered unobservable and are therefore Level 3 in nature. The valuation technique is based on discounted cash flows. Significant unobservable inputs used in the valuations include prepayment rate (of the loans underlying the investments), the amount of excess servicing income expected to be received ("excess mortgage servicing income"), and discount rate. These assets would generally decrease in value based upon an increase |
Residential Loans
Residential Loans | 12 Months Ended |
Dec. 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 December 31, 2020 and December 31, 2019. Table 6.1 – Classifications and Carrying Values of Residential Loans December 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 176,641 $ — $ — $ — $ 176,641 Held-for-investment at fair value — 285,935 1,565,322 2,221,153 4,072,410 Total Residential Loans $ 176,641 $ 285,935 $ 1,565,322 $ 2,221,153 $ 4,249,051 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 December 31, 2020, we owned mortgage servicing rights associated with $172 million (principal balance) of residential loans owned at Redwood that were 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 The following table summarizes the characteristics of residential loans held-for-sale at December 31, 2020 and December 31, 2019. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) December 31, 2020 December 31, 2019 Number of loans 198 669 Unpaid principal balance $ 172,748 $ 525,069 Fair value of loans $ 176,641 $ 536,385 Market value of loans pledged as collateral under short-term borrowing agreements $ 156,355 $ 201,949 Delinquency information Number of loans with 90+ day delinquencies 1 1 Unpaid principal balance of loans with 90+ day delinquencies $ 1,882 $ 747 Fair value of loans with 90+ day delinquencies $ 1,223 $ 616 Number of loans in foreclosure — — The following table provides the activity of residential loans held-for-sale during the years ended December 31, 2020 and 2019. Table 6.3 – Activity of Residential Loans Held-for-Sale Year Ended December 31, (In Thousands) 2020 2019 Principal balance of loans acquired $ 4,374,201 $ 5,732,699 Principal balance of loans sold 6,463,741 6,069,518 Net market valuation gains (losses) recorded (1) (15,477) 3,267 (1) Net market valuation gains (losses) on residential loans held-for-sale are recorded through Mortgage banking activities, net on our consolidated statements of income (loss). Residential Loans Held-for-Investment at Fair Value The following tables summarize the characteristics of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at December 31, 2020 and December 31, 2019. Table 6.4 – Characteristics of Residential Loans Held-for-Investment December 31, 2020 Legacy Sequoia Freddie Mac (Dollars in Thousands) Redwood Sequoia Choice SLST Number of loans — 1,908 2,177 13,605 Unpaid principal balance $ — $ 333,474 $ 1,550,454 $ 2,247,771 Fair value of loans $ — $ 285,935 $ 1,565,322 $ 2,221,153 Delinquency information Number of loans with 90+ day delinquencies (1) — 52 94 2,110 Unpaid principal balance of loans with 90+ day delinquencies $ — $ 17,285 $ 74,742 $ 389,245 Fair value of loans with 90+ day delinquencies (2) $ — N/A N/A N/A Number of loans in foreclosure — 21 3 245 Unpaid principal balance of loans in foreclosure $ — $ 4,939 $ 2,251 $ 38,610 December 31, 2019 Legacy Sequoia Freddie Mac (Dollars in Thousands) Redwood Sequoia Choice SLST Number of loans 2,940 2,198 3,156 14,502 Unpaid principal balance $ 2,052,778 $ 424,829 $ 2,240,679 $ 2,428,035 Fair value of loans $ 2,111,897 $ 407,890 $ 2,291,463 $ 2,367,215 Delinquency information Number of loans with 90+ day delinquencies (1) 2 39 9 587 Unpaid principal balance of loans with 90+ day delinquencies $ 1,585 $ 9,803 $ 6,755 $ 134,680 Fair value of loans with 90+ day delinquencies (2) $ 1,424 N/A N/A N/A Number of loans in foreclosure — 16 3 208 Unpaid principal balance of loans in foreclosure $ — $ 3,673 $ 2,290 $ 33,042 (1) For loans held at consolidated entities, the number of loans greater than 90 days delinquent includes loans in foreclosure. (2) 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. The following table provides the activity of residential loans held-for-investment at Redwood during the years ended December 31, 2020 and 2019. Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood Year Ended December 31, (In Thousands) 2020 2019 Principal balance of loans acquired $ — $ 39,194 Principal balance of loans sold — — Fair value of loans transferred from HFS to HFI 13,258 68,703 Fair value of loans transferred from HFI to HFS 1,870,986 22,814 Net market valuation gains (losses) recorded (1) (93,314) 58,891 (1) Subsequent to the transfer of these loans to our investment portfolio, net market valuation gains (losses) on residential loans held-for-investment at Redwood are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The following table provides the activity of residential loans held-for-investment at consolidated entities during the years ended December 31, 2020 and 2019. Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Year Ended December 31, 2020 Year Ended December 31, 2019 Legacy Sequoia Freddie Mac Legacy Sequoia Freddie Mac (In Thousands) Sequoia Choice SLST Sequoia Choice SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 270,506 N/A N/A $ 1,076,671 N/A Net market valuation gains (losses) recorded (2) $ (30,900) $ (30,356) $ 35,131 $ 5,170 $ (15,232) $ 63,583 (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia Choice securitizations. (2) For loans held at our consolidated Legacy Sequoia, Sequoia Choice, and Freddie Mac SLST entities, market value changes are based on the estimated fair value of the associated ABS issued, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5. Residential Loan Characteristics The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.7 – Geographic Concentration of Residential Loans December 31, 2020 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 43 % 17 % 34 % 14 % — % Texas 10 % 5 % 10 % 3 % — % Washington 7 % 1 % 5 % 2 % — % Colorado 5 % 3 % 3 % 1 % — % Florida 3 % 14 % 6 % 10 % — % Illinois 3 % 3 % 2 % 5 % — % Maryland 2 % 2 % 1 % 5 % — % New Jersey 1 % 5 % 2 % 7 % — % New York 1 % 10 % 5 % 10 % — % Ohio — % 5 % — % 2 % — % Other states (none greater than 5%) 25 % 35 % 32 % 41 % — % Total 100 % 100 % 100 % 100 % — % December 31, 2019 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 36 % 18 % 35 % 14 % 45 % Washington 7 % 1 % 7 % 2 % 5 % Texas 6 % 6 % 9 % 3 % 8 % Colorado 6 % 3 % 4 % — % 4 % Florida 4 % 14 % 5 % 10 % 5 % New Jersey 2 % 4 % 2 % 7 % 2 % New York 1 % 10 % 4 % 10 % 4 % Other states (none greater than 5%) 38 % 44 % 34 % 54 % 27 % Total 100 % 100 % 100 % 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.8 – Product Types and Characteristics of Residential Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,524 0.25 % to 5.63% 2020-10 - 2036-05 $ 146,100 $ 4,208 $ 3,966 $ 251 to $500 251 0.50 % to 4.13% 2024-05 - 2035-11 86,676 1,908 4,392 $ 501 to $750 79 0.25 % to 4.13% 2027-05 - 2035-01 48,437 714 1,192 $ 751 to $1,000 27 0.75 % to 3.75% 2028-03 - 2036-03 21,875 — 3,175 over $1,000 18 1.00 % to 2.38% 2028-05 - 2035-04 26,422 — 4,560 1,899 329,510 6,830 17,285 Hybrid ARM loans: $ — to $250 2 2.63 % to 2.63% 2033-09 - 2033-10 439 — — $ 251 to $500 5 2.63 % to 4.00% 2033-07 - 2034-03 1,748 410 — $ 501 to $750 1 2.75 % to 2.75% 2033-08 - 2033-08 556 — — over $1,000 1 2.63 % to 2.63% 2033-09 - 2033-09 1,221 — — 9 3,964 410 — Total HFI at Legacy Sequoia: 1,908 $ 333,474 $ 7,240 $ 17,285 Held-for-Investment at Sequoia Choice: Hybrid ARM loans $ — to $250 3 5.50 % to 6.75% 2048-03 - 2048-10 $ 607 $ — $ — $ 251 to $500 5 3.50 % to 3.63% 2046-11 - 2049-06 2,196 440 — $ 501 to $750 19 3.25 % to 4.75% 2044-04 - 2049-09 12,214 682 671 $ 751 to $1,000 15 3.13 % to 5.00% 2043-12 - 2049-08 12,911 960 1,744 over $1,000 12 3.50 % to 5.00% 2044-11 - 2050-02 15,716 — — 54 43,644 2,082 2,415 Fixed loans: $ — to $250 48 2.75 % to 5.50% 2029-04 - 2049-09 $ 9,508 $ — $ 191 $ 251 to $500 285 3.13 % to 6.13% 2033-06 - 2050-03 122,327 4,728 2,225 $ 501 to $750 1,004 3.00 % to 6.75% 2031-04 - 2050-04 617,488 15,214 24,842 $ 751 to $1,000 556 3.25 % to 6.50% 2036-12 - 2050-04 478,938 10,482 21,155 over $1,000 230 3.15 % to 5.88% 2036-07 - 2050-04 278,549 4,868 23,914 2,123 1,506,810 35,292 72,327 Total HFI at Sequoia Choice: 2,177 $ 1,550,454 $ 37,374 $ 74,742 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,007 2.00 % to 11.00% 2020-12 - 2059-10 $ 1,407,107 $ 283,745 $ 206,724 $ 251 to $500 2,545 2.00 % to 7.75% 2035-05 - 2059-01 811,191 143,195 172,995 $ 501 to $750 52 2.00 % to 6.75% 2043-08 - 2058-07 28,461 6,863 9,526 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,012 1,012 — Total HFI at Freddie Mac SLST: 13,605 $ 2,247,771 $ 434,815 $ 389,245 Held-for-Sale: Hybrid ARM loans $ — to $250 1 2.00 % to 2.00% 2032-11 - 2032-11 $ 49 $ — $ — $ 751 to $1,000 1 4.38 % to 4.38% 2047-10 - 2047-10 970 970 — 2 1,019 970 — Fixed loans $ — to $250 1 4.69 % to 4.69% 2044-03 - 2044-03 219 219 — $ 501 to $750 75 2.50 % to 5.50% 2045-12 - 2051-01 48,933 1,127 — $ 751 to $1,000 80 2.38 % to 4.63% 2050-04 - 2051-01 71,137 — — over $1,000 40 2.38 % to 5.00% 2040-11 - 2051-01 51,440 1,046 1,882 196 171,729 2,392 1,882 Total Held-for-Sale 198 $ 172,748 $ 3,362 $ 1,882 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Redwood: Hybrid ARM loans $ — to $250 12 3.50 % to 4.5% 2043-09 - 2046-01 $ 2,423 $ — $ — $ 251 to $500 51 3.25 % to 5.63% 2041-01 - 2048-08 20,781 — — $ 501 to $750 97 2.88 % to 5.13% 2041-09 - 2048-08 61,708 1,364 — $ 751 to $1,000 90 2.88 % to 6.00% 2043-12 - 2048-08 77,550 1,784 971 over $1,000 49 3.00 % to 5.50% 2040-10 - 2048-09 64,937 1,428 — 299 227,399 4,576 971 Fixed loans $ — to $250 38 2.90 % to 4.80% 2026-02 - 2047-12 6,549 223 — $ 251 to $500 676 2.75 % to 6.00% 2026-01 - 2049-04 287,984 — — $ 501 to $750 1,091 2.80 % to 6.75% 2026-04 - 2049-05 669,159 2,325 614 $ 751 to $1,000 519 2.75 % to 6.63% 2026-01 - 2049-04 447,499 1,895 — over $1,000 317 3.00 % to 5.88% 2031-04 - 2049-05 414,188 3,202 — 2,641 1,825,379 7,645 614 Total HFI at Redwood: 2,940 $ 2,052,778 $ 12,221 $ 1,585 Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,685 1.38 % to 6.00% 2020-01 - 2035-11 $ 169,230 $ 5,135 $ 3,109 $ 251 to $500 345 1.25 % to 5.63% 2022-01 - 2036-05 120,260 6,149 3,835 $ 501 to $750 87 1.63 % to 4.38% 2027-04 - 2035-02 53,811 3,628 1,211 $ 751 to $1,000 45 1.63 % to 4.38% 2027-11 - 2036-03 37,756 827 1,648 over $1,000 24 1.63 % to 4.00% 2027-12 - 2035-04 38,341 — — 2,186 419,398 15,739 9,803 Hybrid ARM loans: $ — to $250 2 4.25 % to 4.50% 2033-09 - 2033-10 465 — — $ 251 to $500 7 3.63 % to 5.13% 2033-07 - 2034-06 2,494 — — $ 501 to $750 2 4.50 % to 4.50% 2033-08 - 2033-08 1,181 — — over $1,000 1 4.50 % to 4.50% 2033-09 - 2033-09 1,291 — — 12 5,431 — — Total HFI at Legacy Sequoia: 2,198 $ 424,829 $ 15,739 $ 9,803 Held-for-Investment at Sequoia Choice: Fixed loans: $ — to $250 56 2.75 % to 5.50 % 2038-02 - 2049-07 $ 10,743 $ — $ — $ 251 to $500 420 3.13 % to 6.13 % 2037-12 - 2049-09 184,455 2,282 — $ 501 to $750 1,528 3.13 % to 6.75 % 2037-02 - 2049-09 940,914 13,020 2,366 $ 751 to $1,000 835 3.25 % to 6.50 % 2035-04 - 2049-09 719,609 7,856 3,297 over $1,000 317 3.5 % to 5.88 % 2038-01 - 2049-09 384,958 1,108 1,092 Total HFI at Sequoia Choice: 3,156 $ 2,240,679 $ 24,266 $ 6,755 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,639 2.00 % to 11.00% 2019-11 - 2059-10 $ 1,501,538 $ 477,592 $ 79,632 $ 251 to $500 2,805 2.00 % to 7.75% 2033-08 - 2058-11 894,126 297,732 52,920 $ 501 to $750 57 2.00 % to 6.75% 2043-08 - 2058-07 31,350 8,787 2,623 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,021 1,021 — Total HFI at Freddie Mac SLST: 14,502 2,428,035 785,132 135,175 Held-for-Sale: Hybrid ARM loans $ — to $250 7 5.20 % to 7.00% 2047-08 - 2048-12 $ 1,254 $ — $ — $ 251 to $500 1 4.25 % to 4.25% 2049-08 - 2049-08 432 — — $ 501 to $750 52 3.00 % to 5.50% 2047-04 - 2049-12 33,611 — — $ 751 to $1,000 33 3.25 % to 4.88% 2047-04 - 2049-11 28,573 — — over $1,000 22 3.25 % to 5.25% 2048-06 - 2049-11 28,013 — — 115 91,883 — — Fixed loans $ — to $250 2 3.88 % to 7.13% 2034-08 - 2049-07 481 — — $ 251 to $500 13 3.63 % to 6.50% 2048-01 - 2050-01 6,234 — — $ 501 to $750 301 3.20 % to 5.88% 2034-05 - 2050-01 186,251 — 747 $ 751 to $1,000 161 3.50 % to 6.50% 2034-07 - 2050-01 139,786 — — over $1,000 77 3.20 % to 5.00% 2034-08 - 2050-01 100,293 1,650 — 554 433,045 1,650 747 Total Held-for-Sale 669 $ 524,928 $ 1,650 $ 747 We originate and invest in business purpose loans, including single-family rental ("SFR") loans and bridge loans. This origination activity commenced in connection with our acquisition of 5 Arches and CoreVest in 2019. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood at December 31, 2020 and December 31, 2019. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans December 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 245,394 — $ — $ 245,394 Held-for-investment at fair value — 3,249,194 641,765 3,890,959 Total Business Purpose Loans $ 245,394 $ 3,249,194 $ 641,765 $ 4,136,353 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 Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 The following table provides the activity of business purpose loans during the years ended December 31, 2020 and 2019. Table 7.2 – Activity of Business Purpose Loans Year Ended December 31, 2020 Year Ended December 31, 2019 (Dollars in Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 979,696 $ 451,554 $ 513,725 $ 501,355 Principal balance of loans sold to third parties (1) (110,836) (25,151) 20,426 56,484 Fair value of loans transferred from HFS to HFI (2) 1,292,633 N/A 717,934 N/A Mortgage banking activities income recorded (3) 81,032 (2,916) 13,363 3,342 Investment fair value changes recorded (4) (20,806) (10,629) 272 (2,139) (1) The remaining business purpose loans were transferred to our investment portfolio (bridge loans) or retained in our mortgage banking business (single-family rental loans) for future securitizations. (2) During the years ended December 31, 2020 and 2019, we transferred $1.29 billion and $394 million of single-family rental loans, respectively, from held-for-sale to held-for-investment associated with five and one CAFL securitizations, respectively. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to or from our investment portfolio. Additionally, for the years ended December 31, 2020 and 2019, we recorded loan origination fee income of $19 million and $16 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes while a loan is held for investment. Bridge Loans Held-for-Investment The outstanding bridge loans held-for-investment at December 31, 2020 were first lien, fixed-rate, interest-only loans with original maturities of six Note 16 for additional information on this commitment. Single-Family Rental Loans Held-for-Investment 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. The outstanding single-family rental loans held-for-investment at CAFL at December 31, 2020 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years. The following table provides the activity of single-family rental loans held-for-investment at CAFL during the years ended December 31, 2020 and 2019. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Year Ended December 31, (In Thousands) 2020 2019 Net market valuation gains (losses) recorded (1) $ 32,331 $ (14,681) (1) For loans held at our consolidated CAFL entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5. Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood at December 31, 2020 and December 31, 2019. Table 7.4 – Characteristics of Business Purpose Loans December 31, 2020 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 65 1,094 1,725 Unpaid principal balance $ 234,475 $ 3,017,137 $ 649,532 Fair value of loans $ 245,394 $ 3,249,194 $ 641,765 Weighted average coupon 4.84 % 5.44 % 8.09 % Weighted average remaining loan term (years) 8 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 34,098 N/A $ 92,931 Market value of loans pledged as collateral under long-term debt facilities $ 154,774 N/A $ 544,151 Delinquency information Number of loans with 90+ day delinquencies (1) 10 22 31 Unpaid principal balance of loans with 90+ day delinquencies $ 7,127 $ 61,440 $ 39,415 Fair value of loans with 90+ day delinquencies (2) $ 6,143 N/A $ 33,605 Number of loans in foreclosure — 10 25 Unpaid principal balance of loans in foreclosure $ — $ 24,745 $ 38,552 Fair value of loans in foreclosure (2) $ — N/A $ 33,066 December 31, 2019 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 308 783 2,653 Unpaid principal balance $ 552,848 $ 2,078,214 $ 742,528 Fair value of loans $ 569,185 $ 2,192,552 $ 745,006 Weighted average coupon 4.96 % 5.70 % 8.11 % Weighted average remaining loan term (years) 9 7 2 Market value of loans pledged as collateral under short-term debt facilities $ 504,237 N/A $ 694,964 Delinquency information Number of loans with 90+ day delinquencies (1) 2 18 15 Unpaid principal balance of loans with 90+ day delinquencies $ 1,818 $ 29,039 $ 8,987 Fair value of loans with 90+ day delinquencies (2) $ 1,818 N/A $ 6,917 Number of loans in foreclosure 1 5 31 Unpaid principal balance of loans in foreclosure $ 130 $ 9,169 $ 14,186 Fair value of loans in foreclosure (2) $ 130 N/A $ 12,111 (1) The number of loans greater than 90 days delinquent includes loans in foreclosure. (2) 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. The following table presents the geographic concentration of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.5 – Geographic Concentration of Business Purpose Loans December 31, 2020 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 24 % — % 15 % 4 % New Jersey 17 % — % 11 % 9 % Georgia 12 % — % 5 % 8 % Florida 10 % — % 8 % 11 % Connecticut 8 % — % 4 % 1 % New York 5 % — % 1 % 8 % Arizona 5 % — % 2 % 1 % California 5 % — % 5 % 13 % Illinois 5 % — % 4 % 7 % Alabama 2 % — % 3 % 6 % Indiana 2 % — % 3 % 5 % Tennessee — % — % 3 % 6 % Other states (none greater than 5%) 5 % — % 36 % 21 % Total 100 % — % 100 % 100 % December 31, 2019 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 19 % 12 % 15 % 3 % New Jersey 12 % 5 % 11 % 8 % Georgia 8 % — % 5 % 7 % Arkansas 6 % — % 2 % — % Maryland 6 % — % 2 % — % Florida 5 % — % 8 % 9 % New York 5 % 1 % 1 % 6 % Alabama 5 % — % 4 % 4 % Illinois 1 % — % 5 % 3 % California 2 % 1 % 7 % 21 % Utah — % — % — % 5 % Other states (none greater than 5%) 31 % 81 % 40 % 34 % Total 100 % 100 % 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.6 – Product Types and Characteristics of Business Purpose Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 5 5.77 % to 7.05% 2022-07 - 2030-08 $ 1,016 $ — $ — $ 251 to $500 67 4.64 % to 6.96% 2021-07 - 2031-01 29,977 — — $ 501 to $750 212 4.12 % to 7.06% 2020-11 - 2030-12 130,665 — 1,752 $ 751 to $1,000 131 4.33 % to 7.23% 2021-01 - 2031-01 113,874 764 750 over $1,000 679 3.93 % to 7.57% 2020-11 - 2031-01 2,741,605 3,867 58,938 Total SFR HFI at CAFL: 1,094 $ 3,017,137 $ 4,631 $ 61,440 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 8 6.25 % to 7.75% 2027-03 - 2050-03 $ 1,060 $ — $ 635 $ 251 to $500 1 5.97 % to 5.97% 2021-02 - 2021-02 483 — — $ 501 to $750 6 5.84 % to 6.75% 2026-01 - 2031-01 3,632 — — $ 751 to $1,000 10 5.15 % to 6.39% 2020-05 - 2031-01 8,936 — 1,815 over $1,000 40 3.82 % to 5.95% 2020-07 - 2031-01 220,364 — 4,677 Total Single-Family Rental HFS: 65 $ 234,475 $ — $ 7,127 Bridge: Fixed loans: $ — to $250 1,440 5.75 % to 12.00% 2019-10 - 2022-12 $ 128,596 $ 6,530 $ 1,668 $ 251 to $500 110 6.65 % to 13.00% 2020-05 - 2022-12 37,607 945 1,423 $ 501 to $750 39 6.99 % to 10.00% 2020-07 - 2021-10 23,783 — 540 $ 751 to $1,000 21 6.50 % to 9.50% 2020-10 - 2022-03 18,225 — 943 over $1,000 115 6.04 % to 10.25% 2020-03 - 2022-12 441,321 — 34,841 Total Bridge: 1,725 $ 649,532 $ 7,475 $ 39,415 Table 7.6 – Product Types and Characteristics of Business Purpose Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at Redwood: Fixed loans: $ 251 to $500 20 4.88 % to 7.47% 2024-02 - 2030-01 $ 7,925 $ — $ — $ 501 to $750 26 4.45 % to 7.25% 2023-09 - 2030-01 15,620 — — $ 751 to $1,000 16 4.91 % to 6.58% 2023-11 - 2029-09 13,616 — — over $1,000 45 3.93 % to 6.94% 2023-10 - 2030-01 194,050 — — Total SFR HFI at Redwood: 107 $ 231,211 $ — $ — Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 2 5.46 % to 5.80% 2019-11 - 2021-09 $ 398 $ — $ — $ 251 to $500 56 4.92 % to 7.05% 2020-03 - 2029-10 25,643 1,306 — $ 501 to $750 148 4.75 % to 7.31% 2020-03 - 2029-10 91,414 1,259 1,990 $ 751 to $1,000 98 4.62 % to 7.23% 2020-03 - 2029-10 85,472 1,639 879 over $1,000 479 4.31 % to 7.57% 2019-12 - 2029-11 1,875,287 18,567 26,170 Total SFR HFI at CAFL: 783 $ 2,078,214 $ 22,771 $ 29,039 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 85 5.50 % to 7.63% 2027-03 - 2050-01 $ 10,506 $ — $ 130 $ 251 to $500 9 4.94 % to 6.00% 2024-11 - 2050-01 3,708 — — $ 501 to $750 21 4.55 % to 5.96% 2024-01 - 2030-01 13,335 — — $ 751 to $1,000 13 5.00 % to 5.93% 2024-01 - 2030-01 11,676 — — over $1,000 73 4.35 % to 6.28% 2024-01 - 2030-01 282,412 — 1,688 Total Single-Family Rental HFS: 201 $ 321,637 $ — $ 1,818 Bridge: Fixed loans: $ — to $250 2,207 6.53 % to 12.00% 2019-07 - 2022-01 $ 197,449 $ 1,447 $ 369 $ 251 to $500 198 6.99 % to 13.00% 2019-10 - 2022-01 71,361 2,811 675 $ 501 to $750 71 6.99 % to 9.99% 2019-11 - 2021-10 42,862 2,072 508 $ 751 to $1,000 40 7.28 % to 10.00% 2018-10 - 2022-01 34,646 1,771 2,443 over $1,000 137 5.79 % to 10.25% 2019-11 - 2022-01 394,914 31,452 4,992 Total Bridge: 2,653 $ 741,232 $ 39,553 $ 8,987 Since 2018, we have 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. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at December 31, 2020 and December 31, 2019. Table 8.1 – Characteristics of Multifamily Loans (Dollars in Thousands) December 31, 2020 December 31, 2019 Number of loans 28 279 Unpaid principal balance $ 462,808 $ 4,195,000 Fair value of loans $ 492,221 $ 4,408,524 Weighted average coupon 4.25 % 4.13 % Weighted average remaining loan term (years) 5 6 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at December 31, 2020 were first-lien, fixed-rate loans that were originated in 2015 and had original loan terms of ten years. The following table provides the activity of multifamily loans held-for-investment during the year months ended December 31, 2020 and 2019. Table 8.2 – Activity of Multifamily Loans Held-for-Investment Year Ended December 31, (In Thousands) 2020 2019 Net market valuation gains (losses) recorded (1) $ (58,821) $ 130,083 (1) Net market valuation gains (losses) on multifamily loans held-for-investment are recorded through Investment fair value changes, net on our consolidated statements of income (loss). For loans held at our consolidated Freddie Mac K-Series entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Note 5. Multifamily Loan Characteristics The following table presents the geographic concentration of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.3 – Geographic Concentration of Multifamily Loans Geographic Concentration December 31, 2020 December 31, 2019 California 13 % 11 % Florida 13 % 10 % North Carolina 9 % — % Oregon 7 % — % Hawaii 5 % — % Tennessee 5 % — % Texas — % 13 % Arizona — % 6 % Georgia — % 6 % Washington — % 5 % Colorado — % 5 % Other states (none greater than 5%) 48 % 44 % Total 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.4 – Product Types and Characteristics of Multifamily Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 10,001 to $20,000 24 4.25 % to 4.25% 2025-09 - 2025-09 $ 370,934 $ — $ — $ 20,001 to $30,000 4 4.25 % to 4.25% 2025-09 - 2025-09 91,874 — — Total: 28 $ 462,808 $ — $ — December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 1,000 to $10,000 114 3.29 % to 4.73% 2023-02 - 2029-10 $ 674,666 $ — $ — $ 10,001 to $20,000 102 3.54 % to 4.94% 2023-09 - 2029-08 1,489,118 — — $ 20,001 to $30,000 32 3.54 % to 4.69% 2024-01 - 2026-12 750,712 — — $ 30,001 to $40,000 19 3.52 % to 4.79% 2025-05 - 2029-10 654,729 — — over $40,000 12 3.55 % to 4.65% 2024-10 - 2026-09 625,775 — — Total: 279 $ 4,195,000 $ — $ — |
Business Purpose Loans
Business Purpose Loans | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Business Purpose 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 December 31, 2020 and December 31, 2019. Table 6.1 – Classifications and Carrying Values of Residential Loans December 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 176,641 $ — $ — $ — $ 176,641 Held-for-investment at fair value — 285,935 1,565,322 2,221,153 4,072,410 Total Residential Loans $ 176,641 $ 285,935 $ 1,565,322 $ 2,221,153 $ 4,249,051 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 December 31, 2020, we owned mortgage servicing rights associated with $172 million (principal balance) of residential loans owned at Redwood that were 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 The following table summarizes the characteristics of residential loans held-for-sale at December 31, 2020 and December 31, 2019. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) December 31, 2020 December 31, 2019 Number of loans 198 669 Unpaid principal balance $ 172,748 $ 525,069 Fair value of loans $ 176,641 $ 536,385 Market value of loans pledged as collateral under short-term borrowing agreements $ 156,355 $ 201,949 Delinquency information Number of loans with 90+ day delinquencies 1 1 Unpaid principal balance of loans with 90+ day delinquencies $ 1,882 $ 747 Fair value of loans with 90+ day delinquencies $ 1,223 $ 616 Number of loans in foreclosure — — The following table provides the activity of residential loans held-for-sale during the years ended December 31, 2020 and 2019. Table 6.3 – Activity of Residential Loans Held-for-Sale Year Ended December 31, (In Thousands) 2020 2019 Principal balance of loans acquired $ 4,374,201 $ 5,732,699 Principal balance of loans sold 6,463,741 6,069,518 Net market valuation gains (losses) recorded (1) (15,477) 3,267 (1) Net market valuation gains (losses) on residential loans held-for-sale are recorded through Mortgage banking activities, net on our consolidated statements of income (loss). Residential Loans Held-for-Investment at Fair Value The following tables summarize the characteristics of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at December 31, 2020 and December 31, 2019. Table 6.4 – Characteristics of Residential Loans Held-for-Investment December 31, 2020 Legacy Sequoia Freddie Mac (Dollars in Thousands) Redwood Sequoia Choice SLST Number of loans — 1,908 2,177 13,605 Unpaid principal balance $ — $ 333,474 $ 1,550,454 $ 2,247,771 Fair value of loans $ — $ 285,935 $ 1,565,322 $ 2,221,153 Delinquency information Number of loans with 90+ day delinquencies (1) — 52 94 2,110 Unpaid principal balance of loans with 90+ day delinquencies $ — $ 17,285 $ 74,742 $ 389,245 Fair value of loans with 90+ day delinquencies (2) $ — N/A N/A N/A Number of loans in foreclosure — 21 3 245 Unpaid principal balance of loans in foreclosure $ — $ 4,939 $ 2,251 $ 38,610 December 31, 2019 Legacy Sequoia Freddie Mac (Dollars in Thousands) Redwood Sequoia Choice SLST Number of loans 2,940 2,198 3,156 14,502 Unpaid principal balance $ 2,052,778 $ 424,829 $ 2,240,679 $ 2,428,035 Fair value of loans $ 2,111,897 $ 407,890 $ 2,291,463 $ 2,367,215 Delinquency information Number of loans with 90+ day delinquencies (1) 2 39 9 587 Unpaid principal balance of loans with 90+ day delinquencies $ 1,585 $ 9,803 $ 6,755 $ 134,680 Fair value of loans with 90+ day delinquencies (2) $ 1,424 N/A N/A N/A Number of loans in foreclosure — 16 3 208 Unpaid principal balance of loans in foreclosure $ — $ 3,673 $ 2,290 $ 33,042 (1) For loans held at consolidated entities, the number of loans greater than 90 days delinquent includes loans in foreclosure. (2) 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. The following table provides the activity of residential loans held-for-investment at Redwood during the years ended December 31, 2020 and 2019. Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood Year Ended December 31, (In Thousands) 2020 2019 Principal balance of loans acquired $ — $ 39,194 Principal balance of loans sold — — Fair value of loans transferred from HFS to HFI 13,258 68,703 Fair value of loans transferred from HFI to HFS 1,870,986 22,814 Net market valuation gains (losses) recorded (1) (93,314) 58,891 (1) Subsequent to the transfer of these loans to our investment portfolio, net market valuation gains (losses) on residential loans held-for-investment at Redwood are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The following table provides the activity of residential loans held-for-investment at consolidated entities during the years ended December 31, 2020 and 2019. Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Year Ended December 31, 2020 Year Ended December 31, 2019 Legacy Sequoia Freddie Mac Legacy Sequoia Freddie Mac (In Thousands) Sequoia Choice SLST Sequoia Choice SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 270,506 N/A N/A $ 1,076,671 N/A Net market valuation gains (losses) recorded (2) $ (30,900) $ (30,356) $ 35,131 $ 5,170 $ (15,232) $ 63,583 (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia Choice securitizations. (2) For loans held at our consolidated Legacy Sequoia, Sequoia Choice, and Freddie Mac SLST entities, market value changes are based on the estimated fair value of the associated ABS issued, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5. Residential Loan Characteristics The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.7 – Geographic Concentration of Residential Loans December 31, 2020 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 43 % 17 % 34 % 14 % — % Texas 10 % 5 % 10 % 3 % — % Washington 7 % 1 % 5 % 2 % — % Colorado 5 % 3 % 3 % 1 % — % Florida 3 % 14 % 6 % 10 % — % Illinois 3 % 3 % 2 % 5 % — % Maryland 2 % 2 % 1 % 5 % — % New Jersey 1 % 5 % 2 % 7 % — % New York 1 % 10 % 5 % 10 % — % Ohio — % 5 % — % 2 % — % Other states (none greater than 5%) 25 % 35 % 32 % 41 % — % Total 100 % 100 % 100 % 100 % — % December 31, 2019 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 36 % 18 % 35 % 14 % 45 % Washington 7 % 1 % 7 % 2 % 5 % Texas 6 % 6 % 9 % 3 % 8 % Colorado 6 % 3 % 4 % — % 4 % Florida 4 % 14 % 5 % 10 % 5 % New Jersey 2 % 4 % 2 % 7 % 2 % New York 1 % 10 % 4 % 10 % 4 % Other states (none greater than 5%) 38 % 44 % 34 % 54 % 27 % Total 100 % 100 % 100 % 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.8 – Product Types and Characteristics of Residential Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,524 0.25 % to 5.63% 2020-10 - 2036-05 $ 146,100 $ 4,208 $ 3,966 $ 251 to $500 251 0.50 % to 4.13% 2024-05 - 2035-11 86,676 1,908 4,392 $ 501 to $750 79 0.25 % to 4.13% 2027-05 - 2035-01 48,437 714 1,192 $ 751 to $1,000 27 0.75 % to 3.75% 2028-03 - 2036-03 21,875 — 3,175 over $1,000 18 1.00 % to 2.38% 2028-05 - 2035-04 26,422 — 4,560 1,899 329,510 6,830 17,285 Hybrid ARM loans: $ — to $250 2 2.63 % to 2.63% 2033-09 - 2033-10 439 — — $ 251 to $500 5 2.63 % to 4.00% 2033-07 - 2034-03 1,748 410 — $ 501 to $750 1 2.75 % to 2.75% 2033-08 - 2033-08 556 — — over $1,000 1 2.63 % to 2.63% 2033-09 - 2033-09 1,221 — — 9 3,964 410 — Total HFI at Legacy Sequoia: 1,908 $ 333,474 $ 7,240 $ 17,285 Held-for-Investment at Sequoia Choice: Hybrid ARM loans $ — to $250 3 5.50 % to 6.75% 2048-03 - 2048-10 $ 607 $ — $ — $ 251 to $500 5 3.50 % to 3.63% 2046-11 - 2049-06 2,196 440 — $ 501 to $750 19 3.25 % to 4.75% 2044-04 - 2049-09 12,214 682 671 $ 751 to $1,000 15 3.13 % to 5.00% 2043-12 - 2049-08 12,911 960 1,744 over $1,000 12 3.50 % to 5.00% 2044-11 - 2050-02 15,716 — — 54 43,644 2,082 2,415 Fixed loans: $ — to $250 48 2.75 % to 5.50% 2029-04 - 2049-09 $ 9,508 $ — $ 191 $ 251 to $500 285 3.13 % to 6.13% 2033-06 - 2050-03 122,327 4,728 2,225 $ 501 to $750 1,004 3.00 % to 6.75% 2031-04 - 2050-04 617,488 15,214 24,842 $ 751 to $1,000 556 3.25 % to 6.50% 2036-12 - 2050-04 478,938 10,482 21,155 over $1,000 230 3.15 % to 5.88% 2036-07 - 2050-04 278,549 4,868 23,914 2,123 1,506,810 35,292 72,327 Total HFI at Sequoia Choice: 2,177 $ 1,550,454 $ 37,374 $ 74,742 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,007 2.00 % to 11.00% 2020-12 - 2059-10 $ 1,407,107 $ 283,745 $ 206,724 $ 251 to $500 2,545 2.00 % to 7.75% 2035-05 - 2059-01 811,191 143,195 172,995 $ 501 to $750 52 2.00 % to 6.75% 2043-08 - 2058-07 28,461 6,863 9,526 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,012 1,012 — Total HFI at Freddie Mac SLST: 13,605 $ 2,247,771 $ 434,815 $ 389,245 Held-for-Sale: Hybrid ARM loans $ — to $250 1 2.00 % to 2.00% 2032-11 - 2032-11 $ 49 $ — $ — $ 751 to $1,000 1 4.38 % to 4.38% 2047-10 - 2047-10 970 970 — 2 1,019 970 — Fixed loans $ — to $250 1 4.69 % to 4.69% 2044-03 - 2044-03 219 219 — $ 501 to $750 75 2.50 % to 5.50% 2045-12 - 2051-01 48,933 1,127 — $ 751 to $1,000 80 2.38 % to 4.63% 2050-04 - 2051-01 71,137 — — over $1,000 40 2.38 % to 5.00% 2040-11 - 2051-01 51,440 1,046 1,882 196 171,729 2,392 1,882 Total Held-for-Sale 198 $ 172,748 $ 3,362 $ 1,882 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Redwood: Hybrid ARM loans $ — to $250 12 3.50 % to 4.5% 2043-09 - 2046-01 $ 2,423 $ — $ — $ 251 to $500 51 3.25 % to 5.63% 2041-01 - 2048-08 20,781 — — $ 501 to $750 97 2.88 % to 5.13% 2041-09 - 2048-08 61,708 1,364 — $ 751 to $1,000 90 2.88 % to 6.00% 2043-12 - 2048-08 77,550 1,784 971 over $1,000 49 3.00 % to 5.50% 2040-10 - 2048-09 64,937 1,428 — 299 227,399 4,576 971 Fixed loans $ — to $250 38 2.90 % to 4.80% 2026-02 - 2047-12 6,549 223 — $ 251 to $500 676 2.75 % to 6.00% 2026-01 - 2049-04 287,984 — — $ 501 to $750 1,091 2.80 % to 6.75% 2026-04 - 2049-05 669,159 2,325 614 $ 751 to $1,000 519 2.75 % to 6.63% 2026-01 - 2049-04 447,499 1,895 — over $1,000 317 3.00 % to 5.88% 2031-04 - 2049-05 414,188 3,202 — 2,641 1,825,379 7,645 614 Total HFI at Redwood: 2,940 $ 2,052,778 $ 12,221 $ 1,585 Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,685 1.38 % to 6.00% 2020-01 - 2035-11 $ 169,230 $ 5,135 $ 3,109 $ 251 to $500 345 1.25 % to 5.63% 2022-01 - 2036-05 120,260 6,149 3,835 $ 501 to $750 87 1.63 % to 4.38% 2027-04 - 2035-02 53,811 3,628 1,211 $ 751 to $1,000 45 1.63 % to 4.38% 2027-11 - 2036-03 37,756 827 1,648 over $1,000 24 1.63 % to 4.00% 2027-12 - 2035-04 38,341 — — 2,186 419,398 15,739 9,803 Hybrid ARM loans: $ — to $250 2 4.25 % to 4.50% 2033-09 - 2033-10 465 — — $ 251 to $500 7 3.63 % to 5.13% 2033-07 - 2034-06 2,494 — — $ 501 to $750 2 4.50 % to 4.50% 2033-08 - 2033-08 1,181 — — over $1,000 1 4.50 % to 4.50% 2033-09 - 2033-09 1,291 — — 12 5,431 — — Total HFI at Legacy Sequoia: 2,198 $ 424,829 $ 15,739 $ 9,803 Held-for-Investment at Sequoia Choice: Fixed loans: $ — to $250 56 2.75 % to 5.50 % 2038-02 - 2049-07 $ 10,743 $ — $ — $ 251 to $500 420 3.13 % to 6.13 % 2037-12 - 2049-09 184,455 2,282 — $ 501 to $750 1,528 3.13 % to 6.75 % 2037-02 - 2049-09 940,914 13,020 2,366 $ 751 to $1,000 835 3.25 % to 6.50 % 2035-04 - 2049-09 719,609 7,856 3,297 over $1,000 317 3.5 % to 5.88 % 2038-01 - 2049-09 384,958 1,108 1,092 Total HFI at Sequoia Choice: 3,156 $ 2,240,679 $ 24,266 $ 6,755 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,639 2.00 % to 11.00% 2019-11 - 2059-10 $ 1,501,538 $ 477,592 $ 79,632 $ 251 to $500 2,805 2.00 % to 7.75% 2033-08 - 2058-11 894,126 297,732 52,920 $ 501 to $750 57 2.00 % to 6.75% 2043-08 - 2058-07 31,350 8,787 2,623 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,021 1,021 — Total HFI at Freddie Mac SLST: 14,502 2,428,035 785,132 135,175 Held-for-Sale: Hybrid ARM loans $ — to $250 7 5.20 % to 7.00% 2047-08 - 2048-12 $ 1,254 $ — $ — $ 251 to $500 1 4.25 % to 4.25% 2049-08 - 2049-08 432 — — $ 501 to $750 52 3.00 % to 5.50% 2047-04 - 2049-12 33,611 — — $ 751 to $1,000 33 3.25 % to 4.88% 2047-04 - 2049-11 28,573 — — over $1,000 22 3.25 % to 5.25% 2048-06 - 2049-11 28,013 — — 115 91,883 — — Fixed loans $ — to $250 2 3.88 % to 7.13% 2034-08 - 2049-07 481 — — $ 251 to $500 13 3.63 % to 6.50% 2048-01 - 2050-01 6,234 — — $ 501 to $750 301 3.20 % to 5.88% 2034-05 - 2050-01 186,251 — 747 $ 751 to $1,000 161 3.50 % to 6.50% 2034-07 - 2050-01 139,786 — — over $1,000 77 3.20 % to 5.00% 2034-08 - 2050-01 100,293 1,650 — 554 433,045 1,650 747 Total Held-for-Sale 669 $ 524,928 $ 1,650 $ 747 We originate and invest in business purpose loans, including single-family rental ("SFR") loans and bridge loans. This origination activity commenced in connection with our acquisition of 5 Arches and CoreVest in 2019. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood at December 31, 2020 and December 31, 2019. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans December 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 245,394 — $ — $ 245,394 Held-for-investment at fair value — 3,249,194 641,765 3,890,959 Total Business Purpose Loans $ 245,394 $ 3,249,194 $ 641,765 $ 4,136,353 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 Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 The following table provides the activity of business purpose loans during the years ended December 31, 2020 and 2019. Table 7.2 – Activity of Business Purpose Loans Year Ended December 31, 2020 Year Ended December 31, 2019 (Dollars in Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 979,696 $ 451,554 $ 513,725 $ 501,355 Principal balance of loans sold to third parties (1) (110,836) (25,151) 20,426 56,484 Fair value of loans transferred from HFS to HFI (2) 1,292,633 N/A 717,934 N/A Mortgage banking activities income recorded (3) 81,032 (2,916) 13,363 3,342 Investment fair value changes recorded (4) (20,806) (10,629) 272 (2,139) (1) The remaining business purpose loans were transferred to our investment portfolio (bridge loans) or retained in our mortgage banking business (single-family rental loans) for future securitizations. (2) During the years ended December 31, 2020 and 2019, we transferred $1.29 billion and $394 million of single-family rental loans, respectively, from held-for-sale to held-for-investment associated with five and one CAFL securitizations, respectively. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to or from our investment portfolio. Additionally, for the years ended December 31, 2020 and 2019, we recorded loan origination fee income of $19 million and $16 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes while a loan is held for investment. Bridge Loans Held-for-Investment The outstanding bridge loans held-for-investment at December 31, 2020 were first lien, fixed-rate, interest-only loans with original maturities of six Note 16 for additional information on this commitment. Single-Family Rental Loans Held-for-Investment 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. The outstanding single-family rental loans held-for-investment at CAFL at December 31, 2020 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years. The following table provides the activity of single-family rental loans held-for-investment at CAFL during the years ended December 31, 2020 and 2019. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Year Ended December 31, (In Thousands) 2020 2019 Net market valuation gains (losses) recorded (1) $ 32,331 $ (14,681) (1) For loans held at our consolidated CAFL entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5. Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood at December 31, 2020 and December 31, 2019. Table 7.4 – Characteristics of Business Purpose Loans December 31, 2020 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 65 1,094 1,725 Unpaid principal balance $ 234,475 $ 3,017,137 $ 649,532 Fair value of loans $ 245,394 $ 3,249,194 $ 641,765 Weighted average coupon 4.84 % 5.44 % 8.09 % Weighted average remaining loan term (years) 8 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 34,098 N/A $ 92,931 Market value of loans pledged as collateral under long-term debt facilities $ 154,774 N/A $ 544,151 Delinquency information Number of loans with 90+ day delinquencies (1) 10 22 31 Unpaid principal balance of loans with 90+ day delinquencies $ 7,127 $ 61,440 $ 39,415 Fair value of loans with 90+ day delinquencies (2) $ 6,143 N/A $ 33,605 Number of loans in foreclosure — 10 25 Unpaid principal balance of loans in foreclosure $ — $ 24,745 $ 38,552 Fair value of loans in foreclosure (2) $ — N/A $ 33,066 December 31, 2019 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 308 783 2,653 Unpaid principal balance $ 552,848 $ 2,078,214 $ 742,528 Fair value of loans $ 569,185 $ 2,192,552 $ 745,006 Weighted average coupon 4.96 % 5.70 % 8.11 % Weighted average remaining loan term (years) 9 7 2 Market value of loans pledged as collateral under short-term debt facilities $ 504,237 N/A $ 694,964 Delinquency information Number of loans with 90+ day delinquencies (1) 2 18 15 Unpaid principal balance of loans with 90+ day delinquencies $ 1,818 $ 29,039 $ 8,987 Fair value of loans with 90+ day delinquencies (2) $ 1,818 N/A $ 6,917 Number of loans in foreclosure 1 5 31 Unpaid principal balance of loans in foreclosure $ 130 $ 9,169 $ 14,186 Fair value of loans in foreclosure (2) $ 130 N/A $ 12,111 (1) The number of loans greater than 90 days delinquent includes loans in foreclosure. (2) 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. The following table presents the geographic concentration of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.5 – Geographic Concentration of Business Purpose Loans December 31, 2020 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 24 % — % 15 % 4 % New Jersey 17 % — % 11 % 9 % Georgia 12 % — % 5 % 8 % Florida 10 % — % 8 % 11 % Connecticut 8 % — % 4 % 1 % New York 5 % — % 1 % 8 % Arizona 5 % — % 2 % 1 % California 5 % — % 5 % 13 % Illinois 5 % — % 4 % 7 % Alabama 2 % — % 3 % 6 % Indiana 2 % — % 3 % 5 % Tennessee — % — % 3 % 6 % Other states (none greater than 5%) 5 % — % 36 % 21 % Total 100 % — % 100 % 100 % December 31, 2019 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 19 % 12 % 15 % 3 % New Jersey 12 % 5 % 11 % 8 % Georgia 8 % — % 5 % 7 % Arkansas 6 % — % 2 % — % Maryland 6 % — % 2 % — % Florida 5 % — % 8 % 9 % New York 5 % 1 % 1 % 6 % Alabama 5 % — % 4 % 4 % Illinois 1 % — % 5 % 3 % California 2 % 1 % 7 % 21 % Utah — % — % — % 5 % Other states (none greater than 5%) 31 % 81 % 40 % 34 % Total 100 % 100 % 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.6 – Product Types and Characteristics of Business Purpose Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 5 5.77 % to 7.05% 2022-07 - 2030-08 $ 1,016 $ — $ — $ 251 to $500 67 4.64 % to 6.96% 2021-07 - 2031-01 29,977 — — $ 501 to $750 212 4.12 % to 7.06% 2020-11 - 2030-12 130,665 — 1,752 $ 751 to $1,000 131 4.33 % to 7.23% 2021-01 - 2031-01 113,874 764 750 over $1,000 679 3.93 % to 7.57% 2020-11 - 2031-01 2,741,605 3,867 58,938 Total SFR HFI at CAFL: 1,094 $ 3,017,137 $ 4,631 $ 61,440 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 8 6.25 % to 7.75% 2027-03 - 2050-03 $ 1,060 $ — $ 635 $ 251 to $500 1 5.97 % to 5.97% 2021-02 - 2021-02 483 — — $ 501 to $750 6 5.84 % to 6.75% 2026-01 - 2031-01 3,632 — — $ 751 to $1,000 10 5.15 % to 6.39% 2020-05 - 2031-01 8,936 — 1,815 over $1,000 40 3.82 % to 5.95% 2020-07 - 2031-01 220,364 — 4,677 Total Single-Family Rental HFS: 65 $ 234,475 $ — $ 7,127 Bridge: Fixed loans: $ — to $250 1,440 5.75 % to 12.00% 2019-10 - 2022-12 $ 128,596 $ 6,530 $ 1,668 $ 251 to $500 110 6.65 % to 13.00% 2020-05 - 2022-12 37,607 945 1,423 $ 501 to $750 39 6.99 % to 10.00% 2020-07 - 2021-10 23,783 — 540 $ 751 to $1,000 21 6.50 % to 9.50% 2020-10 - 2022-03 18,225 — 943 over $1,000 115 6.04 % to 10.25% 2020-03 - 2022-12 441,321 — 34,841 Total Bridge: 1,725 $ 649,532 $ 7,475 $ 39,415 Table 7.6 – Product Types and Characteristics of Business Purpose Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at Redwood: Fixed loans: $ 251 to $500 20 4.88 % to 7.47% 2024-02 - 2030-01 $ 7,925 $ — $ — $ 501 to $750 26 4.45 % to 7.25% 2023-09 - 2030-01 15,620 — — $ 751 to $1,000 16 4.91 % to 6.58% 2023-11 - 2029-09 13,616 — — over $1,000 45 3.93 % to 6.94% 2023-10 - 2030-01 194,050 — — Total SFR HFI at Redwood: 107 $ 231,211 $ — $ — Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 2 5.46 % to 5.80% 2019-11 - 2021-09 $ 398 $ — $ — $ 251 to $500 56 4.92 % to 7.05% 2020-03 - 2029-10 25,643 1,306 — $ 501 to $750 148 4.75 % to 7.31% 2020-03 - 2029-10 91,414 1,259 1,990 $ 751 to $1,000 98 4.62 % to 7.23% 2020-03 - 2029-10 85,472 1,639 879 over $1,000 479 4.31 % to 7.57% 2019-12 - 2029-11 1,875,287 18,567 26,170 Total SFR HFI at CAFL: 783 $ 2,078,214 $ 22,771 $ 29,039 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 85 5.50 % to 7.63% 2027-03 - 2050-01 $ 10,506 $ — $ 130 $ 251 to $500 9 4.94 % to 6.00% 2024-11 - 2050-01 3,708 — — $ 501 to $750 21 4.55 % to 5.96% 2024-01 - 2030-01 13,335 — — $ 751 to $1,000 13 5.00 % to 5.93% 2024-01 - 2030-01 11,676 — — over $1,000 73 4.35 % to 6.28% 2024-01 - 2030-01 282,412 — 1,688 Total Single-Family Rental HFS: 201 $ 321,637 $ — $ 1,818 Bridge: Fixed loans: $ — to $250 2,207 6.53 % to 12.00% 2019-07 - 2022-01 $ 197,449 $ 1,447 $ 369 $ 251 to $500 198 6.99 % to 13.00% 2019-10 - 2022-01 71,361 2,811 675 $ 501 to $750 71 6.99 % to 9.99% 2019-11 - 2021-10 42,862 2,072 508 $ 751 to $1,000 40 7.28 % to 10.00% 2018-10 - 2022-01 34,646 1,771 2,443 over $1,000 137 5.79 % to 10.25% 2019-11 - 2022-01 394,914 31,452 4,992 Total Bridge: 2,653 $ 741,232 $ 39,553 $ 8,987 Since 2018, we have 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. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at December 31, 2020 and December 31, 2019. Table 8.1 – Characteristics of Multifamily Loans (Dollars in Thousands) December 31, 2020 December 31, 2019 Number of loans 28 279 Unpaid principal balance $ 462,808 $ 4,195,000 Fair value of loans $ 492,221 $ 4,408,524 Weighted average coupon 4.25 % 4.13 % Weighted average remaining loan term (years) 5 6 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at December 31, 2020 were first-lien, fixed-rate loans that were originated in 2015 and had original loan terms of ten years. The following table provides the activity of multifamily loans held-for-investment during the year months ended December 31, 2020 and 2019. Table 8.2 – Activity of Multifamily Loans Held-for-Investment Year Ended December 31, (In Thousands) 2020 2019 Net market valuation gains (losses) recorded (1) $ (58,821) $ 130,083 (1) Net market valuation gains (losses) on multifamily loans held-for-investment are recorded through Investment fair value changes, net on our consolidated statements of income (loss). For loans held at our consolidated Freddie Mac K-Series entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Note 5. Multifamily Loan Characteristics The following table presents the geographic concentration of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.3 – Geographic Concentration of Multifamily Loans Geographic Concentration December 31, 2020 December 31, 2019 California 13 % 11 % Florida 13 % 10 % North Carolina 9 % — % Oregon 7 % — % Hawaii 5 % — % Tennessee 5 % — % Texas — % 13 % Arizona — % 6 % Georgia — % 6 % Washington — % 5 % Colorado — % 5 % Other states (none greater than 5%) 48 % 44 % Total 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.4 – Product Types and Characteristics of Multifamily Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 10,001 to $20,000 24 4.25 % to 4.25% 2025-09 - 2025-09 $ 370,934 $ — $ — $ 20,001 to $30,000 4 4.25 % to 4.25% 2025-09 - 2025-09 91,874 — — Total: 28 $ 462,808 $ — $ — December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 1,000 to $10,000 114 3.29 % to 4.73% 2023-02 - 2029-10 $ 674,666 $ — $ — $ 10,001 to $20,000 102 3.54 % to 4.94% 2023-09 - 2029-08 1,489,118 — — $ 20,001 to $30,000 32 3.54 % to 4.69% 2024-01 - 2026-12 750,712 — — $ 30,001 to $40,000 19 3.52 % to 4.79% 2025-05 - 2029-10 654,729 — — over $40,000 12 3.55 % to 4.65% 2024-10 - 2026-09 625,775 — — Total: 279 $ 4,195,000 $ — $ — |
Multifamily Loans
Multifamily Loans | 12 Months Ended |
Dec. 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 December 31, 2020 and December 31, 2019. Table 6.1 – Classifications and Carrying Values of Residential Loans December 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 176,641 $ — $ — $ — $ 176,641 Held-for-investment at fair value — 285,935 1,565,322 2,221,153 4,072,410 Total Residential Loans $ 176,641 $ 285,935 $ 1,565,322 $ 2,221,153 $ 4,249,051 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 December 31, 2020, we owned mortgage servicing rights associated with $172 million (principal balance) of residential loans owned at Redwood that were 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 The following table summarizes the characteristics of residential loans held-for-sale at December 31, 2020 and December 31, 2019. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) December 31, 2020 December 31, 2019 Number of loans 198 669 Unpaid principal balance $ 172,748 $ 525,069 Fair value of loans $ 176,641 $ 536,385 Market value of loans pledged as collateral under short-term borrowing agreements $ 156,355 $ 201,949 Delinquency information Number of loans with 90+ day delinquencies 1 1 Unpaid principal balance of loans with 90+ day delinquencies $ 1,882 $ 747 Fair value of loans with 90+ day delinquencies $ 1,223 $ 616 Number of loans in foreclosure — — The following table provides the activity of residential loans held-for-sale during the years ended December 31, 2020 and 2019. Table 6.3 – Activity of Residential Loans Held-for-Sale Year Ended December 31, (In Thousands) 2020 2019 Principal balance of loans acquired $ 4,374,201 $ 5,732,699 Principal balance of loans sold 6,463,741 6,069,518 Net market valuation gains (losses) recorded (1) (15,477) 3,267 (1) Net market valuation gains (losses) on residential loans held-for-sale are recorded through Mortgage banking activities, net on our consolidated statements of income (loss). Residential Loans Held-for-Investment at Fair Value The following tables summarize the characteristics of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at December 31, 2020 and December 31, 2019. Table 6.4 – Characteristics of Residential Loans Held-for-Investment December 31, 2020 Legacy Sequoia Freddie Mac (Dollars in Thousands) Redwood Sequoia Choice SLST Number of loans — 1,908 2,177 13,605 Unpaid principal balance $ — $ 333,474 $ 1,550,454 $ 2,247,771 Fair value of loans $ — $ 285,935 $ 1,565,322 $ 2,221,153 Delinquency information Number of loans with 90+ day delinquencies (1) — 52 94 2,110 Unpaid principal balance of loans with 90+ day delinquencies $ — $ 17,285 $ 74,742 $ 389,245 Fair value of loans with 90+ day delinquencies (2) $ — N/A N/A N/A Number of loans in foreclosure — 21 3 245 Unpaid principal balance of loans in foreclosure $ — $ 4,939 $ 2,251 $ 38,610 December 31, 2019 Legacy Sequoia Freddie Mac (Dollars in Thousands) Redwood Sequoia Choice SLST Number of loans 2,940 2,198 3,156 14,502 Unpaid principal balance $ 2,052,778 $ 424,829 $ 2,240,679 $ 2,428,035 Fair value of loans $ 2,111,897 $ 407,890 $ 2,291,463 $ 2,367,215 Delinquency information Number of loans with 90+ day delinquencies (1) 2 39 9 587 Unpaid principal balance of loans with 90+ day delinquencies $ 1,585 $ 9,803 $ 6,755 $ 134,680 Fair value of loans with 90+ day delinquencies (2) $ 1,424 N/A N/A N/A Number of loans in foreclosure — 16 3 208 Unpaid principal balance of loans in foreclosure $ — $ 3,673 $ 2,290 $ 33,042 (1) For loans held at consolidated entities, the number of loans greater than 90 days delinquent includes loans in foreclosure. (2) 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. The following table provides the activity of residential loans held-for-investment at Redwood during the years ended December 31, 2020 and 2019. Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood Year Ended December 31, (In Thousands) 2020 2019 Principal balance of loans acquired $ — $ 39,194 Principal balance of loans sold — — Fair value of loans transferred from HFS to HFI 13,258 68,703 Fair value of loans transferred from HFI to HFS 1,870,986 22,814 Net market valuation gains (losses) recorded (1) (93,314) 58,891 (1) Subsequent to the transfer of these loans to our investment portfolio, net market valuation gains (losses) on residential loans held-for-investment at Redwood are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The following table provides the activity of residential loans held-for-investment at consolidated entities during the years ended December 31, 2020 and 2019. Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Year Ended December 31, 2020 Year Ended December 31, 2019 Legacy Sequoia Freddie Mac Legacy Sequoia Freddie Mac (In Thousands) Sequoia Choice SLST Sequoia Choice SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 270,506 N/A N/A $ 1,076,671 N/A Net market valuation gains (losses) recorded (2) $ (30,900) $ (30,356) $ 35,131 $ 5,170 $ (15,232) $ 63,583 (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia Choice securitizations. (2) For loans held at our consolidated Legacy Sequoia, Sequoia Choice, and Freddie Mac SLST entities, market value changes are based on the estimated fair value of the associated ABS issued, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5. Residential Loan Characteristics The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.7 – Geographic Concentration of Residential Loans December 31, 2020 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 43 % 17 % 34 % 14 % — % Texas 10 % 5 % 10 % 3 % — % Washington 7 % 1 % 5 % 2 % — % Colorado 5 % 3 % 3 % 1 % — % Florida 3 % 14 % 6 % 10 % — % Illinois 3 % 3 % 2 % 5 % — % Maryland 2 % 2 % 1 % 5 % — % New Jersey 1 % 5 % 2 % 7 % — % New York 1 % 10 % 5 % 10 % — % Ohio — % 5 % — % 2 % — % Other states (none greater than 5%) 25 % 35 % 32 % 41 % — % Total 100 % 100 % 100 % 100 % — % December 31, 2019 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 36 % 18 % 35 % 14 % 45 % Washington 7 % 1 % 7 % 2 % 5 % Texas 6 % 6 % 9 % 3 % 8 % Colorado 6 % 3 % 4 % — % 4 % Florida 4 % 14 % 5 % 10 % 5 % New Jersey 2 % 4 % 2 % 7 % 2 % New York 1 % 10 % 4 % 10 % 4 % Other states (none greater than 5%) 38 % 44 % 34 % 54 % 27 % Total 100 % 100 % 100 % 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.8 – Product Types and Characteristics of Residential Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,524 0.25 % to 5.63% 2020-10 - 2036-05 $ 146,100 $ 4,208 $ 3,966 $ 251 to $500 251 0.50 % to 4.13% 2024-05 - 2035-11 86,676 1,908 4,392 $ 501 to $750 79 0.25 % to 4.13% 2027-05 - 2035-01 48,437 714 1,192 $ 751 to $1,000 27 0.75 % to 3.75% 2028-03 - 2036-03 21,875 — 3,175 over $1,000 18 1.00 % to 2.38% 2028-05 - 2035-04 26,422 — 4,560 1,899 329,510 6,830 17,285 Hybrid ARM loans: $ — to $250 2 2.63 % to 2.63% 2033-09 - 2033-10 439 — — $ 251 to $500 5 2.63 % to 4.00% 2033-07 - 2034-03 1,748 410 — $ 501 to $750 1 2.75 % to 2.75% 2033-08 - 2033-08 556 — — over $1,000 1 2.63 % to 2.63% 2033-09 - 2033-09 1,221 — — 9 3,964 410 — Total HFI at Legacy Sequoia: 1,908 $ 333,474 $ 7,240 $ 17,285 Held-for-Investment at Sequoia Choice: Hybrid ARM loans $ — to $250 3 5.50 % to 6.75% 2048-03 - 2048-10 $ 607 $ — $ — $ 251 to $500 5 3.50 % to 3.63% 2046-11 - 2049-06 2,196 440 — $ 501 to $750 19 3.25 % to 4.75% 2044-04 - 2049-09 12,214 682 671 $ 751 to $1,000 15 3.13 % to 5.00% 2043-12 - 2049-08 12,911 960 1,744 over $1,000 12 3.50 % to 5.00% 2044-11 - 2050-02 15,716 — — 54 43,644 2,082 2,415 Fixed loans: $ — to $250 48 2.75 % to 5.50% 2029-04 - 2049-09 $ 9,508 $ — $ 191 $ 251 to $500 285 3.13 % to 6.13% 2033-06 - 2050-03 122,327 4,728 2,225 $ 501 to $750 1,004 3.00 % to 6.75% 2031-04 - 2050-04 617,488 15,214 24,842 $ 751 to $1,000 556 3.25 % to 6.50% 2036-12 - 2050-04 478,938 10,482 21,155 over $1,000 230 3.15 % to 5.88% 2036-07 - 2050-04 278,549 4,868 23,914 2,123 1,506,810 35,292 72,327 Total HFI at Sequoia Choice: 2,177 $ 1,550,454 $ 37,374 $ 74,742 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,007 2.00 % to 11.00% 2020-12 - 2059-10 $ 1,407,107 $ 283,745 $ 206,724 $ 251 to $500 2,545 2.00 % to 7.75% 2035-05 - 2059-01 811,191 143,195 172,995 $ 501 to $750 52 2.00 % to 6.75% 2043-08 - 2058-07 28,461 6,863 9,526 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,012 1,012 — Total HFI at Freddie Mac SLST: 13,605 $ 2,247,771 $ 434,815 $ 389,245 Held-for-Sale: Hybrid ARM loans $ — to $250 1 2.00 % to 2.00% 2032-11 - 2032-11 $ 49 $ — $ — $ 751 to $1,000 1 4.38 % to 4.38% 2047-10 - 2047-10 970 970 — 2 1,019 970 — Fixed loans $ — to $250 1 4.69 % to 4.69% 2044-03 - 2044-03 219 219 — $ 501 to $750 75 2.50 % to 5.50% 2045-12 - 2051-01 48,933 1,127 — $ 751 to $1,000 80 2.38 % to 4.63% 2050-04 - 2051-01 71,137 — — over $1,000 40 2.38 % to 5.00% 2040-11 - 2051-01 51,440 1,046 1,882 196 171,729 2,392 1,882 Total Held-for-Sale 198 $ 172,748 $ 3,362 $ 1,882 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Redwood: Hybrid ARM loans $ — to $250 12 3.50 % to 4.5% 2043-09 - 2046-01 $ 2,423 $ — $ — $ 251 to $500 51 3.25 % to 5.63% 2041-01 - 2048-08 20,781 — — $ 501 to $750 97 2.88 % to 5.13% 2041-09 - 2048-08 61,708 1,364 — $ 751 to $1,000 90 2.88 % to 6.00% 2043-12 - 2048-08 77,550 1,784 971 over $1,000 49 3.00 % to 5.50% 2040-10 - 2048-09 64,937 1,428 — 299 227,399 4,576 971 Fixed loans $ — to $250 38 2.90 % to 4.80% 2026-02 - 2047-12 6,549 223 — $ 251 to $500 676 2.75 % to 6.00% 2026-01 - 2049-04 287,984 — — $ 501 to $750 1,091 2.80 % to 6.75% 2026-04 - 2049-05 669,159 2,325 614 $ 751 to $1,000 519 2.75 % to 6.63% 2026-01 - 2049-04 447,499 1,895 — over $1,000 317 3.00 % to 5.88% 2031-04 - 2049-05 414,188 3,202 — 2,641 1,825,379 7,645 614 Total HFI at Redwood: 2,940 $ 2,052,778 $ 12,221 $ 1,585 Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,685 1.38 % to 6.00% 2020-01 - 2035-11 $ 169,230 $ 5,135 $ 3,109 $ 251 to $500 345 1.25 % to 5.63% 2022-01 - 2036-05 120,260 6,149 3,835 $ 501 to $750 87 1.63 % to 4.38% 2027-04 - 2035-02 53,811 3,628 1,211 $ 751 to $1,000 45 1.63 % to 4.38% 2027-11 - 2036-03 37,756 827 1,648 over $1,000 24 1.63 % to 4.00% 2027-12 - 2035-04 38,341 — — 2,186 419,398 15,739 9,803 Hybrid ARM loans: $ — to $250 2 4.25 % to 4.50% 2033-09 - 2033-10 465 — — $ 251 to $500 7 3.63 % to 5.13% 2033-07 - 2034-06 2,494 — — $ 501 to $750 2 4.50 % to 4.50% 2033-08 - 2033-08 1,181 — — over $1,000 1 4.50 % to 4.50% 2033-09 - 2033-09 1,291 — — 12 5,431 — — Total HFI at Legacy Sequoia: 2,198 $ 424,829 $ 15,739 $ 9,803 Held-for-Investment at Sequoia Choice: Fixed loans: $ — to $250 56 2.75 % to 5.50 % 2038-02 - 2049-07 $ 10,743 $ — $ — $ 251 to $500 420 3.13 % to 6.13 % 2037-12 - 2049-09 184,455 2,282 — $ 501 to $750 1,528 3.13 % to 6.75 % 2037-02 - 2049-09 940,914 13,020 2,366 $ 751 to $1,000 835 3.25 % to 6.50 % 2035-04 - 2049-09 719,609 7,856 3,297 over $1,000 317 3.5 % to 5.88 % 2038-01 - 2049-09 384,958 1,108 1,092 Total HFI at Sequoia Choice: 3,156 $ 2,240,679 $ 24,266 $ 6,755 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,639 2.00 % to 11.00% 2019-11 - 2059-10 $ 1,501,538 $ 477,592 $ 79,632 $ 251 to $500 2,805 2.00 % to 7.75% 2033-08 - 2058-11 894,126 297,732 52,920 $ 501 to $750 57 2.00 % to 6.75% 2043-08 - 2058-07 31,350 8,787 2,623 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,021 1,021 — Total HFI at Freddie Mac SLST: 14,502 2,428,035 785,132 135,175 Held-for-Sale: Hybrid ARM loans $ — to $250 7 5.20 % to 7.00% 2047-08 - 2048-12 $ 1,254 $ — $ — $ 251 to $500 1 4.25 % to 4.25% 2049-08 - 2049-08 432 — — $ 501 to $750 52 3.00 % to 5.50% 2047-04 - 2049-12 33,611 — — $ 751 to $1,000 33 3.25 % to 4.88% 2047-04 - 2049-11 28,573 — — over $1,000 22 3.25 % to 5.25% 2048-06 - 2049-11 28,013 — — 115 91,883 — — Fixed loans $ — to $250 2 3.88 % to 7.13% 2034-08 - 2049-07 481 — — $ 251 to $500 13 3.63 % to 6.50% 2048-01 - 2050-01 6,234 — — $ 501 to $750 301 3.20 % to 5.88% 2034-05 - 2050-01 186,251 — 747 $ 751 to $1,000 161 3.50 % to 6.50% 2034-07 - 2050-01 139,786 — — over $1,000 77 3.20 % to 5.00% 2034-08 - 2050-01 100,293 1,650 — 554 433,045 1,650 747 Total Held-for-Sale 669 $ 524,928 $ 1,650 $ 747 We originate and invest in business purpose loans, including single-family rental ("SFR") loans and bridge loans. This origination activity commenced in connection with our acquisition of 5 Arches and CoreVest in 2019. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood at December 31, 2020 and December 31, 2019. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans December 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 245,394 — $ — $ 245,394 Held-for-investment at fair value — 3,249,194 641,765 3,890,959 Total Business Purpose Loans $ 245,394 $ 3,249,194 $ 641,765 $ 4,136,353 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 Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 The following table provides the activity of business purpose loans during the years ended December 31, 2020 and 2019. Table 7.2 – Activity of Business Purpose Loans Year Ended December 31, 2020 Year Ended December 31, 2019 (Dollars in Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 979,696 $ 451,554 $ 513,725 $ 501,355 Principal balance of loans sold to third parties (1) (110,836) (25,151) 20,426 56,484 Fair value of loans transferred from HFS to HFI (2) 1,292,633 N/A 717,934 N/A Mortgage banking activities income recorded (3) 81,032 (2,916) 13,363 3,342 Investment fair value changes recorded (4) (20,806) (10,629) 272 (2,139) (1) The remaining business purpose loans were transferred to our investment portfolio (bridge loans) or retained in our mortgage banking business (single-family rental loans) for future securitizations. (2) During the years ended December 31, 2020 and 2019, we transferred $1.29 billion and $394 million of single-family rental loans, respectively, from held-for-sale to held-for-investment associated with five and one CAFL securitizations, respectively. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to or from our investment portfolio. Additionally, for the years ended December 31, 2020 and 2019, we recorded loan origination fee income of $19 million and $16 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes while a loan is held for investment. Bridge Loans Held-for-Investment The outstanding bridge loans held-for-investment at December 31, 2020 were first lien, fixed-rate, interest-only loans with original maturities of six Note 16 for additional information on this commitment. Single-Family Rental Loans Held-for-Investment 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. The outstanding single-family rental loans held-for-investment at CAFL at December 31, 2020 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years. The following table provides the activity of single-family rental loans held-for-investment at CAFL during the years ended December 31, 2020 and 2019. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Year Ended December 31, (In Thousands) 2020 2019 Net market valuation gains (losses) recorded (1) $ 32,331 $ (14,681) (1) For loans held at our consolidated CAFL entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5. Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood at December 31, 2020 and December 31, 2019. Table 7.4 – Characteristics of Business Purpose Loans December 31, 2020 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 65 1,094 1,725 Unpaid principal balance $ 234,475 $ 3,017,137 $ 649,532 Fair value of loans $ 245,394 $ 3,249,194 $ 641,765 Weighted average coupon 4.84 % 5.44 % 8.09 % Weighted average remaining loan term (years) 8 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 34,098 N/A $ 92,931 Market value of loans pledged as collateral under long-term debt facilities $ 154,774 N/A $ 544,151 Delinquency information Number of loans with 90+ day delinquencies (1) 10 22 31 Unpaid principal balance of loans with 90+ day delinquencies $ 7,127 $ 61,440 $ 39,415 Fair value of loans with 90+ day delinquencies (2) $ 6,143 N/A $ 33,605 Number of loans in foreclosure — 10 25 Unpaid principal balance of loans in foreclosure $ — $ 24,745 $ 38,552 Fair value of loans in foreclosure (2) $ — N/A $ 33,066 December 31, 2019 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 308 783 2,653 Unpaid principal balance $ 552,848 $ 2,078,214 $ 742,528 Fair value of loans $ 569,185 $ 2,192,552 $ 745,006 Weighted average coupon 4.96 % 5.70 % 8.11 % Weighted average remaining loan term (years) 9 7 2 Market value of loans pledged as collateral under short-term debt facilities $ 504,237 N/A $ 694,964 Delinquency information Number of loans with 90+ day delinquencies (1) 2 18 15 Unpaid principal balance of loans with 90+ day delinquencies $ 1,818 $ 29,039 $ 8,987 Fair value of loans with 90+ day delinquencies (2) $ 1,818 N/A $ 6,917 Number of loans in foreclosure 1 5 31 Unpaid principal balance of loans in foreclosure $ 130 $ 9,169 $ 14,186 Fair value of loans in foreclosure (2) $ 130 N/A $ 12,111 (1) The number of loans greater than 90 days delinquent includes loans in foreclosure. (2) 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. The following table presents the geographic concentration of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.5 – Geographic Concentration of Business Purpose Loans December 31, 2020 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 24 % — % 15 % 4 % New Jersey 17 % — % 11 % 9 % Georgia 12 % — % 5 % 8 % Florida 10 % — % 8 % 11 % Connecticut 8 % — % 4 % 1 % New York 5 % — % 1 % 8 % Arizona 5 % — % 2 % 1 % California 5 % — % 5 % 13 % Illinois 5 % — % 4 % 7 % Alabama 2 % — % 3 % 6 % Indiana 2 % — % 3 % 5 % Tennessee — % — % 3 % 6 % Other states (none greater than 5%) 5 % — % 36 % 21 % Total 100 % — % 100 % 100 % December 31, 2019 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 19 % 12 % 15 % 3 % New Jersey 12 % 5 % 11 % 8 % Georgia 8 % — % 5 % 7 % Arkansas 6 % — % 2 % — % Maryland 6 % — % 2 % — % Florida 5 % — % 8 % 9 % New York 5 % 1 % 1 % 6 % Alabama 5 % — % 4 % 4 % Illinois 1 % — % 5 % 3 % California 2 % 1 % 7 % 21 % Utah — % — % — % 5 % Other states (none greater than 5%) 31 % 81 % 40 % 34 % Total 100 % 100 % 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.6 – Product Types and Characteristics of Business Purpose Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 5 5.77 % to 7.05% 2022-07 - 2030-08 $ 1,016 $ — $ — $ 251 to $500 67 4.64 % to 6.96% 2021-07 - 2031-01 29,977 — — $ 501 to $750 212 4.12 % to 7.06% 2020-11 - 2030-12 130,665 — 1,752 $ 751 to $1,000 131 4.33 % to 7.23% 2021-01 - 2031-01 113,874 764 750 over $1,000 679 3.93 % to 7.57% 2020-11 - 2031-01 2,741,605 3,867 58,938 Total SFR HFI at CAFL: 1,094 $ 3,017,137 $ 4,631 $ 61,440 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 8 6.25 % to 7.75% 2027-03 - 2050-03 $ 1,060 $ — $ 635 $ 251 to $500 1 5.97 % to 5.97% 2021-02 - 2021-02 483 — — $ 501 to $750 6 5.84 % to 6.75% 2026-01 - 2031-01 3,632 — — $ 751 to $1,000 10 5.15 % to 6.39% 2020-05 - 2031-01 8,936 — 1,815 over $1,000 40 3.82 % to 5.95% 2020-07 - 2031-01 220,364 — 4,677 Total Single-Family Rental HFS: 65 $ 234,475 $ — $ 7,127 Bridge: Fixed loans: $ — to $250 1,440 5.75 % to 12.00% 2019-10 - 2022-12 $ 128,596 $ 6,530 $ 1,668 $ 251 to $500 110 6.65 % to 13.00% 2020-05 - 2022-12 37,607 945 1,423 $ 501 to $750 39 6.99 % to 10.00% 2020-07 - 2021-10 23,783 — 540 $ 751 to $1,000 21 6.50 % to 9.50% 2020-10 - 2022-03 18,225 — 943 over $1,000 115 6.04 % to 10.25% 2020-03 - 2022-12 441,321 — 34,841 Total Bridge: 1,725 $ 649,532 $ 7,475 $ 39,415 Table 7.6 – Product Types and Characteristics of Business Purpose Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at Redwood: Fixed loans: $ 251 to $500 20 4.88 % to 7.47% 2024-02 - 2030-01 $ 7,925 $ — $ — $ 501 to $750 26 4.45 % to 7.25% 2023-09 - 2030-01 15,620 — — $ 751 to $1,000 16 4.91 % to 6.58% 2023-11 - 2029-09 13,616 — — over $1,000 45 3.93 % to 6.94% 2023-10 - 2030-01 194,050 — — Total SFR HFI at Redwood: 107 $ 231,211 $ — $ — Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 2 5.46 % to 5.80% 2019-11 - 2021-09 $ 398 $ — $ — $ 251 to $500 56 4.92 % to 7.05% 2020-03 - 2029-10 25,643 1,306 — $ 501 to $750 148 4.75 % to 7.31% 2020-03 - 2029-10 91,414 1,259 1,990 $ 751 to $1,000 98 4.62 % to 7.23% 2020-03 - 2029-10 85,472 1,639 879 over $1,000 479 4.31 % to 7.57% 2019-12 - 2029-11 1,875,287 18,567 26,170 Total SFR HFI at CAFL: 783 $ 2,078,214 $ 22,771 $ 29,039 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 85 5.50 % to 7.63% 2027-03 - 2050-01 $ 10,506 $ — $ 130 $ 251 to $500 9 4.94 % to 6.00% 2024-11 - 2050-01 3,708 — — $ 501 to $750 21 4.55 % to 5.96% 2024-01 - 2030-01 13,335 — — $ 751 to $1,000 13 5.00 % to 5.93% 2024-01 - 2030-01 11,676 — — over $1,000 73 4.35 % to 6.28% 2024-01 - 2030-01 282,412 — 1,688 Total Single-Family Rental HFS: 201 $ 321,637 $ — $ 1,818 Bridge: Fixed loans: $ — to $250 2,207 6.53 % to 12.00% 2019-07 - 2022-01 $ 197,449 $ 1,447 $ 369 $ 251 to $500 198 6.99 % to 13.00% 2019-10 - 2022-01 71,361 2,811 675 $ 501 to $750 71 6.99 % to 9.99% 2019-11 - 2021-10 42,862 2,072 508 $ 751 to $1,000 40 7.28 % to 10.00% 2018-10 - 2022-01 34,646 1,771 2,443 over $1,000 137 5.79 % to 10.25% 2019-11 - 2022-01 394,914 31,452 4,992 Total Bridge: 2,653 $ 741,232 $ 39,553 $ 8,987 Since 2018, we have 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. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at December 31, 2020 and December 31, 2019. Table 8.1 – Characteristics of Multifamily Loans (Dollars in Thousands) December 31, 2020 December 31, 2019 Number of loans 28 279 Unpaid principal balance $ 462,808 $ 4,195,000 Fair value of loans $ 492,221 $ 4,408,524 Weighted average coupon 4.25 % 4.13 % Weighted average remaining loan term (years) 5 6 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at December 31, 2020 were first-lien, fixed-rate loans that were originated in 2015 and had original loan terms of ten years. The following table provides the activity of multifamily loans held-for-investment during the year months ended December 31, 2020 and 2019. Table 8.2 – Activity of Multifamily Loans Held-for-Investment Year Ended December 31, (In Thousands) 2020 2019 Net market valuation gains (losses) recorded (1) $ (58,821) $ 130,083 (1) Net market valuation gains (losses) on multifamily loans held-for-investment are recorded through Investment fair value changes, net on our consolidated statements of income (loss). For loans held at our consolidated Freddie Mac K-Series entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Note 5. Multifamily Loan Characteristics The following table presents the geographic concentration of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.3 – Geographic Concentration of Multifamily Loans Geographic Concentration December 31, 2020 December 31, 2019 California 13 % 11 % Florida 13 % 10 % North Carolina 9 % — % Oregon 7 % — % Hawaii 5 % — % Tennessee 5 % — % Texas — % 13 % Arizona — % 6 % Georgia — % 6 % Washington — % 5 % Colorado — % 5 % Other states (none greater than 5%) 48 % 44 % Total 100 % 100 % T he following table displays the loan product type and accompanying loan characteristics of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.4 – Product Types and Characteristics of Multifamily Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 10,001 to $20,000 24 4.25 % to 4.25% 2025-09 - 2025-09 $ 370,934 $ — $ — $ 20,001 to $30,000 4 4.25 % to 4.25% 2025-09 - 2025-09 91,874 — — Total: 28 $ 462,808 $ — $ — December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 1,000 to $10,000 114 3.29 % to 4.73% 2023-02 - 2029-10 $ 674,666 $ — $ — $ 10,001 to $20,000 102 3.54 % to 4.94% 2023-09 - 2029-08 1,489,118 — — $ 20,001 to $30,000 32 3.54 % to 4.69% 2024-01 - 2026-12 750,712 — — $ 30,001 to $40,000 19 3.52 % to 4.79% 2025-05 - 2029-10 654,729 — — over $40,000 12 3.55 % to 4.65% 2024-10 - 2026-09 625,775 — — Total: 279 $ 4,195,000 $ — $ — |
Real Estate Securities
Real Estate Securities | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Real Estate Securities | Real Estate Securities We invest in real estate securities that we create and retain from our Sequoia securitizations or acquire from third parties. The following table presents the fair values of our real estate securities by type at December 31, 2020 and December 31, 2019. Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) December 31, 2020 December 31, 2019 Trading $ 125,667 $ 860,540 Available-for-sale 218,458 239,334 Total Real Estate Securities $ 344,125 $ 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 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"). The following table presents the fair value of trading securities by position and collateral type at December 31, 2020 and December 31, 2019. Table 9.2 – Fair Value of Trading Securities by Position (In Thousands) December 31, 2020 December 31, 2019 Senior Interest-only securities (1) $ 28,464 $ 64,010 RPL securities — 39,337 Other third-party residential securities — 46,720 Total Senior 28,464 150,067 Mezzanine Sequoia securities 3,649 39,660 Multifamily securities — 395,256 Other third-party residential securities — 103,573 Total Mezzanine 3,649 538,489 Subordinate RPL securities 47,448 76,102 Multifamily securities 5,592 — Other third-party residential securities 40,514 95,882 Total Subordinate 93,554 171,984 Total Trading Securities $ 125,667 $ 860,540 (1) Includes $13 million and $36 million of Sequoia certificated mortgage servicing rights as of December 31, 2020, and December 31, 2019, respectively. The following table presents the unpaid principal balance of trading securities by position and collateral type at December 31, 2020 and December 31, 2019. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position (In Thousands) December 31, 2020 December 31, 2019 Senior (1) $ — $ 83,591 Mezzanine 3,577 536,831 Subordinate 242,278 301,908 Total Trading Securities $ 245,855 $ 922,330 (1) Our senior trading securities include interest-only securities, for which there is no principal balance. The following table provides the activity of trading securities during the years ended December 31, 2020 and 2019. Table 9.4 – Trading Securities Activity Year Ended December 31, (In Thousands) 2020 2019 Principal balance of securities acquired $ 79,921 $ 366,848 Principal balance of securities sold 744,914 592,502 Net market valuation gains (losses) recorded (1) (230,731) 56,046 (1) Net market valuation gains (losses) on trading securities are recorded through Investment fair value changes, net and Mortgage banking activities, 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 December 31, 2020 and December 31, 2019. Table 9.5 – Fair Value of Available-for-Sale Securities by Position (In Thousands) December 31, 2020 December 31, 2019 Senior Other third-party residential securities $ — $ 25,792 Total Senior — 25,792 Mezzanine Sequoia securities — 4,320 Multifamily securities — 5,123 Other third-party residential securities 2,014 4,244 Total Mezzanine 2,014 13,687 Subordinate Sequoia securities 136,475 136,330 Multifamily securities 43,663 3,749 Other third-party residential securities 36,306 59,776 Total Subordinate 216,444 199,855 Total AFS Securities $ 218,458 $ 239,334 The following table provides the activity of available-for-sale securities during the years ended December 31, 2020 and 2019. Table 9.6 – Available-for-Sale Securities Activity Year Ended December 31, (In Thousands) 2020 2019 Fair value of securities acquired $ 57,652 $ 26,538 Fair value of securities sold 55,192 110,070 Net realized gains recorded 4,635 17,582 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 December 31, 2020, we had $41 million of AFS securities with contractual maturities less than five years, $3 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 December 31, 2020 and December 31, 2019. Table 9.7 – Carrying Value of AFS Securities December 31, 2020 (In Thousands) Senior Mezzanine Subordinate Total Principal balance $ — $ 2,000 $ 281,284 $ 283,284 Credit reserve — — (44,967) (44,967) Unamortized discount, net — — (95,718) (95,718) Amortized cost — 2,000 140,599 142,599 Gross unrealized gains — 14 77,280 77,294 Gross unrealized losses — — (1,047) (1,047) CECL credit allowance — — (388) (388) Carrying Value $ — $ 2,014 $ 216,444 $ 218,458 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 years ended December 31, 2020 and 2019, in unamortized discount and designated credit reserves on residential AFS securities. Table 9.8 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities Year Ended December 31, 2020 Year Ended December 31, 2019 Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 32,940 $ 124,255 $ 41,370 $ 151,200 Amortization of net discount — (6,538) — (7,921) Realized credit losses (2,282) — (2,606) — Acquisitions 7,248 2,634 3,712 1,910 Sales, calls, other (731) (16,841) (9,453) (21,017) Impairments — — — — Transfers to (release of) credit reserves, net 7,792 (7,792) (83) 83 Ending Balance $ 44,967 $ 95,718 $ 32,940 $ 124,255 AFS Securities with Unrealized Losses The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at December 31, 2020 and December 31, 2019. Table 9.9 – Components of Fair Value of AFS Securities by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Unrealized Fair Amortized Unrealized Fair (In Thousands) December 31, 2020 $ 9,129 $ (1,047) $ 7,920 $ — $ — $ — December 31, 2019 — — — 5,830 (29) 5,801 At December 31, 2020, after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 96 AFS securities, of which five 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 $1 million at December 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 December 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 December 31, 2020, our allowance for credit losses related to our AFS securities was $0.4 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 December 31, 2020. Table 9.10 – Significant Credit Quality Indicators December 31, 2020 Subordinate Securities Default rate 0.5% Loss severity 23% The following table details the activity related to the allowance for credit losses for AFS securities held at December 31, 2020. Table 9.11 – Rollforward of Allowance for Credit Losses Year Ended (In Thousands) December 31, 2020 Beginning balance allowance for credit losses $ — Transition impact from adoption of ASU 2016-13, "Financial Instruments - Credit Losses" — Additions to allowance for credit losses on securities for which credit losses were not previously recorded 1,864 Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period (1,476) Allowance on purchased financial assets with credit deterioration — Reduction to allowance for securities sold during the period — Reduction to allowance for securities we intend to sell or more likely than not will be required to sell — Write-offs charged against allowance — Recoveries of amounts previously written off — Ending balance of allowance for credit losses $ 388 Gains and losses from the sale of AFS securities are recorded as Realized gains, net, in our consolidated statements of income. The following table presents the gross realized gains and losses on sales and calls of AFS securities for the years ended December 31, 2020, 2019, and 2018. Table 9.12 – Gross Realized Gains and Losses on AFS Securities Years Ended December 31, (In Thousands) 2020 2019 2018 Gross realized gains - sales $ 8,779 $ 17,582 $ 27,127 Gross realized gains - calls 5 6,239 43 Gross realized losses - sales (4,144) — (129) Total Realized Gains on Sales and Calls of AFS Securities, net $ 4,640 $ 23,821 $ 27,041 |
Other Investments
Other Investments | 12 Months Ended |
Dec. 31, 2020 | |
Investments, All Other Investments [Abstract] | |
Other Investments | Other Investments Other investments at December 31, 2020 and December 31, 2019 are summarized in the following table. Table 10.1 – Components of Other Investments (In Thousands) December 31, 2020 December 31, 2019 Servicer advance investments $ 231,489 $ 169,204 Shared home appreciation options 42,440 45,085 Excess MSRs 34,418 31,814 Mortgage servicing rights 8,815 42,224 Investment in multifamily loan fund — 39,802 Other 31,013 30,001 Total Other Investments $ 348,175 $ 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 (See Note 4 for additional information regarding the transaction). During the year ended December 31, 2020, we funded additional purchases of outstanding servicer advances and excess MSRs under the same partnership structure. At December 31, 2020, we had funded $94 million of total capital to the SA Buyers (see Note 16 for additional detail). Our servicer advance investments (owned by the consolidated SA Buyers) are comprised of outstanding servicer advance receivables, the requirement to purchase all future servicer advances made with respect to a specified pool of residential mortgage loans, and a portion of the mortgage servicing fees from the underlying loan pool. A portion of the remaining mortgage servicing fees from the underlying loan pool are paid directly to the third-party servicer for the performance of servicing duties and a portion is paid to excess MSRs that we own as a separate investment. We hold our servicer advance investments at our taxable REIT subsidiaries. Servicer advances are non-interest bearing and are a customary feature of residential mortgage securitization transactions. Servicer advances are generally reimbursable cash payments made by a servicer when the borrower fails to make scheduled payments due on a residential mortgage loan or to support the value of the collateral property. Servicer advances typically fall into three categories: • Principal and Interest Advances: cash payments made by the servicer to cover scheduled principal and interest payments on a residential mortgage loan that have not been paid on a timely basis by the borrower. • Escrow Advances (Taxes and Insurance Advances): Cash payments made by the servicer to third parties on behalf of the borrower for real estate taxes and insurance premiums on the property that have not been paid on a timely basis by the borrower. • Corporate Advances: Cash payments made by the servicer to third parties for the reimbursable costs and expenses incurred in connection with the foreclosure, preservation and sale of the mortgaged property, including attorneys’ and other professional fees. Servicer advances are generally permitted to be repaid from amounts received with respect to the related residential mortgage loan, including payments from the borrower or amounts received from the liquidation of the property securing the loan. Residential mortgage servicing agreements generally require a servicer to make advances in respect of serviced residential mortgage loans unless the servicer determines in good faith that the advance would not be ultimately recoverable from the proceeds of the related residential mortgage loan or the mortgaged property. At December 31, 2020, our servicer advance investments had a carrying value of $231 million and were associated with a portfolio of residential mortgage loans with an unpaid principal balance of $9.14 billion. The outstanding servicer advance receivables associated with this investment were $218 million at December 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 December 31, 2020 and December 31, 2019: Table 10.2 – Components of Servicer Advance Receivables (In Thousands) December 31, 2020 December 31, 2019 Principal and interest advances $ 110,923 $ 15,081 Escrow advances (taxes and insurance advances) 79,279 96,732 Corporate advances 27,454 39,769 Total Servicer Advance Receivables $ 217,656 $ 151,582 We account for our servicer advance investments at fair value and during the years ended December 31, 2020 and 2019, we recorded $11 million of Other interest income associated with these investments for each of these periods, and recorded a net market valuation loss of $9 million and a net market valuation gain of $3 million, respectively, through Investment fair value changes, net in our consolidated statements of income. Shared Home Appreciation Options In the third quarter of 2019, we entered into a flow purchase agreement to acquire shared home appreciation options. Under this arrangement, our 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 December 31, 2020, we had acquired $47 million of shared home appreciation options under this flow purchase agreement. We account for these investments under the fair value option and during the years ended December 31, 2020 and 2019, we recorded a net market valuation loss of $2 million and a net market valuation gain of $1 million, respectively, related to these assets through Investment fair value changes, net on our consolidated statements of income. 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 years ended December 31, 2020 and 2019, we recognized $12 million and $8 million of Other interest income, respectively, and recorded net market valuation losses of $8 million and $3 million, respectively, through Investment fair value changes, net on our consolidated statements of income. 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 December 31, 2020 and December 31, 2019, our MSRs had a fair value of $9 million and $42 million, respectively, and were associated with loans with an aggregate principal balance of $2.59 billion and $4.35 billion, respectively. During the years ended December 31, 2020 and 2019, including net market valuation gains and losses on our MSRs and related risk management derivatives, we recorded a net loss of $10 million and income of $4 million, respectively, through Other income on our consolidated statements of income (loss). Investment in Multifamily Loan Fund |
Derivative Financial Instrument
Derivative Financial Instruments | 12 Months Ended |
Dec. 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 December 31, 2020 and December 31, 2019. Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments December 31, 2020 December 31, 2019 Fair Notional Fair Notional (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 224 $ 42,000 $ 17,095 $ 1,399,000 TBAs 18,260 3,520,000 5,755 2,445,000 Interest rate futures — — 777 213,700 Swaptions 19,727 1,585,000 1,925 1,065,000 Assets - Other Derivatives Loan purchase and interest rate lock commitments 15,027 2,617,254 10,149 1,537,162 Total Assets $ 53,238 $ 7,764,254 $ 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 (15,495) 3,105,000 (13,359) 4,160,000 Interest rate futures — — (10) 12,300 Liabilities - Other Derivatives Loan purchase commitments (577) 477,153 (1,290) 303,394 Total Liabilities $ (16,072) $ 3,582,153 $ (163,424) $ 6,929,494 Total Derivative Financial Instruments, Net $ 37,166 $ 11,346,407 $ (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 December 31, 2020, we were party to swaps and swaptions with an aggregate notional amount of $1.63 billion and TBA agreements with an aggregate notional amount of $6.63 billion. At December 31, 2019, we were party to swaps with an aggregate notional amount of $4.78 billion, TBA agreements with an aggregate notional amount of $6.61 billion, and interest rate futures contracts with an aggregate notional amount of $226 million. For the years ended December 31, 2020, 2019, and 2018, risk management derivatives had a net market valuation loss of $93 million, a net market valuation loss of $134 million, and a net market valuation gain of $40 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. Loan Purchase and Interest Rate Lock Commitments LPCs and IRLCs that qualify as derivatives are recorded at their estimated fair values. For the years ended December 31, 2020, 2019, and 2018, LPCs and IRLCs had a net market valuation gain of $57 million, a net market valuation gain of $62 million, and a net market valuation loss of $1 million, respectively, that were recorded in Mortgage banking activities, net on our consolidated statements of income. 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. During the first quarter of 2020, we terminated and settled all of our outstanding derivatives that had been designated as cash flow hedges for our long-term debt, with a payment of $84 million. For interest rate agreements previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $81 million and $51 million at December 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. As of December 31, 2020, we expect to amortize $4 million of realized losses related to terminated cash flow hedges into interest expense over the next twelve months. For the years ended December 31, 2020, 2019, and 2018, changes in the values of designated cash flow hedges were negative $33 million, negative $17 million, and positive $9 million, respectively, and were recorded in Accumulated other comprehensive income, a component of equity. The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the years ended December 31, 2020, 2019, and 2018. Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Years Ended December 31, (In Thousands) 2020 2019 2018 Net interest expense on cash flows hedges $ (860) $ (2,847) $ (3,228) Realized net losses reclassified from other comprehensive income (3,188) — — Total Interest Expense $ (4,048) $ (2,847) $ (3,228) Derivative Counterparty Credit Risk We incur credit risk to the extent that counterparties to our derivative financial instruments do not perform their obligations under specified contractual agreements. If a derivative counterparty does not perform, we may not receive the proceeds to which we may be entitled under these agreements. Each of our derivative counterparties that is not a clearinghouse must maintain compliance with International Swaps and Derivatives Association (“ISDA”) agreements or other similar agreements (or receive a waiver of non-compliance after a specific assessment) in order to conduct derivative transactions with us. Additionally, we review non-clearinghouse derivative counterparty credit standings, and in the case of a deterioration of creditworthiness, appropriate remedial action is taken. To further mitigate counterparty risk, we exit derivatives contracts with counterparties that (i) do not maintain compliance with (or obtain a waiver from) the terms of their ISDA or other agreements with us; or (ii) do not meet internally established guidelines regarding creditworthiness. Our ISDA and similar agreements currently require full bilateral collateralization of unrealized loss exposures with our derivative counterparties. Through a margin posting process, our positions are revalued with counterparties each business day and cash margin is generally transferred to either us or our derivative counterparties as collateral based upon the directional changes in fair value of the positions. We also attempt to transact with several different counterparties in order to reduce our specific counterparty exposure. With respect to certain of our derivatives, clearing and settlement is through one or more clearinghouses, which may be substituted as a counterparty. Clearing and settlement of derivative transactions through a clearinghouse is also intended to reduce specific counterparty exposure. We consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At December 31, 2020, we assessed this risk as remote and did not record a specific valuation adjustment. |
Other Assets and Liabilities
Other Assets and Liabilities | 12 Months Ended |
Dec. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Liabilities | Other Assets and Liabilities Other assets at December 31, 2020 and December 31, 2019 are summarized in the following table. Table 12.1 – Components of Other Assets (In Thousands) December 31, 2020 December 31, 2019 Investment receivable $ 43,176 $ 23,330 Accrued interest receivable 39,445 71,058 Operating lease right-of-use assets 15,012 11,866 REO 8,413 9,462 FHLBC stock 5,000 43,393 Margin receivable 4,758 209,776 Fixed assets and leasehold improvements (1) 4,203 4,901 Pledged collateral 1,177 32,945 Other 9,404 12,590 Total Other Assets $ 130,588 $ 419,321 (1) Fixed assets and leasehold improvements had a basis of $11 million and accumulated depreciation of $6 million at December 31, 2020. Accrued expenses and other liabilities at December 31, 2020 and December 31, 2019 are summarized in the following table. Table 12.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) December 31, 2020 December 31, 2019 Accrued interest payable $ 34,858 $ 60,655 Accrued compensation 24,393 33,888 Payable to minority partner 16,941 13,189 Operating lease liabilities 16,687 13,443 Margin payable 14,728 1,700 Deferred consideration 14,579 — Guarantee obligations 10,039 14,009 Residential loan and MSR repurchase reserve 8,631 4,268 Current accounts payable 6,455 5,468 Bridge loan holdbacks 5,708 10,682 Accrued taxes payable 5,614 5,268 Accrued operating expenses 5,509 4,358 Contingent consideration — 28,484 Other 15,198 11,481 Total Accrued Expenses and Other Liabilities $ 179,340 $ 206,893 Investment Receivable Investment receivable primarily consists of amounts receivable from third-party servicers related to principal and interest receivable from business purpose loans and fees receivable from servicer advance investments. 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 December 31, 2020, we had met all margin calls due. Operating Lease Right-of-Use Assets and Operating Lease Liabilities The operating lease right-of-use assets and operating lease liabilities presented in the tables above resulted from our adoption of ASU 2016-02, "Leases," in the first quarter of 2019. The operating lease liabilities are equal to the present value of our remaining lease payments discounted at our incremental borrowing rate and the operating lease right-of-use assets are equal to the operating lease liabilities adjusted for our deferred rent liabilities. These balances are reduced as lease payments are made. See Note 16 for additional information on leases. FHLBC Stock In accordance with our FHLB-member subsidiary's borrowing agreement with the FHLBC, our subsidiary is required to purchase and hold stock in the FHLBC. See Note 3 and Note 15 for additional information on this borrowing agreement. Pledged Collateral and Guarantee Obligations The pledged collateral and guarantee obligations presented in the tables above are related to our risk-sharing arrangements with Fannie Mae and Freddie Mac, as well as collateral pledged for certain interest rate agreements. In accordance with these arrangements, we are required to pledge collateral to secure our guarantee obligations and to meet margin requirements for our interest rate agreements. See Note 3 and Note 16 for additional information on our risk-sharing arrangements. Deferred Consideration The deferred consideration presented in the table above is related to our acquisition of 5 Arches in 2019. Prior to March 31, 2020, these earn-out payments were classified as a contingent consideration liability. 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. Bridge Loan Holdbacks Bridge loan holdbacks represent loan amounts payable to bridge loan borrowers subject to the completion of various phases of property rehabilitation. REO The following table summarizes the activity and carrying values of REO assets held at Redwood and at consolidated Legacy Sequoia, Freddie Mac SLST, and CAFL entities during the year ended December 31, 2020. Table 12.3 – REO Activity Year Ended December 31, 2020 (In Thousands) Redwood Bridge Legacy Sequoia Freddie Mac SLST CAFL Total Balance at beginning of period $ 6,887 $ 460 $ 445 $ 1,670 $ 9,462 Transfers to REO 6,111 532 1,319 6,157 14,119 Liquidations (1) (8,830) (243) (1,178) (4,371) (14,622) Changes in fair value, net 432 (111) 60 (927) (546) Balance at End of Period $ 4,600 $ 638 $ 646 $ 2,529 $ 8,413 (1) For the year ended December 31, 2020, REO liquidations resulted in $1 million of realized losses, which were recorded in Investment fair value changes, net on our consolidated statements of income (loss). The following table provides the detail of REO assets at Redwood and at consolidated Legacy Sequoia, Freddie Mac SLST, and CAFL entities at December 31, 2020 and December 31, 2019. Table 12.4 – REO Assets Number of REO assets Redwood Bridge Legacy Sequoia Freddie Mac SLST CAFL Total At December 31, 2020 3 3 9 2 17 At December 31, 2019 4 4 3 2 13 Legal and Repurchase Reserves See Note 16 for additional information on the legal and residential repurchase reserves. Payable to Minority Partner In 2018, Redwood and a third-party co-investor, through two partnership entities consolidated by Redwood, purchased servicer advances and excess MSRs related to a portfolio of residential mortgage loans serviced by the co-investor (see Note 4 and Note 10 for additional information on the partnership entities and associated investments). We account for the co-investor’s interests in the entities as liabilities and at December 31, 2020, the carrying value of their interests was $17 million, representing their current economic interest in the entities. Earnings from the partnership entities are allocated to the co-investors on a proportional basis and during the years ended December 31, 2020 and 2019, we allocated $0.2 million of losses and $1 million of gains, respectively, to the co-investors, which were recorded in Other expenses on our consolidated statements of income. |
Short-Term Debt
Short-Term Debt | 12 Months Ended |
Dec. 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 major investment banking firms. At December 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 December 31, 2020 and December 31, 2019. Table 13.1 – Short-Term Debt December 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 $ 137,269 $ 1,300,000 2.45 % 1/2021-11/2021 268 Business purpose loan warehouse (2) 2 99,190 500,000 3.37 % 5/2022-6/2022 521 Real estate securities repo (1) 3 77,775 — 2.24 % 1/2021-3/2021 36 Total Short-Term Debt Facilities 9 314,234 Servicer advance financing 1 208,375 335,000 1.95 % 11/2021 334 Total Short-Term Debt $ 522,609 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 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 December 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 December 31, 2020 and December 31, 2019. 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 and securities pledged as collateral under our short-term debt facilities at December 31, 2020 and December 31, 2019. Table 13.2 – Collateral for Short-Term Debt (In Thousands) December 31, 2020 December 31, 2019 Collateral Type Held-for-sale residential loans $ 156,355 $ 201,949 Business purpose loans 127,029 988,179 Real estate securities On balance sheet 23,193 618,881 Sequoia Choice securitizations (1) 63,105 111,341 Freddie Mac SLST securitizations (1) — 381,640 Freddie Mac K-Series securitizations (1) 28,255 252,284 CAFL securitizations (1) — 127,840 Total real estate securities owned 114,553 1,491,986 Other assets (2) 315 16,252 Total Collateral for Short-Term Debt $ 398,252 $ 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 $0.3 million of cash collateral as margin with our borrowing counterparties. For the years ended December 31, 2020 and 2019, the average balances of our short-term debt facilities were $1.19 billion and $1.97 billion, respectively. At December 31, 2020 and December 31, 2019, accrued interest payable on our short-term debt facilities was $1 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 December 31, 2020, the fair value of servicer advances, cash and restricted cash collateralizing the securitization financing was $251 million. At December 31, 2020, the accrued interest payable balance on this financing was $0.1 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 $2 million at December 31, 2020. At both December 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 December 31, 2020. Table 13.3 – Short-Term Debt by Collateral Type and Remaining Maturities December 31, 2020 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ 3,918 $ 14,801 $ 118,550 $ 137,269 Business purpose loans — — 99,190 99,190 Real estate securities 40,455 37,320 — 77,775 Total Secured Short-Term Debt 44,373 52,121 217,740 314,234 Servicer advance financing — — 208,375 208,375 Total Short-Term Debt $ 44,373 $ 52,121 $ 426,115 $ 522,609 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued | 12 Months Ended |
Dec. 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 December 31, 2020 and December 31, 2019, along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued December 31, 2020 (Dollars in Thousands) Legacy Sequoia Freddie Mac SLST (1) Freddie Mac CAFL Total Certificates with principal balance $ 329,039 $ 1,309,957 $ 1,866,145 $ 416,339 $ 2,716,425 $ 6,637,905 Interest-only certificates 1,092 4,591 23,335 13,026 162,934 204,978 Market valuation adjustments (47,805) 32,809 104,439 34,601 133,734 257,778 ABS Issued, Net $ 282,326 $ 1,347,357 $ 1,993,919 $ 463,966 $ 3,013,093 $ 7,100,661 Range of weighted average interest rates, by series 0.35% to 1.55% 2.25% to 5.04% 3.50% to 4.75% 3.39 % 2.68% to 5.42% Stated maturities 2024 - 2036 2047 - 2050 2028 - 2059 2025 2022 - 2052 Number of series 20 10 3 1 14 December 31, 2019 (Dollars in Thousands) Legacy Sequoia Freddie Mac SLST Freddie Mac K-Series CAFL Total 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 (1) Includes $205 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost. During the third quarter of 2020, we transferred all of the subordinate securities we owned from two consolidated re-performing loan securitization VIEs sponsored by Freddie Mac SLST to a re-securitization trust, which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $210 million (principal balance) of ABS issued to third parties and retained 100% of the remaining beneficial ownership interest in the trust through ownership of a subordinate security issued by the trust. The ABS was issued at a discount and we have elected to account for the ABS issued at amortized cost. At December 31, 2020, the carrying value of the ABS issued was $200 million and the debt discount was $4 million. The stated coupon of the ABS issued was 4.75% at issuance and the final stated maturity occurs in July 2059. The ABS issued is subject to optional redemption and interest rate step-ups prior to the stated maturity according to the terms of the respective governing agreements. 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 December 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 December 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) December 31, 2020 December 31, 2019 Legacy Sequoia $ 141 $ 395 Sequoia Choice 4,697 7,732 Freddie Mac SLST (1) 5,656 5,374 Freddie Mac K-Series 1,177 12,887 CAFL 10,122 7,298 Total Accrued Interest Payable on ABS Issued $ 21,793 $ 33,686 (1) Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood. |
Long-Term Debt
Long-Term Debt | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Long-Term Debt FHLBC Borrowings In July 2014, our FHLB-member subsidiary entered into a borrowing agreement with the Federal Home Loan Bank of Chicago. At December 31, 2020, under this agreement, our subsidiary could incur borrowings, also referred to as "advances," from the FHLB secured by eligible collateral, including residential mortgage loans. Under a final rule published by the Federal Housing Finance Agency in January 2016, our FHLB-member subsidiary was permitted to remain an FHLB member through the five-year transition period for captive insurance companies that ended in February 2021. Our FHLB-member's existing $1 million of FHLB debt, which matures beyond this transition period, is permitted to remain outstanding until its stated maturity. Advances under this agreement incur interest charges based on a specified margin over the FHLBC’s 13-week discount note rate, which resets every 13 weeks. At December 31, 2020, $1 million of advances were outstanding under our FHLBC borrowing agreement, with a weighted average interest rate of 0.30%. These borrowings mature in 2026. 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 year ended December 31, 2020, we repaid $2.0 billion of our FHLBC borrowings. At December 31, 2020, total advances under this agreement were secured by $1 million of restricted cash. We do not expect to increase borrowings under our FHLBC borrowing agreement above the existing $1 million of advances outstanding. 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 December 31, 2020, our subsidiary held $5 million of FHLBC stock that is included in Other assets in our consolidated balance sheets. Recourse Subordinate Securities Financing Facilities In 2019, a subsidiary of Redwood entered into a repurchase agreement providing non-marginable (i.e., not subject to margin calls based on the market value of the underlying collateral that is non-delinquent) recourse debt financing of certain Sequoia securities as well as securities retained from our consolidated Sequoia Choice securitizations. The financing is fully and unconditionally guaranteed by Redwood, with an interest rate of approximately 4.21% through September 2022. The financing facility may be terminated, at our option, in September 2022, and has a final maturity in September 2024, provided that the interest rate on amounts outstanding under the facility increases between October 2022 and September 2024. At December 31, 2020, we had borrowings under this facility totaling $178 million and $1 million of unamortized deferred issuance costs, for a net carrying value of $177 million. At December 31, 2020, the fair value of real estate securities pledged as collateral under this long-term debt facility was $249 million and included Sequoia securities and securities retained from our 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-marginable recourse debt financing of certain securities retained from 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 December 31, 2020, we had borrowings under this facility totaling $103 million and $1 million of unamortized deferred issuance costs, for a net carrying value of $102 million. At December 31, 2020, the fair value of real estate securities pledged as collateral under this long-term debt facility was $114 million and included securities retained from our consolidated CAFL securitizations. Non-Recourse Business Purpose Loan Financing Facilities In the third quarter of 2020, a subsidiary of Redwood entered into a repurchase agreement providing non-marginable, non-recourse financing primarily for business purpose bridge loans. Borrowings under this facility accrue interest at a per annum rate equal to one-month LIBOR plus 3.85% (with a 0.50% LIBOR floor), through July 2022. We do not have the ability to increase borrowings under this borrowing facility above the existing amounts outstanding. At December 31, 2020, we had borrowings under this facility totaling $115 million and $1 million of unamortized deferred issuance costs, for a net carrying value of $114 million. At December 31, 2020, $186 million of bridge loans were pledged as collateral under this facility. In the second quarter of 2020, a subsidiary of Redwood entered into a repurchase agreement providing non-marginable, non-recourse financing primarily for business purpose bridge loans. Borrowings under this facility accrue interest at a per annum rate equal to one-month LIBOR plus 7.50% (with a 1.50% LIBOR floor), through June 2022 (facility is fully callable in June 2021). At December 31, 2020, this facility had an aggregate maximum borrowing capacity of $372 million, which consisted of a term facility of $197 million and a revolving facility of $175 million. The revolving period ends in June 2021, and amounts borrowed under the term and revolving facilities are due in full in June 2022. At December 31, 2020, we had borrowings under this facility totaling $252 million and $2 million of unamortized deferred issuance costs, for a net carrying value of $249 million. At December 31, 2020, $338 million of bridge loans and $21 million of other BPL investments were pledged as collateral under this facility. Recourse Business Purpose Loan Financing Facilities In the third quarter of 2020, a subsidiary of Redwood entered into a repurchase agreement providing non-marginable financing for business purpose bridge loans and single-family rental loans. Borrowings under this facility accrue interest at a per annum rate equal to three-month LIBOR plus 3.00% through September 2023 and are recourse to Redwood. This facility has an aggregate maximum borrowing capacity of $250 million. At December 31, 2020, we had borrowings under this facility totaling $80 million and $0.2 million of unamortized deferred issuance costs, for a net carrying value of $80 million. At December 31, 2020, $106 million of single-family rental loans were pledged as collateral under this facility. In the second quarter of 2020, a subsidiary of Redwood entered into a repurchase agreement providing non-marginable financing for business purpose bridge loans and single-family rental loans. Borrowings under this facility accrue interest at a per annum rate equal to three-month LIBOR plus 3.00% to 3.50% (with a 1.00% LIBOR floor) through May 2022 and are recourse to Redwood. This facility has an aggregate maximum borrowing capacity of $350 million. At December 31, 2020, we had borrowings under this facility totaling $52 million and $0.5 million of unamortized deferred issuance costs, for a net carrying value of $51 million. At December 31, 2020, $24 million of bridge loans and $49 million of single-family rental loans were pledged as collateral under this facility. Recourse 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 accrue interest at a per annum rate equal to one-month LIBOR plus 3.00% 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. We had no borrowings outstanding under this facility at December 31, 2020. Convertible Notes In September 2019, RWT Holdings, Inc., a wholly-owned subsidiary of Redwood Trust, Inc., issued $201 million principal amount of 5.75% exchangeable senior notes due 2025. These exchangeable notes require semi-annual interest payments at a fixed coupon rate of 5.75% until maturity or exchange, which will be no later than October 1, 2025. After deducting the underwriting discount and offering costs, we received $195 million of net proceeds. Including amortization of deferred debt issuance costs, the weighted average interest expense yield on these exchangeable notes is approximately 6.3% per annum. At December 31, 2020, these notes were exchangeable at the option of the holder at an exchange rate of 55.2644 common shares per $1,000 principal amount of exchangeable senior notes (equivalent to an exchange price of $18.09 per common share). Upon exchange of these notes by a holder, the holder will receive shares of our common stock. During the second quarter of 2020, we repurchased $29 million par value of these notes at a discount and recorded a gain on extinguishment of $6 million in Realized gains, net on our consolidated statements of income (loss). At December 31, 2020, the outstanding principal amount of these notes was $172 million. At December 31, 2020, the accrued interest payable balance on this debt was $2 million and the unamortized deferred issuance costs were $4 million. In June 2018, we issued $200 million principal amount of 5.625% convertible senior notes due 2024 at an issuance price of 99.5%. These convertible notes require semi-annual interest payments at a fixed coupon rate of 5.625% until maturity or conversion, which will be no later than July 15, 2024. After deducting the issuance discount, the underwriting discount and offering costs, we received $194 million of net proceeds. Including amortization of deferred debt issuance costs and the debt discount, the weighted average interest expense yield on these convertible notes is approximately 6.2% per annum. These notes are convertible at the option of the holder at a conversion rate of 54.8317 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $18.24 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. During the second quarter of 2020, we repurchased $50 million par value of these notes at a discount and recorded a gain on extinguishment of $9 million in Realized gains, net on our consolidated statements of income (loss). At December 31, 2020, the outstanding principal amount of these notes was $150 million and the accrued interest payable on this debt was $4 million. At December 31, 2020, the unamortized deferred issuance costs and debt discount were $2 million and $0.5 million, respectively. In August 2017, we issued $245 million principal amount of 4.75% convertible senior notes due 2023. These convertible notes require semi-annual interest payments at a fixed coupon rate of 4.75% until maturity or conversion, which will be no later than August 15, 2023. After deducting the underwriting discount and offering costs, we received $238 million of net proceeds. Including amortization of deferred debt issuance costs, the weighted average interest expense yield on these convertible notes is approximately 5.3% per annum. At December 31, 2020, these notes were convertible at the option of the holder at a conversion rate of 54.4764 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $18.36 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. During the second quarter of 2020, we repurchased $46 million par value of these notes at a discount and recorded a gain on extinguishment of $10 million in Realized gains, net on our consolidated statements of income (loss). At December 31, 2020, the outstanding principal amount of these notes was $199 million. At December 31, 2020, the accrued interest payable balance on this debt was $4 million and the unamortized deferred issuance costs were $3 million. Trust Preferred Securities and Subordinated Notes At December 31, 2020, we had trust preferred securities and subordinated notes outstanding of $100 million and $40 million, respectively. This debt requires quarterly interest payments at a floating rate equal to three-month LIBOR plus 2.25% until the notes are redeemed. The $100 million trust preferred securities will be redeemed no later than January 30, 2037, and the $40 million subordinated notes will be redeemed no later than July 30, 2037. At both December 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 | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At December 31, 2020, we were obligated under eight non-cancelable operating leases with expiration dates through 2031 for $20 million of cumulative lease payments. Our operating lease expense was $4 million, $3 million, and $2 million for the years ended December 31, 2020, 2019 and 2018, respectively. The following table presents our future lease commitments at December 31, 2020. Table 16.1 – Future Lease Commitments by Year (In Thousands) December 31, 2020 2021 $ 3,469 2022 3,301 2023 2,813 2024 2,231 2025 1,983 2026 and thereafter 6,128 Total Lease Commitments 19,925 Less: Imputed interest (3,238) Operating Lease Liabilities $ 16,687 Leasehold improvements for our offices are amortized into expense over the lease term. There were $3 million of unamortized leasehold improvements at December 31, 2020. For the years ended December 31, 2020, 2019, and 2018, we recognized $0.5 million, $0.4 million, and $0.2 million of leasehold amortization expense, respectively. During the year ended December 31, 2020, we entered into four office leases and determined that each of these leases qualified as operating leases. At December 31, 2020, our operating lease liabilities were $17 million, which were a component of Accrued expenses and other liabilities, and our operating lease right-of-use assets were $15 million, which were 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 December 31, 2020, the weighted-average remaining lease term and weighted-average discount rate for our leases was 7 years and 4.9%, respectively. Commitment to Fund Bridge Loans As of December 31, 2020, we had commitments to fund up to $216 million of additional advances on existing 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 December 31, 2020, we recorded a $2 million contingent liability related to these commitments to fund construction advances. 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 $8 million at December 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. 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 first quarter of 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 December 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. 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 December 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 December 31, 2020, we had not incurred any losses under these arrangements. For the years ended December 31, 2020, 2019, and 2018, other income related to these arrangements was $4 million for each of these periods, and was included in Other income on our consolidated statements of income. For the years ended December 31, 2020, 2019, and 2018, we recorded net market valuation losses related to these arrangements of $1 million, $0.2 million, and $0.4 million, respectively, through Investment fair value changes, net, on our consolidated statements of income. All of the loans in the reference pools subject to these risk-sharing arrangements were originated in 2014 and 2015, and at December 31, 2020, the loans had an unpaid principal balance of $938 million and a weighted average FICO score of 757 (at origination) and LTV ratio of 75% (at origination). At December 31, 2020, $39 million of the loans were 90 days or more delinquent, of which one of these loans with an unpaid principal balance of $0.2 million was in foreclosure. At December 31, 2020, the carrying value of our guarantee obligation was $10 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 December 31, 2020 and December 31, 2019, assets of such SPEs totaled $46 million and $48 million, respectively, and liabilities of such SPEs totaled $10 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. Additionally, for certain loans we sold during the second quarter of 2020 that were previously held for investment, we have a direct obligation to repurchase these loans in the event of any early payment defaults (or EPDs) by the underlying mortgage borrowers within certain specified periods following the sales. At December 31, 2020 and December 31, 2019, our repurchase reserve associated with our residential loans and MSRs was $9 million and $4 million, respectively, and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. We received 10 and 15 repurchase requests during the years ended December 31, 2020 and 2019, respectively. During the years ended December 31, 2020, 2019, and 2018, we repurchased one loan, zero loans, and two loans, respectively. During the years ended December 31, 2020, 2019, and 2018, we recorded repurchase provisions of $4 million and reversals of repurchase provisions of $0.1 million and $0.7 million, respectively, that were recorded in Mortgage banking activities, net and Other income on our consolidated statements of income and had charge-offs of $0.1 million, zero, and zero, respectively. Loss Contingencies — Litigation, Claims and Demands 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.” At December 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. From time to time and in the ordinary course of business, we may submit or receive demand letters to or from counterparties relating to breaches of representations and warranties, be named in lawsuits brought by mortgage borrowers relating to foreclosure proceedings initiated by the servicers of the related mortgage loans or seeking to establish that their mortgage notes and/or mortgages are unenforceable as a matter of law due to defects in the transfer and assignment of those notes and mortgages, or be named in lawsuits brought by mortgage borrowers seeking remedies against the originator of the mortgage for fraud or defects in the originator's origination process, including defects in the disclosure of mortgage terms at the time of origination (in these cases we may be named in connection with the origination of the loan, in the case of business purpose loans we originate, or on a theory of assignee liability in the case of residential loans we acquire). Additionally, following our recent acquisitions of the 5 Arches and CoreVest business purpose loan origination platforms, there are litigation matters that relate to these two platforms that represent a level of litigation activity that we believe is generally consistent with the ordinary course of business of a loan originator, which has not been associated with Redwood historically. In addition to those matters, as previously disclosed, in connection with the impact of the effects of the pandemic on the non-Agency mortgage finance market and on our business and operations, a number of the counterparties that have regularly sold residential mortgage loans to us believe that we 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 decisions earlier in 2020 not to purchase certain loans from them (“Residential Loan Seller Demands”). We believe that these Residential Loan Seller Demands are without merit or subject to defenses and we intend to defend vigorously any such allegations and any related demand or claim to which we are or become a party. Despite our beliefs about the legal merits of these allegations, because our ordinary course of business is to seek to continue to regularly engage in mutually beneficial transactions with these counterparties, in some cases we have been willing to engage in discussions with these counterparties with the intention of reaching resolution, including through structuring arrangements that incentivize both the counterparty and us to continue to engage in residential loan purchase and sale transactions in the future. With respect to certain of the Residential Loan Seller Demands, these resolution discussions have been successful in resolving, or establishing a framework that we believe will be the basis for successfully resolving, the demands of these counterparties, including through forward-looking joint business undertakings and structured arrangements that incentivize both the counterparty and us to continue to engage in residential loan purchase and sale transactions in the future. With respect to these counterparties, we have incurred or expect to incur certain costs in connection with finalizing these arrangements (including costs that are contingent on the successful completion of future residential loan purchase and sale transactions with these counterparties) and have recorded any such actual costs incurred through December 31, 2020, as well as an accrual for the estimated costs associated with counterparties where a resolution or go-forward framework has been agreed to or has been discussed but not finalized, a portion of which was recorded through Other expense and a portion of which was recorded through Mortgage banking activities, net on our consolidated income statement. In accordance with GAAP, the accrual for estimated costs is based on the opinion of management, that it is probable that these resolutions and forward-looking joint business undertakings and structured arrangements will result in an expense and the amount of expense can be reasonably estimated. In addition, as previously disclosed, one such counterparty filed a breach of contract lawsuit against us in May 2020 alleging that it had suffered in excess of $2 million of losses as a result of our alleged failure to purchase residential mortgage loans from it; and in October 2020 we and the plaintiff agreed to settle the lawsuit on mutually satisfactory terms. During the year ended December 31, 2020, we recorded $10 million of expenses in association with Residential Loan Seller Demands. At December 31, 2020, the aggregate amount of our accrual for estimated costs associated with Residential Loan Seller Demands was $2.5 million, a portion of which would be contingent on the successful completion of future residential loan purchase and sale transactions with certain counterparties. We believe we have either resolved or adequately accrued for any unresolved Residential Loan Seller Demands and that there are no other Residential Loan Seller Demands that are reasonably possible to result in a material loss. 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 Demands) could result in our concluding in the future to establish additional accruals or reserves or disclose a range of reasonably possible losses with respect to these Residential Loan Seller Demand matters. Our actual losses, and any accruals or reserves we may establish in the future relating to these matters, may be materially higher than the accruals and reserves we have noted 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 that are not already formally resolved will be resolved through a resolution or settlement and we cannot be certain that the resolution of these matters, whether through litigation, 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. 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 litigation 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 | 12 Months Ended |
Dec. 31, 2020 | |
Equity [Abstract] | |
Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income by component for the years ended December 31, 2020 and 2019. During the year ended December 31, 2020, we recognized net unrealized losses of $2 million on our Level 3 AFS securities which we owned as of December 31, 2020. Table 17.1 – Changes in Accumulated Other Comprehensive Income (Loss) by Component Years Ended December 31, 2020 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 (loss) income (3,951) (32,806) 17,077 (16,894) Amounts reclassified from other accumulated comprehensive (loss) income (12,165) 3,188 (19,967) — Net current-period other comprehensive loss (16,116) (29,618) (2,890) (16,894) Balance at End of Period $ 76,336 $ (80,557) $ 92,452 $ (50,939) The following table provides a summary of reclassifications out of accumulated other comprehensive income for the years ended December 31, 2020 and 2019. Table 17.2 – Reclassifications Out of Accumulated Other Comprehensive Income (Loss) Amount Reclassified From Affected Line Item in the Year Ended December 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 $ 388 $ — Gain on sale of AFS securities Realized gains, net (12,553) (19,967) $ (12,165) $ (19,967) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 3,188 $ — $ 3,188 $ — 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. In March 2020, we increased the maximum aggregate amount of common stock offered under the ATM program to $175 million. During the year ended December 31, 2020, we issued 129,500 common shares for net proceeds of approximately $2 million through ATM offerings. During the year ended December 31, 2019, we issued 2,259,758 common shares for net proceeds of approximately $36 million through ATM offerings. At December 31, 2020, approximately $110 million remained outstanding for future offerings under this program. Direct Stock Purchase and Dividend Reinvestment Plan During the year ended December 31, 2020, we did not issue any shares of common stock through our Direct Stock Purchase and Dividend Reinvestment Plan. During the year ended December 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. Earnings per Common Share The following table provides the basic and diluted earnings per common share computations for the years ended December 31, 2020, 2019, and 2018. Table 17.3 – Basic and Diluted Earnings per Common Share Years Ended December 31, (In Thousands, except Share Data) 2020 2019 2018 Basic (Loss) Earnings per Common Share: Net (loss) income attributable to Redwood $ (581,847) $ 169,183 $ 119,600 Less: Dividends and undistributed earnings allocated to participating securities (1,990) (4,797) (3,754) Net (loss) income allocated to common shareholders $ (583,837) $ 164,386 $ 115,846 Basic weighted average common shares outstanding 113,935,605 101,120,744 78,724,912 Basic (Loss) Earnings per Common Share $ (5.12) $ 1.63 $ 1.47 Diluted (Loss) Earnings per Common Share: Net (loss) income attributable to Redwood $ (581,847) $ 169,183 $ 119,600 Less: Dividends and undistributed earnings allocated to participating securities (1,990) (5,273) (4,283) Adjust for interest expense and gain on extinguishment of convertible notes for the period, net of tax — 36,212 32,653 Net (loss) income allocated to common shareholders $ (583,837) $ 200,122 $ 147,970 Weighted average common shares outstanding 113,935,605 101,147,225 78,724,912 Net effect of dilutive equity awards — 251,100 189,120 Net effect of assumed convertible notes conversion to common shares — 35,382,269 31,113,738 Diluted weighted average common shares outstanding 113,935,605 136,780,594 110,027,770 Diluted (Loss) Earnings per Common Share $ (5.12) $ 1.46 $ 1.34 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 years ended December 31, 2019 and 2018, certain of 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 year ended December 31, 2020, 31,306,089 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 years ended December 31, 2020, 2019, and 2018, the number of outstanding equity awards that were antidilutive totaled 12,622, 10,051, and 7,230, 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. This 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. During the year ended December 31, 2020, we repurchased 3,047,335 shares of our common stock pursuant to this authorization for $22 million. At December 31, 2020, $78 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 | 12 Months Ended |
Dec. 31, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans During 2020, Redwood shareholders approved for grant an additional 5 million shares of common stock under our Incentive Plan. At December 31, 2020 and December 31, 2019, 7,957,891 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 which are settled by delivery of shares of common stock and purchases under the Employee Stock Purchase Plan totaled $28 million at December 31, 2020, as shown in the following table. Table 18.1 – Activities of Equity Compensation Costs by Award Type Year Ended December 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 — 3,465 12,261 4,937 137 20,800 Performance-based valuation adjustment — — — (7,352) — (7,352) Equity grant forfeitures (531) (2,163) (4,733) (648) — (8,075) Equity compensation expense (895) (1,296) (7,620) (89) (137) (10,037) Unrecognized Compensation Cost at End of Period $ 564 $ 3,540 $ 17,766 $ 5,794 $ — $ 27,664 At December 31, 2020, the weighted average amortization period remaining for all of our equity awards was one year. Restricted Stock Awards ("RSAs") The following table summarizes the activities related to RSAs for the years ended December 31, 2020, 2019, and 2018. Table 18.2 – Restricted Stock Awards Activities Years Ended December 31, 2020 2019 2018 Shares Weighted Shares Weighted Shares Weighted Outstanding at beginning of period 216,470 $ 14.85 334,606 $ 14.92 257,507 $ 15.23 Granted — — — — 168,537 14.71 Vested (102,615) 14.44 (118,136) 15.05 (83,968) 15.46 Forfeited (34,857) 15.16 — — (7,470) 15.05 Outstanding at End of Period 78,998 $ 15.23 216,470 $ 14.85 334,606 $ 14.92 The expenses recorded for RSAs were $1 million, $2 million, and $2 million for the years ended December 31, 2020, 2019 and 2018, respectively. As of December 31, 2020, there was $1 million of unrecognized compensation cost related to unvested RSAs. This cost will be recognized over a weighted average period of less than one year. Restrictions on shares of RSAs outstanding lapse through 2022. Restricted Stock Units ("RSUs") The following table summarizes the activities related to RSUs for the years ended December 31, 2020, 2019, and 2018. Table 18.3 – Restricted Stock Units Activities Years Ended December 31, 2020 2019 2018 Shares Weighted Shares Weighted Shares Weighted Outstanding at beginning of period 275,173 $ 15.65 4,876 $ 15.38 — $ — Granted 205,482 16.86 270,297 15.66 4,876 15.38 Vested (68,076) 15.65 — — — — Forfeited (130,155) 16.60 — — — — Outstanding at End of Period 282,424 $ 16.09 275,173 $ 15.65 4,876 $ 15.38 The expenses recorded for RSUs were $1 million, $1 million, and less than $0.1 million for the years ended December 31, 2020, 2019 and 2018, respectively. As of December 31, 2020, there was $4 million of unrecognized compensation cost related to unvested RSUs. This cost will be recognized over a weighted average period of less than two years. Restrictions on shares of RSUs outstanding lapse through 2024. Deferred Stock Units (“DSUs”) The following table summarizes the activities related to DSUs for the years ended December 31, 2020, 2019, and 2018. Table 18.4 – Deferred Stock Units Activities Years Ended December 31, 2020 2019 2018 Units Weighted Units Weighted Units Weighted Outstanding at beginning of period 2,630,805 $ 15.66 2,336,720 $ 15.58 1,878,491 $ 15.92 Granted 1,186,154 10.69 733,096 16.06 670,254 15.53 Distributions (720,562) 14.31 (419,113) 15.96 (212,025) 18.37 Forfeitures (291,253) 16.25 (19,898) 15.96 — — Balance at End of Period 2,805,144 $ 13.84 2,630,805 $ 15.66 2,336,720 $ 15.58 We generally grant DSUs annually, as part of our compensation process. In addition, DSUs are granted from time to time in connection with hiring and promotions and in lieu of the payment in cash of a portion of annual bonus earned. DSUs vest over the course of a four-year vesting period, and are distributed after the end of the final vesting period or after an employee is terminated. At December 31, 2020 and 2019, the number of outstanding DSUs that were unvested was 1,599,019 and 1,344,743, respectively. The weighted average grant-date fair value of these unvested DSUs was $13.30 and $15.76 at December 31, 2020 and 2019, respectively. Unvested DSUs at December 31, 2020 will vest through 2024. Expenses related to DSUs were $8 million for each of the years ended December 31, 2020, 2019, and 2018. At December 31, 2020, there was $18 million of unrecognized compensation cost related to unvested DSUs. This cost will be recognized over a weighted average period of less than two years. At December 31, 2020 and 2019, the number of outstanding DSUs that had vested was 1,206,125 and 1,286,063, respectively. Performance Stock Units (“PSUs”) At December 31, 2020 and December 31, 2019, the target number of PSUs that were unvested was 978,735 and 839,070, respectively. During 2020, 2019, and 2018, 473,845, 307,938, and 258,078 target number of PSUs were granted, respectively, with per unit grant date fair values of $10.42, $17.13, and $17.05, respectively. During the year ended December 31, 2020, 99,175 PSUs were forfeited due to employee departures. During the years ended December 31, 2019 and 2018, there were no PSUs forfeited. With respect to 473,845, 275,831, and 206,034 target number of PSUs granted in December 2020, December 2019, and December 2018, respectively, and still outstanding at December 31, 2020, the number of underlying shares of common stock that vest and that the recipient becomes entitled to receive at the time of vesting will generally range from 0% to 250% of the target number of PSUs granted, with the target number of PSUs granted being adjusted to reflect the value of any dividends declared on our common stock during the vesting period. Vesting of these PSUs will generally occur as of January 1, 2024 for the December 2020 awards, January 1, 2023 for the December 2019 awards, and as of January 1, 2022 for the December 2018 awards. Vesting is based on a three-step process as described below. With respect to the December 2020 PSU awards: • Target PSUs are divided into three equal tranches. Baseline vesting for each tranche would range from 0% - 200% of the Target PSUs in such tranche based on the level of the Company's book value total shareholder return ("bvTSR") attained over a corresponding calendar year measurement period within the three • Second, at the end of the three-year vesting period, the aggregate vesting level of the three tranches, or total baseline vesting, would then be adjusted to increase or decrease by up to 50 percentage points based on the Company's three three • Third, if the aggregate vesting level after steps one and two is greater than 100% of the Target PSUs, but the Company's absolute total shareholder return ("TSR") is negative over the three With respect to the December 2019 and December 2018 PSU awards: • First, baseline vesting would range from 0% - 200% of the target number of PSUs granted based on the level of bvTSR attained over the three three three • Second, the vesting level would then be adjusted to increase or decrease by up to an additional 50 percentage points based on Redwood’s rTSR against a comparator group of companies measured over the three • Third, if the vesting level after steps one and two is greater than 100% of the target number of PSUs, but absolute TSR is negative over the three three Three The grant date fair value of the December 2020 PSUs of $10.42 was determined through Monte-Carlo simulations using the following assumptions: the common stock closing price at the grant date for Redwood and each member of the comparator group, the average closing price of the common stock price for the 60 trading days beginning January 1, 2021 for Redwood and each member of the comparator group, and the range of performance-based vesting based on absolute TSR over three three three The grant date fair value of the December 2019 PSUs of $17.13 was determined through Monte-Carlo simulations using the following assumptions: the common stock closing price at the grant date for Redwood and each member of the comparator group, the average closing price of the common stock price for the 60 trading days prior to the grant date for Redwood and each member of the comparator group, and the range of performance-based vesting based on Absolute TSR over three three three The grant date fair value of the December 2018 PSUs of $17.23 was determined through Monte-Carlo simulations using the following assumptions: the common stock closing price at the grant date for Redwood and each member of the comparator group, the average closing price of the common stock price for the 60 trading days prior to the grant date for Redwood and each member of the comparator group, and the range of performance-based vesting based on Absolute TSR over three three three In May 2018, 23,025 target number of PSUs with a per unit grant date fair value of $15.20 were granted to two executives in connection with their promotions. The grant date fair values of these PSUs were determined through Monte-Carlo simulations using the following assumptions: our common stock closing price at the grant date, the average closing price of our common stock price for the 60 trading days prior to the grant date and the range of performance-based vesting based on Three With respect to the PSUs granted in May 2018, vesting will generally occur at the end of three years from their grant date, with the level of vesting at that time contingent on the Three-Year TSR. The number of underlying shares of our common stock that will vest in future years will vary between 0% (if Three Three With respect to PSUs granted in 2017, the three-year performance period ended during the fourth quarter of 2020, resulting in the vesting of no shares of our common stock. With respect to the PSUs granted in 2016, the three-year performance period ended during the fourth quarter of 2019, resulting in the vesting of 222,769 shares of our common stock. With respect to the PSUs granted in 2015, the three-year performance period ended during the fourth quarter of 2018, resulting in the vesting of 387,937 shares of our common stock. Expenses related to PSUs were $0.1 million for the year ended December 31, 2020, and $3 million for each of the years ended December 31, 2019, and 2018. As of December 31, 2020, there was $6 million of unrecognized compensation cost related to unvested PSUs. During 2020, for PSUs granted in 2018 and 2019, we adjusted our vesting estimate to assume that none of these awards will meet the minimum performance thresholds for vesting. This adjustment resulted in a reversal of $1 million of stock-based compensation expense that had been recorded prior to 2020. 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 December 31, 2020, 489,886 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at December 31, 2020. The following table summarizes the activities related to the ESPP for the years ended December 31, 2020, 2019, and 2018. Table 18.5 – Employee Stock Purchase Plan Activities Years Ended December 31, (In Thousands) 2020 2019 2018 Balance at beginning of period $ 4 $ 6 $ 4 Employee purchases 347 524 375 Cost of common stock issued (334) (526) (373) Balance at End of Period $ 17 $ 4 $ 6 Executive Deferred Compensation Plan The following table summarizes the cash account activities related to the EDCP for the years ended December 31, 2020, 2019, and 2018. Table 18.6 – EDCP Cash Accounts Activities Years Ended December 31, (In Thousands) 2020 2019 2018 Balance at beginning of period $ 2,454 $ 2,484 $ 2,171 New deferrals 726 789 759 Accrued interest 42 68 82 Withdrawals (933) (887) (528) Balance at End of Period $ 2,289 $ 2,454 $ 2,484 In 2018, our Board of Directors approved an amendment to the EDCP to increase by 200,000 shares the shares available to allow non-employee directors to defer certain cash payments and dividends into DSUs. At December 31, 2020, there were 99,281 shares available for grant under this plan. |
Mortgage Banking Activities
Mortgage Banking Activities | 12 Months Ended |
Dec. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Mortgage Banking Activities | Mortgage Banking Activities The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the years ended December 31, 2020, 2019, and 2018. Table 19.1 – Mortgage Banking Activities Years Ended December 31, (In Thousands) 2020 2019 2018 Residential Mortgage Banking Activities, Net Changes in fair value of: Residential loans, at fair value (1) $ 41,284 $ 63,527 $ 21,808 Trading securities (2) (4,535) — — Risk management derivatives (3) (26,376) (17,519) 35,248 Other income (expense), net (4) (6,652) 1,735 2,567 Total residential mortgage banking activities, net 3,721 47,743 59,623 Business Purpose Mortgage Banking Activities, Net Changes in fair value of: Single-family rental loans, at fair value (1) 82,510 17,004 453 Risk management derivatives (3) (21,403) 1,796 (510) Bridge loans, at fair value (4,998) 4,518 — Other income, net (5) 18,642 16,205 — Total business purpose mortgage banking activities, net 74,751 39,523 (57) Mortgage Banking Activities, Net $ 78,472 $ 87,266 $ 59,566 (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 fair value changes on trading securities that are being used along with risk management derivatives as hedges to manage the mark-to-market risks associated with our residential mortgage banking operations. (3) Represents market valuation changes of derivatives that were used to manage risks associated with our mortgage banking operations. (4) Amounts in this line item include other fee income from loan acquisitions, provisions for repurchase expense, and expenses related to resolving residential loan seller demands, presented net. (5) Amounts in this line item include other fee income from loan originations. |
Other Income
Other Income | 12 Months Ended |
Dec. 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 for the years ended December 31, 2020, 2019 and 2018. Table 20.1 – Other Income Years Ended December 31, (In Thousands) 2020 2019 2018 MSR (loss) income, net $ (9,694) $ 3,521 $ 7,076 Risk share income 4,367 3,522 3,613 FHLBC capital stock dividend 1,229 2,169 1,763 Equity investment income 1,037 1,405 618 5 Arches loan administration fee income 2,912 4,400 — Gain on re-measurement of investment in 5 Arches — 2,441 — Other 4,337 1,799 — Other Income $ 4,188 $ 19,257 $ 13,070 |
General and Administrative Expe
General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses | 12 Months Ended |
Dec. 31, 2020 | |
Other Income and Expenses [Abstract] | |
General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses | General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses Components of our general and administrative expenses, loan acquisition costs, and other expenses for the years ended December 31, 2020, 2019 and 2018 are presented in the following table. Table 21.1 – Components of General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses Years Ended December 31, (In Thousands) 2020 2019 2018 General and Administrative Expenses Fixed compensation expense $ 46,689 $ 39,639 $ 24,445 Annual variable compensation expense 14,116 21,728 14,589 Long-term incentive award expense (1) 12,439 13,402 12,388 Acquisition-related equity compensation expense (2) 4,848 1,010 — Systems and consulting 11,728 10,746 7,451 Office costs 7,794 6,310 4,705 Accounting and legal 7,928 5,450 5,529 Corporate costs 2,829 2,351 1,955 Other 6,833 8,101 4,236 Total General and Administrative Expenses 115,204 108,737 75,298 Loan Acquisition Costs Commissions 4,321 3,833 78 Underwriting costs 4,945 4,767 5,140 Transfer and holding costs 1,757 1,335 2,266 Total Loan Acquisition Costs 11,023 9,935 7,484 Other Expenses Goodwill impairment expense 88,675 — — Amortization of purchase-related intangible assets 15,925 8,696 177 Contingent consideration expense (3) 249 3,218 — Other 3,936 1,108 19 Total Other Expenses 108,785 13,022 196 Total General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses $ 235,012 $ 131,694 $ 82,978 (1) For the year ended December 31, 2020, long-term incentive award expense includes $10 million of expense for awards settleable in shares of our common stock and $2 million of expense for awards settleable in cash. (2) 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. (3) Contingent consideration expense relates to the acquisition of 5 Arches during 2019. Refer to Note 2 for additional detail. Cash-Based Retention Awards During the three months ended September 30, 2020, $8 million of cash-based retention awards were granted to certain executive and non-executive employees that will vest and be paid over the next three years, subject to continued employment through the vesting periods from 2021 through 2023. Additionally, during the three months ended September 30, 2020, Cash Performance Awards with an aggregate granted award value of $2 million, were granted to certain executive and non-executive employees that will vest between 0% to 400% of granted award value based on a relative total stockholder return measure, and are contingent on continued employment over a three-year service period. The value of the cash-based retention awards is being amortized into expense on a straight-line basis over each award's respective vesting period. The Cash Performance Awards are amortized on a straight-line basis over three years; however, they are remeasured at fair value each quarter-end and the cumulative straight-line expense is trued-up in respect to their updated value. For the year ended December 31, 2020, General and administrative expenses included $5 million in aggregate related to the cash-based retention awards and the Cash Performance awards. Cash-Settled Deferred Stock Units In December 2020, $2 million of cash-settled deferred stock units were granted to certain executive officers and non-executive employees that will vest over the next four years through 2024. These awards will be fully vested and payable in cash with a vested award value based on the closing market price of our common stock on December 15, 2024. These awards are classified as a liability in Accrued expenses and other liabilities on our consolidated balance sheets, and will be amortized over the vesting period on a straight-line basis, adjusted for changes in the value of our common stock at the end of each reporting period. For the year ended December 31, 2020, we recognized an expense of less than $0.1 million in "Long-term incentive award expense," as presented in Table 21.1 above. |
Taxes
Taxes | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Taxes | Taxes Components of our net deferred tax assets at December 31, 2020 and December 31, 2019 are presented in the following table. Table 22.1 – Deferred Tax Assets (Liabilities) (In Thousands) December 31, 2020 December 31, 2019 Deferred Tax Assets Net operating loss carryforward – state $ 103,334 $ 98,554 Net capital loss carryforward – state 23,487 — Net operating loss carryforward – federal 82 82 Real estate assets 2,948 676 Allowances and accruals 3,324 1,930 Goodwill and intangible assets 23,231 2,739 Other 1,914 1,749 Tax effect of unrealized (gains) / losses - OCI 124 — Total Deferred Tax Assets 158,444 105,730 Deferred Tax Liabilities Mortgage Servicing Rights (2,458) (13,783) Interest rate agreements (3,867) (42) Total Deferred Tax Liabilities (6,325) (13,825) Valuation allowance (151,248) (97,057) Total Deferred Tax Asset (Liability), net of Valuation Allowance $ 871 $ (5,152) The deferred tax assets and liabilities reported above, with the exception of the state net operating loss ("NOL") and capital loss carryforwards, relate solely to our TRS. For state purposes, the REIT files a unitary combined return with its TRS. Because the REIT may have state taxable income apportioned to it from the activity of its TRS, we report the entire combined unitary state NOL and capital loss carryforwards as deferred tax assets, including the carryforwards allocated to the REIT. Realization of our deferred tax assets ("DTAs") at December 31, 2020, is dependent on many factors, including generating sufficient taxable income prior to the expiration of NOL carryforwards and generating sufficient capital gains in future periods prior to the expiration of capital loss carryforwards. We determine the extent to which realization of the deferred assets is not assured and establish a valuation allowance accordingly. As a result of GAAP losses at our TRS in 2020, we are reporting net federal ordinary and capital DTAs at December 31, 2020 and consequently a valuation allowance was recorded against our net federal ordinary DTAs. However, no valuation allowance was recorded against our net federal capital DTAs as we currently expect to utilize these DTAs due to our ability to recognize capital losses and carry them back to prior years. Consistent with prior periods, at December 31, 2020, we continued to maintain a valuation allowance against our net state DTAs as we remain uncertain about our ability to generate sufficient income in future periods needed to utilize net state DTAs beyond the reversal of our state DTLs. As a result of GAAP income generated at our TRS in 2019, we reported net federal ordinary and capital deferred tax liabilities ("DTLs") at December 31, 2019 and consequently no valuation allowance was recorded against any federal DTA for this period. Our estimate of net deferred tax assets could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. We assessed our tax positions for all open tax years (i.e., Federal, 2017 to 2020, and State, 2016 to 2020) and, at December 31, 2020 and December 31, 2019, concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. At December 31, 2020, our federal NOL carryforward at the REIT was $36 million, of which $28 million will expire in 2029 and $7 million will carry forward indefinitely. In order to utilize NOLs at the REIT, taxable income must exceed dividend distributions. At December 31, 2020, our taxable REIT subsidiaries had $0.8 million of federal NOLs, of which $0.2 million will expire beginning in 2035 and $0.6 million will carry forward indefinitely. Redwood and its taxable REIT subsidiaries accumulated an estimated state NOL of $1.21 billion at December 31, 2020. These NOLs expire beginning in 2029. If certain substantial changes in the Company’s ownership occur, there could be an annual limitation on the amount of the carryforwards that can be utilized. The following table summarizes the provision for income taxes for the years ended December 31, 2020, 2019, and 2018. Table 22.2 – Provision for Income Taxes Years Ended December 31, (In Thousands) 2020 2019 2018 Current Provision for Income Taxes Federal $ 1,598 $ 12,036 $ 11,387 State (182) 897 820 Total Current Provision for Income Taxes 1,416 12,933 12,207 Deferred (Benefit) Provision for Income Taxes Federal (6,024) (3,976) (1,419) State — (1,517) 300 Total Deferred (Benefit) Provision for Income Taxes (6,024) (5,493) (1,119) Total (Benefit From) Provision for Income Taxes $ (4,608) $ 7,440 $ 11,088 The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at December 31, 2020, 2019, and 2018. Table 22.3 – Reconciliation of Statutory Tax Rate to Effective Tax Rate December 31, 2020 December 31, 2019 December 31, 2018 Federal statutory rate 21.0 % 21.0 % 21.0 % State statutory rate, net of Federal tax effect 8.6 % 8.6 % 8.6 % Differences in taxable (loss) income from GAAP income (19.6) % (2.1) % (1.7) % Change in valuation allowance (9.2) % (2.2) % 1.9 % Dividends paid deduction (1) — % (21.1) % (21.3) % Federal statutory rate change — % — % — % Effective Tax Rate 0.8 % 4.2 % 8.5 % (1) The dividends paid deduction in the effective tax rate reconciliation is generally representative of the amount of distributions to shareholders that reduce REIT taxable income. For the year ended December 31, 2020, the dividends paid deduction is 0% due to our REIT incurring a taxable loss during the period; therefore, there was no REIT taxable income available to apply against the dividends paid. |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 2020 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information Redwood operates in three segments: Residential Lending, Business Purpose Lending, and Third-Party Investments. During 2020, we reorganized our segments and combined what was previously our Multifamily Investments segment and Third-Party Residential Investments into a new segment called Third-Party Investments, and began including convertible debt and trust-preferred interest expense in our Corporate/Other segment. We conformed the presentation of prior periods. The accounting policies of the reportable segments are the same as those described in Note 3 — Summary of Significant Accounting Policies . For a full description of our segments, see Item 1 —Business in this Annual Report on Form 10-K. 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 three 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 interest expense and realized gains from the repurchase of our convertible notes and trust preferred securities, indirect general and administrative expenses and other expense. The following tables present financial information by segment for the years ended December 31, 2020, 2019, and 2018. Table 23.1 – Business Segment Financial Information Year Ended December 31, 2020 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 150,906 $ 218,890 $ 192,984 $ 9,136 $ 571,916 Interest expense (107,371) (157,292) (135,722) (47,620) (448,005) Net interest income 43,535 61,598 57,262 (38,484) 123,911 Non-interest income Mortgage banking activities, net 3,721 74,751 — — 78,472 Investment fair value changes, net (153,388) (81,042) (352,004) (2,004) (588,438) Other income, net (4,642) 4,651 1,494 2,685 4,188 Realized gains, net 2,001 — 3,241 25,182 30,424 Total non-interest income, net (152,308) (1,640) (347,269) 25,863 (475,354) General and administrative expenses (17,939) (39,319) (5,046) (52,900) (115,204) Loan acquisition costs (2,785) (7,544) (684) (10) (11,023) Other expenses (4,114) (104,147) 194 (718) (108,785) Provision for income taxes 4,567 (4,063) 4,104 — 4,608 Segment Contribution $ (129,044) $ (95,115) $ (291,439) $ (66,249) Net Loss $ (581,847) Non-cash amortization (expense) income, net $ 2,401 $ (24,638) $ 1,867 $ (4,954) $ (25,324) Other significant non-cash expense: goodwill impairment $ — $ (88,675) $ — $ — $ (88,675) Year Ended December 31, 2019 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 268,559 $ 54,372 $ 281,701 $ 17,649 $ 622,281 Interest expense (171,119) (32,232) (213,312) (63,145) (479,808) Net interest income 97,440 22,140 68,389 (45,496) 142,473 Non-interest income Mortgage banking activities, net 47,743 39,523 — — 87,266 Investment fair value changes, net (27,920) (6,722) 71,759 (1,617) 35,500 Other income 9,210 5,852 1,484 2,711 19,257 Realized gains, net 8,292 — 15,529 — 23,821 Total non-interest income (loss), net 37,325 38,653 88,772 1,094 165,844 General and administrative expenses (26,717) (25,591) (3,561) (52,868) (108,737) Loan acquisition costs (3,954) (5,064) (780) (137) (9,935) Other expenses — (8,521) (1,106) (3,395) (13,022) Provision for income taxes (4,074) (947) (2,419) — (7,440) Segment Contribution $ 100,020 $ 20,670 $ 149,295 $ (100,802) Net Income $ 169,183 Non-cash amortization income (expense), net $ 3,669 $ (9,173) $ 6,956 $ (4,813) $ (3,361) Year Ended December 31, 2018 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 245,124 $ 4,588 $ 108,969 $ 20,036 $ 378,717 Interest expense (134,590) (1,598) (41,887) (60,964) (239,039) Net interest income 110,534 2,990 67,082 (40,928) 139,678 Non-interest income Mortgage banking activities, net 59,623 (57) — — 59,566 Investment fair value changes, net (21,686) (29) (2,978) (996) (25,689) Other income 12,452 — — 618 13,070 Realized gains, net 7,709 — 19,332 — 27,041 Total non-interest income (loss), net 58,098 (86) 16,354 (378) 73,988 General and administrative expenses (26,897) (1,948) (2,140) (44,313) (75,298) Loan acquisition costs (5,242) (649) (1,584) (9) (7,484) Other expense — — (18) (178) (196) Provision for income taxes (8,033) — (3,055) — (11,088) Segment Contribution $ 128,460 $ 307 $ 76,639 $ (85,806) Net Income $ 119,600 Non-cash amortization income (expense), net $ 4,486 $ (290) $ 12,294 $ (4,111) $ 12,379 The following table presents the components of Corporate/Other for the years ended December 31, 2020, 2019, and 2018. Table 23.2 – Components of Corporate/Other Years Ended December 31, 2020 2019 2018 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 9,061 $ 75 $ 9,136 $ 17,649 $ — $ 17,649 $ 20,036 $ — $ 20,036 Interest expense (5,945) (41,675) (47,620) (14,418) (48,727) (63,145) (16,519) (44,445) (60,964) Net interest income (loss) 3,116 (41,600) (38,484) 3,231 (48,727) (45,496) 3,517 (44,445) (40,928) Non-interest income Investment fair value changes, net (1,512) (492) (2,004) (1,545) (72) (1,617) (1,016) 20 (996) Other income — 2,685 2,685 — 2,711 2,711 — 618 618 Realized gains, net — 25,182 25,182 — — — — — — Total non-interest (loss) income, net (1,512) 27,375 25,863 (1,545) 2,639 1,094 (1,016) 638 (378) General and administrative expenses — (52,900) (52,900) — (52,868) (52,868) — (44,313) (44,313) Loan acquisition costs — (10) (10) — (137) (137) — (9) (9) Other expenses — (718) (718) — (3,395) (3,395) — (178) (178) Total $ 1,604 $ (67,853) $ (66,249) $ 1,686 $ (102,488) $ (100,802) $ 2,501 $ (88,307) $ (85,806) (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 December 31, 2020 and December 31, 2019. Table 23.3 – Supplemental Segment Information (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total December 31, 2020 Residential loans $ 1,741,963 $ — $ 2,221,153 $ 285,935 $ 4,249,051 Business purpose loans — 4,136,353 — — 4,136,353 Multifamily loans — — 492,221 — 492,221 Real estate securities 160,780 — 183,345 — 344,125 Other investments 8,815 21,627 317,282 451 348,175 Goodwill and intangible assets — 56,865 — — 56,865 Total assets 1,989,802 4,323,040 3,232,415 809,809 10,355,066 December 31, 2019 Residential loans $ 4,939,745 $ — $ 2,367,215 $ 407,890 $ 7,714,850 Business purpose loans — 3,506,743 — — 3,506,743 Multifamily loans — — 4,408,524 — 4,408,524 Real estate securities 229,074 — 870,800 — 1,099,874 Other investments 42,224 21,002 294,904 — 358,130 Goodwill and intangible assets — 161,464 — — 161,464 Total assets 5,410,540 3,786,641 8,028,946 769,313 17,995,440 |
Schedule IV - Mortgage Loans On
Schedule IV - Mortgage Loans On Real Estate | 12 Months Ended |
Dec. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule IV - Mortgage Loans On Real Estate | (In Thousands) Description Number of Interest Maturity Carrying Amount Principal Amount Subject to Delinquent Principal or Interest Residential Loans Held-for-Investment At Legacy Sequoia (1) : ARM loans 1,899 0.25 % to 5.63% 2020-10 - 2036-05 $ 282,551 $ 17,285 Hybrid ARM loans 9 2.63 % to 4.00% 2033-07 - 2034-03 3,384 — At Sequoia Choice (1) : Hybrid ARM loans 54 3.13 % to 6.75% 2043-12 - 2050-02 43,003 2,415 Fixed loans 2,123 2.75 % to 6.75% 2029-04 - 2050-04 1,522,319 72,327 At Freddie Mac SLST (2) : Fixed loans 13,605 2.00 % to 11.00% 2020-12 - 2059-10 2,221,153 389,245 Total Residential Loans Held-for-Investment $ 4,072,410 $ 481,272 Residential Loans Held-for-Sale (3) : Hybrid ARM loans 2 2.00 % to 4.38% 2032-11 - 2047-10 $ 1,014 $ — Fixed loans 196 2.38 % to 5.50% 2040-11 - 2051-01 175,627 1,882 Total Residential Loans Held-for-Sale $ 176,641 $ 1,882 Single-Family Rental Loans Held-for-Sale (3) : Fixed loans 65 3.82 % to 7.75% 2020-05 - 2050-03 $ 245,394 $ 7,127 Total Single-Family Rental Loans Held-for-Sale $ 245,394 $ 7,127 Single-Family Rental Loans Held-for-Investment: At CAFL (1) : Fixed loans 1,094 3.93 % to 7.57% 2020-11 - 2031-01 $ 3,249,194 $ 61,440 Total Single-Family Rental Loans Held-for-Investment $ 3,249,194 $ 61,440 Bridge Loans Held-for-Investment (4) : Fixed loans 1,725 6.04 % to 13.00% 2019-10 - 2022-12 $ 641,765 $ 39,415 Total Bridge Loans Held-for-Investment $ 641,765 $ 39,415 Multifamily Loans Held-for-Investment (2) : At Freddie Mac K-Series: Fixed loans 28 4.25 % to 4.25% 2025-09 - 2025-09 $ 492,221 $ — Total Multifamily Loans Held-for-Investment $ 492,221 $ — (1) For our held-for-investment loans at consolidated Legacy Sequoia, Sequoia Choice, and CAFL entities, the aggregate tax basis for Federal income tax purposes at December 31, 2020 was zero, as the transfers of these loans into securitizations were treated as sales for tax purposes. (2) Our held-for-investment loans at Freddie Mac SLST and Freddie Mac K-Series entities were consolidated for GAAP purposes. For tax purposes, we acquired real estate securities issued by these entities and therefore, the tax basis in these loans was zero at December 31, 2020. (3) The aggregate tax basis for Federal income tax purposes of our mortgage loans held at Redwood approximates the carrying values, as disclosed in the schedule. (4) For our held-for-investment bridge loans at Redwood, the aggregate tax basis for Federal income tax purposes at December 31, 2020 was $654 million. The following table summarizes the changes in the carrying amount of mortgage loans on real estate during the years ended December 31, 2020, 2019, and 2018. Years Ended December 31, (In Thousands) 2020 2019 2018 Balance at beginning of period $ 15,630,117 $ 9,540,598 $ 5,115,210 Additions during period: Originations/acquisitions 5,914,728 12,911,261 10,607,896 Deductions during period: Sales (6,398,690) (5,218,797) (5,426,304) Principal repayments (2,313,143) (1,851,278) (843,984) Transfers to REO (14,104) (7,552) (4,104) Deconsolidation adjustments (3,849,779) — — Changes in fair value, net (91,503) 255,885 91,884 Balance at end of period $ 8,877,626 $ 15,630,117 $ 9,540,598 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The consolidated financial statements presented herein are at December 31, 2020 and December 31, 2019, and for the years ended December 31, 2020, 2019, and 2018. These consolidated financial statements have been 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”) — and the rules and regulations of the Securities and Exchange Commission ("SEC"). In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the Company at December 31, 2020 and 2019, and results of operations for all periods presented have been made. |
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 in which we have invested. 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 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. |
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. |
Business Combinations and Contingent Consideration | We use the acquisition method of accounting for business combinations, under which the purchase price is allocated to the fair values of the assets acquired and liabilities assumed at the acquisition date. The excess of the purchase price over the amount allocated to the assets acquired and liabilities assumed is recorded as goodwill. Acquisition-related costs are expensed as incurred.In relation to our acquisition of 5 Arches, we recorded contingent consideration liabilities that represent the estimated fair value (at the date of acquisition) of our obligation to make certain earn-out payments that are contingent on 5 Arches loan origination volumes exceeding certain specified thresholds. These liabilities were carried at fair value and periodic changes in their estimated fair value were recorded through Other expenses on our consolidated statements of income. During the first quarter of 2020, we reclassified the contingent liability to a deferred liability, as the remaining payments became payable on a set timetable without any remaining contingencies. |
Fair Value Measurements | Our consolidated financial statements include assets and liabilities that are measured at their estimated fair values in accordance with GAAP. A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. We develop fair values for financial assets or liabilities based on available inputs and pricing that is observed in the marketplace. After considering all available indications of the appropriate rate of return that market participants would require, we consider the reasonableness of the range indicated by the results to determine an estimate that is most representative of fair value. The markets for many of the assets that we invest in and issue are generally illiquid. Establishing fair values for illiquid assets and liabilities is inherently subjective and is often dependent upon our estimates and modeling assumptions. If we determine that either the volume and/or level of trading activity for an asset or liability has significantly decreased from normal market conditions, or price quotations or observable inputs are not associated with orderly transactions, the market inputs that we obtain might not be relevant. For example, broker or pricing service quotes might not be relevant if an active market does not exist for the financial asset or liability. The nature of the quote (for example, whether the quote is an indicative price or a binding offer) is also evaluated. |
Fair Value Option | We have the option to measure eligible financial assets, financial liabilities, and commitments at fair value on an instrument-by-instrument basis. This option is available when we first recognize a financial asset or financial liability or enter into a firm commitment. Subsequent changes in the fair value of assets, liabilities, and commitments where we have elected the fair value option are recorded in our consolidated statements of income. We elect the fair value option for certain residential loans, business purpose loans, interest-only (“IO”) and certain subordinate securities, MSRs, servicer advance investments, excess MSRs, and certain of our other investments. We generally elect the fair value option for residential and single-family rental loans that are held-for-sale, due to our intent to sell or securitize the loans in the near-term. We elect the fair value option for our IO and certain subordinate securities, and MSRs, for which we generally hedge market interest rate risk. As such, we seek to offset interest rate related changes in the values of these investments with changes in the values of their associated hedges through our consolidated statements of income. In addition, we elect the fair value option for the assets and liabilities of our consolidated Sequoia, Freddie Mac SLST, Freddie Mac K-Series, and CAFL entities in accordance with GAAP accounting for collateralized financing entities ("CFEs"). |
Real Estate Loans | Residential Loans - Held-for-Sale at Fair Value Residential loans held-for-sale include loans that we are marketing for sale to third parties, including transfers to securitization entities that we plan to sponsor. We generally elect the fair value option for residential loans that we purchase with the intent to sell to third parties or transfer to Sequoia securitizations. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status and any accrued interest is reversed against interest income. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value for these loans are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. Residential Loans - Held-for-Investment At Fair Value Certain loans that were originally purchased with the intent to sell as part of our residential mortgage banking operations, and for which we elected the fair value option at acquisition, were subsequently reclassified to held-for-investment ("HFI"). Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status and any accrued interest is reversed against interest income. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. During 2020, we completed the sale of all of our residential loans previously held for investment and had no residential loans held-for-investment at Redwood at December 31, 2020. In addition, we record residential loans held at consolidated Sequoia and Freddie Mac SLST entities at fair value. In accordance with accounting guidance for CFEs, we use the fair value of the ABS issued by these entities (which we determined to be more observable) to determine the fair value of the loans held at these entities. Coupon interest for these loans is recognized as revenue based on amounts expected to be paid to the securities issued by these entities. Changes in fair value for these loans are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. Business Purpose Loans - Held-for-Sale at Fair Value We originate business purpose loans, including single-family rental loans through our business purpose lending platform. Single-family rental loans are mortgage loans secured by residential real estate (primarily 1-4 unit) that the borrower owns as an investment property and rents to residential tenants. We classify single-family rental loans as held-for-sale at fair value when we originate these loans with the intent to transfer to securitization entities or sell to third parties. Coupon interest for these loans is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status and any accrued interest is reversed against interest income. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Changes in fair value are recurring and reported through our consolidated statements of income in Mortgage banking activities, net. Business Purpose Loans - Held-for-Investment at Fair Value We also originate bridge loans through our business purpose lending platform. Business purpose bridge loans are mortgage loans generally secured by unoccupied residential or small-balance multifamily real estate that the borrower owns as an investment and that is being renovated, rehabilitated or constructed. Bridge loans are classified as held-for-investment at fair value if we intend to hold these loans to maturity. Coupon interest for these loans is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status and any accrued interest is reversed against interest income. When a seriously delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. In addition, we record residential loans held at consolidated CAFL entities at fair value. In accordance with accounting guidance for CFEs, we use the fair value of the ABS issued by these entities (which we determined to be more observable) to determine the fair value of the loans held at these entities. Coupon interest for these loans is recognized as revenue based on amounts expected to be paid to the securities issued by these entities. Changes in fair value for these loans are recurring and reported through our consolidated statements of income in Investment fair value changes, net. Multifamily Loans, Held-for-Investment at Fair Value Multifamily loans are mortgage loans secured by multifamily properties, held in Freddie Mac-sponsored K-series securitization trusts that we consolidate. In accordance with accounting guidance for CFEs, we use the fair value of the ABS issued by the Freddie Mac K-Series entities (which we determined to be more observable) to determine the fair value of the loans held at these entities. Coupon interest for these loans is recognized as revenue based on amounts expected to be paid to the securities issued by these entities. Changes in fair value for the assets and liabilities of these trusts are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. Repurchase Reserves We sell and have sold residential and business purpose mortgage loans to various parties, including (1) securitization trusts, and (2) banks and other financial institutions that purchase mortgage loans for investment or private label securitization. We may be required to repurchase mortgage loans we have sold, or loans associated with MSRs we have purchased, in the event of a breach of specified contractual representations and warranties made in connection with these sales and purchases. Additionally, we generally have a direct obligation to repurchase residential whole loans we sell in the event of any early payment defaults (or EPDs) by the underlying mortgage borrowers within certain specified periods following the sales. We do not originate residential mortgage loans and 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 or MSRs. However, in some cases, such as where loans or MSRs were acquired from companies that have since become insolvent, we may have to bear the loss associated with a loan repurchase. Furthermore, even if we do not have to ultimately bear such a loss because we can recover from the company that sold us the loan or the MSR, there could be a delay in making that recovery. |
Real Estate Securities, at Fair Value | Our securities primarily consist of mortgage-backed securities (“MBS”) collateralized by residential and multifamily mortgage loans. We classify our real estate securities as trading or available-for-sale securities. Trading Securities We primarily denote trading securities as those securities where we have adopted the fair value option. Trading securities are carried at their estimated fair values. Coupon interest is recognized as interest income when earned and deemed collectible. Changes in the fair value of securities designated as trading securities are reported in Investment fair value changes, net on our consolidated statements of income. Available-for-Sale Securities AFS securities are carried at their estimated fair value with unrealized gains and losses excluded from earnings (except when an allowance for credit losses is recognized, as discussed below) and reported in Accumulated other comprehensive income (“AOCI”), a component of stockholders’ equity. Interest income on AFS securities is accrued based on their outstanding principal balance and contractual terms and interest income is recognized based on the security’s effective interest rate. In order to calculate the effective interest rate, we must project cash flows over the remaining life of each security and make assumptions with regards to interest rates, prepayment rates, the timing and amount of credit losses, and other factors. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our own judgments about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield and interest income recognized on these securities or in the recognition of an allowance for credit losses as discussed below. For AFS securities purchased and held at a discount, a portion of the discount may be designated as non-accretable purchase discount (“credit reserve”), based on the cash flows we have projected for the security. The amount designated as credit reserve may be adjusted over time, based on our periodic evaluation of projected cash flows. If the performance of a security with a credit reserve is more favorable than previously forecasted, a portion of the credit reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a credit reserve is less favorable than forecasted, the amount designated as credit reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. 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. |
Other Investments | Servicer Advance Investments Our servicer advance investments are comprised of outstanding servicer advances receivable, the requirement to purchase all future servicer advances made with respect to a specified pool of residential mortgage loans and a fee component of the related MSR. We have elected to record these investments at fair value. We recognize income from our servicer advance investments when earned and deemed collectible and record the income as a component of Other interest income in our consolidated statements of income. Our servicer advance investments are marked-to-market on a recurring basis with changes in the fair value reported in Investment fair value changes, net on our consolidated statements of income. Excess MSRs Our excess MSR investments represent the right to receive a portion of mortgage servicing cash flows in excess of amounts paid for the underlying mortgage loans to be serviced. As owners of excess MSRs, we are not required to be a licensed servicer, and we are not required to assume any servicing duties, advance obligations or liabilities associated with the loan pool underlying the MSR. We have elected to record these investments at fair value. We recognize income from Excess MSRs when it is earned and deemed collectible and record the income as a component of Other interest income in our consolidated statements of income. Changes in fair value are recurring and are reported through our consolidated statements of income in Investment fair value changes, net. See Note 10 for further discussion on excess MSRs. 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. At December 31, 2020, the carrying amount of our investment in the partnership was zero and we had no remaining funding obligations to the partnership. We accounted for our ownership interest in this partnership using the equity method of accounting as we were able to exert significant influence over but did not control the activities of the investee. We assessed our investment for impairment whenever events or changes in circumstances indicated that the carrying amount of our investment might not be recoverable. We elected to record our share of earnings or losses from this investment on a one-quarter lag, as a component of Other income on our consolidated statements of income. See Note 10 for further discussion on our investment in the multifamily loan fund. Shared Home Appreciation Options During 2019, we invested in shared home appreciation options that allow us to share in both home price appreciation and depreciation. We have elected to record these investments at fair value and report changes in fair value through Investment fair value changes, net on our consolidated statements of income. See Note 10 for further discussion on shared home appreciation options. |
MSRs | We recognize MSRs through the retention of servicing rights associated with residential mortgage loans that we acquired and subsequently transferred to third parties when the transfer meets the GAAP criteria for sale accounting, or through the direct acquisition of MSRs sold by third parties. We contract with licensed sub-servicers to perform servicing functions for loans associated with our MSRs. We have elected the fair value option for all of our MSRs, and they are initially recognized and subsequently carried at their estimated fair values. Servicing fee income from MSRs is recorded on a cash basis when received. Net servicing income and changes in the estimated fair value of MSRs are reported in Other income on our consolidated statements of income. |
Cash and Cash Equivalents | Cash and cash equivalents include non-restricted cash and highly liquid investments with original maturities of three months or less and money market fund investments which are generally invested in U.S. government securities and are available to us on a daily basis. The Company maintains its cash and cash equivalents with major financial institutions. Accounts at these institutions are guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) up to $250,000 for each bank. The Company is exposed to credit risk for amounts held in excess of the FDIC limit. The Company does not anticipate nonperformance by these institutions |
Restricted Cash | Restricted cash primarily includes cash held at our consolidated Servicing Investment entities, and cash associated with our risk-sharing transactions with Fannie Mae and Freddie Mac ("the Agencies"), as well as cash collateral for certain consolidated securitization entities. |
Goodwill and Intangible Assets | Significant judgment is required to estimate the fair value of intangible assets and in assigning their estimated useful lives. Accordingly, we typically seek the assistance of independent third-party valuation specialists for significant intangible assets. The fair value estimates are based on available historical information and on future expectations and assumptions we deem reasonable. We generally use an income-based valuation method to estimate the fair value of intangible assets, which discounts expected future cash flows to present value using estimates and assumptions we deem reasonable. Determining the estimated useful lives of intangible assets also requires judgment. Our assessment as to which intangible assets are deemed to have finite or indefinite lives is based on several factors including economic barriers of entry for the acquired business, retention trends, and our operating plans, among other factors. Finite-lived intangible assets are amortized over their estimated useful lives on a straight-line basis and reviewed for impairment if indicators are present. Additionally, useful lives are evaluated each reporting period to determine if revisions to the remaining periods of amortization are warranted. Goodwill is tested for impairment annually or more frequently if indicators of impairment exist. We have elected to make the first day of our fiscal fourth quarter the annual impairment assessment date for 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). |
Derivative Financial Instruments | Derivative financial instruments we typically utilize include swaps, swaptions, financial futures contracts, and “To Be Announced” (“TBA”) contracts. These derivatives are primarily used to manage interest rate risk associated with our operations. In addition, we enter into certain residential loan purchase commitments (“LPCs”), interest rate lock commitments ("IRLCs"), and residential loan forward sale commitments (“FSCs”) that are treated as derivatives for financial reporting purposes. All derivative financial instruments are recorded at their estimated fair value on our consolidated balance sheets. Derivatives with positive fair values to us are reported as assets and derivatives with negative fair values to us are reported as liabilities. We classify each derivative as either (i) a trading instrument (no specific hedging designation for financial reporting purposes) or (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability (cash flow hedge). Changes in the fair values of derivatives accounted for as trading instruments, including any associated interest income or expense, are recorded in our consolidated statements of income through Other income if they are used to manage risks associated with our MSR investments, through Mortgage banking activities , net if they are used to manage risks associated with our mortgage banking activities, or through Investment fair value changes, net if they are used to manage risks associated with our investments. Valuation changes related to residential LPCs, IRLCs, and FSCs are included in Mortgage banking activities, net on our consolidated statements of income. Changes in the fair values of derivatives accounted for as cash flow hedges, to the extent they are effective, are recorded in Accumulated other comprehensive income, a component of equity on our consolidated balance sheets. Interest income or expense, and any ineffectiveness associated with these derivatives, are recorded as a component of net interest income in our consolidated statements of income. We measure the effective portion of cash flow hedges by comparing the change in fair value of the expected future variable cash flows of the derivative hedging instruments with the change in fair value of the expected future variable cash flows of the hedged item. We will discontinue a designated cash flow hedge relationship if (i) we determine that the hedging derivative is no longer expected to be effective in offsetting changes in the cash flows of the designated hedged item; (ii) the derivative expires or is sold, terminated, or exercised; (iii) the derivative is de-designated as a cash flow hedge; or (iv) it is probable that a forecasted transaction associated with the hedged item will not occur by the end of the originally specified time period. To the extent we de-designate or terminate a cash flow hedging relationship and the associated hedged item continues to exist, any unrealized gain or loss of the cash flow hedge at the time of de-designation remains in accumulated other comprehensive income and is amortized using the straight-line method through interest expense over the remaining life of the hedged item. Swaps and Swaptions Interest rate swaps are agreements in which (i) one counterparty exchanges a stream of fixed interest payments for another counterparty’s stream of variable interest cash flows; or (ii) each counterparty exchanges variable interest cash flows that are referenced to different indices. Interest rate swaptions are agreements that provide the owner the right but not the obligation to enter into an underlying interest rate swap with a counterparty in the future. We enter into swap and swaptions primarily to reduce significant changes in our income or equity caused by interest rate volatility. Certain of these interest rate agreements may be designated as cash flow hedges. Interest Rate Futures Interest rate futures are futures contracts based on U.S. Treasury notes, U.S. dollar-denominated interest rate swaps, or U.S. dollar-denominated interest rate indices. TBA Agreements TBA agreements are forward contracts to purchase mortgage-backed securities that will be issued by a U.S. government sponsored enterprise in the future. We purchase or sell these derivatives to offset - to varying degrees - changes in the values of mortgage products for which we have exposure to interest rate volatility. Loan Purchase and Forward Sale Commitments We use the term LPCs to refer to agreements with third-party residential loan originators to purchase residential loans at a future date that qualify as a derivative under GAAP and we use the term FSCs to refer to agreements with third-parties to sell residential loans at a future date that also qualify as derivatives under GAAP. LPCs and FSCs are recorded at their estimated fair values on our consolidated balance sheets and changes in fair value are recurring and are reported through our consolidated statements of income in Mortgage banking activities, net. Interest Rate Lock Commitments |
Deferred Tax Assets and Liabilities | Our deferred tax assets/liabilities are generated by temporary differences in GAAP and taxable income at our taxable REIT subsidiaries. These differences generally reflect differing accounting treatments for GAAP and tax, such as accounting for mortgage servicing rights, security discount and premium amortization, credit losses, asset impairments, and certain valuation estimates. As a result of these differences, we may recognize taxable income in periods prior to when we recognize income for GAAP. When this occurs, we pay the tax liability as required and establish a deferred tax asset. As the income is subsequently realized in future periods under GAAP, the deferred tax asset is reduced. We may also recognize GAAP income in periods prior to when we recognize income for tax. When this occurs, we establish a deferred tax liability for GAAP. As the income is subsequently realized in future periods for tax, the deferred tax liability is reduced. We may also record deferred tax assets/liabilities resulting from GAAP and tax basis differences of assets and liabilities acquired in a business combination at our taxable REIT subsidiaries. These deferred tax assets/liabilities generally do not affect our GAAP income at the time of establishment as the offsetting accounting entry is recorded in GAAP goodwill. They also do not generally affect GAAP income when they are subsequently realized as the deferred tax provision or benefit resulting from the realization is offset by a corresponding current tax benefit or provision. |
Other Assets and Other Liabilities | Other assets primarily consists of investment receivable, accrued interest receivable, operating lease right-of-use assets, margin receivable, FHLBC stock, pledged collateral, fixed assets and leasehold improvements, and REO. Other liabilities primarily consists of accrued interest payable, accrued compensation, payable to minority partner, guarantee obligations, operating lease liabilities, deferred tax liabilities, margin payable, and residential loan and MSR repurchase reserves. See Note 12 for further discussion. Accrued Interest Receivable Accrued interest receivable includes interest that is due and payable to us and deemed collectible. Cash interest is generally received within thirty days of recording the receivable. For financial assets where we have elected the fair value option, the associated accrued interest receivable on these assets is measured at fair value. For financial assets where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. Investment Receivable Investment receivable primarily consists of amounts receivable from third-party servicers related to principal and interest receivable from business purpose loans and fees receivable from servicer advance investments. Margin Receivable and Payable Margin receivable and payable result from margin calls between us and our derivatives, master repurchase agreements, and warehouse facilities counterparties, whereby we or the counterparty were required to post collateral. Agency Risk-Sharing - Other Assets and Liabilities During 2014 and 2015, we entered into various risk-sharing arrangements with Fannie Mae and Freddie Mac. Under these arrangements, we committed to assume the first 1.00% or 2.25% (depending on the arrangement) of losses realized on reference pools of conforming residential mortgage loans that we acquired and then sold to the Agencies. As part of these risk-sharing arrangements, during the 10-year term of our first Fannie Mae arrangement, we receive monthly cash payments from Fannie Mae based on the monthly outstanding unpaid principal balance of the reference pool of loans, and for our Freddie Mac and our subsequent Fannie Mae arrangements, the Agencies charged us a reduced guarantee fee for the reference loans we delivered to them in exchange for mortgage-backed securities, which we then sold. Under these arrangements we are required to pledge assets to the Agencies to collateralize our risk-sharing commitments to them throughout the terms of the arrangements. These pledged assets are held by a third-party custodian for the benefit of the Agencies. To the extent approved losses are incurred, the custodian will transfer collateral to the Agencies. As a result of these transactions, we recorded restricted cash, “pledged collateral” in the other assets line item, and “guarantee obligations” in the other liabilities line item, on our consolidated balance sheets. In addition, for the first Fannie Mae transaction, we recorded a “guarantee asset” in the other assets line item on our consolidated balance sheets. The guarantee obligations represent our commitments to assume losses under these arrangements. We amortize the guarantee obligations over the 10-year terms of the arrangements based primarily on changes in the outstanding unpaid principal balance of loans in the reference pools, with a portion of the liabilities treated as a credit reserve that is not amortized into income. In addition, each period we assess the need for a separate loss allowance related to these arrangements, based on our estimate of credit losses inherent in the reference pools of loans. Income from cash payments received under the first Fannie Mae risk-sharing arrangement and income related to the amortization of the guarantee obligations of all three arrangements are recorded in Other income, and market valuation changes of the guarantee asset are recorded in Investment fair value changes, net on our consolidated statements of income. Our consolidated balance sheets include assets of the 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 and liabilities of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to Redwood Trust, Inc. or its affiliates. At December 31, 2020 and December 31, 2019, assets of such SPEs totaled $46 million and $48 million, respectively, and liabilities of such SPEs totaled $10 million and $14 million, respectively. See Note 16 for further discussion on loss contingencies — risk-sharing. REO |
Accrued Interest Payable | Accrued Interest Payable Accrued interest payable includes interest that is due and payable to third parties. Interest is generally paid within one to three months of recording the payable, based upon our remittance requirements, and is paid semi-annually for our convertible and exchangeable debt. Interest on our FHLB borrowings is paid every 13 weeks. For borrowings where we have elected the fair value option, the associated accrued interest on these liabilities is measured at fair value. For financial liabilities where we have not elected the fair value option, the associated accrued interest carrying values approximate fair values. |
Leases | LeasesUpon adoption of ASU 2016-02, "Leases," in 2019, we recorded operating lease liabilities and operating lease right-of-use assets on our consolidated balance sheets. The operating lease lease liabilities are equal to the present value of our remaining lease payments discounted at our incremental borrowing rate and the operating lease right-of-use assets are equal to the operating lease liabilities adjusted for our deferred rent liabilities at the adoption of this accounting standard. As lease payments are made, the operating lease liabilities are reduced to the present value of the remaining lease payments and the operating lease right-of-use assets are reduced by the difference between the lease expense (straight-lined over the lease term) and the theoretical interest expense amount (calculated using the incremental borrowing rate). |
Short-Term Debt | Short-term debt includes borrowings under master repurchase agreements, loan warehouse facilities, and other forms of borrowings that expire within one year with various counterparties. These borrowings are typically collateralized by cash, loans, or securities, and in some cases may be unsecured. If the value (as determined by the applicable counterparty) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the counterparty may retain the collateral and pursue any outstanding debt amount from us. Short-term debt also includes non-recourse short-term borrowings used to finance servicer advance investments. |
Asset-Backed Securities Issued | ABS issued represents asset-backed securities issued through the Legacy Sequoia, Sequoia Choice, Freddie Mac K-Series, Freddie Mac SLST, and CAFL securitization entities. Assets at these entities are held in the custody of securitization trustees and are not owned by Redwood. These trustees collect principal and interest payments (less servicing and related fees) from the assets and make corresponding principal and interest payments to the ABS investors. In accordance with accounting guidance for CFEs, we account for the ABS issued under our consolidated entities at fair value, with periodic changes in fair value recorded in Investment fair value changes, net on our consolidated statements of income. During the third quarter of 2020, we re-securitized subordinate securities we owned in our consolidated Freddie Mac SLST securitization trusts, through the transfer of these financial assets to a re-securitization trust that we sponsored. We account for the ABS issued by this re-securitization trust at amortized cost. |
Long-Term Debt | FHLBC Borrowings FHLBC borrowings include amounts borrowed by our FHLB-member subsidiary, also referred to as “advances,” from the Federal Home Loan Bank of Chicago that are secured by eligible collateral, including, but not limited to, residential mortgage loans, single-family rental loans, and residential mortgage-backed securities. FHLBC borrowings are carried at their unpaid principal balance and interest on advances is paid every 13 weeks from when each respective advance is made. If the value (as determined by the FHLBC) of the collateral securing those borrowings decreases, we may be subject to margin calls during the period the borrowings are outstanding. In instances where we do not satisfy the margin calls within the required time frame, the FHLBC may foreclose upon the collateral and pursue any outstanding debt amount from us. Recourse Subordinate Securities Financing Facilities Borrowings under our subordinate securities financing facilities are secured by real estate securities and carried at unpaid principal balance net of any unamortized deferred issuance costs. Interest on these facilities is paid monthly. See Note 15 for further discussion on our subordinate securities financing facilities. Non-Recourse Business Purpose Loan Financing Facilities Borrowings under our non-recourse business purpose loan financing facilities are secured by bridge loans and other Business Purpose Lending ("BPL") investments and carried at unpaid principal balance net of any unamortized deferred issuance costs. Interest on these facilities is paid monthly. See Note 15 for further discussion on our non-recourse business purpose loan financing facilities. Recourse Business Purpose Loan Financing Facilities Borrowings under our recourse business purpose loan financing facilities are secured by bridge loans and single-family rental loans and carried at unpaid principal balance net of any unamortized deferred issuance costs. Interest on these facilities is paid monthly. See Note 15 for further discussion on our recourse business purpose loan financing facilities. Recourse Revolving Debt Facility Borrowings under our recourse revolving debt facility are secured by MSRs and certificated mortgage servicing rights and carried at unpaid principal balance. Interest on this facility is paid monthly. See Note 15 for further discussion on our recourse revolving debt facility. Convertible Notes Convertible notes include unsecured convertible and exchangeable debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. If converted or exchanged by a holder, the holder of the notes would receive shares of our common stock. Trust Preferred Securities and Subordinated Notes Trust preferred securities and subordinated notes are carried at their unpaid principal balance net of any unamortized deferred issuance costs. This long-term debt is unsecured and interest is paid quarterly until it is redeemed in whole or matures at a future date. Deferred Debt Issuance Costs |
Equity | Accumulated Other Comprehensive Income (Loss) Net unrealized gains and losses on real estate securities available-for-sale and interest rate agreements designated as cash flow hedges are reported as components of Accumulated other comprehensive income on our consolidated statements of changes in stockholders' equity and our consolidated balance sheets. Net unrealized gains and losses on securities and interest rate agreements held by our taxable REIT subsidiaries that are reported in other comprehensive income are adjusted for the effects of taxation and may create deferred tax assets or liabilities. Earnings per Common Share Basic earnings per common share (“EPS”) is computed by dividing net income allocated to common shareholders by the weighted average common shares outstanding. Net income allocated to common shareholders represents net income less income allocated to participating securities (as described herein). Diluted EPS is computed by dividing income allocated to common shareholders by the weighted average common shares outstanding plus amounts representing the dilutive effect of share-based payment awards. In addition, if the assumed conversion or exchange of convertible or exchangeable debt into common shares is dilutive, diluted EPS is adjusted by adding back the periodic interest expense (net of any tax effects) associated with dilutive convertible or exchangeable debt to net income and adding the shares issued in an assumed conversion or exchange to the diluted weighted average share count. |
Incentive Plans | In May 2020, our shareholders approved an amendment to the 2014 Redwood Trust, Inc. Incentive Plan (“Incentive Plan”) for executive officers, employees, and non-employee directors, which increased the number of shares available under the Incentive Plan. The Incentive Plan provides for the grant of restricted stock, deferred stock, deferred stock units, performance-based awards (including performance stock units), dividend equivalents, stock payments, restricted stock units, and other types of awards to eligible participants. Long-term incentive awards granted under the Incentive Plan generally vest over a three Employee Stock Purchase Plan In 2013, our shareholders approved an amendment to our previously amended 2002 Redwood Trust, Inc. Employee Stock Purchase Plan (“ESPP”) to increase the number of shares available under the ESPP. The purpose of the ESPP is to give our employees an opportunity to acquire an equity interest in the Company through the purchase of shares of common stock at a discount. The ESPP allows eligible employees to purchase common stock at 85% of its fair value, subject to certain limits. Fair value as defined under the ESPP is the lesser of the closing market price of the common stock on the first day of the calendar year or the last day of the calendar quarter. Executive Deferred Compensation Plan In 2018, our Board of Directors approved an amendment to our 2002 Executive Deferred Compensation Plan (“EDCP”) to increase the number of shares available to non-employee directors to defer certain cash payments and dividends into DSUs. The EDCP allows eligible employees and directors to defer portions of current salary and certain other forms of compensation. The Company matches some deferrals. Compensation deferred under the EDCP is recorded as a liability on our consolidated balance sheets. The EDCP allows for the investment of deferrals in either an interest crediting account or DSUs. 401(k) Plan |
Taxes | We have elected to be taxed as a REIT under the Internal Revenue Code and the corresponding provisions of state law. To qualify as a REIT we must distribute at least 90% of our annual REIT taxable income to shareholders (not including taxable income retained in our taxable REIT subsidiaries) within the time frame set forth in the Internal Revenue Code and also meet certain other requirements related to assets, income, and stock ownership. We assess our tax positions for all open tax years and record tax benefits only if tax positions meet a more-likely-than-not threshold in accordance with GAAP guidance on accounting for uncertain tax positions. We classify interest and penalties on material uncertain tax positions as interest expense and general and administrative expenses, respectively, in our consolidated statements of income. |
Recent Accounting Pronouncements | Newly Adopted Accounting Standards Updates ("ASUs") In August 2018, the FASB issued ASU 2018-15, "Intangibles - Goodwill and Other - Internal-Use Software (Subtopic 350-40): Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That is a Service Contract (a consensus of the FASB Emerging Issues Task Force)." This new guidance aligns the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). This new guidance is effective for fiscal years beginning after December 15, 2019. We adopted this guidance, as required, in the first quarter of 2020, which did not have a material impact on our consolidated financial statements. 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 October 2020, the FASB issued ASU 2020-10, "Codification Improvements." This new guidance updates various codification topics by clarifying or improving disclosure requirements. This new guidance is effective for fiscal years ending 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. In October 2020, the FASB issued ASU 2020-09, "Debt (Topic 470): Amendments to SEC Paragraphs Pursuant to SEC Release No. 33-10762." This new guidance aligns certain SEC paragraphs in the codification with new SEC rules issued in March 2020 related to changes to the disclosure requirements for registered debt securities. This new guidance is effective January 4, 2021. 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. In October 2020, the FASB issued ASU 2020-08, "Codification Improvements to Subtopic 310-20, Receivables - Nonrefundable Fees and Other Costs." This new guidance clarifies that an entity should reevaluate whether a callable debt security is within the scope of paragraph 310-20-35-33 for each reporting period. This new guidance is effective for fiscal years ending after December 15, 2020. Early adoption is not permitted. We plan to adopt this new guidance by the required date and do not anticipate that this update will have a material update on our consolidated financial statements. In August 2020, the FASB issued ASU 2020-06, "Debt - Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging - Contracts in Entity's Own Equity (Subtopic 815-40)." This new guidance simplifies the accounting for convertible debt by reducing the number of accounting models to separately present certain conversion features in equity. This new guidance is effective for fiscal years beginning after December 31, 2021. 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. 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. In January 2021, the FASB issued ASU 2021-01, "Reference Rate Reform (Topic 848): Scope." This new guidance clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. 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. Through December 31, 2020, we have not elected to apply the optional expedients and exceptions to any of our existing contracts, hedging relationships, or other transactions. 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 our 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. |
Basis of Presentation (Tables)
Basis of Presentation (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Schedule of Assets Acquired and Liabilities Assumed | Through December 31, 2020, there were no significant changes to our purchase price allocations, which are summarized in the following table. Table 2.1 – Purchase Price Allocations (In Thousands) 5 Arches CoreVest Acquisition Date March 1, 2019 October 15, 2019 Purchase price: Cash $ 12,575 $ 482,311 Contingent consideration, at fair value 24,621 — Purchase option, at fair value 5,082 — Equity method investment, at fair value 8,052 — Total consideration $ 50,330 $ 482,311 Allocated to: Business purpose loans, at fair value $ 2,022 $ 2,610,490 Cash and cash equivalents 2,128 30,685 Restricted cash 9,082 — Other assets 5,473 67,420 Goodwill 28,747 59,928 Intangible assets 24,800 56,500 Deferred tax asset — 2,577 Total assets acquired 72,252 2,827,600 Asset-backed securities issued, at fair value — 1,656,023 Short-term debt, net 3,800 663,275 Accrued expenses and other liabilities 13,920 25,991 Deferred tax liability 4,202 — Total liabilities assumed 21,922 2,345,289 Total net assets acquired $ 50,330 $ 482,311 |
Schedule of Finite-Lived Intangible Assets | The table below presents the amortization period and carrying value of our intangible assets, net of accumulated amortization at December 31, 2020 and December 31, 2019. Table 2.2 – Intangible Assets – Activity Intangible Assets at Acquisition Accumulated Amortization at December 31, 2020 Carrying Value at December 31, 2020 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 45,300 $ (7,819) $ 37,481 7 Broker network 18,100 (6,637) 11,463 5 Non-compete agreements 9,500 (4,431) 5,069 3 Tradenames 4,000 (1,860) 2,140 3 Developed technology 1,800 (1,088) 712 2 Loan administration fees on existing loan assets 2,600 (2,600) — 1 Total $ 81,300 $ (24,435) $ 56,865 6 Intangible Assets at Acquisition Accumulated Amortization at December 31, 2019 Carrying Value at December 31, 2019 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 45,300 $ (1,348) $ 43,952 7 Broker network 18,100 (3,017) 15,083 5 Non-compete agreements 9,500 (1,264) 8,236 3 Tradenames 4,000 (527) 3,473 3 Developed technology 1,800 (188) 1,612 2 Loan administration fees on existing loan assets 2,600 (2,167) 433 1 Total $ 81,300 $ (8,511) $ 72,789 6 |
Finite-lived Intangible Assets Amortization Expense | Estimated future amortization expense is summarized in the table below. Table 2.3 – Intangible Asset Amortization Expense by Year (In Thousands) December 31, 2020 2021 $ 15,304 2022 12,800 2023 10,091 2024 7,073 2025 and thereafter 11,597 Total Future Intangible Asset Amortization $ 56,865 |
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 year ended December 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 2.4 – Unaudited Pro Forma Financial Information Year Ended (In Thousands) December 31, 2019 Supplementary pro forma information: Net interest income $ 167,680 Non-interest income 193,519 Net income 185,896 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 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 December 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 December 31, 2020 (In Thousands) Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 19,951 $ — $ 19,951 $ — $ (7,769) $ 12,182 TBAs 18,260 — 18,260 (13,423) (4,658) 179 Total Assets $ 38,211 $ — $ 38,211 $ (13,423) $ (12,427) $ 12,361 Liabilities (2) TBAs $ (15,495) $ — $ (15,495) $ 13,423 $ 1,061 $ (1,011) Loan warehouse debt (137,269) — (137,269) 137,269 — — Security repurchase agreements (77,775) — (77,775) 77,775 — — Total Liabilities $ (230,539) $ — $ (230,539) $ 228,467 $ 1,061 $ (1,011) 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 (In Thousands) 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. |
Principles of Consolidation (Ta
Principles of Consolidation (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities | The following table presents a summary of the assets and liabilities of these VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs Accounted for as Collateralized Financing Entities December 31, 2020 Legacy Sequoia Freddie Mac SLST Freddie Mac CAFL Servicing Investment Total (Dollars in Thousands) Residential loans, held-for-investment $ 285,935 $ 1,565,322 $ 2,221,153 $ — $ — $ — $ 4,072,410 Business purpose loans, held-for-investment — — — — 3,249,194 — 3,249,194 Multifamily loans, held-for-investment — — — 492,221 — — 492,221 Other investments — — — — — 251,773 251,773 Cash and cash equivalents — — — — — 11,579 11,579 Restricted cash 148 — — — — 23,220 23,368 Accrued interest receivable 305 6,802 6,754 1,337 13,055 2,334 30,587 Other assets 638 — 646 — 2,930 5,723 9,937 Total Assets $ 287,026 $ 1,572,124 $ 2,228,553 $ 493,558 $ 3,265,179 $ 294,629 $ 8,141,069 Short-term debt $ — $ — $ — $ — $ — $ 208,375 $ 208,375 Accrued interest payable 141 4,697 4,846 1,177 10,278 135 21,274 Accrued expenses and other liabilities — 50 — — — 18,353 18,403 Asset-backed securities issued 282,326 1,347,357 1,793,620 463,966 3,013,093 — 6,900,362 Total Liabilities $ 282,467 $ 1,352,104 $ 1,798,466 $ 465,143 $ 3,023,371 $ 226,863 $ 7,148,414 Number of VIEs 20 10 2 1 14 3 50 December 31, 2019 Legacy Sequoia Freddie Mac SLST Freddie Mac CAFL Servicing Investment Total (Dollars in Thousands) Residential loans, held-for-investment $ 407,890 $ 2,291,463 $ 2,367,215 $ — $ — $ — $ 5,066,568 Business purpose 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 tables present income (loss) from these VIEs for the years ended December 31, 2020 and 2019. Table 4.2 – Income (Loss) from Consolidated VIEs Accounted for as Collateralized Financing Entities Year Ended December 31, 2020 Legacy Sequoia Freddie Mac SLST Freddie Mac CAFL Servicing Investment Total (Dollars in Thousands) Interest income $ 9,061 $ 87,093 $ 85,609 $ 54,813 $ 136,950 $ 17,665 $ 391,191 Interest expense (5,945) (73,643) (62,483) (51,521) (105,732) (6,441) (305,765) Net interest income 3,116 13,450 23,126 3,292 31,218 11,224 85,426 Non-interest income Investment fair value changes, net (1,512) (13,244) (21,160) (81,039) (39,574) (11,327) (167,856) Total non-interest income, net (1,512) (13,244) (21,160) (81,039) (39,574) (11,327) (167,856) General and administrative expenses — — — — — (867) (867) Other expenses — — — — — 193 193 Income (Loss) from Consolidated VIEs $ 1,604 $ 206 $ 1,966 $ (77,747) $ (8,356) $ (777) $ (83,104) Year Ended December 31, 2019 Legacy Sequoia Freddie Mac SLST Freddie Mac CAFL Servicing Investment Total (Dollars in Thousands) Interest income $ 17,649 $ 108,798 $ 57,840 $ 132,600 $ 23,072 $ 14,511 $ 354,470 Interest expense (14,418) (93,354) (42,574) (126,948) (17,173) (11,952) (306,419) Net interest income 3,231 15,444 15,266 5,652 5,899 2,559 48,051 Non-interest income Investment fair value changes, net (1,545) 6,947 27,206 21,430 (3,636) 3,311 53,713 Total non-interest income, net (1,545) 6,947 27,206 21,430 (3,636) 3,311 53,713 General and administrative expenses — — — — — (343) (343) Other expenses — — — — — (1,106) (1,106) Income from Consolidated VIEs $ 1,686 $ 22,391 $ 42,472 $ 27,082 $ 2,263 $ 4,421 $ 100,315 |
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 years ended December 31, 2020 and 2019. Table 4.3 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Years Ended December 31, (In Thousands) 2020 2019 Principal balance of loans transferred $ 2,223,462 $ 1,872,910 Trading securities retained, at fair value 49,089 8,882 AFS securities retained, at fair value 4,187 4,847 |
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the years ended December 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 Years Ended December 31, (In Thousands) 2020 2019 Proceeds from new transfers $ 2,276,521 $ 1,912,334 MSR fees received 9,749 11,857 Funding of compensating interest, net (405) (368) Cash flows received on retained securities 24,172 27,045 |
MSR Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents the key weighted average assumptions used to value securities retained at the date of securitization for securitizations completed during 2020 and 2019. Table 4.5 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Year Ended December 31, 2020 Year Ended December 31, 2019 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates 29 % 14 % 25 % 15 % Discount rates 14 % 7 % 14 % 7 % Credit loss assumptions 0.27 % 0.24 % 0.20 % 0.20 % |
Unconsolidated Variable Interest Entity's Sponsored by Redwood Summary | The following table presents additional information at December 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) December 31, 2020 December 31, 2019 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 20,982 $ 88,425 Subordinate securities, classified as AFS 136,475 140,649 Mortgage servicing rights 8,413 40,254 Maximum loss exposure (1) $ 165,870 $ 269,328 Assets transferred: Principal balance of loans outstanding $ 7,728,432 $ 10,299,442 Principal balance of loans 30+ days delinquent 138,029 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 December 31, 2020 and December 31, 2019. Table 4.7 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood December 31, 2020 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2020 $ 8,413 $ 17,333 $ 140,124 Expected life (in years) (2) 2 3 8 Prepayment speed assumption (annual CPR) (2) 37 % 31 % 33 % Decrease in fair value from: 10% adverse change $ 906 $ 1,557 $ 452 25% adverse change 2,058 3,754 2,298 Discount rate assumption (2) 12 % 21 % 5 % Decrease in fair value from: 100 basis point increase $ 196 $ 337 $ 9,769 200 basis point increase 380 659 18,650 Credit loss assumption (2) N/A 0.41 % 0.41 % Decrease in fair value from: 10% higher losses N/A $ — $ 2,409 25% higher losses N/A — 5,915 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 $17 million and $49 million of interest-only securities at December 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. |
Loan Transfers Accounted for as Secured Borrowings | The following table presents a summary of our interests in third-party VIEs at December 31, 2020 and December 31, 2019, grouped by asset type. Table 4.8 – Third-Party Sponsored VIE Summary (In Thousands) December 31, 2020 December 31, 2019 Mortgage-Backed Securities Senior $ 11,131 $ 127,094 Mezzanine 2,014 508,195 Subordinate 173,523 235,510 Total Mortgage-Backed Securities 186,668 870,799 Excess MSR 14,133 16,216 Total Investments in Third-Party Sponsored VIEs $ 200,801 $ 887,015 |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Carrying Values and Estimated Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at December 31, 2020 and December 31, 2019. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities December 31, 2020 December 31, 2019 Carrying Fair Carrying Fair (In Thousands) Assets Residential loans, held-for-sale at fair value $ 176,604 $ 176,604 $ 536,280 $ 536,280 Residential loans, held-for-investment 4,072,410 4,072,410 7,178,465 7,178,465 Business purpose loans, held-for-sale 245,394 245,394 331,565 331,565 Business purpose loans, held-for-investment 3,890,959 3,890,959 3,175,178 3,175,178 Multifamily loans 492,221 492,221 4,408,524 4,408,524 Real estate securities 344,125 344,125 1,099,874 1,099,874 Servicer advance investments (1) 231,489 231,489 169,204 169,204 MSRs (1) 8,815 8,815 42,224 42,224 Excess MSRs (1) 34,418 34,418 31,814 31,814 Shared home appreciation options (1) 42,440 42,440 45,085 45,085 Cash and cash equivalents 461,260 461,260 196,966 196,966 Restricted cash 83,190 83,190 93,867 93,867 Derivative assets 53,238 53,238 35,701 35,701 REO (2) 8,413 9,229 9,462 10,389 Margin receivable (2) 4,758 4,758 209,776 209,776 FHLBC stock (2) 5,000 5,000 43,393 43,393 Pledged collateral (2) 1,177 1,177 32,945 32,945 Liabilities Short-term debt $ 522,609 $ 522,609 $ 2,329,145 $ 2,329,145 Margin payable (3) — — 1,700 1,700 Guarantee obligation (3) 10,039 7,843 14,009 13,754 Contingent consideration (3) — — 28,484 28,484 Derivative liabilities 16,072 16,072 163,424 163,424 ABS issued net Fair value 6,900,362 6,900,362 10,515,475 10,515,475 Amortized cost 200,299 204,892 — — FHLBC long-term borrowings 1,000 1,000 1,999,999 1,999,999 Other long-term debt, net 774,726 783,570 183,520 184,666 Convertible notes, net 511,085 499,865 631,125 661,985 Trust preferred securities and subordinated notes, net 138,674 80,910 138,628 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 December 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 December 31, 2020 Carrying Value Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 4,249,014 $ — $ — $ 4,249,014 Business purpose loans 4,136,353 — — 4,136,353 Multifamily loans 492,221 — — 492,221 Real estate securities 344,125 — — 344,125 Servicer advance investments 231,489 — — 231,489 MSRs 8,815 — — 8,815 Excess MSRs 34,418 — — 34,418 Shared home appreciation options 42,440 — — 42,440 Derivative assets 53,238 18,260 19,951 15,027 Pledged collateral 1,177 1,177 — — FHLBC stock 5,000 — 5,000 — Liabilities Derivative liabilities $ 16,072 $ 15,495 $ — $ 577 ABS issued 6,900,362 — — 6,900,362 December 31, 2019 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 7,714,745 $ — $ — $ 7,714,745 Business purpose loans 3,506,743 — — 3,506,743 Multifamily loans 4,408,524 — — 4,408,524 Real estate securities 1,099,874 — — 1,099,874 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 — 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 years ended December 31, 2020 and December 31, 2019. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Multifamily Trading Securities AFS 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 4,483,473 — — 108,249 57,652 179,419 — 10,906 3,517 Originations — 1,431,251 — — — — — — — Sales (6,262,958) (135,800) — (603,529) (55,192) — — — — Principal paydowns (1,552,171) (753,026) (7,703) (8,687) (17,924) (107,527) — — (4,278) Deconsolidations — — (3,849,779) — — — — — — Gains (losses) in net income (loss), net (132,307) 99,590 (58,821) (230,906) 10,792 (9,607) (33,409) (8,302) (1,884) Unrealized losses in OCI, net — — — — (16,204) — — — — Other settlements, net (1) (1,768) (12,405) — — — — — — — Ending balance - December 31, 2020 $ 4,249,014 $ 4,136,353 $ 492,221 $ 125,667 $ 218,458 $ 231,489 $ 8,815 $ 34,418 $ 42,440 Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued) Liabilities Derivatives (2) Contingent Consideration ABS (In Thousands) Beginning balance - December 31, 2019 $ 8,860 $ 28,484 $ 10,515,475 Acquisitions — — 1,478,589 Principal paydowns — (13,353) (1,487,958) Deconsolidations — — (3,706,789) Gains (losses) in net income (loss), net 56,972 (446) 101,045 Other settlements, net (1) (51,382) (14,685) — Ending balance - December 31, 2020 $ 14,450 $ — $ 6,900,362 Assets (In Thousands) Residential Business Purpose Loans Multifamily Loans Trading AFS Servicer Advance Investments MSRs Excess MSRs Shared Beginning balance - December 31, 2018 $ 7,254,631 $ 141,258 $ 2,144,598 $ 1,118,612 $ 333,882 $ 300,468 $ 60,281 $ 27,312 $ — Acquisitions 7,092,866 2,639,615 2,162,386 332,593 26,538 69,610 868 7,762 44,243 Originations — 1,015,436 — — — — — — — Sales (5,141,886) (76,909) — (597,122) (110,070) — — — — Principal paydowns (1,609,220) (213,655) (28,543) (44,600) (39,702) (203,876) — — — Gains (losses) in net income, net 119,132 7,423 130,083 56,008 24,580 3,002 (18,925) (3,260) 842 Unrealized gains in OCI, net — — — — 4,106 — — — — Other settlements, net (1) (778) (6,425) — (4,951) — — — — — Ending 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 Liabilities (In Thousands) Derivatives (2) Contingent Consideration ABS Beginning balance - December 31, 2018 $ 2,181 $ — $ 5,410,073 Acquisitions — 25,267 6,098,462 Principal paydowns — — (1,112,437) Gains (losses) in net income, net 62,220 3,217 119,377 Other settlements, net (1) (55,541) — — Ending balance - December 31, 2019 $ 8,860 $ 28,484 $ 10,515,475 (1) Other settlements, net for residential and business purpose 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. Other settlements, net for contingent consideration reflects the reclassification from a contingent liability to a deferred liability during the period due to an amendment in the underlying agreement. See Note 16 for further discussion. Other settlements, net for trading securities relates to the consolidation of Freddie Mac K-Series securitization entities. (2) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, forward sale commitments, and interest rate lock commitments, are presented on a net basis. |
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at December 31, 2020, 2019, and 2018. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the years ended December 31, 2020, 2019, and 2018 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at December 31, 2020, 2019, and 2018 Included in Net Income Included in Net Income Years Ended December 31, (In Thousands) 2020 2019 2018 Assets Residential loans at Redwood $ 1,138 $ 67,470 $ (17,757) Business purpose loans 9,420 14,603 445 Net investments in consolidated Sequoia entities (1) (14,646) 4,529 (1,046) Net investments in consolidated Freddie Mac SLST entities (1) (21,220) 27,225 21,295 Net investments in consolidated Freddie Mac K-Series entities (1) (9,309) 21,430 931 Net investments in consolidated CAFL entities (1) (37,062) (14,681) — Trading securities (83,327) 18,865 (12,256) Available-for-sale securities (388) — (89) Servicer advance investments (8,902) 3,001 (702) MSRs (17,545) (11,957) 1,942 Excess MSRs (8,302) (3,260) 1,824 Shared home appreciation options (1,884) 842 — Loan purchase and interest rate lock commitments 15,027 10,190 2,913 Liabilities Loan purchase commitments $ (577) $ (1,290) $ (732) Contingent consideration — (3,217) — (1) Represents the portion of net gains or losses included in our consolidated statements of income (loss) related to loans and the associated ABS issued at our consolidated securitization entities held at December 31, 2020, 2019, and 2018, which netted together represent the change in value of our investments at the consolidated VIEs. |
Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at December 31, 2020 and December 31, 2019. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis Gain (Loss) for December 31, 2020 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 December 31, 2020 Assets REO $ 1,117 $ — $ — $ 1,117 $ (157) Gain (Loss) for December 31, 2019 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 December 31, 2019 Assets REO $ 4,051 $ — $ — $ 4,051 $ (1,363) |
Market Valuation Adjustments | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the years ended December 31, 2020, 2019, and 2018. Table 5.6 – Market Valuation Gains and Losses, Net Years Ended December 31, (In Thousands) 2020 2019 2018 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ (15,477) $ 3,267 $ 23,144 Residential loan purchase and forward sale commitments 56,761 60,260 (1,336) Single-family rental loans held-for-sale, at fair value 82,169 15,043 375 Single-family rental loan purchase and interest rate lock commitments 341 1,961 78 Bridge loans (4,998) 4,518 — Trading securities (1) (4,535) — — Risk management derivatives, net (47,779) (15,723) 34,739 Total mortgage banking activities, net (2) $ 66,482 $ 69,326 $ 57,000 Investment Fair Value Changes, Net Residential loans held-for-investment at Redwood $ (93,314) $ 58,891 $ (29,573) Single-family rental loans held-for-investment (20,806) 272 — Bridge loans held-for-investment (10,629) (2,139) (29) Trading securities (226,196) 56,046 (8,055) Servicer advance investments (8,901) 3,001 (701) Excess MSRs (8,302) (3,260) 1,823 Net investments in Legacy Sequoia entities (3) (1,513) (1,545) (1,016) Net investments in Sequoia Choice entities (3) (13,244) 6,947 443 Net investments in Freddie Mac SLST entities (3) (21,160) 27,206 1,271 Net investments in Freddie Mac K-Series entities (3) (81,039) 21,430 931 Net investments in CAFL entities (3) (36,754) (3,636) — Other investments (7,050) (544) (434) Risk management derivatives, net (59,142) (127,169) 9,740 Change in allowance for credit losses on AFS securities (388) — (89) Total investment fair value changes, net $ (588,438) $ 35,500 $ (25,689) Other Income MSRs $ (33,409) $ (18,856) $ (2,508) Risk management derivatives, net 13,966 8,595 (4,734) Gain on re-measurement of 5 Arches investment — 2,441 — Total other income (4) $ (19,443) $ (7,820) $ (7,242) Total Market Valuation (Losses) Gains, Net $ (541,399) $ 97,006 $ 24,069 (1) Represents fair value changes on trading securities that are being used along with risk management derivatives to manage the mark-to-market risks associated with our residential mortgage banking operations. (2) Mortgage banking activities, net presented above does not include fee income from loan originations or acquisitions, provisions for repurchases expense, and other expenses that are components of Mortgage banking activities, net presented on our consolidated statements of income (loss), as these amounts do not represent market valuation changes. (3) 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. |
Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value | The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments December 31, 2020 Fair Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (1) Assets Residential loans, at fair value: Jumbo fixed-rate loans $ 19,464 Prepayment rate (annual CPR) 20 - 20 % 20 % Whole loan spread to swap rate 305 - 305 bps 305 bps Jumbo loans committed to sell 157,140 Whole loan committed sales price $ 102.54 - $ 103.22 $ 102.83 Loans held by Legacy Sequoia (2) 285,935 Liability price N/A N/A Loans held by Sequoia Choice (2) 1,565,322 Liability price N/A N/A Loans held by Freddie Mac SLST (2) 2,221,153 Liability price N/A N/A Business purpose loans: Single-family rental loans 245,394 Senior credit spread 120 - 190 bps 131 bps Subordinate credit spread 160 - 1,650 bps 389 bps Senior credit support 25 - 34 % 32 % IO discount rate 9 - 9 % 9 % Prepayment rate (annual CPR) 3 - 3 % 3 % Non-securitizable loan dollar price $ 86 - $ 105 $ 99 Single-family rental loans held by CAFL 3,249,194 Liability price N/A N/A Bridge loans 641,765 Discount rate 6 - 15 % 9 % Multifamily loans held by Freddie Mac K-Series (2) 492,221 Liability price N/A N/A Trading and AFS securities 344,125 Discount rate 3 - 25 % 9 % Prepayment rate (annual CPR) 9 - 56 % 28 % Default rate — - 25 % 3 % Loss severity — - 50 % 21 % CRT dollar price $ 84 - $ 104 $ 95 Servicer advance investments 231,489 Discount rate 3 - 4 % 3 % Prepayment rate (annual CPR) 8 - 14 % 14 % Expected remaining life (3) 4 - 4 yrs 4 yrs Mortgage servicing income — - 16 bps 7 bps MSRs 8,815 Discount rate 12 - 12 % 12 % Prepayment rate (annual CPR) 10 - 100 % 38 % Per loan annual cost to service $ 97 - $ 97 $ 97 Excess MSRs 34,418 Discount rate 15 - 19 % 17 % Prepayment rate (annual CPR) 14 - 27 % 19 % Excess mortgage servicing amount 9 - 16 bps 12 bps Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) December 31, 2020 Fair Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Assets (continued) Shared home appreciation options $ 42,440 Discount rate 15 - 15 % 15 % Prepayment rate (annual CPR) 10 - 24 % 18 % Home price appreciation 3 - 3 % 3 % REO 1,117 Loss severity 1 - 46 % 21 % Residential loan purchase commitments, net 14,450 Committed sales price $ 100.94 - $ 103.22 $ 102.25 Pull-through rate 17 - 100 % 65 % Whole loan spread to TBA price $ 2.50 - $ 2.50 $ 2.50 Whole loan spread to swap rate - fixed rate 305 - 305 bps 305 bps Prepayment rate (annual CPR) 20 - 20 % 20 % MSR multiple — - 3.9 x 3.0 x Liabilities ABS issued (2) At consolidated Sequoia entities 1,629,683 Discount rate 2 - 26 % 3 % Prepayment rate (annual CPR) 8 - 55 % 31 % Default rate — - 41 % 3 % Loss severity 30 - 50 % 31 % At consolidated Freddie Mac SLST entities 1,793,620 Discount rate 1 - 7 % 2 % Prepayment rate (annual CPR) 6 - 7 % 6 % Default rate 9 - 15 % 11 % Loss severity 35 - 35 % 35 % At consolidated Freddie Mac K-Series entities (4) 463,966 Discount rate 1 - 17 % 2 % At consolidated CAFL entities (4) 3,013,093 Discount rate 1 - 40 % 3 % Prepayment rate (annual CPR) 3 - 3 % 3 % Default rate — - 18 % 10 % Loss severity 30 - 30 % 30 % (1) The weighted average input values for all loan types are based on the unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value. (2) The fair value of the loans 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 December 31, 2020, the fair value of securities we owned at the consolidated Sequoia, Freddie Mac SLST, Freddie Mac K-Series, and CAFL entities was $222 million, $428 million, $28 million, and $239 million, respectively. (3) Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool). |
Residential Loans (Tables)
Residential Loans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Summary of 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 December 31, 2020 and December 31, 2019. Table 6.1 – Classifications and Carrying Values of Residential Loans December 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 176,641 $ — $ — $ — $ 176,641 Held-for-investment at fair value — 285,935 1,565,322 2,221,153 4,072,410 Total Residential Loans $ 176,641 $ 285,935 $ 1,565,322 $ 2,221,153 $ 4,249,051 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 Table 7.1 – Classifications and Carrying Values of Business Purpose Loans December 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 245,394 — $ — $ 245,394 Held-for-investment at fair value — 3,249,194 641,765 3,890,959 Total Business Purpose Loans $ 245,394 $ 3,249,194 $ 641,765 $ 4,136,353 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 Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 The following table provides the activity of business purpose loans during the years ended December 31, 2020 and 2019. Table 7.2 – Activity of Business Purpose Loans Year Ended December 31, 2020 Year Ended December 31, 2019 (Dollars in Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 979,696 $ 451,554 $ 513,725 $ 501,355 Principal balance of loans sold to third parties (1) (110,836) (25,151) 20,426 56,484 Fair value of loans transferred from HFS to HFI (2) 1,292,633 N/A 717,934 N/A Mortgage banking activities income recorded (3) 81,032 (2,916) 13,363 3,342 Investment fair value changes recorded (4) (20,806) (10,629) 272 (2,139) (1) The remaining business purpose loans were transferred to our investment portfolio (bridge loans) or retained in our mortgage banking business (single-family rental loans) for future securitizations. (2) During the years ended December 31, 2020 and 2019, we transferred $1.29 billion and $394 million of single-family rental loans, respectively, from held-for-sale to held-for-investment associated with five and one CAFL securitizations, respectively. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to or from our investment portfolio. Additionally, for the years ended December 31, 2020 and 2019, we recorded loan origination fee income of $19 million and $16 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes while a loan is held for investment. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Year Ended December 31, (In Thousands) 2020 2019 Net market valuation gains (losses) recorded (1) $ 32,331 $ (14,681) (1) For loans held at our consolidated CAFL entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5. The following tables summarize the characteristics of the business purpose loans owned at Redwood at December 31, 2020 and December 31, 2019. Table 7.4 – Characteristics of Business Purpose Loans December 31, 2020 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 65 1,094 1,725 Unpaid principal balance $ 234,475 $ 3,017,137 $ 649,532 Fair value of loans $ 245,394 $ 3,249,194 $ 641,765 Weighted average coupon 4.84 % 5.44 % 8.09 % Weighted average remaining loan term (years) 8 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 34,098 N/A $ 92,931 Market value of loans pledged as collateral under long-term debt facilities $ 154,774 N/A $ 544,151 Delinquency information Number of loans with 90+ day delinquencies (1) 10 22 31 Unpaid principal balance of loans with 90+ day delinquencies $ 7,127 $ 61,440 $ 39,415 Fair value of loans with 90+ day delinquencies (2) $ 6,143 N/A $ 33,605 Number of loans in foreclosure — 10 25 Unpaid principal balance of loans in foreclosure $ — $ 24,745 $ 38,552 Fair value of loans in foreclosure (2) $ — N/A $ 33,066 December 31, 2019 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 308 783 2,653 Unpaid principal balance $ 552,848 $ 2,078,214 $ 742,528 Fair value of loans $ 569,185 $ 2,192,552 $ 745,006 Weighted average coupon 4.96 % 5.70 % 8.11 % Weighted average remaining loan term (years) 9 7 2 Market value of loans pledged as collateral under short-term debt facilities $ 504,237 N/A $ 694,964 Delinquency information Number of loans with 90+ day delinquencies (1) 2 18 15 Unpaid principal balance of loans with 90+ day delinquencies $ 1,818 $ 29,039 $ 8,987 Fair value of loans with 90+ day delinquencies (2) $ 1,818 N/A $ 6,917 Number of loans in foreclosure 1 5 31 Unpaid principal balance of loans in foreclosure $ 130 $ 9,169 $ 14,186 Fair value of loans in foreclosure (2) $ 130 N/A $ 12,111 (1) The number of loans greater than 90 days delinquent includes loans in foreclosure. (2) 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. |
Characteristics of Residential Loans Held-For-Sale | The following table summarizes the characteristics of residential loans held-for-sale at December 31, 2020 and December 31, 2019. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) December 31, 2020 December 31, 2019 Number of loans 198 669 Unpaid principal balance $ 172,748 $ 525,069 Fair value of loans $ 176,641 $ 536,385 Market value of loans pledged as collateral under short-term borrowing agreements $ 156,355 $ 201,949 Delinquency information Number of loans with 90+ day delinquencies 1 1 Unpaid principal balance of loans with 90+ day delinquencies $ 1,882 $ 747 Fair value of loans with 90+ day delinquencies $ 1,223 $ 616 Number of loans in foreclosure — — |
Activity of Residential Loans Held-for-Sale | The following table provides the activity of residential loans held-for-sale during the years ended December 31, 2020 and 2019. Table 6.3 – Activity of Residential Loans Held-for-Sale Year Ended December 31, (In Thousands) 2020 2019 Principal balance of loans acquired $ 4,374,201 $ 5,732,699 Principal balance of loans sold 6,463,741 6,069,518 Net market valuation gains (losses) recorded (1) (15,477) 3,267 (1) Net market valuation gains (losses) on residential loans held-for-sale are recorded through Mortgage banking activities, net on our consolidated statements of income (loss). |
Characteristics of Residential Loans Held-for-Investment | The following tables summarize the characteristics of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at December 31, 2020 and December 31, 2019. Table 6.4 – Characteristics of Residential Loans Held-for-Investment December 31, 2020 Legacy Sequoia Freddie Mac (Dollars in Thousands) Redwood Sequoia Choice SLST Number of loans — 1,908 2,177 13,605 Unpaid principal balance $ — $ 333,474 $ 1,550,454 $ 2,247,771 Fair value of loans $ — $ 285,935 $ 1,565,322 $ 2,221,153 Delinquency information Number of loans with 90+ day delinquencies (1) — 52 94 2,110 Unpaid principal balance of loans with 90+ day delinquencies $ — $ 17,285 $ 74,742 $ 389,245 Fair value of loans with 90+ day delinquencies (2) $ — N/A N/A N/A Number of loans in foreclosure — 21 3 245 Unpaid principal balance of loans in foreclosure $ — $ 4,939 $ 2,251 $ 38,610 December 31, 2019 Legacy Sequoia Freddie Mac (Dollars in Thousands) Redwood Sequoia Choice SLST Number of loans 2,940 2,198 3,156 14,502 Unpaid principal balance $ 2,052,778 $ 424,829 $ 2,240,679 $ 2,428,035 Fair value of loans $ 2,111,897 $ 407,890 $ 2,291,463 $ 2,367,215 Delinquency information Number of loans with 90+ day delinquencies (1) 2 39 9 587 Unpaid principal balance of loans with 90+ day delinquencies $ 1,585 $ 9,803 $ 6,755 $ 134,680 Fair value of loans with 90+ day delinquencies (2) $ 1,424 N/A N/A N/A Number of loans in foreclosure — 16 3 208 Unpaid principal balance of loans in foreclosure $ — $ 3,673 $ 2,290 $ 33,042 (1) For loans held at consolidated entities, the number of loans greater than 90 days delinquent includes loans in foreclosure. (2) 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. |
Quarterly Activity of Residential Loans Held-for-Investment | The following table provides the activity of residential loans held-for-investment at Redwood during the years ended December 31, 2020 and 2019. Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood Year Ended December 31, (In Thousands) 2020 2019 Principal balance of loans acquired $ — $ 39,194 Principal balance of loans sold — — Fair value of loans transferred from HFS to HFI 13,258 68,703 Fair value of loans transferred from HFI to HFS 1,870,986 22,814 Net market valuation gains (losses) recorded (1) (93,314) 58,891 (1) Subsequent to the transfer of these loans to our investment portfolio, net market valuation gains (losses) on residential loans held-for-investment at Redwood are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The following table provides the activity of residential loans held-for-investment at consolidated entities during the years ended December 31, 2020 and 2019. Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Year Ended December 31, 2020 Year Ended December 31, 2019 Legacy Sequoia Freddie Mac Legacy Sequoia Freddie Mac (In Thousands) Sequoia Choice SLST Sequoia Choice SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 270,506 N/A N/A $ 1,076,671 N/A Net market valuation gains (losses) recorded (2) $ (30,900) $ (30,356) $ 35,131 $ 5,170 $ (15,232) $ 63,583 (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia Choice securitizations. (2) For loans held at our consolidated Legacy Sequoia, Sequoia Choice, and Freddie Mac SLST entities, market value changes are based on the estimated fair value of the associated ABS issued, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5. |
Geographic Concentration of Loans Recorded on Consolidated Balance Sheet | The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.7 – Geographic Concentration of Residential Loans December 31, 2020 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 43 % 17 % 34 % 14 % — % Texas 10 % 5 % 10 % 3 % — % Washington 7 % 1 % 5 % 2 % — % Colorado 5 % 3 % 3 % 1 % — % Florida 3 % 14 % 6 % 10 % — % Illinois 3 % 3 % 2 % 5 % — % Maryland 2 % 2 % 1 % 5 % — % New Jersey 1 % 5 % 2 % 7 % — % New York 1 % 10 % 5 % 10 % — % Ohio — % 5 % — % 2 % — % Other states (none greater than 5%) 25 % 35 % 32 % 41 % — % Total 100 % 100 % 100 % 100 % — % December 31, 2019 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 36 % 18 % 35 % 14 % 45 % Washington 7 % 1 % 7 % 2 % 5 % Texas 6 % 6 % 9 % 3 % 8 % Colorado 6 % 3 % 4 % — % 4 % Florida 4 % 14 % 5 % 10 % 5 % New Jersey 2 % 4 % 2 % 7 % 2 % New York 1 % 10 % 4 % 10 % 4 % Other states (none greater than 5%) 38 % 44 % 34 % 54 % 27 % Total 100 % 100 % 100 % 100 % 100 % The following table presents the geographic concentration of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.5 – Geographic Concentration of Business Purpose Loans December 31, 2020 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 24 % — % 15 % 4 % New Jersey 17 % — % 11 % 9 % Georgia 12 % — % 5 % 8 % Florida 10 % — % 8 % 11 % Connecticut 8 % — % 4 % 1 % New York 5 % — % 1 % 8 % Arizona 5 % — % 2 % 1 % California 5 % — % 5 % 13 % Illinois 5 % — % 4 % 7 % Alabama 2 % — % 3 % 6 % Indiana 2 % — % 3 % 5 % Tennessee — % — % 3 % 6 % Other states (none greater than 5%) 5 % — % 36 % 21 % Total 100 % — % 100 % 100 % December 31, 2019 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 19 % 12 % 15 % 3 % New Jersey 12 % 5 % 11 % 8 % Georgia 8 % — % 5 % 7 % Arkansas 6 % — % 2 % — % Maryland 6 % — % 2 % — % Florida 5 % — % 8 % 9 % New York 5 % 1 % 1 % 6 % Alabama 5 % — % 4 % 4 % Illinois 1 % — % 5 % 3 % California 2 % 1 % 7 % 21 % Utah — % — % — % 5 % Other states (none greater than 5%) 31 % 81 % 40 % 34 % Total 100 % 100 % 100 % 100 % The following table presents the geographic concentration of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.3 – Geographic Concentration of Multifamily Loans Geographic Concentration December 31, 2020 December 31, 2019 California 13 % 11 % Florida 13 % 10 % North Carolina 9 % — % Oregon 7 % — % Hawaii 5 % — % Tennessee 5 % — % Texas — % 13 % Arizona — % 6 % Georgia — % 6 % Washington — % 5 % Colorado — % 5 % Other states (none greater than 5%) 48 % 44 % Total 100 % 100 % |
Loan Product Type and Accompanying Loan Characteristics of Loans | T he following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.8 – Product Types and Characteristics of Residential Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,524 0.25 % to 5.63% 2020-10 - 2036-05 $ 146,100 $ 4,208 $ 3,966 $ 251 to $500 251 0.50 % to 4.13% 2024-05 - 2035-11 86,676 1,908 4,392 $ 501 to $750 79 0.25 % to 4.13% 2027-05 - 2035-01 48,437 714 1,192 $ 751 to $1,000 27 0.75 % to 3.75% 2028-03 - 2036-03 21,875 — 3,175 over $1,000 18 1.00 % to 2.38% 2028-05 - 2035-04 26,422 — 4,560 1,899 329,510 6,830 17,285 Hybrid ARM loans: $ — to $250 2 2.63 % to 2.63% 2033-09 - 2033-10 439 — — $ 251 to $500 5 2.63 % to 4.00% 2033-07 - 2034-03 1,748 410 — $ 501 to $750 1 2.75 % to 2.75% 2033-08 - 2033-08 556 — — over $1,000 1 2.63 % to 2.63% 2033-09 - 2033-09 1,221 — — 9 3,964 410 — Total HFI at Legacy Sequoia: 1,908 $ 333,474 $ 7,240 $ 17,285 Held-for-Investment at Sequoia Choice: Hybrid ARM loans $ — to $250 3 5.50 % to 6.75% 2048-03 - 2048-10 $ 607 $ — $ — $ 251 to $500 5 3.50 % to 3.63% 2046-11 - 2049-06 2,196 440 — $ 501 to $750 19 3.25 % to 4.75% 2044-04 - 2049-09 12,214 682 671 $ 751 to $1,000 15 3.13 % to 5.00% 2043-12 - 2049-08 12,911 960 1,744 over $1,000 12 3.50 % to 5.00% 2044-11 - 2050-02 15,716 — — 54 43,644 2,082 2,415 Fixed loans: $ — to $250 48 2.75 % to 5.50% 2029-04 - 2049-09 $ 9,508 $ — $ 191 $ 251 to $500 285 3.13 % to 6.13% 2033-06 - 2050-03 122,327 4,728 2,225 $ 501 to $750 1,004 3.00 % to 6.75% 2031-04 - 2050-04 617,488 15,214 24,842 $ 751 to $1,000 556 3.25 % to 6.50% 2036-12 - 2050-04 478,938 10,482 21,155 over $1,000 230 3.15 % to 5.88% 2036-07 - 2050-04 278,549 4,868 23,914 2,123 1,506,810 35,292 72,327 Total HFI at Sequoia Choice: 2,177 $ 1,550,454 $ 37,374 $ 74,742 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,007 2.00 % to 11.00% 2020-12 - 2059-10 $ 1,407,107 $ 283,745 $ 206,724 $ 251 to $500 2,545 2.00 % to 7.75% 2035-05 - 2059-01 811,191 143,195 172,995 $ 501 to $750 52 2.00 % to 6.75% 2043-08 - 2058-07 28,461 6,863 9,526 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,012 1,012 — Total HFI at Freddie Mac SLST: 13,605 $ 2,247,771 $ 434,815 $ 389,245 Held-for-Sale: Hybrid ARM loans $ — to $250 1 2.00 % to 2.00% 2032-11 - 2032-11 $ 49 $ — $ — $ 751 to $1,000 1 4.38 % to 4.38% 2047-10 - 2047-10 970 970 — 2 1,019 970 — Fixed loans $ — to $250 1 4.69 % to 4.69% 2044-03 - 2044-03 219 219 — $ 501 to $750 75 2.50 % to 5.50% 2045-12 - 2051-01 48,933 1,127 — $ 751 to $1,000 80 2.38 % to 4.63% 2050-04 - 2051-01 71,137 — — over $1,000 40 2.38 % to 5.00% 2040-11 - 2051-01 51,440 1,046 1,882 196 171,729 2,392 1,882 Total Held-for-Sale 198 $ 172,748 $ 3,362 $ 1,882 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Redwood: Hybrid ARM loans $ — to $250 12 3.50 % to 4.5% 2043-09 - 2046-01 $ 2,423 $ — $ — $ 251 to $500 51 3.25 % to 5.63% 2041-01 - 2048-08 20,781 — — $ 501 to $750 97 2.88 % to 5.13% 2041-09 - 2048-08 61,708 1,364 — $ 751 to $1,000 90 2.88 % to 6.00% 2043-12 - 2048-08 77,550 1,784 971 over $1,000 49 3.00 % to 5.50% 2040-10 - 2048-09 64,937 1,428 — 299 227,399 4,576 971 Fixed loans $ — to $250 38 2.90 % to 4.80% 2026-02 - 2047-12 6,549 223 — $ 251 to $500 676 2.75 % to 6.00% 2026-01 - 2049-04 287,984 — — $ 501 to $750 1,091 2.80 % to 6.75% 2026-04 - 2049-05 669,159 2,325 614 $ 751 to $1,000 519 2.75 % to 6.63% 2026-01 - 2049-04 447,499 1,895 — over $1,000 317 3.00 % to 5.88% 2031-04 - 2049-05 414,188 3,202 — 2,641 1,825,379 7,645 614 Total HFI at Redwood: 2,940 $ 2,052,778 $ 12,221 $ 1,585 Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,685 1.38 % to 6.00% 2020-01 - 2035-11 $ 169,230 $ 5,135 $ 3,109 $ 251 to $500 345 1.25 % to 5.63% 2022-01 - 2036-05 120,260 6,149 3,835 $ 501 to $750 87 1.63 % to 4.38% 2027-04 - 2035-02 53,811 3,628 1,211 $ 751 to $1,000 45 1.63 % to 4.38% 2027-11 - 2036-03 37,756 827 1,648 over $1,000 24 1.63 % to 4.00% 2027-12 - 2035-04 38,341 — — 2,186 419,398 15,739 9,803 Hybrid ARM loans: $ — to $250 2 4.25 % to 4.50% 2033-09 - 2033-10 465 — — $ 251 to $500 7 3.63 % to 5.13% 2033-07 - 2034-06 2,494 — — $ 501 to $750 2 4.50 % to 4.50% 2033-08 - 2033-08 1,181 — — over $1,000 1 4.50 % to 4.50% 2033-09 - 2033-09 1,291 — — 12 5,431 — — Total HFI at Legacy Sequoia: 2,198 $ 424,829 $ 15,739 $ 9,803 Held-for-Investment at Sequoia Choice: Fixed loans: $ — to $250 56 2.75 % to 5.50 % 2038-02 - 2049-07 $ 10,743 $ — $ — $ 251 to $500 420 3.13 % to 6.13 % 2037-12 - 2049-09 184,455 2,282 — $ 501 to $750 1,528 3.13 % to 6.75 % 2037-02 - 2049-09 940,914 13,020 2,366 $ 751 to $1,000 835 3.25 % to 6.50 % 2035-04 - 2049-09 719,609 7,856 3,297 over $1,000 317 3.5 % to 5.88 % 2038-01 - 2049-09 384,958 1,108 1,092 Total HFI at Sequoia Choice: 3,156 $ 2,240,679 $ 24,266 $ 6,755 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,639 2.00 % to 11.00% 2019-11 - 2059-10 $ 1,501,538 $ 477,592 $ 79,632 $ 251 to $500 2,805 2.00 % to 7.75% 2033-08 - 2058-11 894,126 297,732 52,920 $ 501 to $750 57 2.00 % to 6.75% 2043-08 - 2058-07 31,350 8,787 2,623 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,021 1,021 — Total HFI at Freddie Mac SLST: 14,502 2,428,035 785,132 135,175 Held-for-Sale: Hybrid ARM loans $ — to $250 7 5.20 % to 7.00% 2047-08 - 2048-12 $ 1,254 $ — $ — $ 251 to $500 1 4.25 % to 4.25% 2049-08 - 2049-08 432 — — $ 501 to $750 52 3.00 % to 5.50% 2047-04 - 2049-12 33,611 — — $ 751 to $1,000 33 3.25 % to 4.88% 2047-04 - 2049-11 28,573 — — over $1,000 22 3.25 % to 5.25% 2048-06 - 2049-11 28,013 — — 115 91,883 — — Fixed loans $ — to $250 2 3.88 % to 7.13% 2034-08 - 2049-07 481 — — $ 251 to $500 13 3.63 % to 6.50% 2048-01 - 2050-01 6,234 — — $ 501 to $750 301 3.20 % to 5.88% 2034-05 - 2050-01 186,251 — 747 $ 751 to $1,000 161 3.50 % to 6.50% 2034-07 - 2050-01 139,786 — — over $1,000 77 3.20 % to 5.00% 2034-08 - 2050-01 100,293 1,650 — 554 433,045 1,650 747 Total Held-for-Sale 669 $ 524,928 $ 1,650 $ 747 (1) Rate is net of servicing fee for consolidated loans for which we do not own the MSR. T he following table displays the loan product type and accompanying loan characteristics of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.6 – Product Types and Characteristics of Business Purpose Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 5 5.77 % to 7.05% 2022-07 - 2030-08 $ 1,016 $ — $ — $ 251 to $500 67 4.64 % to 6.96% 2021-07 - 2031-01 29,977 — — $ 501 to $750 212 4.12 % to 7.06% 2020-11 - 2030-12 130,665 — 1,752 $ 751 to $1,000 131 4.33 % to 7.23% 2021-01 - 2031-01 113,874 764 750 over $1,000 679 3.93 % to 7.57% 2020-11 - 2031-01 2,741,605 3,867 58,938 Total SFR HFI at CAFL: 1,094 $ 3,017,137 $ 4,631 $ 61,440 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 8 6.25 % to 7.75% 2027-03 - 2050-03 $ 1,060 $ — $ 635 $ 251 to $500 1 5.97 % to 5.97% 2021-02 - 2021-02 483 — — $ 501 to $750 6 5.84 % to 6.75% 2026-01 - 2031-01 3,632 — — $ 751 to $1,000 10 5.15 % to 6.39% 2020-05 - 2031-01 8,936 — 1,815 over $1,000 40 3.82 % to 5.95% 2020-07 - 2031-01 220,364 — 4,677 Total Single-Family Rental HFS: 65 $ 234,475 $ — $ 7,127 Bridge: Fixed loans: $ — to $250 1,440 5.75 % to 12.00% 2019-10 - 2022-12 $ 128,596 $ 6,530 $ 1,668 $ 251 to $500 110 6.65 % to 13.00% 2020-05 - 2022-12 37,607 945 1,423 $ 501 to $750 39 6.99 % to 10.00% 2020-07 - 2021-10 23,783 — 540 $ 751 to $1,000 21 6.50 % to 9.50% 2020-10 - 2022-03 18,225 — 943 over $1,000 115 6.04 % to 10.25% 2020-03 - 2022-12 441,321 — 34,841 Total Bridge: 1,725 $ 649,532 $ 7,475 $ 39,415 Table 7.6 – Product Types and Characteristics of Business Purpose Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at Redwood: Fixed loans: $ 251 to $500 20 4.88 % to 7.47% 2024-02 - 2030-01 $ 7,925 $ — $ — $ 501 to $750 26 4.45 % to 7.25% 2023-09 - 2030-01 15,620 — — $ 751 to $1,000 16 4.91 % to 6.58% 2023-11 - 2029-09 13,616 — — over $1,000 45 3.93 % to 6.94% 2023-10 - 2030-01 194,050 — — Total SFR HFI at Redwood: 107 $ 231,211 $ — $ — Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 2 5.46 % to 5.80% 2019-11 - 2021-09 $ 398 $ — $ — $ 251 to $500 56 4.92 % to 7.05% 2020-03 - 2029-10 25,643 1,306 — $ 501 to $750 148 4.75 % to 7.31% 2020-03 - 2029-10 91,414 1,259 1,990 $ 751 to $1,000 98 4.62 % to 7.23% 2020-03 - 2029-10 85,472 1,639 879 over $1,000 479 4.31 % to 7.57% 2019-12 - 2029-11 1,875,287 18,567 26,170 Total SFR HFI at CAFL: 783 $ 2,078,214 $ 22,771 $ 29,039 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 85 5.50 % to 7.63% 2027-03 - 2050-01 $ 10,506 $ — $ 130 $ 251 to $500 9 4.94 % to 6.00% 2024-11 - 2050-01 3,708 — — $ 501 to $750 21 4.55 % to 5.96% 2024-01 - 2030-01 13,335 — — $ 751 to $1,000 13 5.00 % to 5.93% 2024-01 - 2030-01 11,676 — — over $1,000 73 4.35 % to 6.28% 2024-01 - 2030-01 282,412 — 1,688 Total Single-Family Rental HFS: 201 $ 321,637 $ — $ 1,818 Bridge: Fixed loans: $ — to $250 2,207 6.53 % to 12.00% 2019-07 - 2022-01 $ 197,449 $ 1,447 $ 369 $ 251 to $500 198 6.99 % to 13.00% 2019-10 - 2022-01 71,361 2,811 675 $ 501 to $750 71 6.99 % to 9.99% 2019-11 - 2021-10 42,862 2,072 508 $ 751 to $1,000 40 7.28 % to 10.00% 2018-10 - 2022-01 34,646 1,771 2,443 over $1,000 137 5.79 % to 10.25% 2019-11 - 2022-01 394,914 31,452 4,992 Total Bridge: 2,653 $ 741,232 $ 39,553 $ 8,987 T he following table displays the loan product type and accompanying loan characteristics of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.4 – Product Types and Characteristics of Multifamily Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 10,001 to $20,000 24 4.25 % to 4.25% 2025-09 - 2025-09 $ 370,934 $ — $ — $ 20,001 to $30,000 4 4.25 % to 4.25% 2025-09 - 2025-09 91,874 — — Total: 28 $ 462,808 $ — $ — December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 1,000 to $10,000 114 3.29 % to 4.73% 2023-02 - 2029-10 $ 674,666 $ — $ — $ 10,001 to $20,000 102 3.54 % to 4.94% 2023-09 - 2029-08 1,489,118 — — $ 20,001 to $30,000 32 3.54 % to 4.69% 2024-01 - 2026-12 750,712 — — $ 30,001 to $40,000 19 3.52 % to 4.79% 2025-05 - 2029-10 654,729 — — over $40,000 12 3.55 % to 4.65% 2024-10 - 2026-09 625,775 — — Total: 279 $ 4,195,000 $ — $ — |
Business Purpose Loans (Tables)
Business Purpose Loans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Summary of 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 December 31, 2020 and December 31, 2019. Table 6.1 – Classifications and Carrying Values of Residential Loans December 31, 2020 Legacy Sequoia Freddie Mac (In Thousands) Redwood Sequoia Choice SLST Total Held-for-sale at fair value $ 176,641 $ — $ — $ — $ 176,641 Held-for-investment at fair value — 285,935 1,565,322 2,221,153 4,072,410 Total Residential Loans $ 176,641 $ 285,935 $ 1,565,322 $ 2,221,153 $ 4,249,051 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 Table 7.1 – Classifications and Carrying Values of Business Purpose Loans December 31, 2020 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 245,394 — $ — $ 245,394 Held-for-investment at fair value — 3,249,194 641,765 3,890,959 Total Business Purpose Loans $ 245,394 $ 3,249,194 $ 641,765 $ 4,136,353 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 Loans $ 569,185 $ 2,192,552 $ 745,006 $ 3,506,743 The following table provides the activity of business purpose loans during the years ended December 31, 2020 and 2019. Table 7.2 – Activity of Business Purpose Loans Year Ended December 31, 2020 Year Ended December 31, 2019 (Dollars in Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 979,696 $ 451,554 $ 513,725 $ 501,355 Principal balance of loans sold to third parties (1) (110,836) (25,151) 20,426 56,484 Fair value of loans transferred from HFS to HFI (2) 1,292,633 N/A 717,934 N/A Mortgage banking activities income recorded (3) 81,032 (2,916) 13,363 3,342 Investment fair value changes recorded (4) (20,806) (10,629) 272 (2,139) (1) The remaining business purpose loans were transferred to our investment portfolio (bridge loans) or retained in our mortgage banking business (single-family rental loans) for future securitizations. (2) During the years ended December 31, 2020 and 2019, we transferred $1.29 billion and $394 million of single-family rental loans, respectively, from held-for-sale to held-for-investment associated with five and one CAFL securitizations, respectively. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to or from our investment portfolio. Additionally, for the years ended December 31, 2020 and 2019, we recorded loan origination fee income of $19 million and $16 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes while a loan is held for investment. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Year Ended December 31, (In Thousands) 2020 2019 Net market valuation gains (losses) recorded (1) $ 32,331 $ (14,681) (1) For loans held at our consolidated CAFL entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Note 5. The following tables summarize the characteristics of the business purpose loans owned at Redwood at December 31, 2020 and December 31, 2019. Table 7.4 – Characteristics of Business Purpose Loans December 31, 2020 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 65 1,094 1,725 Unpaid principal balance $ 234,475 $ 3,017,137 $ 649,532 Fair value of loans $ 245,394 $ 3,249,194 $ 641,765 Weighted average coupon 4.84 % 5.44 % 8.09 % Weighted average remaining loan term (years) 8 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 34,098 N/A $ 92,931 Market value of loans pledged as collateral under long-term debt facilities $ 154,774 N/A $ 544,151 Delinquency information Number of loans with 90+ day delinquencies (1) 10 22 31 Unpaid principal balance of loans with 90+ day delinquencies $ 7,127 $ 61,440 $ 39,415 Fair value of loans with 90+ day delinquencies (2) $ 6,143 N/A $ 33,605 Number of loans in foreclosure — 10 25 Unpaid principal balance of loans in foreclosure $ — $ 24,745 $ 38,552 Fair value of loans in foreclosure (2) $ — N/A $ 33,066 December 31, 2019 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 308 783 2,653 Unpaid principal balance $ 552,848 $ 2,078,214 $ 742,528 Fair value of loans $ 569,185 $ 2,192,552 $ 745,006 Weighted average coupon 4.96 % 5.70 % 8.11 % Weighted average remaining loan term (years) 9 7 2 Market value of loans pledged as collateral under short-term debt facilities $ 504,237 N/A $ 694,964 Delinquency information Number of loans with 90+ day delinquencies (1) 2 18 15 Unpaid principal balance of loans with 90+ day delinquencies $ 1,818 $ 29,039 $ 8,987 Fair value of loans with 90+ day delinquencies (2) $ 1,818 N/A $ 6,917 Number of loans in foreclosure 1 5 31 Unpaid principal balance of loans in foreclosure $ 130 $ 9,169 $ 14,186 Fair value of loans in foreclosure (2) $ 130 N/A $ 12,111 (1) The number of loans greater than 90 days delinquent includes loans in foreclosure. (2) 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. |
Geographic Concentration of Loans Recorded on Consolidated Balance Sheet | The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.7 – Geographic Concentration of Residential Loans December 31, 2020 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 43 % 17 % 34 % 14 % — % Texas 10 % 5 % 10 % 3 % — % Washington 7 % 1 % 5 % 2 % — % Colorado 5 % 3 % 3 % 1 % — % Florida 3 % 14 % 6 % 10 % — % Illinois 3 % 3 % 2 % 5 % — % Maryland 2 % 2 % 1 % 5 % — % New Jersey 1 % 5 % 2 % 7 % — % New York 1 % 10 % 5 % 10 % — % Ohio — % 5 % — % 2 % — % Other states (none greater than 5%) 25 % 35 % 32 % 41 % — % Total 100 % 100 % 100 % 100 % — % December 31, 2019 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 36 % 18 % 35 % 14 % 45 % Washington 7 % 1 % 7 % 2 % 5 % Texas 6 % 6 % 9 % 3 % 8 % Colorado 6 % 3 % 4 % — % 4 % Florida 4 % 14 % 5 % 10 % 5 % New Jersey 2 % 4 % 2 % 7 % 2 % New York 1 % 10 % 4 % 10 % 4 % Other states (none greater than 5%) 38 % 44 % 34 % 54 % 27 % Total 100 % 100 % 100 % 100 % 100 % The following table presents the geographic concentration of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.5 – Geographic Concentration of Business Purpose Loans December 31, 2020 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 24 % — % 15 % 4 % New Jersey 17 % — % 11 % 9 % Georgia 12 % — % 5 % 8 % Florida 10 % — % 8 % 11 % Connecticut 8 % — % 4 % 1 % New York 5 % — % 1 % 8 % Arizona 5 % — % 2 % 1 % California 5 % — % 5 % 13 % Illinois 5 % — % 4 % 7 % Alabama 2 % — % 3 % 6 % Indiana 2 % — % 3 % 5 % Tennessee — % — % 3 % 6 % Other states (none greater than 5%) 5 % — % 36 % 21 % Total 100 % — % 100 % 100 % December 31, 2019 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 19 % 12 % 15 % 3 % New Jersey 12 % 5 % 11 % 8 % Georgia 8 % — % 5 % 7 % Arkansas 6 % — % 2 % — % Maryland 6 % — % 2 % — % Florida 5 % — % 8 % 9 % New York 5 % 1 % 1 % 6 % Alabama 5 % — % 4 % 4 % Illinois 1 % — % 5 % 3 % California 2 % 1 % 7 % 21 % Utah — % — % — % 5 % Other states (none greater than 5%) 31 % 81 % 40 % 34 % Total 100 % 100 % 100 % 100 % The following table presents the geographic concentration of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.3 – Geographic Concentration of Multifamily Loans Geographic Concentration December 31, 2020 December 31, 2019 California 13 % 11 % Florida 13 % 10 % North Carolina 9 % — % Oregon 7 % — % Hawaii 5 % — % Tennessee 5 % — % Texas — % 13 % Arizona — % 6 % Georgia — % 6 % Washington — % 5 % Colorado — % 5 % Other states (none greater than 5%) 48 % 44 % Total 100 % 100 % |
Loan Product Type and Accompanying Loan Characteristics of Loans | T he following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.8 – Product Types and Characteristics of Residential Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,524 0.25 % to 5.63% 2020-10 - 2036-05 $ 146,100 $ 4,208 $ 3,966 $ 251 to $500 251 0.50 % to 4.13% 2024-05 - 2035-11 86,676 1,908 4,392 $ 501 to $750 79 0.25 % to 4.13% 2027-05 - 2035-01 48,437 714 1,192 $ 751 to $1,000 27 0.75 % to 3.75% 2028-03 - 2036-03 21,875 — 3,175 over $1,000 18 1.00 % to 2.38% 2028-05 - 2035-04 26,422 — 4,560 1,899 329,510 6,830 17,285 Hybrid ARM loans: $ — to $250 2 2.63 % to 2.63% 2033-09 - 2033-10 439 — — $ 251 to $500 5 2.63 % to 4.00% 2033-07 - 2034-03 1,748 410 — $ 501 to $750 1 2.75 % to 2.75% 2033-08 - 2033-08 556 — — over $1,000 1 2.63 % to 2.63% 2033-09 - 2033-09 1,221 — — 9 3,964 410 — Total HFI at Legacy Sequoia: 1,908 $ 333,474 $ 7,240 $ 17,285 Held-for-Investment at Sequoia Choice: Hybrid ARM loans $ — to $250 3 5.50 % to 6.75% 2048-03 - 2048-10 $ 607 $ — $ — $ 251 to $500 5 3.50 % to 3.63% 2046-11 - 2049-06 2,196 440 — $ 501 to $750 19 3.25 % to 4.75% 2044-04 - 2049-09 12,214 682 671 $ 751 to $1,000 15 3.13 % to 5.00% 2043-12 - 2049-08 12,911 960 1,744 over $1,000 12 3.50 % to 5.00% 2044-11 - 2050-02 15,716 — — 54 43,644 2,082 2,415 Fixed loans: $ — to $250 48 2.75 % to 5.50% 2029-04 - 2049-09 $ 9,508 $ — $ 191 $ 251 to $500 285 3.13 % to 6.13% 2033-06 - 2050-03 122,327 4,728 2,225 $ 501 to $750 1,004 3.00 % to 6.75% 2031-04 - 2050-04 617,488 15,214 24,842 $ 751 to $1,000 556 3.25 % to 6.50% 2036-12 - 2050-04 478,938 10,482 21,155 over $1,000 230 3.15 % to 5.88% 2036-07 - 2050-04 278,549 4,868 23,914 2,123 1,506,810 35,292 72,327 Total HFI at Sequoia Choice: 2,177 $ 1,550,454 $ 37,374 $ 74,742 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,007 2.00 % to 11.00% 2020-12 - 2059-10 $ 1,407,107 $ 283,745 $ 206,724 $ 251 to $500 2,545 2.00 % to 7.75% 2035-05 - 2059-01 811,191 143,195 172,995 $ 501 to $750 52 2.00 % to 6.75% 2043-08 - 2058-07 28,461 6,863 9,526 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,012 1,012 — Total HFI at Freddie Mac SLST: 13,605 $ 2,247,771 $ 434,815 $ 389,245 Held-for-Sale: Hybrid ARM loans $ — to $250 1 2.00 % to 2.00% 2032-11 - 2032-11 $ 49 $ — $ — $ 751 to $1,000 1 4.38 % to 4.38% 2047-10 - 2047-10 970 970 — 2 1,019 970 — Fixed loans $ — to $250 1 4.69 % to 4.69% 2044-03 - 2044-03 219 219 — $ 501 to $750 75 2.50 % to 5.50% 2045-12 - 2051-01 48,933 1,127 — $ 751 to $1,000 80 2.38 % to 4.63% 2050-04 - 2051-01 71,137 — — over $1,000 40 2.38 % to 5.00% 2040-11 - 2051-01 51,440 1,046 1,882 196 171,729 2,392 1,882 Total Held-for-Sale 198 $ 172,748 $ 3,362 $ 1,882 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Redwood: Hybrid ARM loans $ — to $250 12 3.50 % to 4.5% 2043-09 - 2046-01 $ 2,423 $ — $ — $ 251 to $500 51 3.25 % to 5.63% 2041-01 - 2048-08 20,781 — — $ 501 to $750 97 2.88 % to 5.13% 2041-09 - 2048-08 61,708 1,364 — $ 751 to $1,000 90 2.88 % to 6.00% 2043-12 - 2048-08 77,550 1,784 971 over $1,000 49 3.00 % to 5.50% 2040-10 - 2048-09 64,937 1,428 — 299 227,399 4,576 971 Fixed loans $ — to $250 38 2.90 % to 4.80% 2026-02 - 2047-12 6,549 223 — $ 251 to $500 676 2.75 % to 6.00% 2026-01 - 2049-04 287,984 — — $ 501 to $750 1,091 2.80 % to 6.75% 2026-04 - 2049-05 669,159 2,325 614 $ 751 to $1,000 519 2.75 % to 6.63% 2026-01 - 2049-04 447,499 1,895 — over $1,000 317 3.00 % to 5.88% 2031-04 - 2049-05 414,188 3,202 — 2,641 1,825,379 7,645 614 Total HFI at Redwood: 2,940 $ 2,052,778 $ 12,221 $ 1,585 Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,685 1.38 % to 6.00% 2020-01 - 2035-11 $ 169,230 $ 5,135 $ 3,109 $ 251 to $500 345 1.25 % to 5.63% 2022-01 - 2036-05 120,260 6,149 3,835 $ 501 to $750 87 1.63 % to 4.38% 2027-04 - 2035-02 53,811 3,628 1,211 $ 751 to $1,000 45 1.63 % to 4.38% 2027-11 - 2036-03 37,756 827 1,648 over $1,000 24 1.63 % to 4.00% 2027-12 - 2035-04 38,341 — — 2,186 419,398 15,739 9,803 Hybrid ARM loans: $ — to $250 2 4.25 % to 4.50% 2033-09 - 2033-10 465 — — $ 251 to $500 7 3.63 % to 5.13% 2033-07 - 2034-06 2,494 — — $ 501 to $750 2 4.50 % to 4.50% 2033-08 - 2033-08 1,181 — — over $1,000 1 4.50 % to 4.50% 2033-09 - 2033-09 1,291 — — 12 5,431 — — Total HFI at Legacy Sequoia: 2,198 $ 424,829 $ 15,739 $ 9,803 Held-for-Investment at Sequoia Choice: Fixed loans: $ — to $250 56 2.75 % to 5.50 % 2038-02 - 2049-07 $ 10,743 $ — $ — $ 251 to $500 420 3.13 % to 6.13 % 2037-12 - 2049-09 184,455 2,282 — $ 501 to $750 1,528 3.13 % to 6.75 % 2037-02 - 2049-09 940,914 13,020 2,366 $ 751 to $1,000 835 3.25 % to 6.50 % 2035-04 - 2049-09 719,609 7,856 3,297 over $1,000 317 3.5 % to 5.88 % 2038-01 - 2049-09 384,958 1,108 1,092 Total HFI at Sequoia Choice: 3,156 $ 2,240,679 $ 24,266 $ 6,755 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,639 2.00 % to 11.00% 2019-11 - 2059-10 $ 1,501,538 $ 477,592 $ 79,632 $ 251 to $500 2,805 2.00 % to 7.75% 2033-08 - 2058-11 894,126 297,732 52,920 $ 501 to $750 57 2.00 % to 6.75% 2043-08 - 2058-07 31,350 8,787 2,623 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,021 1,021 — Total HFI at Freddie Mac SLST: 14,502 2,428,035 785,132 135,175 Held-for-Sale: Hybrid ARM loans $ — to $250 7 5.20 % to 7.00% 2047-08 - 2048-12 $ 1,254 $ — $ — $ 251 to $500 1 4.25 % to 4.25% 2049-08 - 2049-08 432 — — $ 501 to $750 52 3.00 % to 5.50% 2047-04 - 2049-12 33,611 — — $ 751 to $1,000 33 3.25 % to 4.88% 2047-04 - 2049-11 28,573 — — over $1,000 22 3.25 % to 5.25% 2048-06 - 2049-11 28,013 — — 115 91,883 — — Fixed loans $ — to $250 2 3.88 % to 7.13% 2034-08 - 2049-07 481 — — $ 251 to $500 13 3.63 % to 6.50% 2048-01 - 2050-01 6,234 — — $ 501 to $750 301 3.20 % to 5.88% 2034-05 - 2050-01 186,251 — 747 $ 751 to $1,000 161 3.50 % to 6.50% 2034-07 - 2050-01 139,786 — — over $1,000 77 3.20 % to 5.00% 2034-08 - 2050-01 100,293 1,650 — 554 433,045 1,650 747 Total Held-for-Sale 669 $ 524,928 $ 1,650 $ 747 (1) Rate is net of servicing fee for consolidated loans for which we do not own the MSR. T he following table displays the loan product type and accompanying loan characteristics of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.6 – Product Types and Characteristics of Business Purpose Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 5 5.77 % to 7.05% 2022-07 - 2030-08 $ 1,016 $ — $ — $ 251 to $500 67 4.64 % to 6.96% 2021-07 - 2031-01 29,977 — — $ 501 to $750 212 4.12 % to 7.06% 2020-11 - 2030-12 130,665 — 1,752 $ 751 to $1,000 131 4.33 % to 7.23% 2021-01 - 2031-01 113,874 764 750 over $1,000 679 3.93 % to 7.57% 2020-11 - 2031-01 2,741,605 3,867 58,938 Total SFR HFI at CAFL: 1,094 $ 3,017,137 $ 4,631 $ 61,440 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 8 6.25 % to 7.75% 2027-03 - 2050-03 $ 1,060 $ — $ 635 $ 251 to $500 1 5.97 % to 5.97% 2021-02 - 2021-02 483 — — $ 501 to $750 6 5.84 % to 6.75% 2026-01 - 2031-01 3,632 — — $ 751 to $1,000 10 5.15 % to 6.39% 2020-05 - 2031-01 8,936 — 1,815 over $1,000 40 3.82 % to 5.95% 2020-07 - 2031-01 220,364 — 4,677 Total Single-Family Rental HFS: 65 $ 234,475 $ — $ 7,127 Bridge: Fixed loans: $ — to $250 1,440 5.75 % to 12.00% 2019-10 - 2022-12 $ 128,596 $ 6,530 $ 1,668 $ 251 to $500 110 6.65 % to 13.00% 2020-05 - 2022-12 37,607 945 1,423 $ 501 to $750 39 6.99 % to 10.00% 2020-07 - 2021-10 23,783 — 540 $ 751 to $1,000 21 6.50 % to 9.50% 2020-10 - 2022-03 18,225 — 943 over $1,000 115 6.04 % to 10.25% 2020-03 - 2022-12 441,321 — 34,841 Total Bridge: 1,725 $ 649,532 $ 7,475 $ 39,415 Table 7.6 – Product Types and Characteristics of Business Purpose Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at Redwood: Fixed loans: $ 251 to $500 20 4.88 % to 7.47% 2024-02 - 2030-01 $ 7,925 $ — $ — $ 501 to $750 26 4.45 % to 7.25% 2023-09 - 2030-01 15,620 — — $ 751 to $1,000 16 4.91 % to 6.58% 2023-11 - 2029-09 13,616 — — over $1,000 45 3.93 % to 6.94% 2023-10 - 2030-01 194,050 — — Total SFR HFI at Redwood: 107 $ 231,211 $ — $ — Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 2 5.46 % to 5.80% 2019-11 - 2021-09 $ 398 $ — $ — $ 251 to $500 56 4.92 % to 7.05% 2020-03 - 2029-10 25,643 1,306 — $ 501 to $750 148 4.75 % to 7.31% 2020-03 - 2029-10 91,414 1,259 1,990 $ 751 to $1,000 98 4.62 % to 7.23% 2020-03 - 2029-10 85,472 1,639 879 over $1,000 479 4.31 % to 7.57% 2019-12 - 2029-11 1,875,287 18,567 26,170 Total SFR HFI at CAFL: 783 $ 2,078,214 $ 22,771 $ 29,039 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 85 5.50 % to 7.63% 2027-03 - 2050-01 $ 10,506 $ — $ 130 $ 251 to $500 9 4.94 % to 6.00% 2024-11 - 2050-01 3,708 — — $ 501 to $750 21 4.55 % to 5.96% 2024-01 - 2030-01 13,335 — — $ 751 to $1,000 13 5.00 % to 5.93% 2024-01 - 2030-01 11,676 — — over $1,000 73 4.35 % to 6.28% 2024-01 - 2030-01 282,412 — 1,688 Total Single-Family Rental HFS: 201 $ 321,637 $ — $ 1,818 Bridge: Fixed loans: $ — to $250 2,207 6.53 % to 12.00% 2019-07 - 2022-01 $ 197,449 $ 1,447 $ 369 $ 251 to $500 198 6.99 % to 13.00% 2019-10 - 2022-01 71,361 2,811 675 $ 501 to $750 71 6.99 % to 9.99% 2019-11 - 2021-10 42,862 2,072 508 $ 751 to $1,000 40 7.28 % to 10.00% 2018-10 - 2022-01 34,646 1,771 2,443 over $1,000 137 5.79 % to 10.25% 2019-11 - 2022-01 394,914 31,452 4,992 Total Bridge: 2,653 $ 741,232 $ 39,553 $ 8,987 T he following table displays the loan product type and accompanying loan characteristics of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.4 – Product Types and Characteristics of Multifamily Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 10,001 to $20,000 24 4.25 % to 4.25% 2025-09 - 2025-09 $ 370,934 $ — $ — $ 20,001 to $30,000 4 4.25 % to 4.25% 2025-09 - 2025-09 91,874 — — Total: 28 $ 462,808 $ — $ — December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 1,000 to $10,000 114 3.29 % to 4.73% 2023-02 - 2029-10 $ 674,666 $ — $ — $ 10,001 to $20,000 102 3.54 % to 4.94% 2023-09 - 2029-08 1,489,118 — — $ 20,001 to $30,000 32 3.54 % to 4.69% 2024-01 - 2026-12 750,712 — — $ 30,001 to $40,000 19 3.52 % to 4.79% 2025-05 - 2029-10 654,729 — — over $40,000 12 3.55 % to 4.65% 2024-10 - 2026-09 625,775 — — Total: 279 $ 4,195,000 $ — $ — |
Multifamily Loans (Tables)
Multifamily Loans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Schedule of Multifamily Loans | The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at December 31, 2020 and December 31, 2019. Table 8.1 – Characteristics of Multifamily Loans (Dollars in Thousands) December 31, 2020 December 31, 2019 Number of loans 28 279 Unpaid principal balance $ 462,808 $ 4,195,000 Fair value of loans $ 492,221 $ 4,408,524 Weighted average coupon 4.25 % 4.13 % Weighted average remaining loan term (years) 5 6 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at December 31, 2020 were first-lien, fixed-rate loans that were originated in 2015 and had original loan terms of ten years. The following table provides the activity of multifamily loans held-for-investment during the year months ended December 31, 2020 and 2019. Table 8.2 – Activity of Multifamily Loans Held-for-Investment Year Ended December 31, (In Thousands) 2020 2019 Net market valuation gains (losses) recorded (1) $ (58,821) $ 130,083 (1) Net market valuation gains (losses) on multifamily loans held-for-investment are recorded through Investment fair value changes, net on our consolidated statements of income (loss). For loans held at our consolidated Freddie Mac K-Series entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Note 5. |
Geographic Concentration of Loans Recorded on Consolidated Balance Sheet | The following table presents the geographic concentration of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.7 – Geographic Concentration of Residential Loans December 31, 2020 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 43 % 17 % 34 % 14 % — % Texas 10 % 5 % 10 % 3 % — % Washington 7 % 1 % 5 % 2 % — % Colorado 5 % 3 % 3 % 1 % — % Florida 3 % 14 % 6 % 10 % — % Illinois 3 % 3 % 2 % 5 % — % Maryland 2 % 2 % 1 % 5 % — % New Jersey 1 % 5 % 2 % 7 % — % New York 1 % 10 % 5 % 10 % — % Ohio — % 5 % — % 2 % — % Other states (none greater than 5%) 25 % 35 % 32 % 41 % — % Total 100 % 100 % 100 % 100 % — % December 31, 2019 Geographic Concentration Held-for-Sale Held-for- Held-for- Held-for-Investment at Freddie Mac SLST Held-for- California 36 % 18 % 35 % 14 % 45 % Washington 7 % 1 % 7 % 2 % 5 % Texas 6 % 6 % 9 % 3 % 8 % Colorado 6 % 3 % 4 % — % 4 % Florida 4 % 14 % 5 % 10 % 5 % New Jersey 2 % 4 % 2 % 7 % 2 % New York 1 % 10 % 4 % 10 % 4 % Other states (none greater than 5%) 38 % 44 % 34 % 54 % 27 % Total 100 % 100 % 100 % 100 % 100 % The following table presents the geographic concentration of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.5 – Geographic Concentration of Business Purpose Loans December 31, 2020 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 24 % — % 15 % 4 % New Jersey 17 % — % 11 % 9 % Georgia 12 % — % 5 % 8 % Florida 10 % — % 8 % 11 % Connecticut 8 % — % 4 % 1 % New York 5 % — % 1 % 8 % Arizona 5 % — % 2 % 1 % California 5 % — % 5 % 13 % Illinois 5 % — % 4 % 7 % Alabama 2 % — % 3 % 6 % Indiana 2 % — % 3 % 5 % Tennessee — % — % 3 % 6 % Other states (none greater than 5%) 5 % — % 36 % 21 % Total 100 % — % 100 % 100 % December 31, 2019 Geographic Concentration Single-Family Rental Held-for-Sale Single-Family Rental Held-for-Investment at Redwood Single-Family Rental Held-for-Investment at CAFL Residential Bridge Texas 19 % 12 % 15 % 3 % New Jersey 12 % 5 % 11 % 8 % Georgia 8 % — % 5 % 7 % Arkansas 6 % — % 2 % — % Maryland 6 % — % 2 % — % Florida 5 % — % 8 % 9 % New York 5 % 1 % 1 % 6 % Alabama 5 % — % 4 % 4 % Illinois 1 % — % 5 % 3 % California 2 % 1 % 7 % 21 % Utah — % — % — % 5 % Other states (none greater than 5%) 31 % 81 % 40 % 34 % Total 100 % 100 % 100 % 100 % The following table presents the geographic concentration of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.3 – Geographic Concentration of Multifamily Loans Geographic Concentration December 31, 2020 December 31, 2019 California 13 % 11 % Florida 13 % 10 % North Carolina 9 % — % Oregon 7 % — % Hawaii 5 % — % Tennessee 5 % — % Texas — % 13 % Arizona — % 6 % Georgia — % 6 % Washington — % 5 % Colorado — % 5 % Other states (none greater than 5%) 48 % 44 % Total 100 % 100 % |
Loan Product Type and Accompanying Loan Characteristics of Loans | T he following table displays the loan product type and accompanying loan characteristics of residential loans recorded on our consolidated balance sheets at December 31, 2020 and December 31, 2019. Table 6.8 – Product Types and Characteristics of Residential Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,524 0.25 % to 5.63% 2020-10 - 2036-05 $ 146,100 $ 4,208 $ 3,966 $ 251 to $500 251 0.50 % to 4.13% 2024-05 - 2035-11 86,676 1,908 4,392 $ 501 to $750 79 0.25 % to 4.13% 2027-05 - 2035-01 48,437 714 1,192 $ 751 to $1,000 27 0.75 % to 3.75% 2028-03 - 2036-03 21,875 — 3,175 over $1,000 18 1.00 % to 2.38% 2028-05 - 2035-04 26,422 — 4,560 1,899 329,510 6,830 17,285 Hybrid ARM loans: $ — to $250 2 2.63 % to 2.63% 2033-09 - 2033-10 439 — — $ 251 to $500 5 2.63 % to 4.00% 2033-07 - 2034-03 1,748 410 — $ 501 to $750 1 2.75 % to 2.75% 2033-08 - 2033-08 556 — — over $1,000 1 2.63 % to 2.63% 2033-09 - 2033-09 1,221 — — 9 3,964 410 — Total HFI at Legacy Sequoia: 1,908 $ 333,474 $ 7,240 $ 17,285 Held-for-Investment at Sequoia Choice: Hybrid ARM loans $ — to $250 3 5.50 % to 6.75% 2048-03 - 2048-10 $ 607 $ — $ — $ 251 to $500 5 3.50 % to 3.63% 2046-11 - 2049-06 2,196 440 — $ 501 to $750 19 3.25 % to 4.75% 2044-04 - 2049-09 12,214 682 671 $ 751 to $1,000 15 3.13 % to 5.00% 2043-12 - 2049-08 12,911 960 1,744 over $1,000 12 3.50 % to 5.00% 2044-11 - 2050-02 15,716 — — 54 43,644 2,082 2,415 Fixed loans: $ — to $250 48 2.75 % to 5.50% 2029-04 - 2049-09 $ 9,508 $ — $ 191 $ 251 to $500 285 3.13 % to 6.13% 2033-06 - 2050-03 122,327 4,728 2,225 $ 501 to $750 1,004 3.00 % to 6.75% 2031-04 - 2050-04 617,488 15,214 24,842 $ 751 to $1,000 556 3.25 % to 6.50% 2036-12 - 2050-04 478,938 10,482 21,155 over $1,000 230 3.15 % to 5.88% 2036-07 - 2050-04 278,549 4,868 23,914 2,123 1,506,810 35,292 72,327 Total HFI at Sequoia Choice: 2,177 $ 1,550,454 $ 37,374 $ 74,742 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2020 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,007 2.00 % to 11.00% 2020-12 - 2059-10 $ 1,407,107 $ 283,745 $ 206,724 $ 251 to $500 2,545 2.00 % to 7.75% 2035-05 - 2059-01 811,191 143,195 172,995 $ 501 to $750 52 2.00 % to 6.75% 2043-08 - 2058-07 28,461 6,863 9,526 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,012 1,012 — Total HFI at Freddie Mac SLST: 13,605 $ 2,247,771 $ 434,815 $ 389,245 Held-for-Sale: Hybrid ARM loans $ — to $250 1 2.00 % to 2.00% 2032-11 - 2032-11 $ 49 $ — $ — $ 751 to $1,000 1 4.38 % to 4.38% 2047-10 - 2047-10 970 970 — 2 1,019 970 — Fixed loans $ — to $250 1 4.69 % to 4.69% 2044-03 - 2044-03 219 219 — $ 501 to $750 75 2.50 % to 5.50% 2045-12 - 2051-01 48,933 1,127 — $ 751 to $1,000 80 2.38 % to 4.63% 2050-04 - 2051-01 71,137 — — over $1,000 40 2.38 % to 5.00% 2040-11 - 2051-01 51,440 1,046 1,882 196 171,729 2,392 1,882 Total Held-for-Sale 198 $ 172,748 $ 3,362 $ 1,882 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Redwood: Hybrid ARM loans $ — to $250 12 3.50 % to 4.5% 2043-09 - 2046-01 $ 2,423 $ — $ — $ 251 to $500 51 3.25 % to 5.63% 2041-01 - 2048-08 20,781 — — $ 501 to $750 97 2.88 % to 5.13% 2041-09 - 2048-08 61,708 1,364 — $ 751 to $1,000 90 2.88 % to 6.00% 2043-12 - 2048-08 77,550 1,784 971 over $1,000 49 3.00 % to 5.50% 2040-10 - 2048-09 64,937 1,428 — 299 227,399 4,576 971 Fixed loans $ — to $250 38 2.90 % to 4.80% 2026-02 - 2047-12 6,549 223 — $ 251 to $500 676 2.75 % to 6.00% 2026-01 - 2049-04 287,984 — — $ 501 to $750 1,091 2.80 % to 6.75% 2026-04 - 2049-05 669,159 2,325 614 $ 751 to $1,000 519 2.75 % to 6.63% 2026-01 - 2049-04 447,499 1,895 — over $1,000 317 3.00 % to 5.88% 2031-04 - 2049-05 414,188 3,202 — 2,641 1,825,379 7,645 614 Total HFI at Redwood: 2,940 $ 2,052,778 $ 12,221 $ 1,585 Held-for-Investment at Legacy Sequoia: ARM loans: $ — to $250 1,685 1.38 % to 6.00% 2020-01 - 2035-11 $ 169,230 $ 5,135 $ 3,109 $ 251 to $500 345 1.25 % to 5.63% 2022-01 - 2036-05 120,260 6,149 3,835 $ 501 to $750 87 1.63 % to 4.38% 2027-04 - 2035-02 53,811 3,628 1,211 $ 751 to $1,000 45 1.63 % to 4.38% 2027-11 - 2036-03 37,756 827 1,648 over $1,000 24 1.63 % to 4.00% 2027-12 - 2035-04 38,341 — — 2,186 419,398 15,739 9,803 Hybrid ARM loans: $ — to $250 2 4.25 % to 4.50% 2033-09 - 2033-10 465 — — $ 251 to $500 7 3.63 % to 5.13% 2033-07 - 2034-06 2,494 — — $ 501 to $750 2 4.50 % to 4.50% 2033-08 - 2033-08 1,181 — — over $1,000 1 4.50 % to 4.50% 2033-09 - 2033-09 1,291 — — 12 5,431 — — Total HFI at Legacy Sequoia: 2,198 $ 424,829 $ 15,739 $ 9,803 Held-for-Investment at Sequoia Choice: Fixed loans: $ — to $250 56 2.75 % to 5.50 % 2038-02 - 2049-07 $ 10,743 $ — $ — $ 251 to $500 420 3.13 % to 6.13 % 2037-12 - 2049-09 184,455 2,282 — $ 501 to $750 1,528 3.13 % to 6.75 % 2037-02 - 2049-09 940,914 13,020 2,366 $ 751 to $1,000 835 3.25 % to 6.50 % 2035-04 - 2049-09 719,609 7,856 3,297 over $1,000 317 3.5 % to 5.88 % 2038-01 - 2049-09 384,958 1,108 1,092 Total HFI at Sequoia Choice: 3,156 $ 2,240,679 $ 24,266 $ 6,755 Table 6.8 – Product Types and Characteristics of Residential Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Rate (1) Maturity Total 30-89 90+ Held-for-Investment at Freddie Mac SLST: Fixed loans: $ — to $250 11,639 2.00 % to 11.00% 2019-11 - 2059-10 $ 1,501,538 $ 477,592 $ 79,632 $ 251 to $500 2,805 2.00 % to 7.75% 2033-08 - 2058-11 894,126 297,732 52,920 $ 501 to $750 57 2.00 % to 6.75% 2043-08 - 2058-07 31,350 8,787 2,623 over $1,000 1 4.00 % to 4.00% 2056-03 - 2056-03 1,021 1,021 — Total HFI at Freddie Mac SLST: 14,502 2,428,035 785,132 135,175 Held-for-Sale: Hybrid ARM loans $ — to $250 7 5.20 % to 7.00% 2047-08 - 2048-12 $ 1,254 $ — $ — $ 251 to $500 1 4.25 % to 4.25% 2049-08 - 2049-08 432 — — $ 501 to $750 52 3.00 % to 5.50% 2047-04 - 2049-12 33,611 — — $ 751 to $1,000 33 3.25 % to 4.88% 2047-04 - 2049-11 28,573 — — over $1,000 22 3.25 % to 5.25% 2048-06 - 2049-11 28,013 — — 115 91,883 — — Fixed loans $ — to $250 2 3.88 % to 7.13% 2034-08 - 2049-07 481 — — $ 251 to $500 13 3.63 % to 6.50% 2048-01 - 2050-01 6,234 — — $ 501 to $750 301 3.20 % to 5.88% 2034-05 - 2050-01 186,251 — 747 $ 751 to $1,000 161 3.50 % to 6.50% 2034-07 - 2050-01 139,786 — — over $1,000 77 3.20 % to 5.00% 2034-08 - 2050-01 100,293 1,650 — 554 433,045 1,650 747 Total Held-for-Sale 669 $ 524,928 $ 1,650 $ 747 (1) Rate is net of servicing fee for consolidated loans for which we do not own the MSR. T he following table displays the loan product type and accompanying loan characteristics of business purpose loans recorded on our consolidated balance sheets at December 31, 2020. Table 7.6 – Product Types and Characteristics of Business Purpose Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 5 5.77 % to 7.05% 2022-07 - 2030-08 $ 1,016 $ — $ — $ 251 to $500 67 4.64 % to 6.96% 2021-07 - 2031-01 29,977 — — $ 501 to $750 212 4.12 % to 7.06% 2020-11 - 2030-12 130,665 — 1,752 $ 751 to $1,000 131 4.33 % to 7.23% 2021-01 - 2031-01 113,874 764 750 over $1,000 679 3.93 % to 7.57% 2020-11 - 2031-01 2,741,605 3,867 58,938 Total SFR HFI at CAFL: 1,094 $ 3,017,137 $ 4,631 $ 61,440 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 8 6.25 % to 7.75% 2027-03 - 2050-03 $ 1,060 $ — $ 635 $ 251 to $500 1 5.97 % to 5.97% 2021-02 - 2021-02 483 — — $ 501 to $750 6 5.84 % to 6.75% 2026-01 - 2031-01 3,632 — — $ 751 to $1,000 10 5.15 % to 6.39% 2020-05 - 2031-01 8,936 — 1,815 over $1,000 40 3.82 % to 5.95% 2020-07 - 2031-01 220,364 — 4,677 Total Single-Family Rental HFS: 65 $ 234,475 $ — $ 7,127 Bridge: Fixed loans: $ — to $250 1,440 5.75 % to 12.00% 2019-10 - 2022-12 $ 128,596 $ 6,530 $ 1,668 $ 251 to $500 110 6.65 % to 13.00% 2020-05 - 2022-12 37,607 945 1,423 $ 501 to $750 39 6.99 % to 10.00% 2020-07 - 2021-10 23,783 — 540 $ 751 to $1,000 21 6.50 % to 9.50% 2020-10 - 2022-03 18,225 — 943 over $1,000 115 6.04 % to 10.25% 2020-03 - 2022-12 441,321 — 34,841 Total Bridge: 1,725 $ 649,532 $ 7,475 $ 39,415 Table 7.6 – Product Types and Characteristics of Business Purpose Loans (continued) December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Single-Family Rental Held-for-Investment at Redwood: Fixed loans: $ 251 to $500 20 4.88 % to 7.47% 2024-02 - 2030-01 $ 7,925 $ — $ — $ 501 to $750 26 4.45 % to 7.25% 2023-09 - 2030-01 15,620 — — $ 751 to $1,000 16 4.91 % to 6.58% 2023-11 - 2029-09 13,616 — — over $1,000 45 3.93 % to 6.94% 2023-10 - 2030-01 194,050 — — Total SFR HFI at Redwood: 107 $ 231,211 $ — $ — Single-Family Rental Held-for-Investment at CAFL: Fixed loans: $ — to $250 2 5.46 % to 5.80% 2019-11 - 2021-09 $ 398 $ — $ — $ 251 to $500 56 4.92 % to 7.05% 2020-03 - 2029-10 25,643 1,306 — $ 501 to $750 148 4.75 % to 7.31% 2020-03 - 2029-10 91,414 1,259 1,990 $ 751 to $1,000 98 4.62 % to 7.23% 2020-03 - 2029-10 85,472 1,639 879 over $1,000 479 4.31 % to 7.57% 2019-12 - 2029-11 1,875,287 18,567 26,170 Total SFR HFI at CAFL: 783 $ 2,078,214 $ 22,771 $ 29,039 Single-Family Rental Held-for-Sale: Fixed loans: $ — to $250 85 5.50 % to 7.63% 2027-03 - 2050-01 $ 10,506 $ — $ 130 $ 251 to $500 9 4.94 % to 6.00% 2024-11 - 2050-01 3,708 — — $ 501 to $750 21 4.55 % to 5.96% 2024-01 - 2030-01 13,335 — — $ 751 to $1,000 13 5.00 % to 5.93% 2024-01 - 2030-01 11,676 — — over $1,000 73 4.35 % to 6.28% 2024-01 - 2030-01 282,412 — 1,688 Total Single-Family Rental HFS: 201 $ 321,637 $ — $ 1,818 Bridge: Fixed loans: $ — to $250 2,207 6.53 % to 12.00% 2019-07 - 2022-01 $ 197,449 $ 1,447 $ 369 $ 251 to $500 198 6.99 % to 13.00% 2019-10 - 2022-01 71,361 2,811 675 $ 501 to $750 71 6.99 % to 9.99% 2019-11 - 2021-10 42,862 2,072 508 $ 751 to $1,000 40 7.28 % to 10.00% 2018-10 - 2022-01 34,646 1,771 2,443 over $1,000 137 5.79 % to 10.25% 2019-11 - 2022-01 394,914 31,452 4,992 Total Bridge: 2,653 $ 741,232 $ 39,553 $ 8,987 T he following table displays the loan product type and accompanying loan characteristics of multifamily loans recorded on our consolidated balance sheets at December 31, 2020. Table 8.4 – Product Types and Characteristics of Multifamily Loans December 31, 2020 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 10,001 to $20,000 24 4.25 % to 4.25% 2025-09 - 2025-09 $ 370,934 $ — $ — $ 20,001 to $30,000 4 4.25 % to 4.25% 2025-09 - 2025-09 91,874 — — Total: 28 $ 462,808 $ — $ — December 31, 2019 (In Thousands) Loan Balance Number of Interest Maturity Total 30-89 90+ Fixed loans: $ 1,000 to $10,000 114 3.29 % to 4.73% 2023-02 - 2029-10 $ 674,666 $ — $ — $ 10,001 to $20,000 102 3.54 % to 4.94% 2023-09 - 2029-08 1,489,118 — — $ 20,001 to $30,000 32 3.54 % to 4.69% 2024-01 - 2026-12 750,712 — — $ 30,001 to $40,000 19 3.52 % to 4.79% 2025-05 - 2029-10 654,729 — — over $40,000 12 3.55 % to 4.65% 2024-10 - 2026-09 625,775 — — Total: 279 $ 4,195,000 $ — $ — |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Fair Values of Real Estate Securities by Collateral Type and Entity | The following table presents the fair values of our real estate securities by type at December 31, 2020 and December 31, 2019. Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) December 31, 2020 December 31, 2019 Trading $ 125,667 $ 860,540 Available-for-sale 218,458 239,334 Total Real Estate Securities $ 344,125 $ 1,099,874 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at December 31, 2020 and December 31, 2019. Table 9.2 – Fair Value of Trading Securities by Position (In Thousands) December 31, 2020 December 31, 2019 Senior Interest-only securities (1) $ 28,464 $ 64,010 RPL securities — 39,337 Other third-party residential securities — 46,720 Total Senior 28,464 150,067 Mezzanine Sequoia securities 3,649 39,660 Multifamily securities — 395,256 Other third-party residential securities — 103,573 Total Mezzanine 3,649 538,489 Subordinate RPL securities 47,448 76,102 Multifamily securities 5,592 — Other third-party residential securities 40,514 95,882 Total Subordinate 93,554 171,984 Total Trading Securities $ 125,667 $ 860,540 (1) Includes $13 million and $36 million of Sequoia certificated mortgage servicing rights as of December 31, 2020, and December 31, 2019, respectively. The following table presents the unpaid principal balance of trading securities by position and collateral type at December 31, 2020 and December 31, 2019. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position (In Thousands) December 31, 2020 December 31, 2019 Senior (1) $ — $ 83,591 Mezzanine 3,577 536,831 Subordinate 242,278 301,908 Total Trading Securities $ 245,855 $ 922,330 (1) Our senior trading securities include interest-only securities, for which there is no principal balance. The following table provides the activity of trading securities during the years ended December 31, 2020 and 2019. Table 9.4 – Trading Securities Activity Year Ended December 31, (In Thousands) 2020 2019 Principal balance of securities acquired $ 79,921 $ 366,848 Principal balance of securities sold 744,914 592,502 Net market valuation gains (losses) recorded (1) (230,731) 56,046 (1) Net market valuation gains (losses) on trading securities are recorded through Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income (loss). |
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 December 31, 2020 and December 31, 2019. Table 9.5 – Fair Value of Available-for-Sale Securities by Position (In Thousands) December 31, 2020 December 31, 2019 Senior Other third-party residential securities $ — $ 25,792 Total Senior — 25,792 Mezzanine Sequoia securities — 4,320 Multifamily securities — 5,123 Other third-party residential securities 2,014 4,244 Total Mezzanine 2,014 13,687 Subordinate Sequoia securities 136,475 136,330 Multifamily securities 43,663 3,749 Other third-party residential securities 36,306 59,776 Total Subordinate 216,444 199,855 Total AFS Securities $ 218,458 $ 239,334 The following table provides the activity of available-for-sale securities during the years ended December 31, 2020 and 2019. Table 9.6 – Available-for-Sale Securities Activity Year Ended December 31, (In Thousands) 2020 2019 Fair value of securities acquired $ 57,652 $ 26,538 Fair value of securities sold 55,192 110,070 Net realized gains recorded 4,635 17,582 |
Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at December 31, 2020 and December 31, 2019. Table 9.7 – Carrying Value of AFS Securities December 31, 2020 (In Thousands) Senior Mezzanine Subordinate Total Principal balance $ — $ 2,000 $ 281,284 $ 283,284 Credit reserve — — (44,967) (44,967) Unamortized discount, net — — (95,718) (95,718) Amortized cost — 2,000 140,599 142,599 Gross unrealized gains — 14 77,280 77,294 Gross unrealized losses — — (1,047) (1,047) CECL credit allowance — — (388) (388) Carrying Value $ — $ 2,014 $ 216,444 $ 218,458 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 years ended December 31, 2020 and 2019, in unamortized discount and designated credit reserves on residential AFS securities. Table 9.8 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities Year Ended December 31, 2020 Year Ended December 31, 2019 Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 32,940 $ 124,255 $ 41,370 $ 151,200 Amortization of net discount — (6,538) — (7,921) Realized credit losses (2,282) — (2,606) — Acquisitions 7,248 2,634 3,712 1,910 Sales, calls, other (731) (16,841) (9,453) (21,017) Impairments — — — — Transfers to (release of) credit reserves, net 7,792 (7,792) (83) 83 Ending Balance $ 44,967 $ 95,718 $ 32,940 $ 124,255 |
Components of Carrying Value of Available for Sale Securities in Unrealized Loss Position | The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at December 31, 2020 and December 31, 2019. Table 9.9 – Components of Fair Value of AFS Securities by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Amortized Unrealized Fair Amortized Unrealized Fair (In Thousands) December 31, 2020 $ 9,129 $ (1,047) $ 7,920 $ — $ — $ — December 31, 2019 — — — 5,830 (29) 5,801 |
Schedule 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 December 31, 2020. Table 9.10 – Significant Credit Quality Indicators December 31, 2020 Subordinate Securities Default rate 0.5% Loss severity 23% |
Debt Securities, Available-for-sale, Allowance for Credit Loss | The following table details the activity related to the allowance for credit losses for AFS securities held at December 31, 2020. Table 9.11 – Rollforward of Allowance for Credit Losses Year Ended (In Thousands) December 31, 2020 Beginning balance allowance for credit losses $ — Transition impact from adoption of ASU 2016-13, "Financial Instruments - Credit Losses" — Additions to allowance for credit losses on securities for which credit losses were not previously recorded 1,864 Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period (1,476) Allowance on purchased financial assets with credit deterioration — Reduction to allowance for securities sold during the period — Reduction to allowance for securities we intend to sell or more likely than not will be required to sell — Write-offs charged against allowance — Recoveries of amounts previously written off — Ending balance of allowance for credit losses $ 388 |
Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the years ended December 31, 2020, 2019, and 2018. Table 9.12 – Gross Realized Gains and Losses on AFS Securities Years Ended December 31, (In Thousands) 2020 2019 2018 Gross realized gains - sales $ 8,779 $ 17,582 $ 27,127 Gross realized gains - calls 5 6,239 43 Gross realized losses - sales (4,144) — (129) Total Realized Gains on Sales and Calls of AFS Securities, net $ 4,640 $ 23,821 $ 27,041 |
Other Investments (Tables)
Other Investments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investments, All Other Investments [Abstract] | |
Summary of Other Investments | Other investments at December 31, 2020 and December 31, 2019 are summarized in the following table. Table 10.1 – Components of Other Investments (In Thousands) December 31, 2020 December 31, 2019 Servicer advance investments $ 231,489 $ 169,204 Shared home appreciation options 42,440 45,085 Excess MSRs 34,418 31,814 Mortgage servicing rights 8,815 42,224 Investment in multifamily loan fund — 39,802 Other 31,013 30,001 Total Other Investments $ 348,175 $ 358,130 |
Components of Servicer Advance Investments | The servicer advance receivables were comprised of the following types of advances at December 31, 2020 and December 31, 2019: Table 10.2 – Components of Servicer Advance Receivables (In Thousands) December 31, 2020 December 31, 2019 Principal and interest advances $ 110,923 $ 15,081 Escrow advances (taxes and insurance advances) 79,279 96,732 Corporate advances 27,454 39,769 Total Servicer Advance Receivables $ 217,656 $ 151,582 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Aggregate 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 December 31, 2020 and December 31, 2019. Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments December 31, 2020 December 31, 2019 Fair Notional Fair Notional (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 224 $ 42,000 $ 17,095 $ 1,399,000 TBAs 18,260 3,520,000 5,755 2,445,000 Interest rate futures — — 777 213,700 Swaptions 19,727 1,585,000 1,925 1,065,000 Assets - Other Derivatives Loan purchase and interest rate lock commitments 15,027 2,617,254 10,149 1,537,162 Total Assets $ 53,238 $ 7,764,254 $ 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 (15,495) 3,105,000 (13,359) 4,160,000 Interest rate futures — — (10) 12,300 Liabilities - Other Derivatives Loan purchase commitments (577) 477,153 (1,290) 303,394 Total Liabilities $ (16,072) $ 3,582,153 $ (163,424) $ 6,929,494 Total Derivative Financial Instruments, Net $ 37,166 $ 11,346,407 $ (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 years ended December 31, 2020, 2019, and 2018. Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Years Ended December 31, (In Thousands) 2020 2019 2018 Net interest expense on cash flows hedges $ (860) $ (2,847) $ (3,228) Realized net losses reclassified from other comprehensive income (3,188) — — Total Interest Expense $ (4,048) $ (2,847) $ (3,228) |
Other Assets and Liabilities (T
Other Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Summary of Other Assets | Other assets at December 31, 2020 and December 31, 2019 are summarized in the following table. Table 12.1 – Components of Other Assets (In Thousands) December 31, 2020 December 31, 2019 Investment receivable $ 43,176 $ 23,330 Accrued interest receivable 39,445 71,058 Operating lease right-of-use assets 15,012 11,866 REO 8,413 9,462 FHLBC stock 5,000 43,393 Margin receivable 4,758 209,776 Fixed assets and leasehold improvements (1) 4,203 4,901 Pledged collateral 1,177 32,945 Other 9,404 12,590 Total Other Assets $ 130,588 $ 419,321 |
Summary of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at December 31, 2020 and December 31, 2019 are summarized in the following table. Table 12.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) December 31, 2020 December 31, 2019 Accrued interest payable $ 34,858 $ 60,655 Accrued compensation 24,393 33,888 Payable to minority partner 16,941 13,189 Operating lease liabilities 16,687 13,443 Margin payable 14,728 1,700 Deferred consideration 14,579 — Guarantee obligations 10,039 14,009 Residential loan and MSR repurchase reserve 8,631 4,268 Current accounts payable 6,455 5,468 Bridge loan holdbacks 5,708 10,682 Accrued taxes payable 5,614 5,268 Accrued operating expenses 5,509 4,358 Contingent consideration — 28,484 Other 15,198 11,481 Total Accrued Expenses and Other Liabilities $ 179,340 $ 206,893 |
Other Real Estate, Roll Forward | The following table summarizes the activity and carrying values of REO assets held at Redwood and at consolidated Legacy Sequoia, Freddie Mac SLST, and CAFL entities during the year ended December 31, 2020. Table 12.3 – REO Activity Year Ended December 31, 2020 (In Thousands) Redwood Bridge Legacy Sequoia Freddie Mac SLST CAFL Total Balance at beginning of period $ 6,887 $ 460 $ 445 $ 1,670 $ 9,462 Transfers to REO 6,111 532 1,319 6,157 14,119 Liquidations (1) (8,830) (243) (1,178) (4,371) (14,622) Changes in fair value, net 432 (111) 60 (927) (546) Balance at End of Period $ 4,600 $ 638 $ 646 $ 2,529 $ 8,413 (1) For the year ended December 31, 2020, REO liquidations resulted in $1 million of realized losses, which were recorded in Investment fair value changes, net on our consolidated statements of income (loss). The following table provides the detail of REO assets at Redwood and at consolidated Legacy Sequoia, Freddie Mac SLST, and CAFL entities at December 31, 2020 and December 31, 2019. Table 12.4 – REO Assets Number of REO assets Redwood Bridge Legacy Sequoia Freddie Mac SLST CAFL Total At December 31, 2020 3 3 9 2 17 At December 31, 2019 4 4 3 2 13 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt | 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 December 31, 2020 and December 31, 2019. Table 13.1 – Short-Term Debt December 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 $ 137,269 $ 1,300,000 2.45 % 1/2021-11/2021 268 Business purpose loan warehouse (2) 2 99,190 500,000 3.37 % 5/2022-6/2022 521 Real estate securities repo (1) 3 77,775 — 2.24 % 1/2021-3/2021 36 Total Short-Term Debt Facilities 9 314,234 Servicer advance financing 1 208,375 335,000 1.95 % 11/2021 334 Total Short-Term Debt $ 522,609 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 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 December 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. |
Collateral for Short-Term Debt | The following table below presents the value of loans and securities pledged as collateral under our short-term debt facilities at December 31, 2020 and December 31, 2019. Table 13.2 – Collateral for Short-Term Debt (In Thousands) December 31, 2020 December 31, 2019 Collateral Type Held-for-sale residential loans $ 156,355 $ 201,949 Business purpose loans 127,029 988,179 Real estate securities On balance sheet 23,193 618,881 Sequoia Choice securitizations (1) 63,105 111,341 Freddie Mac SLST securitizations (1) — 381,640 Freddie Mac K-Series securitizations (1) 28,255 252,284 CAFL securitizations (1) — 127,840 Total real estate securities owned 114,553 1,491,986 Other assets (2) 315 16,252 Total Collateral for Short-Term Debt $ 398,252 $ 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 $0.3 million of cash collateral as margin with our borrowing counterparties. |
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 December 31, 2020. Table 13.3 – Short-Term Debt by Collateral Type and Remaining Maturities December 31, 2020 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ 3,918 $ 14,801 $ 118,550 $ 137,269 Business purpose loans — — 99,190 99,190 Real estate securities 40,455 37,320 — 77,775 Total Secured Short-Term Debt 44,373 52,121 217,740 314,234 Servicer advance financing — — 208,375 208,375 Total Short-Term Debt $ 44,373 $ 52,121 $ 426,115 $ 522,609 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Carrying Value of ABS Issued by Consolidated Securitization Entities Sponsored, along with Other Selected Information | The carrying values of ABS issued by our consolidated securitization entities at December 31, 2020 and December 31, 2019, along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued December 31, 2020 (Dollars in Thousands) Legacy Sequoia Freddie Mac SLST (1) Freddie Mac CAFL Total Certificates with principal balance $ 329,039 $ 1,309,957 $ 1,866,145 $ 416,339 $ 2,716,425 $ 6,637,905 Interest-only certificates 1,092 4,591 23,335 13,026 162,934 204,978 Market valuation adjustments (47,805) 32,809 104,439 34,601 133,734 257,778 ABS Issued, Net $ 282,326 $ 1,347,357 $ 1,993,919 $ 463,966 $ 3,013,093 $ 7,100,661 Range of weighted average interest rates, by series 0.35% to 1.55% 2.25% to 5.04% 3.50% to 4.75% 3.39 % 2.68% to 5.42% Stated maturities 2024 - 2036 2047 - 2050 2028 - 2059 2025 2022 - 2052 Number of series 20 10 3 1 14 December 31, 2019 (Dollars in Thousands) Legacy Sequoia Freddie Mac SLST Freddie Mac K-Series CAFL Total 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 (1) Includes $205 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost. |
Schedule of Interest Payable On Asset-Backed Securities Issued | The following table summarizes the accrued interest payable on ABS issued at December 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) December 31, 2020 December 31, 2019 Legacy Sequoia $ 141 $ 395 Sequoia Choice 4,697 7,732 Freddie Mac SLST (1) 5,656 5,374 Freddie Mac K-Series 1,177 12,887 CAFL 10,122 7,298 Total Accrued Interest Payable on ABS Issued $ 21,793 $ 33,686 (1) Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Lease Commitments | The following table presents our future lease commitments at December 31, 2020. Table 16.1 – Future Lease Commitments by Year (In Thousands) December 31, 2020 2021 $ 3,469 2022 3,301 2023 2,813 2024 2,231 2025 1,983 2026 and thereafter 6,128 Total Lease Commitments 19,925 Less: Imputed interest (3,238) Operating Lease Liabilities $ 16,687 |
Equity (Tables)
Equity (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Equity [Abstract] | |
Changes to Accumulated Other Comprehensive Income (Loss) by Component | The following table provides a summary of changes to accumulated other comprehensive income by component for the years ended December 31, 2020 and 2019. During the year ended December 31, 2020, we recognized net unrealized losses of $2 million on our Level 3 AFS securities which we owned as of December 31, 2020. Table 17.1 – Changes in Accumulated Other Comprehensive Income (Loss) by Component Years Ended December 31, 2020 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 (loss) income (3,951) (32,806) 17,077 (16,894) Amounts reclassified from other accumulated comprehensive (loss) income (12,165) 3,188 (19,967) — Net current-period other comprehensive loss (16,116) (29,618) (2,890) (16,894) Balance at End of Period $ 76,336 $ (80,557) $ 92,452 $ (50,939) |
Reclassifications out of Accumulated Other Comprehensive Income (Loss) | The following table provides a summary of reclassifications out of accumulated other comprehensive income for the years ended December 31, 2020 and 2019. Table 17.2 – Reclassifications Out of Accumulated Other Comprehensive Income (Loss) Amount Reclassified From Affected Line Item in the Year Ended December 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 $ 388 $ — Gain on sale of AFS securities Realized gains, net (12,553) (19,967) $ (12,165) $ (19,967) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 3,188 $ — $ 3,188 $ — |
Basic and Diluted Earnings (Loss) Per Common Share | The following table provides the basic and diluted earnings per common share computations for the years ended December 31, 2020, 2019, and 2018. Table 17.3 – Basic and Diluted Earnings per Common Share Years Ended December 31, (In Thousands, except Share Data) 2020 2019 2018 Basic (Loss) Earnings per Common Share: Net (loss) income attributable to Redwood $ (581,847) $ 169,183 $ 119,600 Less: Dividends and undistributed earnings allocated to participating securities (1,990) (4,797) (3,754) Net (loss) income allocated to common shareholders $ (583,837) $ 164,386 $ 115,846 Basic weighted average common shares outstanding 113,935,605 101,120,744 78,724,912 Basic (Loss) Earnings per Common Share $ (5.12) $ 1.63 $ 1.47 Diluted (Loss) Earnings per Common Share: Net (loss) income attributable to Redwood $ (581,847) $ 169,183 $ 119,600 Less: Dividends and undistributed earnings allocated to participating securities (1,990) (5,273) (4,283) Adjust for interest expense and gain on extinguishment of convertible notes for the period, net of tax — 36,212 32,653 Net (loss) income allocated to common shareholders $ (583,837) $ 200,122 $ 147,970 Weighted average common shares outstanding 113,935,605 101,147,225 78,724,912 Net effect of dilutive equity awards — 251,100 189,120 Net effect of assumed convertible notes conversion to common shares — 35,382,269 31,113,738 Diluted weighted average common shares outstanding 113,935,605 136,780,594 110,027,770 Diluted (Loss) Earnings per Common Share $ (5.12) $ 1.46 $ 1.34 |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Equity Compensation Plans | Table 18.1 – Activities of Equity Compensation Costs by Award Type Year Ended December 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 — 3,465 12,261 4,937 137 20,800 Performance-based valuation adjustment — — — (7,352) — (7,352) Equity grant forfeitures (531) (2,163) (4,733) (648) — (8,075) Equity compensation expense (895) (1,296) (7,620) (89) (137) (10,037) Unrecognized Compensation Cost at End of Period $ 564 $ 3,540 $ 17,766 $ 5,794 $ — $ 27,664 |
Restricted Stock Outstanding | The following table summarizes the activities related to RSAs for the years ended December 31, 2020, 2019, and 2018. Table 18.2 – Restricted Stock Awards Activities Years Ended December 31, 2020 2019 2018 Shares Weighted Shares Weighted Shares Weighted Outstanding at beginning of period 216,470 $ 14.85 334,606 $ 14.92 257,507 $ 15.23 Granted — — — — 168,537 14.71 Vested (102,615) 14.44 (118,136) 15.05 (83,968) 15.46 Forfeited (34,857) 15.16 — — (7,470) 15.05 Outstanding at End of Period 78,998 $ 15.23 216,470 $ 14.85 334,606 $ 14.92 The following table summarizes the activities related to RSUs for the years ended December 31, 2020, 2019, and 2018. Table 18.3 – Restricted Stock Units Activities Years Ended December 31, 2020 2019 2018 Shares Weighted Shares Weighted Shares Weighted Outstanding at beginning of period 275,173 $ 15.65 4,876 $ 15.38 — $ — Granted 205,482 16.86 270,297 15.66 4,876 15.38 Vested (68,076) 15.65 — — — — Forfeited (130,155) 16.60 — — — — Outstanding at End of Period 282,424 $ 16.09 275,173 $ 15.65 4,876 $ 15.38 |
Deferred Stock Units Activity | The following table summarizes the activities related to DSUs for the years ended December 31, 2020, 2019, and 2018. Table 18.4 – Deferred Stock Units Activities Years Ended December 31, 2020 2019 2018 Units Weighted Units Weighted Units Weighted Outstanding at beginning of period 2,630,805 $ 15.66 2,336,720 $ 15.58 1,878,491 $ 15.92 Granted 1,186,154 10.69 733,096 16.06 670,254 15.53 Distributions (720,562) 14.31 (419,113) 15.96 (212,025) 18.37 Forfeitures (291,253) 16.25 (19,898) 15.96 — — Balance at End of Period 2,805,144 $ 13.84 2,630,805 $ 15.66 2,336,720 $ 15.58 |
Summary of Activity Related to ESPP | The following table summarizes the activities related to the ESPP for the years ended December 31, 2020, 2019, and 2018. Table 18.5 – Employee Stock Purchase Plan Activities Years Ended December 31, (In Thousands) 2020 2019 2018 Balance at beginning of period $ 4 $ 6 $ 4 Employee purchases 347 524 375 Cost of common stock issued (334) (526) (373) Balance at End of Period $ 17 $ 4 $ 6 |
Summary of Activity Related to Executive Deferred Compensation Plan | The following table summarizes the cash account activities related to the EDCP for the years ended December 31, 2020, 2019, and 2018. Table 18.6 – EDCP Cash Accounts Activities Years Ended December 31, (In Thousands) 2020 2019 2018 Balance at beginning of period $ 2,454 $ 2,484 $ 2,171 New deferrals 726 789 759 Accrued interest 42 68 82 Withdrawals (933) (887) (528) Balance at End of Period $ 2,289 $ 2,454 $ 2,484 |
Mortgage Banking Activities (Ta
Mortgage Banking Activities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Components of Mortgage Banking Activities, Net | The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the years ended December 31, 2020, 2019, and 2018. Table 19.1 – Mortgage Banking Activities Years Ended December 31, (In Thousands) 2020 2019 2018 Residential Mortgage Banking Activities, Net Changes in fair value of: Residential loans, at fair value (1) $ 41,284 $ 63,527 $ 21,808 Trading securities (2) (4,535) — — Risk management derivatives (3) (26,376) (17,519) 35,248 Other income (expense), net (4) (6,652) 1,735 2,567 Total residential mortgage banking activities, net 3,721 47,743 59,623 Business Purpose Mortgage Banking Activities, Net Changes in fair value of: Single-family rental loans, at fair value (1) 82,510 17,004 453 Risk management derivatives (3) (21,403) 1,796 (510) Bridge loans, at fair value (4,998) 4,518 — Other income, net (5) 18,642 16,205 — Total business purpose mortgage banking activities, net 74,751 39,523 (57) Mortgage Banking Activities, Net $ 78,472 $ 87,266 $ 59,566 (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 fair value changes on trading securities that are being used along with risk management derivatives as hedges to manage the mark-to-market risks associated with our residential mortgage banking operations. (3) Represents market valuation changes of derivatives that were used to manage risks associated with our mortgage banking operations. (4) Amounts in this line item include other fee income from loan acquisitions, provisions for repurchase expense, and expenses related to resolving residential loan seller demands, presented net. (5) Amounts in this line item include other fee income from loan originations. |
Other Income (Tables)
Other Income (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Other Income and Expenses [Abstract] | |
Interest and Other Income | The following table presents the components of Other income recorded in our consolidated statements of income for the years ended December 31, 2020, 2019 and 2018. Table 20.1 – Other Income Years Ended December 31, (In Thousands) 2020 2019 2018 MSR (loss) income, net $ (9,694) $ 3,521 $ 7,076 Risk share income 4,367 3,522 3,613 FHLBC capital stock dividend 1,229 2,169 1,763 Equity investment income 1,037 1,405 618 5 Arches loan administration fee income 2,912 4,400 — Gain on re-measurement of investment in 5 Arches — 2,441 — Other 4,337 1,799 — Other Income $ 4,188 $ 19,257 $ 13,070 |
General and Administrative Ex_2
General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Other Income and Expenses [Abstract] | |
Components of Operating Expenses | Components of our general and administrative expenses, loan acquisition costs, and other expenses for the years ended December 31, 2020, 2019 and 2018 are presented in the following table. Table 21.1 – Components of General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses Years Ended December 31, (In Thousands) 2020 2019 2018 General and Administrative Expenses Fixed compensation expense $ 46,689 $ 39,639 $ 24,445 Annual variable compensation expense 14,116 21,728 14,589 Long-term incentive award expense (1) 12,439 13,402 12,388 Acquisition-related equity compensation expense (2) 4,848 1,010 — Systems and consulting 11,728 10,746 7,451 Office costs 7,794 6,310 4,705 Accounting and legal 7,928 5,450 5,529 Corporate costs 2,829 2,351 1,955 Other 6,833 8,101 4,236 Total General and Administrative Expenses 115,204 108,737 75,298 Loan Acquisition Costs Commissions 4,321 3,833 78 Underwriting costs 4,945 4,767 5,140 Transfer and holding costs 1,757 1,335 2,266 Total Loan Acquisition Costs 11,023 9,935 7,484 Other Expenses Goodwill impairment expense 88,675 — — Amortization of purchase-related intangible assets 15,925 8,696 177 Contingent consideration expense (3) 249 3,218 — Other 3,936 1,108 19 Total Other Expenses 108,785 13,022 196 Total General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses $ 235,012 $ 131,694 $ 82,978 (1) For the year ended December 31, 2020, long-term incentive award expense includes $10 million of expense for awards settleable in shares of our common stock and $2 million of expense for awards settleable in cash. (2) 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. (3) Contingent consideration expense relates to the acquisition of 5 Arches during 2019. Refer to Note 2 for additional detail. |
Taxes (Tables)
Taxes (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Components of Net Deferred Tax Assets | Components of our net deferred tax assets at December 31, 2020 and December 31, 2019 are presented in the following table. Table 22.1 – Deferred Tax Assets (Liabilities) (In Thousands) December 31, 2020 December 31, 2019 Deferred Tax Assets Net operating loss carryforward – state $ 103,334 $ 98,554 Net capital loss carryforward – state 23,487 — Net operating loss carryforward – federal 82 82 Real estate assets 2,948 676 Allowances and accruals 3,324 1,930 Goodwill and intangible assets 23,231 2,739 Other 1,914 1,749 Tax effect of unrealized (gains) / losses - OCI 124 — Total Deferred Tax Assets 158,444 105,730 Deferred Tax Liabilities Mortgage Servicing Rights (2,458) (13,783) Interest rate agreements (3,867) (42) Total Deferred Tax Liabilities (6,325) (13,825) Valuation allowance (151,248) (97,057) Total Deferred Tax Asset (Liability), net of Valuation Allowance $ 871 $ (5,152) |
Provision for Income Taxes | The following table summarizes the provision for income taxes for the years ended December 31, 2020, 2019, and 2018. Table 22.2 – Provision for Income Taxes Years Ended December 31, (In Thousands) 2020 2019 2018 Current Provision for Income Taxes Federal $ 1,598 $ 12,036 $ 11,387 State (182) 897 820 Total Current Provision for Income Taxes 1,416 12,933 12,207 Deferred (Benefit) Provision for Income Taxes Federal (6,024) (3,976) (1,419) State — (1,517) 300 Total Deferred (Benefit) Provision for Income Taxes (6,024) (5,493) (1,119) Total (Benefit From) Provision for Income Taxes $ (4,608) $ 7,440 $ 11,088 |
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 December 31, 2020, 2019, and 2018. Table 22.3 – Reconciliation of Statutory Tax Rate to Effective Tax Rate December 31, 2020 December 31, 2019 December 31, 2018 Federal statutory rate 21.0 % 21.0 % 21.0 % State statutory rate, net of Federal tax effect 8.6 % 8.6 % 8.6 % Differences in taxable (loss) income from GAAP income (19.6) % (2.1) % (1.7) % Change in valuation allowance (9.2) % (2.2) % 1.9 % Dividends paid deduction (1) — % (21.1) % (21.3) % Federal statutory rate change — % — % — % Effective Tax Rate 0.8 % 4.2 % 8.5 % (1) The dividends paid deduction in the effective tax rate reconciliation is generally representative of the amount of distributions to shareholders that reduce REIT taxable income. For the year ended December 31, 2020, the dividends paid deduction is 0% due to our REIT incurring a taxable loss during the period; therefore, there was no REIT taxable income available to apply against the dividends paid. |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Segment Reporting [Abstract] | |
Financial Information by Segment | The following tables present financial information by segment for the years ended December 31, 2020, 2019, and 2018. Table 23.1 – Business Segment Financial Information Year Ended December 31, 2020 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 150,906 $ 218,890 $ 192,984 $ 9,136 $ 571,916 Interest expense (107,371) (157,292) (135,722) (47,620) (448,005) Net interest income 43,535 61,598 57,262 (38,484) 123,911 Non-interest income Mortgage banking activities, net 3,721 74,751 — — 78,472 Investment fair value changes, net (153,388) (81,042) (352,004) (2,004) (588,438) Other income, net (4,642) 4,651 1,494 2,685 4,188 Realized gains, net 2,001 — 3,241 25,182 30,424 Total non-interest income, net (152,308) (1,640) (347,269) 25,863 (475,354) General and administrative expenses (17,939) (39,319) (5,046) (52,900) (115,204) Loan acquisition costs (2,785) (7,544) (684) (10) (11,023) Other expenses (4,114) (104,147) 194 (718) (108,785) Provision for income taxes 4,567 (4,063) 4,104 — 4,608 Segment Contribution $ (129,044) $ (95,115) $ (291,439) $ (66,249) Net Loss $ (581,847) Non-cash amortization (expense) income, net $ 2,401 $ (24,638) $ 1,867 $ (4,954) $ (25,324) Other significant non-cash expense: goodwill impairment $ — $ (88,675) $ — $ — $ (88,675) Year Ended December 31, 2019 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 268,559 $ 54,372 $ 281,701 $ 17,649 $ 622,281 Interest expense (171,119) (32,232) (213,312) (63,145) (479,808) Net interest income 97,440 22,140 68,389 (45,496) 142,473 Non-interest income Mortgage banking activities, net 47,743 39,523 — — 87,266 Investment fair value changes, net (27,920) (6,722) 71,759 (1,617) 35,500 Other income 9,210 5,852 1,484 2,711 19,257 Realized gains, net 8,292 — 15,529 — 23,821 Total non-interest income (loss), net 37,325 38,653 88,772 1,094 165,844 General and administrative expenses (26,717) (25,591) (3,561) (52,868) (108,737) Loan acquisition costs (3,954) (5,064) (780) (137) (9,935) Other expenses — (8,521) (1,106) (3,395) (13,022) Provision for income taxes (4,074) (947) (2,419) — (7,440) Segment Contribution $ 100,020 $ 20,670 $ 149,295 $ (100,802) Net Income $ 169,183 Non-cash amortization income (expense), net $ 3,669 $ (9,173) $ 6,956 $ (4,813) $ (3,361) Year Ended December 31, 2018 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 245,124 $ 4,588 $ 108,969 $ 20,036 $ 378,717 Interest expense (134,590) (1,598) (41,887) (60,964) (239,039) Net interest income 110,534 2,990 67,082 (40,928) 139,678 Non-interest income Mortgage banking activities, net 59,623 (57) — — 59,566 Investment fair value changes, net (21,686) (29) (2,978) (996) (25,689) Other income 12,452 — — 618 13,070 Realized gains, net 7,709 — 19,332 — 27,041 Total non-interest income (loss), net 58,098 (86) 16,354 (378) 73,988 General and administrative expenses (26,897) (1,948) (2,140) (44,313) (75,298) Loan acquisition costs (5,242) (649) (1,584) (9) (7,484) Other expense — — (18) (178) (196) Provision for income taxes (8,033) — (3,055) — (11,088) Segment Contribution $ 128,460 $ 307 $ 76,639 $ (85,806) Net Income $ 119,600 Non-cash amortization income (expense), net $ 4,486 $ (290) $ 12,294 $ (4,111) $ 12,379 |
Schedule Of Corporate And Other | The following table presents the components of Corporate/Other for the years ended December 31, 2020, 2019, and 2018. Table 23.2 – Components of Corporate/Other Years Ended December 31, 2020 2019 2018 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 9,061 $ 75 $ 9,136 $ 17,649 $ — $ 17,649 $ 20,036 $ — $ 20,036 Interest expense (5,945) (41,675) (47,620) (14,418) (48,727) (63,145) (16,519) (44,445) (60,964) Net interest income (loss) 3,116 (41,600) (38,484) 3,231 (48,727) (45,496) 3,517 (44,445) (40,928) Non-interest income Investment fair value changes, net (1,512) (492) (2,004) (1,545) (72) (1,617) (1,016) 20 (996) Other income — 2,685 2,685 — 2,711 2,711 — 618 618 Realized gains, net — 25,182 25,182 — — — — — — Total non-interest (loss) income, net (1,512) 27,375 25,863 (1,545) 2,639 1,094 (1,016) 638 (378) General and administrative expenses — (52,900) (52,900) — (52,868) (52,868) — (44,313) (44,313) Loan acquisition costs — (10) (10) — (137) (137) — (9) (9) Other expenses — (718) (718) — (3,395) (3,395) — (178) (178) Total $ 1,604 $ (67,853) $ (66,249) $ 1,686 $ (102,488) $ (100,802) $ 2,501 $ (88,307) $ (85,806) (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 Balance Sheet | The following table presents supplemental information by segment at December 31, 2020 and December 31, 2019. Table 23.3 – Supplemental Segment Information (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total December 31, 2020 Residential loans $ 1,741,963 $ — $ 2,221,153 $ 285,935 $ 4,249,051 Business purpose loans — 4,136,353 — — 4,136,353 Multifamily loans — — 492,221 — 492,221 Real estate securities 160,780 — 183,345 — 344,125 Other investments 8,815 21,627 317,282 451 348,175 Goodwill and intangible assets — 56,865 — — 56,865 Total assets 1,989,802 4,323,040 3,232,415 809,809 10,355,066 December 31, 2019 Residential loans $ 4,939,745 $ — $ 2,367,215 $ 407,890 $ 7,714,850 Business purpose loans — 3,506,743 — — 3,506,743 Multifamily loans — — 4,408,524 — 4,408,524 Real estate securities 229,074 — 870,800 — 1,099,874 Other investments 42,224 21,002 294,904 — 358,130 Goodwill and intangible assets — 161,464 — — 161,464 Total assets 5,410,540 3,786,641 8,028,946 769,313 17,995,440 |
Organization (Details)
Organization (Details) | 12 Months Ended |
Dec. 31, 2020segment | |
Accounting Policies [Abstract] | |
Number of operating segments | 3 |
Basis of Presentation - Narrati
Basis of Presentation - Narrative (Details) | Oct. 15, 2019USD ($) | Mar. 01, 2019USD ($) | Oct. 31, 2019USD ($) | Mar. 31, 2019 | May 31, 2018USD ($) | Sep. 30, 2020 | Mar. 31, 2020USD ($) | Sep. 30, 2019partnership | Mar. 31, 2019USD ($) | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($)partnership |
Variable Interest Entity [Line Items] | ||||||||||||
Deconsolidation, realized market valuation gain (loss) | $ (72,000,000) | |||||||||||
Number of partnerships consolidated | partnership | 2 | 2 | ||||||||||
VIE, ownership interest rate | 80.00% | |||||||||||
Contingent consideration | $ 0 | $ 28,484,000 | ||||||||||
Contingent consideration expense | 200,000 | 3,218,000 | $ 0 | |||||||||
Acquisition-related equity compensation expense | 4,848,000 | 1,010,000 | 0 | |||||||||
Gain on re-measurement of 5 Arches investment | 0 | 2,441,000 | 0 | |||||||||
Amortization of Intangible Assets | 16,000,000 | 9,000,000 | ||||||||||
Goodwill impairment expense | 89,000,000 | 88,675,000 | 0 | $ 0 | ||||||||
Intangible asset impairment expense | 0 | |||||||||||
5 Arches, LLC | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Payments to acquire equity method investment | $ 10,000,000 | |||||||||||
Option to purchase additional equity, term | 1 year | |||||||||||
Multifamily securities | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Consolidation of multifamily loans held in securitization trusts | 3,860,000,000 | |||||||||||
Consolidation of multifamily ABS | 3,720,000,000 | |||||||||||
5 Arches, LLC | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Minority interest, percentage | 20.00% | |||||||||||
Option to purchase additional equity, percent | 80.00% | |||||||||||
Cash | $ 12,575,000 | |||||||||||
Contingent consideration maximum amount | 27,000,000 | $ 29,000,000 | ||||||||||
Contingent consideration performance term | 2 years | |||||||||||
Contingent consideration | 24,621,000 | 15,000,000 | ||||||||||
Cash payment for contingent consideration | 11,000,000 | |||||||||||
Restricted stock awards | $ 3,000,000 | |||||||||||
Contingent consideration expense | 249,000 | |||||||||||
Gain on re-measurement of 5 Arches investment | $ 2,000,000 | |||||||||||
Intangible assets | 24,800,000 | |||||||||||
Goodwill | $ 28,747,000 | |||||||||||
CoreVest LLC | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Cash | $ 482,311,000 | $ 482,000,000 | ||||||||||
Contingent consideration performance term | 2 years | |||||||||||
Contingent consideration | $ 0 | |||||||||||
Restricted stock awards | 10,000,000 | 10,000,000 | ||||||||||
Total consideration | 492,000,000 | |||||||||||
Acquisition-related equity compensation expense | $ 10,000,000 | |||||||||||
Intangible assets | 56,500,000 | |||||||||||
Goodwill | $ 59,928,000 | |||||||||||
5 Arches LLC And CoreVest | ||||||||||||
Variable Interest Entity [Line Items] | ||||||||||||
Contingent consideration expense | 2,000,000 | |||||||||||
Amortization of Intangible Assets | $ 24,435,000 | 8,511,000 | ||||||||||
Goodwill | 89,000,000 | |||||||||||
Goodwill deductible for tax purposes | $ 75,000,000 |
Basis of Presentation - Schedul
Basis of Presentation - Schedule of Assets Acquired and Liabilities Assumed (Details) - USD ($) $ in Thousands | Oct. 15, 2019 | Mar. 01, 2019 | Oct. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 |
Purchase price: | |||||
Contingent consideration, at fair value | $ 0 | $ 28,484 | |||
5 Arches, LLC | |||||
Purchase price: | |||||
Cash | $ 12,575 | ||||
Contingent consideration, at fair value | 24,621 | $ 15,000 | |||
Purchase option, at fair value | 5,082 | ||||
Equity method investment, at fair value | 8,052 | ||||
Allocated to: | |||||
Business purpose loans, at fair value | 2,022 | ||||
Cash and cash equivalents | 2,128 | ||||
Restricted cash | 9,082 | ||||
Other assets | 5,473 | ||||
Goodwill | 28,747 | ||||
Intangible assets | 24,800 | ||||
Deferred tax asset | 0 | ||||
Total assets acquired | 72,252 | ||||
Asset-backed securities issued, at fair value | 0 | ||||
Short-term debt, net | 3,800 | ||||
Accrued expenses and other liabilities | 13,920 | ||||
Deferred tax liability | 4,202 | ||||
Total liabilities assumed | 21,922 | ||||
Total net assets acquired | $ 50,330 | ||||
CoreVest LLC | |||||
Purchase price: | |||||
Cash | $ 482,311 | $ 482,000 | |||
Contingent consideration, at fair value | 0 | ||||
Purchase option, at fair value | 0 | ||||
Equity method investment, at fair value | 0 | ||||
Allocated to: | |||||
Business purpose loans, at fair value | 2,610,490 | ||||
Cash and cash equivalents | 30,685 | ||||
Restricted cash | 0 | ||||
Other assets | 67,420 | ||||
Goodwill | 59,928 | ||||
Intangible assets | 56,500 | ||||
Deferred tax asset | 2,577 | ||||
Total assets acquired | 2,827,600 | ||||
Asset-backed securities issued, at fair value | 1,656,023 | ||||
Short-term debt, net | 663,275 | ||||
Accrued expenses and other liabilities | 25,991 | ||||
Deferred tax liability | 0 | ||||
Total liabilities assumed | 2,345,289 | ||||
Total net assets acquired | $ 482,311 |
Basis of Presentation - Sched_2
Basis of Presentation - Schedule of Intangible Assets – Activity (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Finite-lived Intangible Assets [Roll Forward] | ||
Accumulated Amortization at December 31, 2020 | $ (16,000) | $ (9,000) |
Carrying Value at December 31, 2020 | 56,865 | |
5 Arches LLC And CoreVest | ||
Finite-lived Intangible Assets [Roll Forward] | ||
Intangible Assets at Acquisition | 81,300 | 81,300 |
Accumulated Amortization at December 31, 2020 | (24,435) | (8,511) |
Carrying Value at December 31, 2020 | $ 56,865 | $ 72,789 |
Weighted Average Amortization Period (in years) | 6 years | 6 years |
Borrower network | 5 Arches LLC And CoreVest | ||
Finite-lived Intangible Assets [Roll Forward] | ||
Intangible Assets at Acquisition | $ 45,300 | $ 45,300 |
Accumulated Amortization at December 31, 2020 | (7,819) | (1,348) |
Carrying Value at December 31, 2020 | $ 37,481 | $ 43,952 |
Weighted Average Amortization Period (in years) | 7 years | 7 years |
Broker network | 5 Arches LLC And CoreVest | ||
Finite-lived Intangible Assets [Roll Forward] | ||
Intangible Assets at Acquisition | $ 18,100 | $ 18,100 |
Accumulated Amortization at December 31, 2020 | (6,637) | (3,017) |
Carrying Value at December 31, 2020 | $ 11,463 | $ 15,083 |
Weighted Average Amortization Period (in years) | 5 years | 5 years |
Non-compete agreements | 5 Arches LLC And CoreVest | ||
Finite-lived Intangible Assets [Roll Forward] | ||
Intangible Assets at Acquisition | $ 9,500 | $ 9,500 |
Accumulated Amortization at December 31, 2020 | (4,431) | (1,264) |
Carrying Value at December 31, 2020 | $ 5,069 | $ 8,236 |
Weighted Average Amortization Period (in years) | 3 years | 3 years |
Tradenames | 5 Arches LLC And CoreVest | ||
Finite-lived Intangible Assets [Roll Forward] | ||
Intangible Assets at Acquisition | $ 4,000 | $ 4,000 |
Accumulated Amortization at December 31, 2020 | (1,860) | (527) |
Carrying Value at December 31, 2020 | $ 2,140 | $ 3,473 |
Weighted Average Amortization Period (in years) | 3 years | 3 years |
Developed technology | 5 Arches LLC And CoreVest | ||
Finite-lived Intangible Assets [Roll Forward] | ||
Intangible Assets at Acquisition | $ 1,800 | $ 1,800 |
Accumulated Amortization at December 31, 2020 | (1,088) | (188) |
Carrying Value at December 31, 2020 | $ 712 | $ 1,612 |
Weighted Average Amortization Period (in years) | 2 years | 2 years |
Loan administration fees on existing loan assets | 5 Arches LLC And CoreVest | ||
Finite-lived Intangible Assets [Roll Forward] | ||
Intangible Assets at Acquisition | $ 2,600 | $ 2,600 |
Accumulated Amortization at December 31, 2020 | (2,600) | (2,167) |
Carrying Value at December 31, 2020 | $ 0 | $ 433 |
Weighted Average Amortization Period (in years) | 1 year | 1 year |
Basis of Presentation - Intangi
Basis of Presentation - Intangible Asset Amortization Expense by Year (Details) $ in Thousands | Dec. 31, 2020USD ($) |
Finite-Lived Intangible Assets [Line Items] | |
2021 | $ 15,304 |
2022 | 12,800 |
2023 | 10,091 |
2024 | 7,073 |
2025 and thereafter | 11,597 |
Total Future Intangible Asset Amortization | $ 56,865 |
Basis of Presentation - Pro For
Basis of Presentation - Pro Forma Information (Details) - 5 Arches LLC And CoreVest $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Business Acquisition [Line Items] | |
Net interest income | $ 167,680 |
Non-interest income | 193,519 |
Net income | $ 185,896 |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies - Additional Information (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 12 Months Ended | 24 Months Ended | |||||
Dec. 31, 2020 | May 31, 2020 | Dec. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2013 | Dec. 31, 2015 | |
Significant Accounting Policies [Line Items] | |||||||||
VIE, ownership interest rate | 80.00% | ||||||||
Risk-sharing arrangement term | 10 years | ||||||||
SPE, assets | $ 46,000 | $ 46,000 | $ 46,000 | $ 48,000 | |||||
SPE, liabilities | 10,000 | $ 10,000 | $ 10,000 | 14,000 | |||||
Incentive Plan, mandatory holding period before awards vest | 3 years | ||||||||
Employee Stock Purchase Plan, percentage of common stock fair value that employees can purchase | 85.00% | ||||||||
Employees maximum 401(k) contribution | 100.00% | ||||||||
Employer matching contributions | $ 1,100 | $ 700 | $ 600 | ||||||
Cash Based Retention Award | |||||||||
Significant Accounting Policies [Line Items] | |||||||||
Cash based retention awards granted | $ 8,000 | ||||||||
Cash based retention awards, term | 3 years | 3 years | |||||||
Cash Based Retention Award | Certain Executives and Non-Executive Employees | |||||||||
Significant Accounting Policies [Line Items] | |||||||||
Cash based retention awards granted | $ 2,000 | ||||||||
Long Term Relative TSR Performance Vesting Cash Awards | |||||||||
Significant Accounting Policies [Line Items] | |||||||||
Cash based retention awards, service period | 3 years | ||||||||
Cash-Settled Deferred Stock Units | |||||||||
Significant Accounting Policies [Line Items] | |||||||||
Cash based retention awards granted | $ 2,000 | $ 2,000 | $ 2,000 | ||||||
Cash based retention awards, term | 4 years | ||||||||
Minimum | |||||||||
Significant Accounting Policies [Line Items] | |||||||||
Percentage of losses assumed on pool of loans sold | 1.00% | ||||||||
Incentive Plan, awards vesting period (in years) | 3 years | ||||||||
Maximum | |||||||||
Significant Accounting Policies [Line Items] | |||||||||
Percentage of losses assumed on pool of loans sold | 2.25% | ||||||||
Incentive Plan, awards vesting period (in years) | 4 years |
Summary of Significant Accoun_5
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | $ 53,238 | $ 35,701 |
Liabilities | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | (16,072) | (163,424) |
Total Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (230,539) | (1,690,828) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (230,539) | (1,690,828) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 228,467 | 1,548,637 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 1,061 | 141,260 | |
Net Amount | (1,011) | (931) | |
Interest rate agreements | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 19,951 | 19,020 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 19,951 | 19,020 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | (14,178) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (7,769) | (915) | |
Net Amount | 12,182 | 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 Pledged | 134,587 | ||
Net Amount | 0 | ||
TBAs | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 18,260 | 5,755 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 18,260 | 5,755 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (13,423) | (5,755) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (4,658) | 0 | |
Net Amount | 179 | 0 | |
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (15,495) | (13,359) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (15,495) | (13,359) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 13,423 | 5,755 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 1,061 | 6,673 | |
Net Amount | (1,011) | (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 | 0 | ||
Net Amount | 137 | ||
Interest Rate Agreement, TBAs, And Futures | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 38,211 | 24,912 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 38,211 | 24,912 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (13,423) | (19,933) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Received | (12,427) | (915) | |
Net Amount | 12,361 | 4,064 | |
Loan warehouse debt | |||
Loan warehouse debt and Security repurchase agreement | |||
Gross Amounts of Recognized Assets (Liabilities) | (137,269) | (432,126) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (137,269) | (432,126) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 137,269 | 432,126 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 0 | 0 | |
Net Amount | 0 | 0 | |
Security repurchase agreements | |||
Loan warehouse debt and Security repurchase agreement | |||
Gross Amounts of Recognized Assets (Liabilities) | (77,775) | (1,096,578) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (77,775) | (1,096,578) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 77,775 | 1,096,578 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral Pledged | 0 | 0 | |
Net Amount | $ 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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Principles of Consolidation - A
Principles of Consolidation - Additional Information (Details) $ in Millions | 3 Months Ended | 12 Months Ended | |||
Sep. 30, 2020 | Mar. 31, 2020USD ($) | Sep. 30, 2019partnership | Dec. 31, 2018partnership | Dec. 31, 2020USD ($)entity | |
Variable Interest Entity [Line Items] | |||||
Deconsolidation, realized market valuation gain (loss) | $ (72) | ||||
Number of partnerships consolidated | partnership | 2 | 2 | |||
VIE, ownership interest rate | 80.00% | ||||
Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Number of securitization entities to which asset transferred | entity | 5 | ||||
Variable Interest Entity, Not Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Number of securitization entities to which asset transferred | entity | 53 | ||||
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | $ 5 | ||||
Sequoia Choice | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | 220 | ||||
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | 430 | ||||
Amortized cost | 210 | ||||
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | 28 | ||||
CAFL | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Estimated fair value of investments | 242 | ||||
Servicing Investment | Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
MSRs | $ 68 |
Principles of Consolidation -_2
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entity's (Details) $ in Thousands | Dec. 31, 2020USD ($)investment | Dec. 31, 2019USD ($)investment | Dec. 31, 2018USD ($) | |||
Variable Interest Entity [Line Items] | ||||||
Other investments | [1] | $ 348,175 | $ 358,130 | |||
Cash and cash equivalents | 461,260 | [1] | 196,966 | [1] | $ 176,000 | |
Restricted cash | 83,190 | [1] | 93,867 | [1] | $ 29,000 | |
Accrued interest receivable | 39,445 | 71,058 | ||||
Other assets | [1] | 130,588 | 419,321 | |||
Total Assets | [1] | 10,355,066 | 17,995,440 | |||
Short-term debt | [1] | 522,609 | 2,329,145 | |||
Accrued interest payable | 34,858 | 60,655 | ||||
Accrued expenses and other liabilities | [1] | 179,340 | 206,893 | |||
Asset-backed securities issued | [1] | 7,100,661 | 10,515,475 | |||
Total liabilities | [1] | $ 9,244,167 | $ 16,168,209 | |||
Number of VIEs | investment | 50 | 49 | ||||
Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Other investments | $ 251,773 | $ 184,802 | ||||
Cash and cash equivalents | 11,579 | 9,015 | ||||
Restricted cash | 23,368 | 21,936 | ||||
Accrued interest receivable | 30,587 | 45,772 | ||||
Other assets | 9,937 | 2,700 | ||||
Total Assets | 8,141,069 | 11,931,869 | ||||
Short-term debt | 208,375 | 152,554 | ||||
Accrued interest payable | 21,274 | 34,060 | ||||
Accrued expenses and other liabilities | 18,403 | 14,983 | ||||
Asset-backed securities issued | 6,900,362 | 10,515,475 | ||||
Total liabilities | 7,148,414 | 10,717,072 | ||||
Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 4,072,410 | 5,066,568 | ||||
Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 3,249,194 | 2,192,552 | ||||
Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | $ 492,221 | $ 4,408,524 | ||||
Legacy Sequoia | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of VIEs | investment | 20 | 20 | ||||
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Other investments | $ 0 | $ 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 148 | 143 | ||||
Accrued interest receivable | 305 | 655 | ||||
Other assets | 638 | 460 | ||||
Total Assets | 287,026 | 409,148 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 141 | 395 | ||||
Accrued expenses and other liabilities | 0 | 0 | ||||
Asset-backed securities issued | 282,326 | 402,465 | ||||
Total liabilities | 282,467 | 402,860 | ||||
Legacy Sequoia | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 285,935 | 407,890 | ||||
Legacy Sequoia | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Legacy Sequoia | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | $ 0 | $ 0 | ||||
Sequoia Choice | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of VIEs | investment | 10 | 9 | ||||
Sequoia Choice | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Other investments | $ 0 | $ 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 0 | 27 | ||||
Accrued interest receivable | 6,802 | 9,824 | ||||
Other assets | 0 | 0 | ||||
Total Assets | 1,572,124 | 2,301,314 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 4,697 | 7,732 | ||||
Accrued expenses and other liabilities | 50 | 27 | ||||
Asset-backed securities issued | 1,347,357 | 2,037,198 | ||||
Total liabilities | 1,352,104 | 2,044,957 | ||||
Sequoia Choice | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 1,565,322 | 2,291,463 | ||||
Sequoia Choice | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Sequoia Choice | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | $ 0 | $ 0 | ||||
Freddie Mac SLST | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of VIEs | investment | 2 | 2 | ||||
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Other investments | $ 0 | $ 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 0 | 0 | ||||
Accrued interest receivable | 6,754 | 7,313 | ||||
Other assets | 646 | 445 | ||||
Total Assets | 2,228,553 | 2,374,973 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 4,846 | 5,374 | ||||
Accrued expenses and other liabilities | 0 | 0 | ||||
Asset-backed securities issued | 1,793,620 | 1,918,322 | ||||
Total liabilities | 1,798,466 | 1,923,696 | ||||
Freddie Mac SLST | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 2,221,153 | 2,367,215 | ||||
Freddie Mac SLST | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Freddie Mac SLST | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | $ 0 | $ 0 | ||||
Freddie Mac K-Series | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of VIEs | investment | 1 | 5 | ||||
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Other investments | $ 0 | $ 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 0 | 0 | ||||
Accrued interest receivable | 1,337 | 13,539 | ||||
Other assets | 0 | 0 | ||||
Total Assets | 493,558 | 4,422,063 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 1,177 | 12,887 | ||||
Accrued expenses and other liabilities | 0 | 0 | ||||
Asset-backed securities issued | 463,966 | 4,156,239 | ||||
Total liabilities | 465,143 | 4,169,126 | ||||
Freddie Mac K-Series | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Freddie Mac K-Series | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Freddie Mac K-Series | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | $ 492,221 | $ 4,408,524 | ||||
CAFL | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of VIEs | investment | 14 | 10 | ||||
CAFL | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Other investments | $ 0 | $ 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 0 | 0 | ||||
Accrued interest receivable | 13,055 | 9,572 | ||||
Other assets | 2,930 | 1,795 | ||||
Total Assets | 3,265,179 | 2,203,919 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 10,278 | 7,485 | ||||
Accrued expenses and other liabilities | 0 | 0 | ||||
Asset-backed securities issued | 3,013,093 | 2,001,251 | ||||
Total liabilities | 3,023,371 | 2,008,736 | ||||
CAFL | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
CAFL | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 3,249,194 | 2,192,552 | ||||
CAFL | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | $ 0 | $ 0 | ||||
Servicing Investment | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of VIEs | investment | 3 | 3 | ||||
Servicing Investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Other investments | $ 251,773 | $ 184,802 | ||||
Cash and cash equivalents | 11,579 | 9,015 | ||||
Restricted cash | 23,220 | 21,766 | ||||
Accrued interest receivable | 2,334 | 4,869 | ||||
Other assets | 5,723 | 0 | ||||
Total Assets | 294,629 | 220,452 | ||||
Short-term debt | 208,375 | 152,554 | ||||
Accrued interest payable | 135 | 187 | ||||
Accrued expenses and other liabilities | 18,353 | 14,956 | ||||
Asset-backed securities issued | 0 | 0 | ||||
Total liabilities | 226,863 | 167,697 | ||||
Servicing Investment | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Servicing Investment | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Servicing Investment | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Principles of Consolidation - I
Principles of Consolidation - Income (Loss) from Consolidated VIEs Accounted for as Collateralized Financing Entities (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Variable Interest Entity [Line Items] | |||
Interest income | $ 571,916 | $ 622,281 | $ 378,717 |
Interest expense | (448,005) | (479,808) | (239,039) |
Net Interest Income | 123,911 | 142,473 | 139,678 |
Investment fair value changes, net | (588,438) | 35,500 | (25,689) |
Total non-interest income, net | (475,354) | 165,844 | 73,988 |
General and administrative expenses | (115,204) | (108,737) | (75,298) |
Net (Loss) Income | (581,847) | 169,183 | $ 119,600 |
Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Interest income | 391,191 | 354,470 | |
Interest expense | (305,765) | (306,419) | |
Net Interest Income | 85,426 | 48,051 | |
Investment fair value changes, net | (167,856) | 53,713 | |
Total non-interest income, net | (167,856) | 53,713 | |
General and administrative expenses | (867) | (343) | |
Other expenses | 193 | (1,106) | |
Net (Loss) Income | (83,104) | 100,315 | |
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Interest income | 9,061 | 17,649 | |
Interest expense | (5,945) | (14,418) | |
Net Interest Income | 3,116 | 3,231 | |
Investment fair value changes, net | (1,512) | (1,545) | |
Total non-interest income, net | (1,512) | (1,545) | |
General and administrative expenses | 0 | 0 | |
Other expenses | 0 | 0 | |
Net (Loss) Income | 1,604 | 1,686 | |
Sequoia Choice | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Interest income | 87,093 | 108,798 | |
Interest expense | (73,643) | (93,354) | |
Net Interest Income | 13,450 | 15,444 | |
Investment fair value changes, net | (13,244) | 6,947 | |
Total non-interest income, net | (13,244) | 6,947 | |
General and administrative expenses | 0 | 0 | |
Other expenses | 0 | 0 | |
Net (Loss) Income | 206 | 22,391 | |
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Interest income | 85,609 | 57,840 | |
Interest expense | (62,483) | (42,574) | |
Net Interest Income | 23,126 | 15,266 | |
Investment fair value changes, net | (21,160) | 27,206 | |
Total non-interest income, net | (21,160) | 27,206 | |
General and administrative expenses | 0 | 0 | |
Other expenses | 0 | 0 | |
Net (Loss) Income | 1,966 | 42,472 | |
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Interest income | 54,813 | 132,600 | |
Interest expense | (51,521) | (126,948) | |
Net Interest Income | 3,292 | 5,652 | |
Investment fair value changes, net | (81,039) | 21,430 | |
Total non-interest income, net | (81,039) | 21,430 | |
General and administrative expenses | 0 | 0 | |
Other expenses | 0 | 0 | |
Net (Loss) Income | (77,747) | 27,082 | |
CAFL | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Interest income | 136,950 | 23,072 | |
Interest expense | (105,732) | (17,173) | |
Net Interest Income | 31,218 | 5,899 | |
Investment fair value changes, net | (39,574) | (3,636) | |
Total non-interest income, net | (39,574) | (3,636) | |
General and administrative expenses | 0 | 0 | |
Other expenses | 0 | 0 | |
Net (Loss) Income | (8,356) | 2,263 | |
Servicing Investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Interest income | 17,665 | 14,511 | |
Interest expense | (6,441) | (11,952) | |
Net Interest Income | 11,224 | 2,559 | |
Investment fair value changes, net | (11,327) | 3,311 | |
Total non-interest income, net | (11,327) | 3,311 | |
General and administrative expenses | (867) | (343) | |
Other expenses | 193 | (1,106) | |
Net (Loss) Income | $ (777) | $ 4,421 |
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 | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | ||
Principal balance of loans transferred | $ 2,223,462 | $ 1,872,910 |
Trading securities | ||
Variable Interest Entity [Line Items] | ||
Securities retained, at fair value | 49,089 | 8,882 |
AFS Securities | ||
Variable Interest Entity [Line Items] | ||
Securities retained, at fair value | $ 4,187 | $ 4,847 |
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 | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | ||
Proceeds from new transfers | $ 2,276,521 | $ 1,912,334 |
MSR fees received | 9,749 | 11,857 |
Funding of compensating interest, net | (405) | (368) |
Cash flows received on retained securities | $ 24,172 | $ 27,045 |
Principles of Consolidation -_3
Principles of Consolidation - Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary | 12 Months Ended | |
Dec. 31, 2020 | Dec. 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 | 29.00% | 25.00% |
Discount rates | 14.00% | 14.00% |
Credit loss assumptions | 0.27% | 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 | 14.00% | 15.00% |
Discount rates | 7.00% | 7.00% |
Credit loss assumptions | 0.24% | 0.20% |
Principles of Consolidation -_4
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Assets | ||
Debt securities, available for sale | $ 218,458 | $ 239,334 |
Variable Interest Entity, Not Primary Beneficiary | ||
Assets | ||
Maximum loss exposure | 165,870 | 269,328 |
Assets transferred: | ||
Principal balance of loans outstanding | 7,728,432 | 10,299,442 |
Principal balance of loans 30+ days delinquent | 138,029 | 41,809 |
Interest-only, senior and subordinate securities, classified as trading | Variable Interest Entity, Not Primary Beneficiary | ||
Assets | ||
Debt securities, trading | 20,982 | 88,425 |
Subordinate securities, classified as AFS | Variable Interest Entity, Not Primary Beneficiary | ||
Assets | ||
Debt securities, available for sale | 136,475 | 140,649 |
Mortgage servicing rights | ||
Assets | ||
Servicing asset, fair value | 8,815 | 42,224 |
Mortgage servicing rights | Variable Interest Entity, Not Primary Beneficiary | ||
Assets | ||
Servicing asset, fair value | $ 8,413 | $ 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 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 |
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 | $ 8,413 | $ 40,254 | $ 8,413 | $ 40,254 |
Expected life (in years) | 2 years | 6 years | ||
Prepayment speed assumption (annual CPR) | 37.00% | 11.00% | ||
Decrease in fair value from: | ||||
10% adverse change | $ 906 | $ 1,643 | 906 | 1,643 |
25% adverse change | $ 2,058 | $ 3,913 | 2,058 | 3,913 |
Discount rate assumption | 12.00% | 11.00% | ||
Decrease in fair value from: | ||||
100 basis point increase | $ 196 | $ 1,447 | 196 | 1,447 |
200 basis point increase | 380 | 2,795 | $ 380 | $ 2,795 |
MSRs | Minimum | ||||
Decrease in fair value from: | ||||
Impact of adverse change in prepayment speed | 10.00% | 10.00% | ||
Decrease in fair value from: | ||||
Impact of increase in discount rate assumption | 1.00% | 1.00% | ||
Decrease in fair value from: | ||||
Impact of adverse change in expected credit losses | 10.00% | 10.00% | ||
MSRs | Maximum | ||||
Decrease in fair value from: | ||||
Impact of adverse change in prepayment speed | 25.00% | 25.00% | ||
Decrease in fair value from: | ||||
Impact of increase in discount rate assumption | 2.00% | 2.00% | ||
Decrease in fair value from: | ||||
Impact of adverse change in expected credit losses | 25.00% | 25.00% | ||
Senior IO 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 | $ 17,333 | $ 48,765 | $ 17,333 | $ 48,765 |
Expected life (in years) | 3 years | 6 years | ||
Prepayment speed assumption (annual CPR) | 31.00% | 14.00% | ||
Decrease in fair value from: | ||||
10% adverse change | $ 1,557 | $ 1,908 | 1,557 | 1,908 |
25% adverse change | $ 3,754 | $ 5,086 | 3,754 | 5,086 |
Discount rate assumption | 21.00% | 12.00% | ||
Decrease in fair value from: | ||||
100 basis point increase | $ 337 | $ 1,079 | 337 | 1,079 |
200 basis point increase | $ 659 | $ 2,482 | 659 | 2,482 |
Credit loss assumption | 0.41% | 0.21% | ||
Decrease in fair value from: | ||||
10% higher losses | $ 0 | $ 0 | 0 | 0 |
25% higher losses | 0 | 0 | $ 0 | $ 0 |
Senior IO Securities | Minimum | ||||
Decrease in fair value from: | ||||
Impact of adverse change in prepayment speed | 10.00% | 10.00% | ||
Decrease in fair value from: | ||||
Impact of increase in discount rate assumption | 1.00% | 1.00% | ||
Decrease in fair value from: | ||||
Impact of adverse change in expected credit losses | 10.00% | 10.00% | ||
Senior IO Securities | Maximum | ||||
Decrease in fair value from: | ||||
Impact of adverse change in prepayment speed | 25.00% | 25.00% | ||
Decrease in fair value from: | ||||
Impact of increase in discount rate assumption | 2.00% | 2.00% | ||
Decrease in fair value from: | ||||
Impact of adverse change in expected credit losses | 25.00% | 25.00% | ||
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 | $ 140,124 | $ 180,309 | $ 140,124 | $ 180,309 |
Expected life (in years) | 8 years | 14 years | ||
Prepayment speed assumption (annual CPR) | 33.00% | 16.00% | ||
Decrease in fair value from: | ||||
10% adverse change | $ 452 | $ 205 | 452 | 205 |
25% adverse change | $ 2,298 | $ 1,434 | 2,298 | 1,434 |
Discount rate assumption | 5.00% | 5.00% | ||
Decrease in fair value from: | ||||
100 basis point increase | $ 9,769 | $ 18,127 | 9,769 | 18,127 |
200 basis point increase | $ 18,650 | $ 33,630 | 18,650 | 33,630 |
Credit loss assumption | 0.41% | 0.21% | ||
Decrease in fair value from: | ||||
10% higher losses | $ 2,409 | $ 1,804 | 2,409 | 1,804 |
25% higher losses | $ 5,915 | $ 4,520 | $ 5,915 | $ 4,520 |
Subordinate Securities | Minimum | ||||
Decrease in fair value from: | ||||
Impact of adverse change in prepayment speed | 10.00% | 10.00% | ||
Decrease in fair value from: | ||||
Impact of increase in discount rate assumption | 1.00% | 1.00% | ||
Decrease in fair value from: | ||||
Impact of adverse change in expected credit losses | 10.00% | 10.00% | ||
Subordinate Securities | Maximum | ||||
Decrease in fair value from: | ||||
Impact of adverse change in prepayment speed | 25.00% | 25.00% | ||
Decrease in fair value from: | ||||
Impact of increase in discount rate assumption | 2.00% | 2.00% | ||
Decrease in fair value from: | ||||
Impact of adverse change in expected credit losses | 25.00% | 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 | Dec. 31, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||
Real estate securities | [1] | $ 344,125 | $ 1,099,874 |
Real estate securities | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 200,801 | 887,015 | |
Real estate securities | Senior | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 11,131 | 127,094 | |
Real estate securities | Mezzanine | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 2,014 | 508,195 | |
Real estate securities | Subordinate | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 173,523 | 235,510 | |
Real estate securities | Total Mortgage-Backed Securities | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 186,668 | 870,799 | |
Real estate securities | Excess MSR | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | $ 14,133 | $ 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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 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 | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Real estate securities | $ 125,667 | $ 860,540 | |
Derivative assets | [1] | 53,238 | 35,701 |
Pledged collateral | 1,177 | 32,945 | |
Liabilities | |||
Contingent consideration | 0 | 28,484 | |
Derivative liabilities | [1] | 16,072 | 163,424 |
Fair value | 6,900,362 | 10,515,475 | |
Shared Home Appreciation Options | |||
Assets | |||
Shared home appreciation options | 42,440 | 45,085 | |
Residential Loans | |||
Assets | |||
MSR Fair Value | 231,489 | 169,204 | |
Carrying Value | |||
Assets | |||
Real estate securities | 344,125 | 1,099,874 | |
Shared home appreciation options | 45,085 | ||
Cash and cash equivalents | 461,260 | 196,966 | |
Restricted cash | 83,190 | 93,867 | |
Derivative assets | 53,238 | 35,701 | |
Margin receivable | 4,758 | 209,776 | |
FHLBC stock | 5,000 | 43,393 | |
Pledged collateral | 1,177 | 32,945 | |
Liabilities | |||
Margin payable | 0 | 1,700 | |
Guarantee obligation | 10,039 | 14,009 | |
Contingent consideration | 0 | 28,484 | |
Derivative liabilities | 16,072 | 163,424 | |
Fair value | 6,900,362 | 10,515,475 | |
Amortized cost | 200,299 | 0 | |
FHLBC long-term borrowings | 1,000 | 1,999,999 | |
Other long-term debt, net | 774,726 | 183,520 | |
Convertible notes, net | 511,085 | 631,125 | |
Trust preferred securities and subordinated notes, net | 138,674 | 138,628 | |
Carrying Value | Servicer advance investments | |||
Assets | |||
MSR Fair Value | 231,489 | 169,204 | |
Carrying Value | MSRs | |||
Assets | |||
MSR Fair Value | 8,815 | 42,224 | |
Carrying Value | Excess MSRs | |||
Assets | |||
Other assets | 34,418 | 31,814 | |
Carrying Value | REO | |||
Assets | |||
Other assets | 8,413 | 9,462 | |
Carrying Value | Credit facilities | |||
Liabilities | |||
Short-term debt | 522,609 | 2,329,145 | |
Carrying Value | Residential Loans | Residential loans, held-for-sale at fair value | |||
Assets | |||
Loans, held-for-sale | 176,604 | 536,280 | |
Carrying Value | Residential Loans | Residential loans, held-for-investment | |||
Assets | |||
Loans, held-for-investment | 4,072,410 | 7,178,465 | |
Carrying Value | Residential Loans | Business purpose loans, held-for-sale | |||
Assets | |||
Loans, held-for-sale | 245,394 | 331,565 | |
Carrying Value | Residential Loans | Business purpose loans, held-for-investment, at fair value | |||
Assets | |||
Loans, held-for-investment | 3,890,959 | 3,175,178 | |
Carrying Value | Residential Loans | Multifamily securities | |||
Assets | |||
Loans, held-for-investment | 492,221 | 4,408,524 | |
Fair Value | |||
Assets | |||
Real estate securities | 344,125 | 1,099,874 | |
Shared home appreciation options | 42,440 | 45,085 | |
Cash and cash equivalents | 461,260 | 196,966 | |
Restricted cash | 83,190 | 93,867 | |
Derivative assets | 53,238 | 35,701 | |
Margin receivable | 4,758 | 209,776 | |
FHLBC stock | 5,000 | 43,393 | |
Pledged collateral | 1,177 | 32,945 | |
Liabilities | |||
Margin payable | 0 | 1,700 | |
Guarantee obligation | 7,843 | 13,754 | |
Contingent consideration | 0 | 28,484 | |
Derivative liabilities | 16,072 | 163,424 | |
Fair value | 6,900,362 | 10,515,475 | |
Amortized cost | 204,892 | 0 | |
FHLBC long-term borrowings | 1,000 | 1,999,999 | |
Other long-term debt, net | 783,570 | 184,666 | |
Convertible notes, net | 499,865 | 661,985 | |
Trust preferred securities and subordinated notes, net | 80,910 | 99,045 | |
Fair Value | Servicer advance investments | |||
Assets | |||
MSR Fair Value | 231,489 | 169,204 | |
Fair Value | MSRs | |||
Assets | |||
MSR Fair Value | 8,815 | 42,224 | |
Fair Value | Excess MSRs | |||
Assets | |||
Other assets | 34,418 | 31,814 | |
Fair Value | REO | |||
Assets | |||
Other assets | 9,229 | 10,389 | |
Fair Value | Credit facilities | |||
Liabilities | |||
Short-term debt | 522,609 | 2,329,145 | |
Fair Value | Residential Loans | Residential loans, held-for-sale at fair value | |||
Assets | |||
Loans, held-for-sale | 176,604 | 536,280 | |
Fair Value | Residential Loans | Residential loans, held-for-investment | |||
Assets | |||
Loans, held-for-investment | 4,072,410 | 7,178,465 | |
Fair Value | Residential Loans | Business purpose loans, held-for-sale | |||
Assets | |||
Loans, held-for-sale | 245,394 | 331,565 | |
Fair Value | Residential Loans | Business purpose loans, held-for-investment, at fair value | |||
Assets | |||
Loans, held-for-investment | 3,890,959 | 3,175,178 | |
Fair Value | Residential Loans | Multifamily securities | |||
Assets | |||
Loans, held-for-investment | $ 492,221 | $ 4,408,524 | |
[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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 108,000 | $ 333,000 |
Residential Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 4,370,000 | 6,990,000 |
Business purpose residential loans, held-for-sale, at fair value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 1,400,000 | 4,020,000 |
Multifamily securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 0 | 1,430,000 |
Real estate securities | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Dealer marks of securities | 75.00% | |
Percentage of carrying value for which dealer quotes were received on securities | 88.00% | |
Percentage difference of internal valuation than dealer marks | 3.00% | |
Servicer advance investments | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 179,000 | 70,000 |
Excess MSRs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 11,000 | 8,000 |
Shared Home Appreciation Options | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 4,000 | $ 43,000 |
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 | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Real estate securities | $ 125,667 | $ 860,540 | |
Derivative assets | [1] | 53,238 | 35,701 |
Pledged collateral | 1,177 | 32,945 | |
Liabilities | |||
Contingent consideration | 0 | 28,484 | |
Derivative liabilities | [1] | 16,072 | 163,424 |
ABS issued | 6,900,362 | 10,515,475 | |
Fair Value, Measurements, Recurring | |||
Assets | |||
Business purpose loans | 4,136,353 | 3,506,743 | |
Multifamily loans | 492,221 | 4,408,524 | |
Real estate securities | 344,125 | 1,099,874 | |
Servicer advance investments | 231,489 | 169,204 | |
MSR Fair Value | 8,815 | 42,224 | |
Excess MSRs | 34,418 | 31,814 | |
Shared home appreciation options | 42,440 | 45,085 | |
Derivative assets | 53,238 | 35,701 | |
Pledged collateral | 1,177 | 32,945 | |
FHLBC stock | 5,000 | 43,393 | |
Liabilities | |||
Contingent consideration | 28,484 | ||
Derivative liabilities | 16,072 | 163,424 | |
ABS issued | 6,900,362 | 10,515,475 | |
Fair Value, Measurements, Recurring | Residential Loans | |||
Assets | |||
Residential loans | 4,249,014 | 7,714,745 | |
Fair Value, Measurements, Recurring | Level 1 | |||
Assets | |||
Business purpose loans | 0 | 0 | |
Multifamily loans | 0 | 0 | |
Real estate securities | 0 | ||
Servicer advance investments | 0 | 0 | |
MSR Fair Value | 0 | ||
Excess MSRs | 0 | 0 | |
Shared home appreciation options | 0 | 0 | |
Derivative assets | 18,260 | 6,531 | |
Pledged collateral | 1,177 | 32,945 | |
FHLBC stock | 0 | 0 | |
Liabilities | |||
Contingent consideration | 0 | ||
Derivative liabilities | 15,495 | 13,368 | |
ABS issued | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Residential Loans | |||
Assets | |||
Residential loans | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | |||
Assets | |||
Business purpose loans | 0 | 0 | |
Multifamily loans | 0 | 0 | |
Real estate securities | 0 | ||
Servicer advance investments | 0 | 0 | |
MSR Fair Value | 0 | ||
Excess MSRs | 0 | 0 | |
Shared home appreciation options | 0 | 0 | |
Derivative assets | 19,951 | 19,020 | |
Pledged collateral | 0 | ||
FHLBC stock | 5,000 | 43,393 | |
Liabilities | |||
Contingent consideration | 0 | ||
Derivative liabilities | 0 | 148,766 | |
ABS issued | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | Residential Loans | |||
Assets | |||
Residential loans | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | |||
Assets | |||
Business purpose loans | 4,136,353 | 3,506,743 | |
Multifamily loans | 492,221 | 4,408,524 | |
Real estate securities | 344,125 | 1,099,874 | |
Servicer advance investments | 231,489 | 169,204 | |
MSR Fair Value | 8,815 | 42,224 | |
Excess MSRs | 34,418 | 31,814 | |
Shared home appreciation options | 42,440 | 45,085 | |
Derivative assets | 15,027 | 10,150 | |
Pledged collateral | 0 | ||
FHLBC stock | 0 | ||
Liabilities | |||
Contingent consideration | 28,484 | ||
Derivative liabilities | 577 | 1,290 | |
ABS issued | 6,900,362 | 10,515,475 | |
Fair Value, Measurements, Recurring | Level 3 | Residential Loans | |||
Assets | |||
Residential loans | $ 4,249,014 | $ 7,714,745 | |
[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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Contingent Consideration | ||
Assets | ||
Deconsolidations | $ 0 | |
Liabilities | ||
Beginning balance | 28,484 | $ 0 |
Acquisitions | 0 | 25,267 |
Principal paydowns | (13,353) | 0 |
Gains (losses) in net income (loss), net | (446) | 3,217 |
Other settlements, net | (14,685) | 0 |
Ending Balance | 0 | 28,484 |
ABS issued | ||
Assets | ||
Deconsolidations | (3,706,789) | |
Liabilities | ||
Beginning balance | 10,515,475 | 5,410,073 |
Acquisitions | 1,478,589 | 6,098,462 |
Principal paydowns | (1,487,958) | (1,112,437) |
Gains (losses) in net income (loss), net | 101,045 | 119,377 |
Other settlements, net | 0 | 0 |
Ending Balance | 6,900,362 | 10,515,475 |
Residential Loans | ||
Assets | ||
Beginning balance | 7,714,745 | 7,254,631 |
Acquisitions | 4,483,473 | 7,092,866 |
Originations | 0 | 0 |
Sales | (6,262,958) | (5,141,886) |
Principal paydowns | (1,552,171) | (1,609,220) |
Deconsolidations | 0 | |
Gains (losses) in net income (loss), net | (132,307) | 119,132 |
Unrealized losses in OCI, net | 0 | 0 |
Other settlements, net | (1,768) | (778) |
Ending Balance | 4,249,014 | 7,714,745 |
Business Purpose Loans | ||
Assets | ||
Beginning balance | 3,506,743 | 141,258 |
Acquisitions | 0 | 2,639,615 |
Originations | 1,431,251 | 1,015,436 |
Sales | (135,800) | (76,909) |
Principal paydowns | (753,026) | (213,655) |
Deconsolidations | 0 | |
Gains (losses) in net income (loss), net | 99,590 | 7,423 |
Unrealized losses in OCI, net | 0 | 0 |
Other settlements, net | (12,405) | (6,425) |
Ending Balance | 4,136,353 | 3,506,743 |
Multifamily securities | ||
Assets | ||
Beginning balance | 4,408,524 | 2,144,598 |
Acquisitions | 0 | 2,162,386 |
Originations | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | (7,703) | (28,543) |
Deconsolidations | (3,849,779) | |
Gains (losses) in net income (loss), net | (58,821) | 130,083 |
Unrealized losses in OCI, net | 0 | 0 |
Other settlements, net | 0 | 0 |
Ending Balance | 492,221 | 4,408,524 |
Trading securities | ||
Assets | ||
Beginning balance | 860,540 | 1,118,612 |
Acquisitions | 108,249 | 332,593 |
Originations | 0 | 0 |
Sales | (603,529) | (597,122) |
Principal paydowns | (8,687) | (44,600) |
Deconsolidations | 0 | |
Gains (losses) in net income (loss), net | (230,906) | 56,008 |
Unrealized losses in OCI, net | 0 | 0 |
Other settlements, net | 0 | (4,951) |
Ending Balance | 125,667 | 860,540 |
AFS Securities | ||
Assets | ||
Beginning balance | 239,334 | 333,882 |
Acquisitions | 57,652 | 26,538 |
Originations | 0 | 0 |
Sales | (55,192) | (110,070) |
Principal paydowns | (17,924) | (39,702) |
Deconsolidations | 0 | |
Gains (losses) in net income (loss), net | 10,792 | 24,580 |
Unrealized losses in OCI, net | (16,204) | 4,106 |
Other settlements, net | 0 | 0 |
Ending Balance | 218,458 | 239,334 |
Servicer advance investments | ||
Assets | ||
Beginning balance | 169,204 | 300,468 |
Acquisitions | 179,419 | 69,610 |
Originations | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | (107,527) | (203,876) |
Deconsolidations | 0 | |
Gains (losses) in net income (loss), net | (9,607) | 3,002 |
Unrealized losses in OCI, net | 0 | 0 |
Other settlements, net | 0 | 0 |
Ending Balance | 231,489 | 169,204 |
MSRs | ||
Assets | ||
Beginning balance | 42,224 | 60,281 |
Acquisitions | 0 | 868 |
Originations | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | 0 | 0 |
Deconsolidations | 0 | |
Gains (losses) in net income (loss), net | (33,409) | (18,925) |
Unrealized losses in OCI, net | 0 | 0 |
Other settlements, net | 0 | 0 |
Ending Balance | 8,815 | 42,224 |
Excess MSRs | ||
Assets | ||
Beginning balance | 31,814 | 27,312 |
Acquisitions | 10,906 | 7,762 |
Originations | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | 0 | 0 |
Deconsolidations | 0 | |
Gains (losses) in net income (loss), net | (8,302) | (3,260) |
Unrealized losses in OCI, net | 0 | 0 |
Other settlements, net | 0 | 0 |
Ending Balance | 34,418 | 31,814 |
Shared Home Appreciation Options | ||
Assets | ||
Beginning balance | 45,085 | 0 |
Acquisitions | 3,517 | 44,243 |
Originations | 0 | 0 |
Sales | 0 | 0 |
Principal paydowns | (4,278) | 0 |
Deconsolidations | 0 | |
Gains (losses) in net income (loss), net | (1,884) | 842 |
Unrealized losses in OCI, net | 0 | 0 |
Other settlements, net | 0 | 0 |
Ending Balance | 42,440 | 45,085 |
Derivatives | ||
Assets | ||
Beginning balance | 8,860 | 2,181 |
Acquisitions | 0 | 0 |
Principal paydowns | 0 | 0 |
Deconsolidations | 0 | |
Gains (losses) in net income (loss), net | 56,972 | 62,220 |
Other settlements, net | (51,382) | (55,541) |
Ending Balance | $ 14,450 | $ 8,860 |
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 | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Loan purchase and interest rate lock commitments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 liability | $ (577) | $ (1,290) | $ (732) |
Contingent Consideration | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 liability | 0 | (3,217) | 0 |
Residential loans, held-for-investment | Residential loans at Redwood | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 1,138 | 67,470 | (17,757) |
Residential loans, held-for-investment | Net investments in consolidated Sequoia entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (14,646) | 4,529 | (1,046) |
Residential loans, held-for-investment | Freddie Mac SLST | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (21,220) | 27,225 | 21,295 |
Business purpose loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | 9,420 | 14,603 | 445 |
Multifamily securities | Freddie Mac K-Series | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (9,309) | 21,430 | 931 |
Single-family rental loans | CAFL | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (37,062) | (14,681) | 0 |
Trading securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (83,327) | 18,865 | (12,256) |
AFS Securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (388) | 0 | (89) |
Servicer advance investments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (8,902) | 3,001 | (702) |
MSRs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (17,545) | (11,957) | 1,942 |
Excess MSRs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (8,302) | (3,260) | 1,824 |
Shared home appreciation options | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | (1,884) | 842 | 0 |
Loan purchase and interest rate lock commitments | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Net gain (loss) attributable to Level 3 asset | $ 15,027 | $ 10,190 | $ 2,913 |
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 - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Other assets | $ 1,117 | $ 4,051 |
Gain (loss) on assets measured at fair value on a non-recurring basis | (157) | (1,363) |
Level 1 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Other assets | 0 | 0 |
Level 2 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Other assets | 0 | 0 |
Level 3 | ||
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Line Items] | ||
Other assets | $ 1,117 | $ 4,051 |
Fair Value of Financial Instr_9
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
MSR (loss) income, net | $ (9,694) | $ 3,521 | $ 7,076 |
Gain on re-measurement of 5 Arches investment | 0 | 2,441 | 0 |
Total Market Valuation (Losses) Gains, Net | (541,399) | 97,006 | 24,069 |
Mortgage Banking Activities, Net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | 66,482 | 69,326 | 57,000 |
Mortgage Banking Activities, Net | Residential Loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (15,477) | 3,267 | 23,144 |
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 | 56,761 | 60,260 | (1,336) |
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 | 82,169 | 15,043 | 375 |
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 | 1,961 | 78 |
Mortgage Banking Activities, Net | Bridge loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (4,998) | 4,518 | 0 |
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 | (47,779) | (15,723) | 34,739 |
Mortgage Banking Activities, Net | Trading securities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (4,535) | 0 | 0 |
Investment Fair Value Changes, Net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (588,438) | 35,500 | (25,689) |
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) | (127,169) | 9,740 |
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 | (93,314) | 58,891 | (29,573) |
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 | (20,806) | 272 | 0 |
Investment Fair Value Changes, Net | Bridge loans held-for-investment | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (10,629) | (2,139) | (29) |
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 | (226,196) | 56,046 | (8,055) |
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 | (8,901) | 3,001 | (701) |
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 | (8,302) | (3,260) | 1,823 |
Investment Fair Value Changes, Net | Net investments in Legacy Sequoia entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (1,513) | (1,545) | (1,016) |
Investment Fair Value Changes, Net | Net investments in Sequoia Choice entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (13,244) | 6,947 | 443 |
Investment Fair Value Changes, Net | Net investments in Freddie Mac SLST entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (21,160) | 27,206 | 1,271 |
Investment Fair Value Changes, Net | Net investments in Freddie Mac K-Series entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (81,039) | 21,430 | 931 |
Investment Fair Value Changes, Net | Net investments in CAFL entities | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Changes in fair value of assets | (36,754) | (3,636) | 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 | (7,050) | (544) | (434) |
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 | (388) | 0 | (89) |
Other Income | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
MSR (loss) income, net | (19,443) | (7,820) | (7,242) |
Gain on re-measurement of 5 Arches investment | 0 | 2,441 | 0 |
Other Income | Risk management derivatives, net | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
MSR (loss) income, net | 13,966 | 8,595 | (4,734) |
Other Income | MSRs | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
MSR (loss) income, net | $ (33,409) | $ (18,856) | $ (2,508) |
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 | 12 Months Ended | |
Dec. 31, 2020USD ($)$ / loan | Dec. 31, 2019USD ($) | |
Liabilities | ||
Contingent consideration | $ | $ 0 | $ 28,484 |
ABS Issued Securities | ||
Liabilities | ||
ABS issued | $ | $ 1,629,683 | |
ABS Issued Securities | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.08 | |
ABS Issued Securities | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.55 | |
ABS Issued Securities | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.31 | |
ABS Issued Securities | Discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.02 | |
ABS Issued Securities | Discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.26 | |
ABS Issued Securities | Discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.03 | |
ABS Issued Securities | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0 | |
ABS Issued Securities | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.41 | |
ABS Issued Securities | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.03 | |
ABS Issued Securities | Loss severity | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.30 | |
ABS Issued Securities | Loss severity | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.50 | |
ABS Issued Securities | Loss severity | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.31 | |
Freddie Mac SLST | ||
Liabilities | ||
ABS issued | $ | $ 1,793,620 | |
Freddie Mac SLST | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.06 | |
Freddie Mac SLST | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.07 | |
Freddie Mac SLST | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.06 | |
Freddie Mac SLST | Discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.01 | |
Freddie Mac SLST | Discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.07 | |
Freddie Mac SLST | Discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.02 | |
Freddie Mac SLST | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.09 | |
Freddie Mac SLST | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.15 | |
Freddie Mac SLST | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.11 | |
Freddie Mac SLST | Loss severity | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.35 | |
Freddie Mac SLST | Loss severity | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.35 | |
Freddie Mac SLST | Loss severity | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.35 | |
Freddie Mac K-Series | ||
Liabilities | ||
ABS issued | $ | $ 463,966 | |
Freddie Mac K-Series | Discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.01 | |
Freddie Mac K-Series | Discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.17 | |
Freddie Mac K-Series | Discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.02 | |
CAFL | ||
Liabilities | ||
ABS issued | $ | $ 3,013,093 | |
CAFL | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.03 | |
CAFL | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.03 | |
CAFL | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.03 | |
CAFL | Discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.01 | |
CAFL | Discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.40 | |
CAFL | Discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.03 | |
CAFL | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0 | |
CAFL | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.18 | |
CAFL | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.10 | |
CAFL | Loss severity | Minimum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.30 | |
CAFL | Loss severity | Maximum | ||
Liabilities | ||
ABS issued, measurement inputs | 0.30 | |
CAFL | Loss severity | Weighted Average | ||
Liabilities | ||
ABS issued, measurement inputs | 0.30 | |
Jumbo fixed-rate loans | ||
Assets | ||
Loans, held-for-investment | $ | $ 19,464 | |
Jumbo fixed-rate loans | Whole loan spread to swap rate | Minimum | ||
Assets | ||
Loans held-for-sale, measurement input | 0.0305 | |
Jumbo fixed-rate loans | Whole loan spread to swap rate | Maximum | ||
Assets | ||
Loans held-for-sale, measurement input | 0.0305 | |
Jumbo fixed-rate loans | Whole loan spread to swap rate | Weighted Average | ||
Assets | ||
Loans held-for-sale, measurement input | 0.0305 | |
Jumbo fixed-rate loans | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Loans held-for-sale, measurement input | 0.20 | |
Jumbo fixed-rate loans | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Loans held-for-sale, measurement input | 0.20 | |
Jumbo fixed-rate loans | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Loans held-for-sale, measurement input | 0.20 | |
Jumbo loans committed to sell | ||
Assets | ||
Loans, held-for-investment | $ | $ 157,140 | |
Jumbo loans committed to sell | Whole loan committed sales price | Minimum | ||
Assets | ||
Loans held-for-sale, measurement input | 102.54 | |
Jumbo loans committed to sell | Whole loan committed sales price | Maximum | ||
Assets | ||
Loans held-for-sale, measurement input | 103.22 | |
Jumbo loans committed to sell | Whole loan committed sales price | Weighted Average | ||
Assets | ||
Loans held-for-sale, measurement input | 102.83 | |
Legacy Sequoia | ||
Assets | ||
Loans, held-for-investment | $ | $ 285,935 | |
Sequoia Choice | ||
Assets | ||
Loans, held-for-investment | $ | 1,565,322 | |
Liabilities | ||
Fair value of securities owned | $ | 222,000 | |
Freddie Mac SLST | ||
Assets | ||
Loans, held-for-investment | $ | 2,221,153 | |
Liabilities | ||
Fair value of securities owned | $ | 428,000 | |
Single-family rental loans | ||
Assets | ||
Loans, held-for-investment | $ | $ 245,394 | |
Single-family rental loans | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.03 | |
Single-family rental loans | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.03 | |
Single-family rental loans | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.03 | |
Single-family rental loans | Non-securitizable loan dollar price | Minimum | ||
Assets | ||
Loans receivable, measurement input | 86 | |
Single-family rental loans | Non-securitizable loan dollar price | Maximum | ||
Assets | ||
Loans receivable, measurement input | 105 | |
Single-family rental loans | Non-securitizable loan dollar price | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 99 | |
Single-family rental loans | Senior credit support | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.25 | |
Single-family rental loans | Senior credit support | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.34 | |
Single-family rental loans | Senior credit support | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.32 | |
Single-family rental loans | IO discount rate | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.09 | |
Single-family rental loans | IO discount rate | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.09 | |
Single-family rental loans | IO discount rate | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.09 | |
CAFL | ||
Assets | ||
Loans, held-for-investment | $ | $ 3,249,194 | |
Liabilities | ||
Fair value of securities owned | $ | 239,000 | |
Residential Bridge, Held-for-investment at fair value | ||
Assets | ||
Loans, held-for-investment | $ | $ 641,765 | |
Residential Bridge, Held-for-investment at fair value | Discount rate | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.06 | |
Residential Bridge, Held-for-investment at fair value | Discount rate | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.15 | |
Residential Bridge, Held-for-investment at fair value | Discount rate | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.09 | |
Freddie Mac K-Series | ||
Assets | ||
Loans, held-for-investment | $ | $ 492,221 | |
Liabilities | ||
Fair value of securities owned | $ | $ 28,000 | |
Business purpose loans | Senior credit spread | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.0120 | |
Business purpose loans | Senior credit spread | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.0190 | |
Business purpose loans | Senior credit spread | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.0131 | |
Business purpose loans | Subordinate credit spread | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.0160 | |
Business purpose loans | Subordinate credit spread | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.1650 | |
Business purpose loans | Subordinate credit spread | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.0389 | |
Trading and AFS securities | ||
Assets | ||
Trading and AFS securities | $ | $ 344,125 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.09 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.56 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.28 | |
Trading and AFS securities | Discount rate | Minimum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.03 | |
Trading and AFS securities | Discount rate | Maximum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.25 | |
Trading and AFS securities | Discount rate | Weighted Average | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.09 | |
Trading and AFS securities | Default rate | Minimum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0 | |
Trading and AFS securities | Default rate | Maximum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.25 | |
Trading and AFS securities | Default rate | Weighted Average | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.03 | |
Trading and AFS securities | Loss severity | Minimum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0 | |
Trading and AFS securities | Loss severity | Maximum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.50 | |
Trading and AFS securities | Loss severity | Weighted Average | ||
Assets | ||
Trading and AFS securities, measurement inputs | 0.21 | |
Trading and AFS securities | CRT dollar price | Minimum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 84 | |
Trading and AFS securities | CRT dollar price | Maximum | ||
Assets | ||
Trading and AFS securities, measurement inputs | 104 | |
Trading and AFS securities | CRT dollar price | Weighted Average | ||
Assets | ||
Trading and AFS securities, measurement inputs | 95 | |
Servicer advance investments | ||
Assets | ||
Servicing asset | $ | $ 231,489 | |
Servicer advance investments | Minimum | ||
Assets | ||
Expected remaining life | 4 years | |
Servicer advance investments | Maximum | ||
Assets | ||
Expected remaining life | 4 years | |
Servicer advance investments | Weighted Average | ||
Assets | ||
Expected remaining life | 4 years | |
Servicer advance investments | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Servicing assets, measurement inputs | 0.08 | |
Servicer advance investments | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Servicing assets, measurement inputs | 0.14 | |
Servicer advance investments | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Servicing assets, measurement inputs | 0.14 | |
Servicer advance investments | Discount rate | Minimum | ||
Assets | ||
Servicing assets, measurement inputs | 0.03 | |
Servicer advance investments | Discount rate | Maximum | ||
Assets | ||
Servicing assets, measurement inputs | 0.04 | |
Servicer advance investments | Discount rate | Weighted Average | ||
Assets | ||
Servicing assets, measurement inputs | 0.03 | |
MSRs | ||
Assets | ||
Servicing asset | $ | $ 8,815 | |
MSRs | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Servicing assets, measurement inputs | 0.10 | |
MSRs | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Servicing assets, measurement inputs | 1 | |
MSRs | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Servicing assets, measurement inputs | 0.38 | |
MSRs | Discount rate | Minimum | ||
Assets | ||
Servicing assets, measurement inputs | 0.12 | |
MSRs | Discount rate | Maximum | ||
Assets | ||
Servicing assets, measurement inputs | 0.12 | |
MSRs | Discount rate | Weighted Average | ||
Assets | ||
Servicing assets, measurement inputs | 0.12 | |
MSRs | Per loan annual cost to service | Minimum | ||
Assets | ||
Servicing assets, measurement inputs | 97 | |
MSRs | Per loan annual cost to service | Maximum | ||
Assets | ||
Servicing assets, measurement inputs | 97 | |
MSRs | Per loan annual cost to service | Weighted Average | ||
Assets | ||
Servicing assets, measurement inputs | 97 | |
Excess MSRs | ||
Assets | ||
Servicing asset | $ | $ 34,418 | |
Excess MSRs | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Servicing assets, measurement inputs | 0.14 | |
Excess MSRs | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Servicing assets, measurement inputs | 0.27 | |
Excess MSRs | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Servicing assets, measurement inputs | 0.19 | |
Excess MSRs | Discount rate | Minimum | ||
Assets | ||
Servicing assets, measurement inputs | 0.15 | |
Excess MSRs | Discount rate | Maximum | ||
Assets | ||
Servicing assets, measurement inputs | 0.19 | |
Excess MSRs | Discount rate | Weighted Average | ||
Assets | ||
Servicing assets, measurement inputs | 0.17 | |
Excess MSRs | Excess mortgage servicing amount | Minimum | ||
Assets | ||
Servicing assets, measurement inputs | 0.0009 | |
Excess MSRs | Excess mortgage servicing amount | Maximum | ||
Assets | ||
Servicing assets, measurement inputs | 0.0016 | |
Excess MSRs | Excess mortgage servicing amount | Weighted Average | ||
Assets | ||
Servicing assets, measurement inputs | 0.0012 | |
Shared home appreciation options | ||
Assets | ||
Shared home appreciation options | $ | $ 42,440 | |
Shared home appreciation options | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Shared home appreciation options, measurement inputs | 0.10 | |
Shared home appreciation options | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Shared home appreciation options, measurement inputs | 0.24 | |
Shared home appreciation options | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Shared home appreciation options, measurement inputs | 0.18 | |
Shared home appreciation options | Discount rate | Minimum | ||
Assets | ||
Shared home appreciation options, measurement inputs | 0.15 | |
Shared home appreciation options | Discount rate | Maximum | ||
Assets | ||
Shared home appreciation options, measurement inputs | 0.15 | |
Shared home appreciation options | Discount rate | Weighted Average | ||
Assets | ||
Shared home appreciation options, measurement inputs | 0.15 | |
Shared home appreciation options | Home price appreciation | Minimum | ||
Assets | ||
Shared home appreciation options, measurement inputs | 0.03 | |
Shared home appreciation options | Home price appreciation | Maximum | ||
Assets | ||
Shared home appreciation options, measurement inputs | 0.03 | |
Shared home appreciation options | Home price appreciation | Weighted Average | ||
Assets | ||
Shared home appreciation options, measurement inputs | 0.03 | |
REO | ||
Assets | ||
REO | $ | $ 1,117 | |
REO | Loss severity | Minimum | ||
Assets | ||
REO, measurement inputs | 0.01 | |
REO | Loss severity | Maximum | ||
Assets | ||
REO, measurement inputs | 0.46 | |
REO | Loss severity | Weighted Average | ||
Assets | ||
REO, measurement inputs | 0.21 | |
Loan purchase and interest rate lock commitments | ||
Assets | ||
Loan purchase commitments, net | $ | $ 14,450 | |
Loan purchase and interest rate lock commitments | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.20 | |
Loan purchase and interest rate lock commitments | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.20 | |
Loan purchase and interest rate lock commitments | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.20 | |
Loan purchase and interest rate lock commitments | MSR multiple | Minimum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0 | |
Loan purchase and interest rate lock commitments | MSR multiple | Maximum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 3.9 | |
Loan purchase and interest rate lock commitments | MSR multiple | Weighted Average | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 3 | |
Loan purchase and interest rate lock commitments | Mortgage servicing income | Minimum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0 | |
Loan purchase and interest rate lock commitments | Mortgage servicing income | Maximum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.0016 | |
Loan purchase and interest rate lock commitments | Mortgage servicing income | Weighted Average | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.0007 | |
Loan purchase and interest rate lock commitments | Pull-through rate | Minimum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.17 | |
Loan purchase and interest rate lock commitments | Pull-through rate | Maximum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 1 | |
Loan purchase and interest rate lock commitments | Pull-through rate | Weighted Average | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.65 | |
Loan purchase and interest rate lock commitments | Whole loan spread to TBA price | Minimum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 2.50 | |
Loan purchase and interest rate lock commitments | Whole loan spread to TBA price | Maximum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 2.50 | |
Loan purchase and interest rate lock commitments | Whole loan spread to TBA price | Weighted Average | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 2.50 | |
Loan purchase and interest rate lock commitments | Whole loan spread to swap rate - fixed rate | Minimum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.0305 | |
Loan purchase and interest rate lock commitments | Whole loan spread to swap rate - fixed rate | Maximum | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.0305 | |
Loan purchase and interest rate lock commitments | Whole loan spread to swap rate - fixed rate | Weighted Average | ||
Assets | ||
Loan purchase commitments, net, measurement inputs | 0.0305 | |
Loan purchase and interest rate lock commitments | Committed sales price | Minimum | ||
Assets | ||
Loan purchase commitments, measurement input | 100.94 | |
Loan purchase and interest rate lock commitments | Committed sales price | Maximum | ||
Assets | ||
Loan purchase commitments, measurement input | 103.22 | |
Loan purchase and interest rate lock commitments | Committed sales price | Weighted Average | ||
Assets | ||
Loan purchase commitments, measurement input | 102.25 |
Residential Loans - Summary of
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
MSRs | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Mortgage servicing rights | $ 172,000 | |
Residential loans, held-for-investment | Legacy Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 285,935 | $ 407,890 |
Residential loans, held-for-investment | Sequoia Choice | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 1,565,322 | 2,291,463 |
Residential loans, held-for-investment | Freddie Mac SLST | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 2,221,153 | 2,367,215 |
Redwood | Residential loans, held-for-investment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 0 | 2,111,897 |
Residential Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 4,249,051 | 7,714,850 |
Residential Loans | Legacy Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 285,935 | 407,890 |
Residential Loans | Sequoia Choice | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 1,565,322 | 2,291,463 |
Residential Loans | Freddie Mac SLST | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 2,221,153 | 2,367,215 |
Residential Loans | 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 | 176,641 | 536,385 |
Residential Loans | Held-for-sale at fair value | Legacy Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 0 | 0 |
Residential Loans | Held-for-sale at fair value | Sequoia Choice | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 0 | 0 |
Residential Loans | Held-for-sale at fair value | Freddie Mac SLST | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 0 | 0 |
Residential Loans | Residential loans, held-for-investment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 4,072,410 | 7,178,465 |
Residential Loans | Residential loans, held-for-investment | Legacy Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 285,935 | 407,890 |
Residential Loans | Residential loans, held-for-investment | Sequoia Choice | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 1,565,322 | 2,291,463 |
Residential Loans | Residential loans, held-for-investment | Freddie Mac SLST | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 2,221,153 | 2,367,215 |
Residential Loans | Redwood | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | 176,641 | 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] | ||
Loans, at fair value | 176,641 | 536,385 |
Residential Loans | Redwood | Residential loans, held-for-investment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loans, at fair value | $ 0 | $ 2,111,897 |
Residential Loans - Characteris
Residential Loans - Characteristics of Residential Loans Held-for-Sale (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 198 | 669 |
Principal amount outstanding on loans securitized | $ 172,748 | $ 524,928 |
Residential Loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 198 | 669 |
Principal amount outstanding on loans securitized | $ 172,748 | $ 525,069 |
Loans, at fair value | 176,641 | 536,385 |
Loan pledged as collateral | $ 156,355 | $ 201,949 |
Number of loans in foreclosure | loan | 0 | 0 |
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 | 1 | 1 |
Loans past due | $ 1,882 | $ 747 |
Loans held as assets, 90 days or more past due | $ 1,223 | $ 616 |
Residential Loans - Activity of
Residential Loans - Activity of Residential Loans Held-for-Sale (Details) - Residential Loans - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Principal balance of loans acquired | $ 4,374,201 | $ 5,732,699 |
Principal balance of loans sold | 6,463,741 | 6,069,518 |
Gain (loss) on assets measured at fair value on a non-recurring basis | $ (15,477) | $ 3,267 |
Residential Loans - Character_2
Residential Loans - Characteristics of Loans Held-for-Investment (Details) $ in Thousands | Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 198 | 669 | ||
Principal amount outstanding on loans securitized | $ 172,748 | $ 524,928 | $ 172,748 | $ 524,928 |
Residential loans, held-for-investment | Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 1,908 | 2,198 | ||
Principal amount outstanding on loans securitized | $ 333,474 | $ 424,829 | 333,474 | 424,829 |
Loans, at fair value | $ 285,935 | $ 407,890 | $ 285,935 | $ 407,890 |
Number of loans in foreclosure | loan | 21 | 16 | 21 | 16 |
Loans held as assets amount in foreclosure | $ 4,939 | $ 3,673 | $ 4,939 | $ 3,673 |
Residential loans, held-for-investment | Sequoia Choice | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 2,177 | 3,156 | ||
Principal amount outstanding on loans securitized | $ 1,550,454 | $ 2,240,679 | 1,550,454 | 2,240,679 |
Loans, at fair value | $ 1,565,322 | $ 2,291,463 | $ 1,565,322 | $ 2,291,463 |
Number of loans in foreclosure | loan | 3 | 3 | 3 | 3 |
Loans held as assets amount in foreclosure | $ 2,251 | $ 2,290 | $ 2,251 | $ 2,290 |
Residential loans, held-for-investment | Freddie Mac SLST | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 13,605 | 14,502 | ||
Principal amount outstanding on loans securitized | $ 2,247,771 | $ 2,428,035 | 2,247,771 | 2,428,035 |
Loans, at fair value | $ 2,221,153 | $ 2,367,215 | $ 2,221,153 | $ 2,367,215 |
Number of loans in foreclosure | loan | 245 | 208 | 245 | 208 |
Loans held as assets amount in foreclosure | $ 38,610 | $ 33,042 | $ 38,610 | $ 33,042 |
Residential loans, held-for-investment | Financing Receivables, Equal to Greater than 90 Days Past Due | Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of loans past due | loan | 52 | 39 | 52 | 39 |
Loans held as assets, 90 days or more past due | $ 17,285 | $ 9,803 | $ 17,285 | $ 9,803 |
Residential loans, held-for-investment | 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 | 94 | 9 | 94 | 9 |
Loans held as assets, 90 days or more past due | $ 74,742 | $ 6,755 | $ 74,742 | $ 6,755 |
Residential loans, held-for-investment | 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 | 2,110 | 587 | 2,110 | 587 |
Loans held as assets, 90 days or more past due | $ 389,245 | $ 134,680 | $ 389,245 | $ 134,680 |
Residential loans, held-for-investment | Redwood | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 0 | 2,940 | ||
Principal amount outstanding on loans securitized | $ 0 | $ 2,052,778 | 0 | 2,052,778 |
Loans, at fair value | $ 0 | $ 2,111,897 | $ 0 | $ 2,111,897 |
Number of loans in foreclosure | loan | 0 | 0 | 0 | 0 |
Loans held as assets amount in foreclosure | $ 0 | $ 0 | $ 0 | $ 0 |
Residential loans, held-for-investment | 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] | ||||
Principal amount outstanding on loans securitized | $ 0 | $ 1,424 | $ 0 | $ 1,424 |
Number of loans past due | loan | 0 | 2 | 0 | 2 |
Loans held as assets, 90 days or more past due | $ 0 | $ 1,585 | $ 0 | $ 1,585 |
Residential Loans - Activity _2
Residential Loans - Activity of Residential Loans Held-for-Investment (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
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 | $ 1,868,656 | $ 1,801,560 | $ 2,062,809 |
Residential loans, held-for-investment | Sequoia Choice | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Valuation adjustments | (30,356) | (15,232) | |
Residential loans, held-for-investment | Freddie Mac SLST | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Valuation adjustments | 35,131 | 63,583 | |
Residential loans, held-for-investment | Legacy Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Valuation adjustments | (30,900) | 5,170 | |
Residential loans, held-for-investment | 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 | 270,506 | 1,076,671 | |
Residential loans, held-for-investment | Redwood | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Principal balance of loans acquired | 0 | 39,194 | |
Principal balance of loans sold | 0 | 0 | |
Transfers from loans held-for-sale to loans held-for-investment | 13,258 | 68,703 | |
Transfers from loans held-for-investment to loans held-for-sale | 1,870,986 | 22,814 | |
Gain (loss) on assets measured at fair value on a non-recurring basis | $ (93,314) | $ 58,891 |
Residential Loans - Geographic
Residential Loans - Geographic Concentration of Residential Loans Recorded on Consolidated Balance Sheet (Details) - Residential loans, held-for-investment | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 43.00% | 36.00% |
Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 6.00% |
Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 7.00% | 7.00% |
Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 6.00% |
Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 4.00% |
Illinois | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | |
Maryland | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | |
New Jersey | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 1.00% | 2.00% |
New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 1.00% | 1.00% |
Ohio | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | |
Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 25.00% | 38.00% |
Legacy Sequoia | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Legacy Sequoia | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 17.00% | 18.00% |
Legacy Sequoia | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 6.00% |
Legacy Sequoia | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 1.00% | 1.00% |
Legacy Sequoia | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 3.00% |
Legacy Sequoia | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 14.00% |
Legacy Sequoia | Illinois | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | |
Legacy Sequoia | Maryland | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | |
Legacy Sequoia | New Jersey | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 4.00% |
Legacy Sequoia | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 10.00% |
Legacy Sequoia | Ohio | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | |
Legacy Sequoia | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 35.00% | 44.00% |
Sequoia Choice | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Sequoia Choice | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 34.00% | 35.00% |
Sequoia Choice | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 9.00% |
Sequoia Choice | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 7.00% |
Sequoia Choice | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 4.00% |
Sequoia Choice | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 6.00% | 5.00% |
Sequoia Choice | Illinois | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | |
Sequoia Choice | Maryland | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 1.00% | |
Sequoia Choice | New Jersey | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 2.00% |
Sequoia Choice | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | 4.00% |
Sequoia Choice | Ohio | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | |
Sequoia Choice | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 32.00% | 34.00% |
Freddie Mac SLST | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Freddie Mac SLST | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 14.00% | 14.00% |
Freddie Mac SLST | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 3.00% | 3.00% |
Freddie Mac SLST | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | 2.00% |
Freddie Mac SLST | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 1.00% | 0.00% |
Freddie Mac SLST | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 10.00% |
Freddie Mac SLST | Illinois | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | |
Freddie Mac SLST | Maryland | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 5.00% | |
Freddie Mac SLST | New Jersey | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 7.00% | 7.00% |
Freddie Mac SLST | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 10.00% | 10.00% |
Freddie Mac SLST | Ohio | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 2.00% | |
Freddie Mac SLST | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 41.00% | 54.00% |
Redwood | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | 100.00% |
Redwood | California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | 45.00% |
Redwood | Texas | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | 8.00% |
Redwood | Washington | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | 5.00% |
Redwood | Colorado | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | 4.00% |
Redwood | Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | 5.00% |
Redwood | Illinois | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | Maryland | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | New Jersey | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | 2.00% |
Redwood | New York | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | 4.00% |
Redwood | Ohio | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | Other states (none greater than 5%) | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 0.00% | 27.00% |
Residential Loans - Loan Produc
Residential Loans - Loan Product Type and Accompanying Loan Characteristics of Residential Loans (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 198 | 669 |
Total Principal | $ 172,748 | $ 524,928 |
30-89 Days DQ | 3,362 | 1,650 |
90+ Days DQ | 1,882 | $ 747 |
Residential loans, held-for-investment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
90+ Days DQ | 481,272 | |
Residential loans, held-for-sale, at fair value | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
90+ Days DQ | $ 1,882 | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 2 | 115 |
Total Principal | $ 1,019 | $ 91,883 |
30-89 Days DQ | 970 | 0 |
90+ Days DQ | $ 0 | 0 |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.00% | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.38% | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $0 to $250 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of Loans | loan | 1 | 7 |
Total Principal | $ 49 | $ 1,254 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $0 to $250 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.00% | 5.20% |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $0 to $250 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.00% | 7.00% |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $251 to $500 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | |
Loan Balance, maximum | $ 500 | |
Number of Loans | loan | 1 | |
Total Principal | $ 432 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $251 to $500 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.25% | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $251 to $500 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.25% | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $501 to $750 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | |
Loan Balance, maximum | $ 750 | |
Number of Loans | loan | 52 | |
Total Principal | $ 33,611 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $501 to $750 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $501 to $750 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.50% | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $751 to $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 1 | 33 |
Total Principal | $ 970 | $ 28,573 |
30-89 Days DQ | 970 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $751 to $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.38% | 3.25% |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | $751 to $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.38% | 4.88% |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 22 | |
Total Principal | $ 28,013 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.25% | |
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.25% | |
Residential loans, held-for-sale, at fair value | Fixed loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 196 | 554 |
Total Principal | $ 171,729 | $ 433,045 |
30-89 Days DQ | 2,392 | 1,650 |
90+ Days DQ | $ 1,882 | 747 |
Residential loans, held-for-sale, at fair value | Fixed loans | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.38% | |
Residential loans, held-for-sale, at fair value | Fixed loans | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.50% | |
Residential loans, held-for-sale, at fair value | Fixed loans | $0 to $250 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of Loans | loan | 1 | 2 |
Total Principal | $ 219 | $ 481 |
30-89 Days DQ | 219 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-sale, at fair value | Fixed loans | $0 to $250 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.69% | 3.88% |
Residential loans, held-for-sale, at fair value | Fixed loans | $0 to $250 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.69% | 7.13% |
Residential loans, held-for-sale, at fair value | Fixed loans | $251 to $500 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | |
Loan Balance, maximum | $ 500 | |
Number of Loans | loan | 13 | |
Total Principal | $ 6,234 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Residential loans, held-for-sale, at fair value | Fixed loans | $251 to $500 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Residential loans, held-for-sale, at fair value | Fixed loans | $251 to $500 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.50% | |
Residential loans, held-for-sale, at fair value | Fixed loans | $501 to $750 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of Loans | loan | 75 | 301 |
Total Principal | $ 48,933 | $ 186,251 |
30-89 Days DQ | 1,127 | 0 |
90+ Days DQ | $ 0 | $ 747 |
Residential loans, held-for-sale, at fair value | Fixed loans | $501 to $750 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.50% | 3.20% |
Residential loans, held-for-sale, at fair value | Fixed loans | $501 to $750 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.50% | 5.88% |
Residential loans, held-for-sale, at fair value | Fixed loans | $751 to $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 80 | 161 |
Total Principal | $ 71,137 | $ 139,786 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Residential loans, held-for-sale, at fair value | Fixed loans | $751 to $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.38% | 3.50% |
Residential loans, held-for-sale, at fair value | Fixed loans | $751 to $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.63% | 6.50% |
Residential loans, held-for-sale, at fair value | Fixed loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 40 | 77 |
Total Principal | $ 51,440 | $ 100,293 |
30-89 Days DQ | 1,046 | 1,650 |
90+ Days DQ | $ 1,882 | $ 0 |
Residential loans, held-for-sale, at fair value | Fixed loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.38% | 3.20% |
Residential loans, held-for-sale, at fair value | Fixed loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.00% | 5.00% |
Redwood | Residential loans, held-for-investment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 2,940 | |
Total Principal | $ 2,052,778 | |
30-89 Days DQ | 12,221 | |
90+ Days DQ | $ 1,585 | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 299 | |
Total Principal | $ 227,399 | |
30-89 Days DQ | 4,576 | |
90+ Days DQ | 971 | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $0 to $250 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 0 | |
Loan Balance, maximum | $ 250 | |
Number of Loans | loan | 12 | |
Total Principal | $ 2,423 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $0 to $250 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.50% | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $0 to $250 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.50% | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $251 to $500 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | |
Loan Balance, maximum | $ 500 | |
Number of Loans | loan | 51 | |
Total Principal | $ 20,781 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $251 to $500 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.25% | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $251 to $500 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.63% | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $501 to $750 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | |
Loan Balance, maximum | $ 750 | |
Number of Loans | loan | 97 | |
Total Principal | $ 61,708 | |
30-89 Days DQ | 1,364 | |
90+ Days DQ | $ 0 | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $501 to $750 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.88% | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $501 to $750 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.13% | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $751 to $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | |
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 90 | |
Total Principal | $ 77,550 | |
30-89 Days DQ | 1,784 | |
90+ Days DQ | $ 971 | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $751 to $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.88% | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | $751 to $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.00% | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 49 | |
Total Principal | $ 64,937 | |
30-89 Days DQ | 1,428 | |
90+ Days DQ | $ 0 | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | |
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.50% | |
Redwood | Residential loans, held-for-investment | Fixed loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 2,641 | |
Total Principal | $ 1,825,379 | |
30-89 Days DQ | 7,645 | |
90+ Days DQ | 614 | |
Redwood | Residential loans, held-for-investment | Fixed loans | $0 to $250 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | 0 | |
Loan Balance, maximum | $ 250 | |
Number of Loans | loan | 38 | |
Total Principal | $ 6,549 | |
30-89 Days DQ | 223 | |
90+ Days DQ | $ 0 | |
Redwood | Residential loans, held-for-investment | Fixed loans | $0 to $250 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.90% | |
Redwood | Residential loans, held-for-investment | Fixed loans | $0 to $250 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.80% | |
Redwood | Residential loans, held-for-investment | Fixed loans | $251 to $500 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | |
Loan Balance, maximum | $ 500 | |
Number of Loans | loan | 676 | |
Total Principal | $ 287,984 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Redwood | Residential loans, held-for-investment | Fixed loans | $251 to $500 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | |
Redwood | Residential loans, held-for-investment | Fixed loans | $251 to $500 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.00% | |
Redwood | Residential loans, held-for-investment | Fixed loans | $501 to $750 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | |
Loan Balance, maximum | $ 750 | |
Number of Loans | loan | 1,091 | |
Total Principal | $ 669,159 | |
30-89 Days DQ | 2,325 | |
90+ Days DQ | $ 614 | |
Redwood | Residential loans, held-for-investment | Fixed loans | $501 to $750 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.80% | |
Redwood | Residential loans, held-for-investment | Fixed loans | $501 to $750 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.75% | |
Redwood | Residential loans, held-for-investment | Fixed loans | $751 to $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | |
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 519 | |
Total Principal | $ 447,499 | |
30-89 Days DQ | 1,895 | |
90+ Days DQ | $ 0 | |
Redwood | Residential loans, held-for-investment | Fixed loans | $751 to $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | |
Redwood | Residential loans, held-for-investment | Fixed loans | $751 to $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.63% | |
Redwood | Residential loans, held-for-investment | Fixed loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 317 | |
Total Principal | $ 414,188 | |
30-89 Days DQ | 3,202 | |
90+ Days DQ | $ 0 | |
Redwood | Residential loans, held-for-investment | Fixed loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | |
Redwood | Residential loans, held-for-investment | Fixed loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.88% | |
Legacy Sequoia | Residential loans, held-for-investment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 1,908 | 2,198 |
Total Principal | $ 333,474 | $ 424,829 |
30-89 Days DQ | 7,240 | 15,739 |
90+ Days DQ | $ 17,285 | $ 9,803 |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 1,899 | 2,186 |
Total Principal | $ 329,510 | $ 419,398 |
30-89 Days DQ | 6,830 | 15,739 |
90+ Days DQ | $ 17,285 | 9,803 |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.25% | |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.63% | |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $0 to $250 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of Loans | loan | 1,524 | 1,685 |
Total Principal | $ 146,100 | $ 169,230 |
30-89 Days DQ | 4,208 | 5,135 |
90+ Days DQ | $ 3,966 | $ 3,109 |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $0 to $250 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.25% | 1.38% |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $0 to $250 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.63% | 6.00% |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $251 to $500 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of Loans | loan | 251 | 345 |
Total Principal | $ 86,676 | $ 120,260 |
30-89 Days DQ | 1,908 | 6,149 |
90+ Days DQ | $ 4,392 | $ 3,835 |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $251 to $500 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.50% | 1.25% |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $251 to $500 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.13% | 5.63% |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $501 to $750 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of Loans | loan | 79 | 87 |
Total Principal | $ 48,437 | $ 53,811 |
30-89 Days DQ | 714 | 3,628 |
90+ Days DQ | $ 1,192 | $ 1,211 |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $501 to $750 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.25% | 1.63% |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $501 to $750 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.13% | 4.38% |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $751 to $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 27 | 45 |
Total Principal | $ 21,875 | $ 37,756 |
30-89 Days DQ | 0 | 827 |
90+ Days DQ | $ 3,175 | $ 1,648 |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $751 to $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 0.75% | 1.63% |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | $751 to $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.75% | 4.38% |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 18 | 24 |
Total Principal | $ 26,422 | $ 38,341 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 4,560 | $ 0 |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 1.00% | 1.63% |
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.38% | 4.00% |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 9 | 12 |
Total Principal | $ 3,964 | $ 5,431 |
30-89 Days DQ | 410 | 0 |
90+ Days DQ | $ 0 | 0 |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.63% | |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.00% | |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | $0 to $250 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of Loans | loan | 2 | 2 |
Total Principal | $ 439 | $ 465 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | $0 to $250 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.63% | 4.25% |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | $0 to $250 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.63% | 4.50% |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | $251 to $500 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of Loans | loan | 5 | 7 |
Total Principal | $ 1,748 | $ 2,494 |
30-89 Days DQ | 410 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | $251 to $500 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.63% | 3.63% |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | $251 to $500 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.00% | 5.13% |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | $501 to $750 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of Loans | loan | 1 | 2 |
Total Principal | $ 556 | $ 1,181 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | $501 to $750 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 4.50% |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | $501 to $750 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 4.50% |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 1 | 1 |
Total Principal | $ 1,221 | $ 1,291 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.63% | 4.50% |
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.63% | 4.50% |
Sequoia Choice | Residential loans, held-for-investment | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 2,177 | |
Total Principal | $ 1,550,454 | |
30-89 Days DQ | 37,374 | |
90+ Days DQ | $ 74,742 | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 54 | |
Total Principal | $ 43,644 | |
30-89 Days DQ | 2,082 | |
90+ Days DQ | $ 2,415 | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.75% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $0 to $250 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 0 | |
Loan Balance, maximum | $ 250 | |
Number of Loans | loan | 3 | |
Total Principal | $ 607 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $0 to $250 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.50% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $0 to $250 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.75% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $251 to $500 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | |
Loan Balance, maximum | $ 500 | |
Number of Loans | loan | 5 | |
Total Principal | $ 2,196 | |
30-89 Days DQ | 440 | |
90+ Days DQ | $ 0 | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $251 to $500 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.50% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $251 to $500 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.63% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $501 to $750 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | |
Loan Balance, maximum | $ 750 | |
Number of Loans | loan | 19 | |
Total Principal | $ 12,214 | |
30-89 Days DQ | 682 | |
90+ Days DQ | $ 671 | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $501 to $750 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.25% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $501 to $750 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.75% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $751 to $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | |
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 15 | |
Total Principal | $ 12,911 | |
30-89 Days DQ | 960 | |
90+ Days DQ | $ 1,744 | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $751 to $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | $751 to $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.00% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 12 | |
Total Principal | $ 15,716 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.50% | |
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.00% | |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 2,123 | 3,156 |
Total Principal | $ 1,506,810 | $ 2,240,679 |
30-89 Days DQ | 35,292 | 24,266 |
90+ Days DQ | $ 72,327 | 6,755 |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.75% | |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $0 to $250 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of Loans | loan | 48 | 56 |
Total Principal | $ 9,508 | $ 10,743 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 191 | $ 0 |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $0 to $250 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.75% | 2.75% |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $0 to $250 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.50% | 5.50% |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $251 to $500 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of Loans | loan | 285 | 420 |
Total Principal | $ 122,327 | $ 184,455 |
30-89 Days DQ | 4,728 | 2,282 |
90+ Days DQ | $ 2,225 | $ 0 |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $251 to $500 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.13% | 3.13% |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $251 to $500 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.13% | 6.13% |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $501 to $750 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of Loans | loan | 1,004 | 1,528 |
Total Principal | $ 617,488 | $ 940,914 |
30-89 Days DQ | 15,214 | 13,020 |
90+ Days DQ | $ 24,842 | $ 2,366 |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $501 to $750 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.00% | 3.13% |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $501 to $750 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.75% | 6.75% |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $751 to $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 556 | 835 |
Total Principal | $ 478,938 | $ 719,609 |
30-89 Days DQ | 10,482 | 7,856 |
90+ Days DQ | $ 21,155 | $ 3,297 |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $751 to $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.25% | 3.25% |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | $751 to $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.50% | 6.50% |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 230 | 317 |
Total Principal | $ 278,549 | $ 384,958 |
30-89 Days DQ | 4,868 | 1,108 |
90+ Days DQ | $ 23,914 | $ 1,092 |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 3.15% | 3.50% |
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 5.88% | 5.88% |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of Loans | loan | 13,605 | 14,502 |
Total Principal | $ 2,247,771 | $ 2,428,035 |
30-89 Days DQ | 434,815 | 785,132 |
90+ Days DQ | $ 389,245 | $ 135,175 |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.00% | |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 11.00% | |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | $0 to $250 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 0 | |
Loan Balance, maximum | $ 250 | |
Number of Loans | loan | 11,007 | 11,639 |
Total Principal | $ 1,407,107 | $ 1,501,538 |
30-89 Days DQ | 283,745 | 477,592 |
90+ Days DQ | $ 206,724 | $ 79,632 |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | $0 to $250 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.00% | 2.00% |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | $0 to $250 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 11.00% | 11.00% |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | $251 to $500 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of Loans | loan | 2,545 | 2,805 |
Total Principal | $ 811,191 | $ 894,126 |
30-89 Days DQ | 143,195 | 297,732 |
90+ Days DQ | $ 172,995 | $ 52,920 |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | $251 to $500 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.00% | 2.00% |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | $251 to $500 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 7.75% | 7.75% |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | $501 to $750 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of Loans | loan | 52 | 57 |
Total Principal | $ 28,461 | $ 31,350 |
30-89 Days DQ | 6,863 | 8,787 |
90+ Days DQ | $ 9,526 | $ 2,623 |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | $501 to $750 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 2.00% | 2.00% |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | $501 to $750 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 6.75% | 6.75% |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 1 | |
Total Principal | $ 1,012 | |
30-89 Days DQ | 1,012 | |
90+ Days DQ | $ 0 | |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.00% | |
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.00% | |
Freddie Mac SLST | Residential loans, held-for-sale, at fair value | Fixed loans | Over $1,000 | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 1 | |
Total Principal | $ 1,021 | |
30-89 Days DQ | 1,021 | |
90+ Days DQ | $ 0 | |
Freddie Mac SLST | Residential loans, held-for-sale, at fair value | Fixed loans | Over $1,000 | Minimum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.00% | |
Freddie Mac SLST | Residential loans, held-for-sale, at fair value | Fixed loans | Over $1,000 | Maximum | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Interest Rate | 4.00% |
Business Purpose Loans - Classi
Business Purpose Loans - Classifications and Carrying Values of Business Purpose Residential Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Residential Bridge, Held-for-sale at fair value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | $ 0 | $ 0 |
Bridge loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 641,765 | 745,006 |
Bridge loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 641,765 | 745,006 |
Held-for-sale at fair value, Total | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 245,394 | 331,565 |
Held-for-investment at fair value, Total | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 3,890,959 | 3,175,178 |
Business Purpose Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 4,136,353 | 3,506,743 |
Redwood | Single-family rental loans, held-for-sale | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 245,394 | 331,565 |
Redwood | Single-family rental loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 0 | 237,620 |
Redwood | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 245,394 | 569,185 |
CoreVest LLC | Single-family rental loans, held-for-sale | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 0 | 0 |
CoreVest LLC | Single-family rental loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | 3,249,194 | 2,192,552 |
CoreVest LLC | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans, at fair value | $ 3,249,194 | $ 2,192,552 |
Business Purpose Loans - Activi
Business Purpose Loans - Activity and Characteristics of Business Purpose Loans (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Dec. 31, 2018USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Purchases of held-for-sale loans | $ 4,431,468 | $ 5,823,547 | $ 7,162,131 |
Principal balance of loans sold to third parties | 27,210 | 84,303 | 84,495 |
Transfers from loans held-for-sale to loans held-for-investment | $ 1,868,656 | 1,801,560 | 2,062,809 |
Number of loans transferred | loan | 5 | ||
Transfers from residential loans to real estate owned | $ 14,229 | $ 8,609 | $ 4,104 |
Number of Loans | loan | 198 | 669 | |
Principal amount outstanding on loans securitized | $ 172,748 | $ 524,928 | |
Commitment To Fund Residential Bridge Loan | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Other commitment | $ 216,000 | ||
Single-family rental loans, held-for-sale | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Number of Loans | loan | 65 | 201 | |
Principal amount outstanding on loans securitized | $ 234,475 | $ 321,637 | |
Single-family rental loans, held-for-sale | Redwood | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Purchases of held-for-sale loans | 979,696 | 513,725 | |
Principal balance of loans sold to third parties | (110,836) | 20,426 | |
Transfers from loans held-for-sale to loans held-for-investment | 1,292,633 | 717,934 | |
Gain (loss) on investments | (20,806) | 272 | |
Loans, at fair value | 245,394 | 331,565 | |
Single-family rental loans, held-for-sale | Redwood | Business Purpose Mortgage Banking Activities | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Gain (loss) on investments | 81,032 | 13,363 | |
Single-family rental loans, held-for-sale | CAFL | |||
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 | $ 1,290,000 | $ 394,000 | |
Number of securitization entities to which asset transferred | loan | 5 | 1 | |
Single-family rental loans held-for-investment | Redwood | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Number of Loans | loan | 107 | ||
Principal amount outstanding on loans securitized | $ 231,211 | ||
Loans, at fair value | $ 0 | 237,620 | |
Single-family rental loans held-for-investment | CAFL | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Gain (loss) on investments | $ 32,331 | $ (14,681) | |
Number of Loans | loan | 1,094 | 783 | |
Principal amount outstanding on loans securitized | $ 3,017,137 | $ 2,078,214 | |
Loans, at fair value | $ 3,249,194 | $ 2,192,552 | |
Weighted average coupon rate | 5.44% | 5.70% | |
Contract maturities | 5 years | 7 years | |
Loans held as assets, 90 days or more past due | $ 24,745 | $ 9,169 | |
Number of loans in foreclosure | loan | 10 | 5 | |
Single-family rental loans held-for-investment | CAFL | 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 | 22 | 18 | |
Loans held as assets, 90 days or more past due | $ 61,440 | $ 29,039 | |
Bridge loans held-for-investment | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Purchases of held-for-sale loans | 451,554 | 501,355 | |
Principal balance of loans sold to third parties | (25,151) | 56,484 | |
Gain (loss) on investments | (10,629) | $ (2,139) | |
Transfers from residential loans to real estate owned | $ 6,000 | ||
Number of Loans | loan | 1,725 | 2,653 | |
Principal amount outstanding on loans securitized | $ 649,532 | $ 741,232 | |
Loans, at fair value | $ 641,765 | 745,006 | |
Bridge loans held-for-investment | Minimum | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Original maturity (in months) | 6 months | ||
Bridge loans held-for-investment | Maximum | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Original maturity (in months) | 24 months | ||
Bridge loans held-for-investment | Business Purpose Mortgage Banking Activities | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Gain (loss) on investments | $ (2,916) | 3,342 | |
Business Purpose Loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fee income | 19,000 | 16,000 | |
Loans, at fair value | $ 4,136,353 | $ 3,506,743 | |
Single-Family Rental Loans, Held-For-Sale | Redwood | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Number of Loans | loan | 65 | 308 | |
Principal amount outstanding on loans securitized | $ 234,475 | $ 552,848 | |
Loans, at fair value | $ 245,394 | $ 569,185 | |
Weighted average coupon rate | 4.84% | 4.96% | |
Contract maturities | 8 years | 9 years | |
Loans held as assets, 90 days or more past due | $ 0 | $ 130 | |
Number of loans in foreclosure | loan | 0 | 1 | |
Loans held as assets amount in foreclosure | $ 0 | $ 130 | |
Single-Family Rental Loans, Held-For-Sale | Redwood | Loans Pledged As Collateral, Short Term Debt | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Gain (loss) on investments | 34,098 | $ 504,237 | |
Single-Family Rental Loans, Held-For-Sale | Redwood | Loans Pledged As Collateral, Long Term debt | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Gain (loss) on investments | $ 154,774 | ||
Single-Family Rental Loans, Held-For-Sale | 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] | |||
Number of loans past due | loan | 10 | 2 | |
Loans held as assets, 90 days or more past due | $ 7,127 | $ 1,818 | |
Loans past due | $ 6,143 | $ 1,818 | |
Business Purpose Bridge Loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Number of Loans | loan | 1,725 | 2,653 | |
Principal amount outstanding on loans securitized | $ 649,532 | $ 742,528 | |
Loans, at fair value | $ 641,765 | $ 745,006 | |
Weighted average coupon rate | 8.09% | 8.11% | |
Contract maturities | 1 year | 2 years | |
Loans held as assets, 90 days or more past due | $ 38,552 | $ 14,186 | |
Number of loans in foreclosure | loan | 25 | 31 | |
Loans held as assets amount in foreclosure | $ 33,066 | $ 12,111 | |
Business Purpose Bridge Loans | Loans Pledged As Collateral, Short Term Debt | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Gain (loss) on investments | 92,931 | $ 694,964 | |
Business Purpose Bridge Loans | Loans Pledged As Collateral, Long Term debt | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Gain (loss) on investments | $ 544,151 | ||
Business Purpose Bridge 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 | 31 | 15 | |
Loans held as assets, 90 days or more past due | $ 39,415 | $ 8,987 | |
Loans past due | $ 33,605 | $ 6,917 |
Business Purpose Loans - Geogra
Business Purpose Loans - Geographic Concentration of Business Purpose Loans (Details) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Single-family rental loans, held-for-sale at fair value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Single-family rental loans, held-for-sale at fair value | Texas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 24.00% | 19.00% |
Single-family rental loans, held-for-sale at fair value | New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 17.00% | 12.00% |
Single-family rental loans, held-for-sale at fair value | Georgia | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 12.00% | 8.00% |
Single-family rental loans, held-for-sale at fair value | Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 10.00% | 5.00% |
Single-family rental loans, held-for-sale at fair value | Connecticut | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 8.00% | |
Single-family rental loans, held-for-sale at fair value | New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | 5.00% |
Single-family rental loans, held-for-sale at fair value | Arizona | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | |
Single-family rental loans, held-for-sale at fair value | California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | 2.00% |
Single-family rental loans, held-for-sale at fair value | Illinois | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | 1.00% |
Single-family rental loans, held-for-sale at fair value | Alabama | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 2.00% | 5.00% |
Single-family rental loans, held-for-sale at fair value | Indiana | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 2.00% | |
Single-family rental loans, held-for-sale at fair value | Tennessee | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Single-family rental loans, held-for-sale at fair value | Utah | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Single-family rental loans, held-for-sale at fair value | Arkansas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 6.00% | |
Single-family rental loans, held-for-sale at fair value | Maryland | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 6.00% | |
Single-family rental loans, held-for-sale at fair value | Other states (none greater than 5%) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | 31.00% |
Bridge loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
Bridge loans held-for-investment | Texas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 4.00% | 3.00% |
Bridge loans held-for-investment | New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 9.00% | 8.00% |
Bridge loans held-for-investment | Georgia | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 8.00% | 7.00% |
Bridge loans held-for-investment | Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 11.00% | 9.00% |
Bridge loans held-for-investment | Connecticut | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 1.00% | |
Bridge loans held-for-investment | New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 8.00% | 6.00% |
Bridge loans held-for-investment | Arizona | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 1.00% | |
Bridge loans held-for-investment | California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 13.00% | 21.00% |
Bridge loans held-for-investment | Illinois | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 7.00% | 3.00% |
Bridge loans held-for-investment | Alabama | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 6.00% | 4.00% |
Bridge loans held-for-investment | Indiana | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | |
Bridge loans held-for-investment | Tennessee | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 6.00% | |
Bridge loans held-for-investment | Utah | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | |
Bridge loans held-for-investment | Arkansas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Bridge loans held-for-investment | Maryland | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Bridge loans held-for-investment | Other states (none greater than 5%) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 21.00% | 34.00% |
Redwood | Single-family rental loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 100.00% |
Redwood | Single-family rental loans held-for-investment | Texas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 12.00% |
Redwood | Single-family rental loans held-for-investment | New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 5.00% |
Redwood | Single-family rental loans held-for-investment | Georgia | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 0.00% |
Redwood | Single-family rental loans held-for-investment | Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 0.00% |
Redwood | Single-family rental loans held-for-investment | Connecticut | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | Single-family rental loans held-for-investment | New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 1.00% |
Redwood | Single-family rental loans held-for-investment | Arizona | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | Single-family rental loans held-for-investment | California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 1.00% |
Redwood | Single-family rental loans held-for-investment | Illinois | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 0.00% |
Redwood | Single-family rental loans held-for-investment | Alabama | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 0.00% |
Redwood | Single-family rental loans held-for-investment | Indiana | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | Single-family rental loans held-for-investment | Tennessee | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | Single-family rental loans held-for-investment | Utah | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | Single-family rental loans held-for-investment | Arkansas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | Single-family rental loans held-for-investment | Maryland | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
Redwood | Single-family rental loans held-for-investment | Other states (none greater than 5%) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 81.00% |
CAFL | Single-family rental loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
CAFL | Single-family rental loans held-for-investment | Texas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 15.00% | 15.00% |
CAFL | Single-family rental loans held-for-investment | New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 11.00% | 11.00% |
CAFL | Single-family rental loans held-for-investment | Georgia | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | 5.00% |
CAFL | Single-family rental loans held-for-investment | Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 8.00% | 8.00% |
CAFL | Single-family rental loans held-for-investment | Connecticut | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 4.00% | |
CAFL | Single-family rental loans held-for-investment | New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 1.00% | 1.00% |
CAFL | Single-family rental loans held-for-investment | Arizona | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 2.00% | |
CAFL | Single-family rental loans held-for-investment | California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | 7.00% |
CAFL | Single-family rental loans held-for-investment | Illinois | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 4.00% | 5.00% |
CAFL | Single-family rental loans held-for-investment | Alabama | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 3.00% | 4.00% |
CAFL | Single-family rental loans held-for-investment | Indiana | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 3.00% | |
CAFL | Single-family rental loans held-for-investment | Tennessee | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 3.00% | |
CAFL | Single-family rental loans held-for-investment | Utah | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | |
CAFL | Single-family rental loans held-for-investment | Arkansas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 2.00% | |
CAFL | Single-family rental loans held-for-investment | Maryland | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 2.00% | |
CAFL | Single-family rental loans held-for-investment | Other states (none greater than 5%) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 36.00% | 40.00% |
Business Purpose Loans - Produc
Business Purpose Loans - Product Types and Characteristics of Business Purpose Loans (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 198 | 669 |
Total Principal | $ 172,748 | $ 524,928 |
30-89 Days DQ | 3,362 | 1,650 |
90+ Days DQ | $ 1,882 | $ 747 |
Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 65 | 201 |
Total Principal | $ 234,475 | $ 321,637 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | 7,127 | $ 1,818 |
Single-family rental loans | $0 to $250 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | 0 | |
Loan Balance, maximum | $ 250 | |
Number of Loans | loan | 8 | 85 |
Total Principal | $ 1,060 | $ 10,506 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 635 | $ 130 |
Single-family rental loans | $0 to $250 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.25% | 5.50% |
Single-family rental loans | $0 to $250 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 7.75% | 7.63% |
Single-family rental loans | $251 to $500 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of Loans | loan | 1 | 9 |
Total Principal | $ 483 | $ 3,708 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Single-family rental loans | $251 to $500 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 5.97% | 4.94% |
Single-family rental loans | $251 to $500 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 5.97% | 6.00% |
Single-family rental loans | $501 to $750 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of Loans | loan | 6 | 21 |
Total Principal | $ 3,632 | $ 13,335 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Single-family rental loans | $501 to $750 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 5.84% | 4.55% |
Single-family rental loans | $501 to $750 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.75% | 5.96% |
Single-family rental loans | $751 to $1,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 10 | 13 |
Total Principal | $ 8,936 | $ 11,676 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 1,815 | $ 0 |
Single-family rental loans | $751 to $1,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 5.15% | 5.00% |
Single-family rental loans | $751 to $1,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.39% | 5.93% |
Single-family rental loans | Over $1,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 40 | 73 |
Total Principal | $ 220,364 | $ 282,412 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 4,677 | $ 1,688 |
Single-family rental loans | Over $1,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 3.82% | 4.35% |
Single-family rental loans | Over $1,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 5.95% | 6.28% |
Bridge loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 1,725 | 2,653 |
Total Principal | $ 649,532 | $ 741,232 |
30-89 Days DQ | 7,475 | 39,553 |
90+ Days DQ | 39,415 | 8,987 |
Bridge loans held-for-investment | $0 to $250 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | 0 | 0 |
Loan Balance, maximum | $ 250 | $ 250 |
Number of Loans | loan | 1,440 | 2,207 |
Total Principal | $ 128,596 | $ 197,449 |
30-89 Days DQ | 6,530 | 1,447 |
90+ Days DQ | $ 1,668 | $ 369 |
Bridge loans held-for-investment | $0 to $250 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 5.75% | 6.53% |
Bridge loans held-for-investment | $0 to $250 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 12.00% | 12.00% |
Bridge loans held-for-investment | $251 to $500 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 251 | $ 251 |
Loan Balance, maximum | $ 500 | $ 500 |
Number of Loans | loan | 110 | 198 |
Total Principal | $ 37,607 | $ 71,361 |
30-89 Days DQ | 945 | 2,811 |
90+ Days DQ | $ 1,423 | $ 675 |
Bridge loans held-for-investment | $251 to $500 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.65% | 6.99% |
Bridge loans held-for-investment | $251 to $500 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 13.00% | 13.00% |
Bridge loans held-for-investment | $501 to $750 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 501 | $ 501 |
Loan Balance, maximum | $ 750 | $ 750 |
Number of Loans | loan | 39 | 71 |
Total Principal | $ 23,783 | $ 42,862 |
30-89 Days DQ | 0 | 2,072 |
90+ Days DQ | $ 540 | $ 508 |
Bridge loans held-for-investment | $501 to $750 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.99% | 6.99% |
Bridge loans held-for-investment | $501 to $750 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 10.00% | 9.99% |
Bridge loans held-for-investment | $751 to $1,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 751 | $ 751 |
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 21 | 40 |
Total Principal | $ 18,225 | $ 34,646 |
30-89 Days DQ | 0 | 1,771 |
90+ Days DQ | $ 943 | $ 2,443 |
Bridge loans held-for-investment | $751 to $1,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.50% | 7.28% |
Bridge loans held-for-investment | $751 to $1,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 9.50% | 10.00% |
Bridge loans held-for-investment | Over $1,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, maximum | $ 1,000 | $ 1,000 |
Number of Loans | loan | 115 | 137 |
Total Principal | $ 441,321 | $ 394,914 |
30-89 Days DQ | 0 | 31,452 |
90+ Days DQ | $ 34,841 | $ 4,992 |
Bridge loans held-for-investment | Over $1,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.04% | 5.79% |
Bridge loans held-for-investment | Over $1,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 10.25% | 10.25% |
Redwood | Single-family rental loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 107 | |
Total Principal | $ 231,211 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Redwood | Single-family rental loans held-for-investment | $251 to $500 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 20 | |
Total Principal | $ 7,925 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Redwood | Single-family rental loans held-for-investment | $251 to $500 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.88% | |
Redwood | Single-family rental loans held-for-investment | $251 to $500 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 7.47% | |
Redwood | Single-family rental loans held-for-investment | $501 to $750 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 26 | |
Total Principal | $ 15,620 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Redwood | Single-family rental loans held-for-investment | $501 to $750 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.45% | |
Redwood | Single-family rental loans held-for-investment | $501 to $750 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 7.25% | |
Redwood | Single-family rental loans held-for-investment | $751 to $1,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 16 | |
Total Principal | $ 13,616 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Redwood | Single-family rental loans held-for-investment | $751 to $1,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.91% | |
Redwood | Single-family rental loans held-for-investment | $751 to $1,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.58% | |
Redwood | Single-family rental loans held-for-investment | Over $1,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 45 | |
Total Principal | $ 194,050 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Redwood | Single-family rental loans held-for-investment | Over $1,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 3.93% | |
Redwood | Single-family rental loans held-for-investment | Over $1,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.94% | |
CAFL | Single-family rental loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 1,094 | 783 |
Total Principal | $ 3,017,137 | $ 2,078,214 |
30-89 Days DQ | 4,631 | 22,771 |
90+ Days DQ | 61,440 | $ 29,039 |
CAFL | Single-family rental loans held-for-investment | $0 to $250 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | 0 | |
Loan Balance, maximum | $ 250 | |
Number of Loans | loan | 5 | 2 |
Total Principal | $ 1,016 | $ 398 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
CAFL | Single-family rental loans held-for-investment | $0 to $250 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 5.77% | 5.46% |
CAFL | Single-family rental loans held-for-investment | $0 to $250 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 7.05% | 5.80% |
CAFL | Single-family rental loans held-for-investment | $251 to $500 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 251 | |
Loan Balance, maximum | $ 500 | |
Number of Loans | loan | 67 | 56 |
Total Principal | $ 29,977 | $ 25,643 |
30-89 Days DQ | 0 | 1,306 |
90+ Days DQ | $ 0 | $ 0 |
CAFL | Single-family rental loans held-for-investment | $251 to $500 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.64% | 4.92% |
CAFL | Single-family rental loans held-for-investment | $251 to $500 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 6.96% | 7.05% |
CAFL | Single-family rental loans held-for-investment | $501 to $750 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 501 | |
Loan Balance, maximum | $ 750 | |
Number of Loans | loan | 212 | 148 |
Total Principal | $ 130,665 | $ 91,414 |
30-89 Days DQ | 0 | 1,259 |
90+ Days DQ | $ 1,752 | $ 1,990 |
CAFL | Single-family rental loans held-for-investment | $501 to $750 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.12% | 4.75% |
CAFL | Single-family rental loans held-for-investment | $501 to $750 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 7.06% | 7.31% |
CAFL | Single-family rental loans held-for-investment | $751 to $1,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 751 | |
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 131 | 98 |
Total Principal | $ 113,874 | $ 85,472 |
30-89 Days DQ | 764 | 1,639 |
90+ Days DQ | $ 750 | $ 879 |
CAFL | Single-family rental loans held-for-investment | $751 to $1,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.33% | 4.62% |
CAFL | Single-family rental loans held-for-investment | $751 to $1,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 7.23% | 7.23% |
CAFL | Single-family rental loans held-for-investment | Over $1,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, maximum | $ 1,000 | |
Number of Loans | loan | 679 | 479 |
Total Principal | $ 2,741,605 | $ 1,875,287 |
30-89 Days DQ | 3,867 | 18,567 |
90+ Days DQ | $ 58,938 | $ 26,170 |
CAFL | Single-family rental loans held-for-investment | Over $1,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 3.93% | 4.31% |
CAFL | Single-family rental loans held-for-investment | Over $1,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 7.57% | 7.57% |
Multifamily Loans - Characteris
Multifamily Loans - Characteristics and Activity of Multifamily Loans (Details) $ in Thousands | Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Mar. 31, 2020USD ($) | Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Deconsolidation of multifamily loans | $ 3,850,000 | ||||
Number of Loans | loan | 198 | 669 | |||
Total Principal | $ 172,748 | $ 524,928 | $ 172,748 | $ 524,928 | |
Redwood | Residential 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 | 2,940 | |||
Total Principal | $ 0 | $ 2,052,778 | 0 | 2,052,778 | |
Loans, at fair value | $ 0 | $ 2,111,897 | $ 0 | $ 2,111,897 | |
Number of loans in foreclosure | loan | 0 | 0 | 0 | 0 | |
Redwood | Financing Receivables, Equal to Greater than 90 Days Past Due | Residential loans, held-for-investment | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Total Principal | $ 0 | $ 1,424 | $ 0 | $ 1,424 | |
Number of loans past due | loan | 0 | 2 | 0 | 2 | |
Multifamily securities | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of Loans | loan | 28 | 279 | |||
Total Principal | $ 462,808 | $ 4,195,000 | $ 462,808 | $ 4,195,000 | |
Multifamily securities | Residential loans, held-for-investment | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Valuation adjustment gain (loss) | $ (58,821) | $ 130,083 | |||
Multifamily securities | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of Loans | loan | 28 | 279 | |||
Total Principal | 462,808 | 4,195,000 | $ 462,808 | $ 4,195,000 | |
Loans, at fair value | $ 492,221 | $ 4,408,524 | $ 492,221 | $ 4,408,524 | |
Weighted average coupon rate | 4.25% | 4.13% | 4.25% | 4.13% | |
Contract maturities | 5 years | 6 years | |||
Number of loans in foreclosure | loan | 0 | 0 | 0 | 0 | |
Multifamily securities | 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] | |||||
Number of loans past due | loan | 0 | 0 | 0 | 0 | |
Multifamily securities | Maximum | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Weighted average maturity (in years) | 10 years |
Multifamily Loans - Geographic
Multifamily Loans - Geographic Concentration of Multifamily Loans (Details) - Multifamily securities | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 13.00% | 11.00% |
Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 13.00% | 10.00% |
North Carolina | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 9.00% | 0.00% |
Oregon | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 7.00% | 0.00% |
Hawaii | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | 0.00% |
Tennessee | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 5.00% | 0.00% |
Texas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 13.00% |
Arizona | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 6.00% |
Georgia | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 6.00% |
Washington | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 5.00% |
Colorado | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 0.00% | 5.00% |
Other states (none greater than 5%) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk percentage | 48.00% | 44.00% |
Multifamily Loans - Product Typ
Multifamily Loans - Product Types and Characteristics of Multifamily Loans (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 198 | 669 |
Total Principal | $ 172,748 | $ 524,928 |
30-89 Days DQ | 3,362 | 1,650 |
90+ Days DQ | $ 1,882 | $ 747 |
Multifamily securities | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 28 | 279 |
Total Principal | $ 462,808 | $ 4,195,000 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | 0 | 0 |
Multifamily securities | $1,000 to $10,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | 1,000 | |
Loan Balance, maximum | $ 10,000 | |
Number of Loans | loan | 114 | |
Total Principal | $ 674,666 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Multifamily securities | $1,000 to $10,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 3.29% | |
Multifamily securities | $1,000 to $10,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.73% | |
Multifamily securities | $10,001 to $20,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | 10,001 | $ 10,001 |
Loan Balance, maximum | $ 20,000 | $ 20,000 |
Number of Loans | loan | 24 | 102 |
Total Principal | $ 370,934 | $ 1,489,118 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Multifamily securities | $10,001 to $20,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.25% | 3.54% |
Multifamily securities | $10,001 to $20,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.25% | 4.94% |
Multifamily securities | $20,001 to $30,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 20,001 | $ 20,001 |
Loan Balance, maximum | $ 30,000 | $ 30,000 |
Number of Loans | loan | 4 | 32 |
Total Principal | $ 91,874 | $ 750,712 |
30-89 Days DQ | 0 | 0 |
90+ Days DQ | $ 0 | $ 0 |
Multifamily securities | $20,001 to $30,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.25% | 3.54% |
Multifamily securities | $20,001 to $30,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.25% | 4.69% |
Multifamily securities | $30,001 to $40,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, minimum | $ 30,001 | |
Loan Balance, maximum | $ 40,000 | |
Number of Loans | loan | 19 | |
Total Principal | $ 654,729 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Multifamily securities | $30,001 to $40,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 3.52% | |
Multifamily securities | $30,001 to $40,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.79% | |
Multifamily securities | Over $40,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loan Balance, maximum | $ 40,000 | |
Number of Loans | loan | 12 | |
Total Principal | $ 625,775 | |
30-89 Days DQ | 0 | |
90+ Days DQ | $ 0 | |
Multifamily securities | Over $40,000 | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 3.55% | |
Multifamily securities | Over $40,000 | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Rate | 4.65% |
Real Estate Securities - Fair V
Real Estate Securities - Fair Values of Real Estate Securities by Collateral Type and Entity (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |||
Trading | $ 125,667 | $ 860,540 | |
Available-for-sale | 218,458 | 239,334 | |
Total Real Estate Securities | [1] | $ 344,125 | $ 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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 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 | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Investment Holdings [Line Items] | ||
Real estate securities | $ 125,667 | $ 860,540 |
Unpaid principal balance | 245,855 | 922,330 |
Principal balance of securities acquired | 79,921 | 366,848 |
Principal balance of securities sold | 744,914 | 592,502 |
Net market valuation gains (losses) recorded | (230,731) | 56,046 |
Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Real estate securities | 28,464 | 150,067 |
Unpaid principal balance | 0 | 83,591 |
Mezzanine | ||
Investment Holdings [Line Items] | ||
Real estate securities | 3,649 | 538,489 |
Unpaid principal balance | 3,577 | 536,831 |
Subordinate | ||
Investment Holdings [Line Items] | ||
Real estate securities | 93,554 | 171,984 |
Unpaid principal balance | 242,278 | 301,908 |
Interest-only securities | Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Real estate securities | 28,464 | 64,010 |
Interest-only securities | Senior IO Securities | Sequoia Choice | ||
Investment Holdings [Line Items] | ||
Real estate securities | 13,000 | 36,000 |
RPL securities | Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Real estate securities | 0 | 39,337 |
RPL securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Real estate securities | 47,448 | 76,102 |
Other third-party residential securities | Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Real estate securities | 0 | 46,720 |
Other third-party residential securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Real estate securities | 0 | 103,573 |
Other third-party residential securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Real estate securities | 40,514 | 95,882 |
Sequoia securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Real estate securities | 3,649 | 39,660 |
Multifamily securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Real estate securities | 0 | 395,256 |
Multifamily securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Real estate securities | $ 5,592 | $ 0 |
Real Estate Securities - Availa
Real Estate Securities - Available for Sale Securities by Collateral Type (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Investment Holdings [Line Items] | ||
Debt securities, available for sale | $ 218,458 | $ 239,334 |
AFS securities acquired | 57,652 | 26,538 |
AFS securities sold | 55,192 | 110,070 |
Gross realized gains | 4,635 | 17,582 |
Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | 0 | 25,792 |
Mezzanine | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | 2,014 | 13,687 |
Subordinate | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | 216,444 | 199,855 |
Other third-party residential securities | Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | 0 | 25,792 |
Other third-party residential securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | 2,014 | 4,244 |
Other third-party residential securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | 36,306 | 59,776 |
Sequoia securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | 0 | 4,320 |
Sequoia securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | 136,475 | 136,330 |
Multifamily securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | 0 | 5,123 |
Multifamily securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Debt securities, available for sale | $ 43,663 | $ 3,749 |
Real Estate Securities - Additi
Real Estate Securities - Additional Information (Details) $ in Thousands | Dec. 31, 2020USD ($)investment | Dec. 31, 2019USD ($)investment |
Investment Holdings [Line Items] | ||
Number of AFS securities | investment | 96 | 107 |
Number of securities in unrealized loss position | investment | 5 | 1 |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer | investment | 0 | 1 |
Gross unrealized losses | $ 1,047 | $ 29 |
AFS securities, allowance for credit loss | 388 | $ 0 |
Residential | ||
Investment Holdings [Line Items] | ||
Marketable securities, less than five years | 41,000 | |
Marketable securities, due from five to ten years | $ 3,000 |
Real Estate Securities - Carryi
Real Estate Securities - Carrying Value of AFS Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | $ 283,284 | $ 304,077 |
Credit reserve | (44,967) | (32,940) |
Unamortized discount, net | (95,718) | (124,255) |
Amortized cost | 142,599 | 146,882 |
Gross unrealized gains | 77,294 | 92,481 |
Gross unrealized losses | (1,047) | (29) |
CECL credit allowance | (388) | 0 |
Carrying Value | 218,458 | 239,334 |
Senior IO Securities | ||
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) |
CECL credit allowance | 0 | |
Carrying Value | 0 | 25,792 |
Mezzanine | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | 2,000 | 13,512 |
Credit reserve | 0 | 0 |
Unamortized discount, net | 0 | (527) |
Amortized cost | 2,000 | 12,985 |
Gross unrealized gains | 14 | 702 |
Gross unrealized losses | 0 | 0 |
CECL credit allowance | 0 | |
Carrying Value | 2,014 | 13,687 |
Subordinate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | 281,284 | 264,234 |
Credit reserve | (44,967) | (32,407) |
Unamortized discount, net | (95,718) | (113,301) |
Amortized cost | 140,599 | 118,526 |
Gross unrealized gains | 77,280 | 81,329 |
Gross unrealized losses | (1,047) | 0 |
CECL credit allowance | (388) | |
Carrying Value | $ 216,444 | $ 199,855 |
Real Estate Securities - Change
Real Estate Securities - Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Credit Reserve | ||
Beginning balance | $ 32,940 | |
Ending Balance | 44,967 | $ 32,940 |
Unamortized Discount, Net | ||
Beginning balance | 124,255 | |
Ending Balance | 95,718 | 124,255 |
Residential | ||
Credit Reserve | ||
Beginning balance | 32,940 | 41,370 |
Amortization of net discount | 0 | 0 |
Realized credit losses | (2,282) | (2,606) |
Acquisitions | 7,248 | 3,712 |
Sales, calls, other | (731) | (9,453) |
Impairments | 0 | 0 |
Transfers to (release of) credit reserves, net | 7,792 | (83) |
Ending Balance | 44,967 | 32,940 |
Unamortized Discount, Net | ||
Beginning balance | 124,255 | 151,200 |
Amortization of net discount | (6,538) | (7,921) |
Realized credit losses | 0 | 0 |
Acquisitions | 2,634 | 1,910 |
Sales, calls, other | (16,841) | (21,017) |
Impairments | 0 | 0 |
Transfers to (release of) credit reserves, net | (7,792) | 83 |
Ending Balance | $ 95,718 | $ 124,255 |
Real Estate Securities - Compon
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Details) - Residential - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Consecutive Months Amortized Cost | $ 9,129 | $ 0 |
Less Than 12 Consecutive Months, Unrealized Losses | (1,047) | 0 |
Less Than 12 Consecutive Months, Fair Value | 7,920 | 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 (Details) - Subordinate Securities | 12 Months Ended |
Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |
Default rate | 0.50% |
Loss severity | 23.00% |
Real Estate Securities - Activi
Real Estate Securities - Activity of Allowance for Credit Losses for Available-for-sale Securities (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |
Beginning balance | $ 0 |
Additions to allowance for credit losses on securities for which credit losses were not previously recorded | 1,864 |
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period | (1,476) |
Allowance on purchased financial assets with credit deterioration | 0 |
Reduction to allowance for securities sold during the period | 0 |
Reduction to allowance for securities we intend to sell or more likely than not will be required to sell | 0 |
Write-offs charged against allowance | 0 |
Recoveries of amounts previously written off | 0 |
Ending balance | 388 |
Cumulative Effect, Period of Adoption, Adjustment | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |
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 | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Gross realized gains | $ 4,635 | $ 17,582 | |
Total Realized Gains on Sales and Calls of AFS Securities, net | 4,640 | 23,821 | $ 27,041 |
Sales | |||
Debt Securities, Available-for-sale [Line Items] | |||
Gross realized gains | 8,779 | 17,582 | 27,127 |
Gross realized losses | (4,144) | 0 | (129) |
Calls | |||
Debt Securities, Available-for-sale [Line Items] | |||
Gross realized gains | $ 5 | $ 6,239 | $ 43 |
Other Investments - Summary of
Other Investments - Summary of Other Investments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Investment [Line Items] | |||
Other Investments | [1] | $ 348,175 | $ 358,130 |
Shared home appreciation options | |||
Investment [Line Items] | |||
Loan held-for-investment, amount | 42,440 | 45,085 | |
Mortgage servicing rights | |||
Investment [Line Items] | |||
Servicing asset, fair value | 8,815 | 42,224 | |
Multifamily securities | |||
Investment [Line Items] | |||
Loan held-for-investment, amount | 0 | 39,802 | |
Other | |||
Investment [Line Items] | |||
Loan held-for-investment, amount | 31,013 | 30,001 | |
Residential Loans | |||
Investment [Line Items] | |||
Servicing asset, fair value | 231,489 | 169,204 | |
Excess MSRs | |||
Investment [Line Items] | |||
Servicing asset, fair value | $ 34,418 | $ 31,814 | |
[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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Other Investments - Additional
Other Investments - Additional Information (Details) | 3 Months Ended | 12 Months Ended | ||
Sep. 30, 2019partnership | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($)partnership | |
Investment [Line Items] | ||||
Number of partnerships consolidated | partnership | 2 | 2 | ||
Commitment to fund partnership | $ 94,000,000 | |||
Equity investment income | 1,037,000 | $ 1,405,000 | $ 618,000 | |
Investment fair value changes, net | (588,438,000) | 35,500,000 | (25,689,000) | |
Interest income | 571,916,000 | 622,281,000 | $ 378,717,000 | |
Light-Renovation Multifamily Loans | ||||
Investment [Line Items] | ||||
Equity investment income | 1,000,000 | 1,000,000 | ||
Carrying amount of equity method investments | 0 | |||
Commitment to fund partnership, funded amount | 0 | |||
Payments to Acquire Retained Interest in Securitized Receivables | 56,000,000 | |||
MSRs | ||||
Investment [Line Items] | ||||
Servicing asset, fair value | 8,815,000 | 42,224,000 | ||
Servicing assets | 2,590,000,000 | 4,350,000,000 | ||
Mortgage Servicing Rights Income Including Market Valuation Changes of MSRs | (10,000,000) | 4,000,000 | ||
Shared home appreciation options | ||||
Investment [Line Items] | ||||
Payments to acquire investments | 47,000,000 | |||
Commitment To Fund Investment | Shared home appreciation options | ||||
Investment [Line Items] | ||||
Investment fair value changes, net | (2,000,000) | 1,000,000 | ||
Residential Loans | ||||
Investment [Line Items] | ||||
Servicing asset, fair value | 231,489,000 | 169,204,000 | ||
Servicing asset, unpaid principal balance on underlying loan | 9,140,000,000 | |||
Excess MSRs | ||||
Investment [Line Items] | ||||
Servicing asset, fair value | 34,418,000 | 31,814,000 | ||
Investment fair value changes, net | (8,000,000) | (3,000,000) | ||
Interest income | 12,000,000 | 8,000,000 | ||
Servicer advance financing | ||||
Investment [Line Items] | ||||
Collateral amounts | 218,000,000 | |||
Equity investment income | 11,000,000 | 11,000,000 | ||
Investment fair value changes, net | $ (9,000,000) | $ 3,000,000 |
Other Investments - Servicing A
Other Investments - Servicing Advance Investments (Details) - Residential Loans - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Investment [Line Items] | ||
Principal and interest advances | $ 110,923 | $ 15,081 |
Escrow advances (taxes and insurance advances) | 79,279 | 96,732 |
Corporate advances | 27,454 | 39,769 |
Total Servicer Advance Receivables | $ 217,656 | $ 151,582 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Details) - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Fair Value | $ 37,166,000 | $ (127,723,000) |
Notional Amount | 11,346,407,000 | 13,589,356,000 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (16,072,000) | (163,424,000) |
Notional Amount | 3,582,153,000 | 6,929,494,000 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 53,238,000 | 35,701,000 |
Notional Amount | 7,764,254,000 | 6,659,862,000 |
Interest rate agreements | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | 0 | (97,235,000) |
Notional Amount | 0 | 2,314,300,000 |
Interest rate agreements | Derivative Liabilities | Cash Flow Hedging | ||
Derivative [Line Items] | ||
Fair Value | 0 | (51,530,000) |
Notional Amount | 0 | 139,500,000 |
Interest rate agreements | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 224,000 | 17,095,000 |
Notional Amount | 42,000,000 | 1,399,000,000 |
TBAs | ||
Derivative [Line Items] | ||
Notional Amount | 6,630,000,000 | 6,610,000,000 |
TBAs | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (15,495,000) | (13,359,000) |
Notional Amount | 3,105,000,000 | 4,160,000,000 |
TBAs | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 18,260,000 | 5,755,000 |
Notional Amount | 3,520,000,000 | 2,445,000,000 |
Futures | ||
Derivative [Line Items] | ||
Notional Amount | 226,000,000 | |
Futures | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | 0 | (10,000) |
Notional Amount | 0 | 12,300,000 |
Futures | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 0 | 777,000 |
Notional Amount | 0 | 213,700,000 |
Swaptions | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 19,727,000 | 1,925,000 |
Notional Amount | 1,585,000,000 | 1,065,000,000 |
Loan purchase and interest rate lock commitments | Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (577,000) | (1,290,000) |
Notional Amount | 477,153,000 | 303,394,000 |
Loan purchase and interest rate lock commitments | Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 15,027,000 | 10,149,000 |
Notional Amount | $ 2,617,254,000 | $ 1,537,162,000 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Additional Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative [Line Items] | |||||
Notional amount | $ 11,346,407,000 | $ 13,589,356,000 | |||
Stockholders' equity attributable to parent | 1,110,899,000 | 1,827,231,000 | $ 1,348,794,000 | $ 1,212,287,000 | |
Interest Expense [Member] | |||||
Derivative [Line Items] | |||||
Expected amortization of realized losses related to terminated cash flow hedges | 4,000,000 | ||||
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | |||||
Derivative [Line Items] | |||||
Stockholders' equity attributable to parent | (80,557,000) | (50,939,000) | (34,045,000) | ||
Mortgage Banking Activities, Net | |||||
Derivative [Line Items] | |||||
Changes in fair value of assets | 66,482,000 | 69,326,000 | 57,000,000 | ||
LPCs, IRLCs, and FSCs | Mortgage Banking Activities, Net | |||||
Derivative [Line Items] | |||||
Changes in fair value of assets | 57,000,000 | 62,000,000 | (1,000,000) | ||
Interest Rate Contract | |||||
Derivative [Line Items] | |||||
Notional amount | 1,630,000,000 | 4,780,000,000 | |||
TBAs | |||||
Derivative [Line Items] | |||||
Notional amount | 6,630,000,000 | 6,610,000,000 | |||
Futures | |||||
Derivative [Line Items] | |||||
Notional amount | 226,000,000 | ||||
Residential and Commercial Loans | |||||
Derivative [Line Items] | |||||
Valuation adjustments on derivatives | (93,000,000) | (134,000,000) | 40,000,000 | ||
Interest rate agreements | Cash Flow Hedging | |||||
Derivative [Line Items] | |||||
Valuation adjustments on derivatives | $ (33,000,000) | $ (17,000,000) | $ 9,000,000 | ||
Derivative payment | $ 84,000,000 |
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 | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | ||||||
Total interest expense | $ (448,005) | $ (479,808) | $ (239,039) | |||
Cash Flow Hedging | Interest Rate Contract | ||||||
Derivative [Line Items] | ||||||
Net interest expense on cash flows hedges | $ (860) | $ (2,847) | $ (3,228) | |||
Realized net losses reclassified from other comprehensive income | (3,188) | 0 | 0 | |||
Total interest expense | $ (4,048) | $ (2,847) | $ (3,228) |
Other Assets and Liabilities -
Other Assets and Liabilities - Summary of Other Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Investment receivable | $ 43,176 | $ 23,330 | |
Accrued interest receivable | 39,445 | 71,058 | |
Operating lease right-of-use assets | 15,012 | 11,866 | |
REO | 8,413 | 9,462 | |
FHLBC stock | 5,000 | 43,393 | |
Margin receivable | 4,758 | 209,776 | |
Fixed assets and leasehold improvements | 4,203 | 4,901 | |
Pledged collateral | 1,177 | 32,945 | |
Other | 9,404 | 12,590 | |
Total Other Assets | [1] | 130,588 | $ 419,321 |
Fixed assets basis | 11,000 | ||
Fixed assets, accumulated depreciation | $ 6,000 | ||
[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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 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 | Dec. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||
Accrued interest payable | $ 34,858 | $ 60,655 | ||
Accrued compensation | 24,393 | 33,888 | ||
Operating lease liabilities | 16,687 | 13,443 | ||
Margin payable | 14,728 | 1,700 | ||
Deferred consideration | 14,579 | 0 | ||
Guarantee obligations | 10,039 | 14,009 | ||
Payable to minority partner | 16,941 | 13,189 | ||
Current accounts payable | 6,455 | 5,468 | ||
Bridge loan holdbacks | 5,708 | 10,682 | ||
Accrued taxes payable | 5,614 | 5,268 | ||
Residential loan and MSR repurchase reserve | 8,631 | 4,268 | ||
Legal reserve | $ 2,000 | |||
Accrued operating expenses | 5,509 | 4,358 | ||
Contingent consideration | 0 | 28,484 | ||
Other | 15,198 | 11,481 | ||
Accrued Liabilities | [1] | $ 179,340 | $ 206,893 | |
[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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities _3
Other Assets and Liabilities - REO Information (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Sep. 30, 2019partnership | Dec. 31, 2020USD ($)asset | Dec. 31, 2019USD ($)asset | Dec. 31, 2018partnership | |
Other Real Estate [Roll Forward] | ||||
Balance at beginning of period | $ 9,462 | |||
Transfers to REO | 14,119 | |||
Liquidations | (14,622) | |||
Changes in fair value, net | (546) | |||
Balance at End of Period | $ 8,413 | $ 9,462 | ||
Number of REO properties recorded on balance sheet | asset | 17 | 13 | ||
Number of partnerships consolidated | partnership | 2 | 2 | ||
Payable to minority partner | $ 16,941 | $ 13,189 | ||
Co-investors gains (losses) | (200) | 1,000 | ||
Legacy Sequoia | ||||
Other Real Estate [Roll Forward] | ||||
Balance at beginning of period | 460 | |||
Transfers to REO | 532 | |||
Liquidations | (243) | |||
Changes in fair value, net | (111) | |||
Balance at End of Period | $ 638 | $ 460 | ||
Number of REO properties recorded on balance sheet | asset | 3 | 4 | ||
Freddie Mac SLST | ||||
Other Real Estate [Roll Forward] | ||||
Balance at beginning of period | $ 445 | |||
Transfers to REO | 1,319 | |||
Liquidations | (1,178) | |||
Changes in fair value, net | 60 | |||
Balance at End of Period | $ 646 | $ 445 | ||
Number of REO properties recorded on balance sheet | asset | 9 | 3 | ||
CAFL | ||||
Other Real Estate [Roll Forward] | ||||
Balance at beginning of period | $ 1,670 | |||
Transfers to REO | 6,157 | |||
Liquidations | (4,371) | |||
Changes in fair value, net | (927) | |||
Balance at End of Period | $ 2,529 | $ 1,670 | ||
Number of REO properties recorded on balance sheet | asset | 2 | 2 | ||
Bridge Loan | ||||
Other Real Estate [Roll Forward] | ||||
Balance at beginning of period | $ 6,887 | |||
Transfers to REO | 6,111 | |||
Liquidations | (8,830) | |||
Changes in fair value, net | 432 | |||
Balance at End of Period | $ 4,600 | $ 6,887 | ||
Number of REO properties recorded on balance sheet | asset | 3 | 4 | ||
Debt Securities | ||||
Other Real Estate [Roll Forward] | ||||
Liquidations | $ (1,000) |
Short-Term Debt - Outstanding B
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Details) | 12 Months Ended | ||
Dec. 31, 2020USD ($)facility | Dec. 31, 2019USD ($)facility | ||
Short-term Debt [Line Items] | |||
Outstanding Balance | [1] | $ 522,609,000 | $ 2,329,145,000 |
Line of Credit | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 9 | 22 | |
Outstanding Balance | $ 314,234,000 | $ 2,176,591,000 | |
Line of Credit | Residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 4 | 4 | |
Outstanding Balance | $ 137,269,000 | $ 185,894,000 | |
Limit | $ 1,300,000,000 | $ 1,425,000,000 | |
Weighted Average Interest Rate | 2.45% | 3.23% | |
Weighted Average Days Until Maturity | 268 days | 69 days | |
Line of Credit | Business purpose loans | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 2 | 8 | |
Outstanding Balance | $ 99,190,000 | $ 814,118,000 | |
Limit | $ 500,000,000 | $ 1,475,000,000 | |
Weighted Average Interest Rate | 3.37% | 4.11% | |
Weighted Average Days Until Maturity | 521 days | 489 days | |
Line of Credit | Real estate securities repo | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 3 | 10 | |
Outstanding Balance | $ 77,775,000 | $ 1,176,579,000 | |
Limit | $ 0 | $ 0 | |
Weighted Average Interest Rate | 2.24% | 2.94% | |
Weighted Average Days Until Maturity | 36 days | 23 days | |
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 1 | 1 | |
Outstanding Balance | $ 208,375,000 | $ 152,554,000 | |
Limit | $ 335,000,000 | $ 400,000,000 | |
Weighted Average Interest Rate | 1.95% | 3.56% | |
Weighted Average Days Until Maturity | 334 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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 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 | Dec. 31, 2020 | Dec. 31, 2019 |
Short-term Debt [Line Items] | ||
Total real estate securities owned | $ 114,553 | $ 1,491,986 |
Other assets | 315 | 16,252 |
Total Collateral for Short-Term Debt | 398,252 | 2,698,366 |
On balance sheet | ||
Short-term Debt [Line Items] | ||
On balance sheet | 23,193 | 618,881 |
Sequoia Choice | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 63,105 | 111,341 |
Freddie Mac SLST | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 0 | 381,640 |
Freddie Mac K-Series | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 28,255 | 252,284 |
CAFL | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 0 | 127,840 |
Cash Collateral | ||
Short-term Debt [Line Items] | ||
Other assets | 300 | |
Residential loans, held-for-sale, at fair value | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | 156,355 | 201,949 |
Business Purpose Loans | ||
Short-term Debt [Line Items] | ||
Loan pledged as collateral | $ 127,029 | $ 988,179 |
Short-Term Debt - Additional In
Short-Term Debt - Additional Information (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Short-term Debt [Line Items] | ||
Average balance of short-term debt | $ 1,190,000,000 | $ 1,970,000,000 |
Accrued interest payable on short-term debt | 1,000,000 | 6,000,000 |
Committed line of credit | 10,000,000 | |
Collateral at fair value | 2,000,000 | |
Committed line of credit with financial institutions, outstanding | 0 | $ 0 |
Servicer advance financing | ||
Short-term Debt [Line Items] | ||
Accrued interest payable on short-term debt | 100,000 | |
Unamortized capitalized commitment costs | 1,000,000 | |
Residential Loans | ||
Short-term Debt [Line Items] | ||
Servicing asset at fair value, amount | $ 251,000,000 |
Short-Term Debt - Remaining Mat
Short-Term Debt - Remaining Maturities of Short Term Debt (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Short-term Debt [Line Items] | |||
Short-term debt | [1] | $ 522,609 | $ 2,329,145 |
Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 44,373 | ||
31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 52,121 | ||
Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 426,115 | ||
Line of Credit | |||
Short-term Debt [Line Items] | |||
Short-term debt | 314,234 | 2,176,591 | |
Line of Credit | Held-for-sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 137,269 | 185,894 | |
Line of Credit | Business Purpose Loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 99,190 | ||
Line of Credit | Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 77,775 | ||
Line of Credit | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 44,373 | ||
Line of Credit | Within 30 days | Held-for-sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 3,918 | ||
Line of Credit | Within 30 days | Business Purpose Loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Line of Credit | Within 30 days | Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 40,455 | ||
Line of Credit | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 52,121 | ||
Line of Credit | 31 to 90 days | Held-for-sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 14,801 | ||
Line of Credit | 31 to 90 days | Business Purpose Loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Line of Credit | 31 to 90 days | Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 37,320 | ||
Line of Credit | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 217,740 | ||
Line of Credit | Over 90 days | Held-for-sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 118,550 | ||
Line of Credit | Over 90 days | Business Purpose Loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 99,190 | ||
Line of Credit | Over 90 days | Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Short-term debt | 208,375 | $ 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 | $ 208,375 | ||
[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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issue_2
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Details) - Asset-backed securities issued | Dec. 31, 2020USD ($)series | Dec. 31, 2019USD ($)series |
Debt Instrument [Line Items] | ||
Long-term debt | $ 7,100,661,000 | $ 10,515,475,000 |
Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Long-term debt | 257,778,000 | 197,110,000 |
Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | 6,637,905,000 | 9,962,253,000 |
Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 204,978,000 | 356,112,000 |
Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ 282,326,000 | $ 402,465,000 |
Number of series | series | 20 | 20 |
Legacy Sequoia | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ (47,805,000) | $ (18,873,000) |
Legacy Sequoia | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 0.35% | 1.94% |
Legacy Sequoia | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 1.55% | 3.26% |
Legacy Sequoia | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 329,039,000 | $ 420,056,000 |
Legacy Sequoia | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 1,092,000 | 1,282,000 |
Sequoia Choice | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ 1,347,357,000 | $ 2,037,198,000 |
Number of series | series | 10 | 9 |
Sequoia Choice | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ 32,809,000 | $ 40,965,000 |
Sequoia Choice | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 2.25% | 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 | $ 1,309,957,000 | $ 1,979,719,000 |
Sequoia Choice | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 4,591,000 | 16,514,000 |
Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ 1,993,919,000 | $ 1,918,322,000 |
Range of weighted average interest rates, by series | 3.50% | |
Number of series | series | 3 | 2 |
Debt instrument, face amount | $ 205,000,000 | |
Freddie Mac SLST | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ 104,439,000 | $ 45,349,000 |
Freddie Mac SLST | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 3.50% | |
Freddie Mac SLST | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 4.75% | |
Freddie Mac SLST | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 1,866,145,000 | 1,842,682,000 |
Freddie Mac SLST | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 23,335,000 | 30,291,000 |
Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ 463,966,000 | $ 4,156,239,000 |
Range of weighted average interest rates, by series | 3.39% | |
Number of series | series | 1 | 5 |
Freddie Mac K-Series | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ 34,601,000 | $ 93,559,000 |
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 | 416,339,000 | $ 3,844,789,000 |
Freddie Mac K-Series | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 13,026,000 | 217,891,000 |
CAFL | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ 3,013,093,000 | $ 2,001,251,000 |
Number of series | series | 14 | 10 |
CAFL | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Long-term debt | $ 133,734,000 | $ 36,110,000 |
CAFL | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 2.68% | 3.25% |
CAFL | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 5.42% | 5.36% |
CAFL | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 2,716,425,000 | $ 1,875,007,000 |
CAFL | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | $ 162,934,000 | $ 90,134,000 |
Asset-Backed Securities Issue_3
Asset-Backed Securities Issued - Additional Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |
Dec. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | |||
VIE, ownership interest rate | 80.00% | ||
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
Amortized cost | $ 210,000,000 | $ 210,000,000 | |
Asset-backed Securities | Variable Interest Entity, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
VIE, ownership interest rate | 100.00% | ||
Debt instrument, face amount | $ 200,000,000 | 200,000,000 | |
Debt discount | $ 4,000,000 | $ 4,000,000 | |
Debt instrument interest rate | 4.75% | 4.75% | |
Asset-backed Securities | Freddie Mac SLST | |||
Debt Instrument [Line Items] | |||
Debt instrument, face amount | $ 205,000,000 | $ 205,000,000 | |
Contractual maturities of over five years | Asset-backed Securities | |||
Debt Instrument [Line Items] | |||
Contractual maturities of ABS (in years) | 5 years |
Asset-Backed Securities Issue_4
Asset-Backed Securities Issued - Accrued Interest Payable (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Amortization of deferred ABS issuance costs | $ 21,793 | $ 33,686 |
Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
Amortization of deferred ABS issuance costs | 5,656 | 5,374 |
Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
Amortization of deferred ABS issuance costs | 1,177 | 12,887 |
CAFL | ||
Debt Instrument [Line Items] | ||
Amortization of deferred ABS issuance costs | 10,122 | 7,298 |
Asset-backed securities issued | Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
Amortization of deferred ABS issuance costs | 141 | 395 |
Asset-backed securities issued | Sequoia Choice | ||
Debt Instrument [Line Items] | ||
Amortization of deferred ABS issuance costs | $ 4,697 | $ 7,732 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Details) | Dec. 31, 2019USD ($) | Sep. 30, 2019USD ($) | Jun. 30, 2018USD ($)$ / shares | Aug. 31, 2017USD ($) | Jan. 31, 2016 | Sep. 30, 2020USD ($) | Jun. 30, 2020USD ($) | Mar. 31, 2020USD ($) | Dec. 31, 2020USD ($)$ / shares |
Debt Instrument [Line Items] | |||||||||
FHLB transition period | 5 years | ||||||||
Repayments of FHLBC borrowings | $ 2,000,000,000 | ||||||||
Federal home loan bank stock | $ 43,393,000 | 5,000,000 | |||||||
Accrued interest payable | 6,000,000 | 1,000,000 | |||||||
Accrued interest payable | $ 60,655,000 | 34,858,000 | |||||||
Convertible notes | Exchangeable Senior Notes Due 2025 | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt instrument interest rate | 5.75% | ||||||||
Unamortized deferred issuance costs | 4,000,000 | ||||||||
Convertible notes | $ 201,000,000 | $ 172,000,000 | |||||||
Net proceeds from issuance of convertible debt | $ 195,000,000 | ||||||||
Interest expense yield | 6.30% | ||||||||
Convertible debt, conversion ratio | 0.0552644 | ||||||||
Convertible senior notes conversion per share (in dollars per share) | $ / shares | $ 18.09 | ||||||||
Accrued interest payable | $ 2,000,000 | ||||||||
Repurchased debt instrument, face amount | $ 29,000,000 | ||||||||
Gain (loss) on extinguishment of debt | 6,000,000 | ||||||||
Convertible notes | Senior Notes Due 2024 | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt instrument interest rate | 5.625% | ||||||||
Unamortized deferred issuance costs | 2,000,000 | ||||||||
Convertible notes | $ 200,000,000 | 150,000,000 | |||||||
Net proceeds from issuance of convertible debt | $ 194,000,000 | ||||||||
Interest expense yield | 6.20% | ||||||||
Convertible debt, conversion ratio | 0.0548317 | ||||||||
Convertible senior notes conversion per share (in dollars per share) | $ / shares | $ 18.24 | ||||||||
Accrued interest payable | 4,000,000 | ||||||||
Repurchased debt instrument, face amount | 50,000,000 | ||||||||
Gain (loss) on extinguishment of debt | 9,000,000 | ||||||||
Percent of par at issuance | 99.50% | ||||||||
Debt discount | 500,000 | ||||||||
Convertible notes | Senior Notes Due 2023 | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt instrument interest rate | 4.75% | ||||||||
Unamortized deferred issuance costs | 3,000,000 | ||||||||
Convertible notes | $ 245,000,000 | $ 199,000,000 | |||||||
Net proceeds from issuance of convertible debt | $ 238,000,000 | ||||||||
Interest expense yield | 5.30% | ||||||||
Convertible debt, conversion ratio | 0.0544764 | ||||||||
Convertible senior notes conversion per share (in dollars per share) | $ / shares | $ 18.36 | ||||||||
Accrued interest payable | $ 4,000,000 | ||||||||
Repurchased debt instrument, face amount | 46,000,000 | ||||||||
Gain (loss) on extinguishment of debt | 10,000,000 | ||||||||
Trust Preferred Securities | |||||||||
Debt Instrument [Line Items] | |||||||||
Long-term debt, net | $ 100,000,000 | ||||||||
Trust Preferred Securities | LIBOR | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate | 2.25% | ||||||||
Subordinated Notes | |||||||||
Debt Instrument [Line Items] | |||||||||
Long-term debt, net | $ 40,000,000 | ||||||||
Trust Preferred Securities and Subordinated Notes | |||||||||
Debt Instrument [Line Items] | |||||||||
Accrued interest payable | $ 1,000,000 | 1,000,000 | |||||||
Line of Credit | Non-Recourse Business Purpose Loan Financing Facility Two | |||||||||
Debt Instrument [Line Items] | |||||||||
Long-term debt, net | 114,000,000 | ||||||||
Long-term debt, gross | 115,000,000 | ||||||||
Unamortized deferred issuance costs | 1,000,000 | ||||||||
Line of Credit | Non-Recourse Business Purpose Loan Financing Facility Two | LIBOR | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate | 3.85% | ||||||||
Variable rate, floor (as a percent) | 0.50% | ||||||||
Line of Credit | Non-Recourse Business Purpose Loan Financing Facility One | |||||||||
Debt Instrument [Line Items] | |||||||||
Long-term debt, net | 249,000,000 | ||||||||
Long-term debt, gross | 252,000,000 | ||||||||
Unamortized deferred issuance costs | 2,000,000 | ||||||||
Maximum borrowing capacity | 372,000,000 | ||||||||
Line of Credit | Non-Recourse Business Purpose Loan Financing Facility One | Secured Debt [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Maximum borrowing capacity | 197,000,000 | ||||||||
Line of Credit | Non-Recourse Business Purpose Loan Financing Facility One | Revolving Credit Facility [Member] | |||||||||
Debt Instrument [Line Items] | |||||||||
Maximum borrowing capacity | $ 175,000,000 | ||||||||
Line of Credit | Non-Recourse Business Purpose Loan Financing Facility One | LIBOR | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate | 7.50% | ||||||||
Variable rate, floor (as a percent) | 1.50% | ||||||||
Line of Credit | Recourse Business Purpose Loan Financing Facility Through September 2023 | |||||||||
Debt Instrument [Line Items] | |||||||||
Long-term debt, net | 80,000,000 | ||||||||
Long-term debt, gross | 80,000,000 | ||||||||
Unamortized deferred issuance costs | 200,000 | ||||||||
Pledged assets real estate pledged as collateral, at fair value | 106,000,000 | ||||||||
Maximum borrowing capacity | $ 250,000,000 | ||||||||
Line of Credit | Recourse Business Purpose Loan Financing Facility Through September 2023 | LIBOR | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate | 3.00% | ||||||||
Line of Credit | Recourse Business Purpose Loan Financing Facility | |||||||||
Debt Instrument [Line Items] | |||||||||
Long-term debt, net | 51,000,000 | ||||||||
Long-term debt, gross | 52,000,000 | ||||||||
Unamortized deferred issuance costs | 500,000 | ||||||||
Maximum borrowing capacity | $ 350,000,000 | ||||||||
Line of Credit | Recourse Business Purpose Loan Financing Facility | LIBOR | |||||||||
Debt Instrument [Line Items] | |||||||||
Variable rate, floor (as a percent) | 1.00% | ||||||||
Line of Credit | Recourse Business Purpose Loan Financing Facility | LIBOR | Minimum | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate | 3.00% | ||||||||
Line of Credit | Recourse Business Purpose Loan Financing Facility | LIBOR | Maximum | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate | 3.50% | ||||||||
Line of Credit | Recourse Revolving Debt Facility | |||||||||
Debt Instrument [Line Items] | |||||||||
Long-term debt, gross | 0 | ||||||||
Maximum borrowing capacity | $ 50,000,000 | ||||||||
Line of Credit | Recourse Revolving Debt Facility | LIBOR | |||||||||
Debt Instrument [Line Items] | |||||||||
Basis spread on variable rate | 3.00% | ||||||||
Bridge Loan | Non-Recourse Business Purpose Loan Financing Facility Two | |||||||||
Debt Instrument [Line Items] | |||||||||
Pledged assets real estate pledged as collateral, at fair value | 186,000,000 | ||||||||
Bridge Loan | Non-Recourse Business Purpose Loan Financing Facility One | |||||||||
Debt Instrument [Line Items] | |||||||||
Pledged assets real estate pledged as collateral, at fair value | 338,000,000 | ||||||||
Bridge Loan | Recourse Business Purpose Loan Financing Facility | |||||||||
Debt Instrument [Line Items] | |||||||||
Pledged assets real estate pledged as collateral, at fair value | 24,000,000 | ||||||||
Loans Payable [Member] | Non-Recourse Business Purpose Loan Financing Facility One | |||||||||
Debt Instrument [Line Items] | |||||||||
Pledged assets real estate pledged as collateral, at fair value | 21,000,000 | ||||||||
Loans Payable [Member] | Recourse Business Purpose Loan Financing Facility | |||||||||
Debt Instrument [Line Items] | |||||||||
Pledged assets real estate pledged as collateral, at fair value | 49,000,000 | ||||||||
Affiliated Entity | Recourse Subordinate Securities Financing Facilities [Member] | Non-Marginable Debt Repurchase Agreement One | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt instrument interest rate | 4.21% | ||||||||
Long-term debt, net | 177,000,000 | ||||||||
Long-term debt, gross | 178,000,000 | ||||||||
Unamortized deferred issuance costs | 1,000,000 | ||||||||
Affiliated Entity | Recourse Subordinate Securities Financing Facilities [Member] | Non-Marginable Debt Repurchase Agreement Two | |||||||||
Debt Instrument [Line Items] | |||||||||
Debt instrument interest rate | 4.21% | ||||||||
Long-term debt, net | 102,000,000 | ||||||||
Long-term debt, gross | 103,000,000 | ||||||||
Unamortized deferred issuance costs | 1,000,000 | ||||||||
Affiliated Entity | Sequoia Choice | Recourse Subordinate Securities Financing Facilities [Member] | Non-Marginable Debt Repurchase Agreement One | |||||||||
Debt Instrument [Line Items] | |||||||||
Pledged assets real estate pledged as collateral, at fair value | 249,000,000 | ||||||||
Affiliated Entity | CAFL | Recourse Subordinate Securities Financing Facilities [Member] | Non-Marginable Debt Repurchase Agreement Two | |||||||||
Debt Instrument [Line Items] | |||||||||
Pledged assets real estate pledged as collateral, at fair value | 114,000,000 | ||||||||
FHLB Chicago | FHLB Subsidiary | |||||||||
Debt Instrument [Line Items] | |||||||||
Outstanding FHLB advances | $ 2,000,000,000 | $ 1,000,000 | |||||||
Weighted average interest rate | 1.88% | 0.30% | |||||||
Weighted average maturity (in years) | 6 years | ||||||||
FHLB Chicago | Redwood | Held-for sale residential loans | Restricted cash | |||||||||
Debt Instrument [Line Items] | |||||||||
Residential mortgage loans securing FHLB advances | $ 1,000,000 |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Details) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||
May 31, 2020USD ($) | Mar. 31, 2020USD ($) | Sep. 30, 2019partnership | Sep. 30, 2020USD ($) | Dec. 31, 2020USD ($)leaseloanrepurchase_request | Dec. 31, 2019USD ($)repurchase_requestloan | Dec. 31, 2018USD ($)loan | Mar. 01, 2019USD ($) | May 31, 2018USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | ||
Loss Contingencies [Line Items] | ||||||||||||
Lessee, number of leases | lease | 8 | |||||||||||
Present value of remaining lease payments | $ 19,925 | |||||||||||
Operating lease expense | 4,000 | $ 3,000 | $ 2,000 | |||||||||
Unamortized leasehold improvements | 3,000 | |||||||||||
Leasehold amortization expense | $ 500 | 400 | 200 | |||||||||
Number of new leases | lease | 4 | |||||||||||
Lease liability | $ 16,687 | $ 13,443 | ||||||||||
Operating Lease, Liability, Statement of Financial Position [Extensible List] | us-gaap:AccountsPayableAndAccruedLiabilitiesCurrentAndNoncurrent | us-gaap:AccountsPayableAndAccruedLiabilitiesCurrentAndNoncurrent | ||||||||||
Operating lease right-of-use assets | $ 15,012 | $ 11,866 | ||||||||||
Weighted average remaining lease term | 7 years | |||||||||||
Discount rate | 4.90% | |||||||||||
Derivative liabilities | [1] | $ 16,072 | 163,424 | |||||||||
Number of partnerships, committed to fund | partnership | 2 | |||||||||||
Contingent consideration | 0 | 28,484 | ||||||||||
Risk share income | 4,367 | 3,522 | $ 3,613 | |||||||||
Principal amount outstanding on loans securitized | 172,748 | 524,928 | ||||||||||
Guarantee obligations | 10,039 | 14,009 | ||||||||||
Guarantee obligation, credit reserve | 5,000 | |||||||||||
SPE, assets | 46,000 | 48,000 | ||||||||||
SPE, liabilities | 10,000 | 14,000 | ||||||||||
Residential loan and MSR repurchase reserve | $ 8,631 | $ 4,268 | ||||||||||
Residential loans repurchase requests | repurchase_request | 10 | 15 | ||||||||||
Residential loans, number of loans repurchased | loan | 1 | 0 | 2 | |||||||||
Residential loans repurchase provision (reversal) | $ 4,000 | $ 100 | $ 700 | |||||||||
Residential loans repurchased during period | 100 | 0 | 0 | |||||||||
Aggregate amount of loss contingency reserves | $ 2,000 | |||||||||||
Damages sought | $ 2,000 | |||||||||||
Residential Loan Seller Demands | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Expenses from litigation recorded | 10,000 | |||||||||||
Aggregate amount of accrual | $ 2,500 | |||||||||||
Residential Loans | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Principal amount outstanding on loans securitized | 172,748 | 525,069 | ||||||||||
Financing Receivables, Equal to Greater than 90 Days Past Due | Residential Loans | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Loans past due | 1,882 | 747 | ||||||||||
Other Income | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Risk share income | 4,000 | 4,000 | 4,000 | |||||||||
Mortgage Banking And Investment Activities | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Market valuation changes in fair value of guarantee asset | 1,000 | $ 200 | $ 400 | |||||||||
Guarantee Obligations | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Original principal balance of loans sold subject to risk sharing agreement | $ 3,190,000 | $ 3,190,000 | ||||||||||
Potential future payments on risk sharing agreements | 44,000 | |||||||||||
Principal amount outstanding on loans securitized | $ 938,000 | |||||||||||
FICO credit score | 757 | |||||||||||
Loan to value ratio | 75.00% | |||||||||||
Guarantee Obligations | Residential Loans | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Loans held as assets amount in foreclosure | $ 200 | |||||||||||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Loans past due | 39,000 | |||||||||||
Commitment To Fund Residential Bridge Loan | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Commitments to fund temporary advances | 216,000 | |||||||||||
Derivative liabilities | 2,000 | |||||||||||
Commitment To Fund Temporary Advances On Residential Bridge Loans | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Commitments to fund temporary advances | 8,000 | |||||||||||
Shared home appreciation options | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Payments to acquire investments | 47,000 | |||||||||||
5 Arches, LLC | ||||||||||||
Loss Contingencies [Line Items] | ||||||||||||
Contingent consideration maximum amount | $ 27,000 | $ 29,000 | ||||||||||
Cash payment for contingent consideration | $ 11,000 | |||||||||||
Restricted stock awards | $ 3,000 | |||||||||||
Contingent consideration | $ 15,000 | $ 24,621 | ||||||||||
[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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 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 | Dec. 31, 2020 | Dec. 31, 2019 |
Leases [Abstract] | ||
2021 | $ 3,469 | |
2022 | 3,301 | |
2023 | 2,813 | |
2024 | 2,231 | |
2025 | 1,983 | |
2026 and thereafter | 6,128 | |
Total Lease Commitments | 19,925 | |
Less: Imputed interest | (3,238) | |
Operating Lease Liabilities | $ 16,687 | $ 13,443 |
Equity - Changes to Accumulated
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Balance at beginning of period | $ 1,827,231 | $ 1,348,794 | $ 1,212,287 |
Total other comprehensive loss | (45,734) | (19,784) | (23,951) |
Balance at End of Period | 1,110,899 | 1,827,231 | 1,348,794 |
Net Unrealized Gains on Available-for-Sale Securities | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Balance at beginning of period | 92,452 | 95,342 | |
Other comprehensive (loss) income before reclassifications | (3,951) | 17,077 | |
Amounts reclassified from other accumulated comprehensive income | (12,165) | (19,967) | |
Total other comprehensive loss | (16,116) | (2,890) | |
Balance at End of Period | 76,336 | 92,452 | 95,342 |
Accumulated Gain (Loss), Net, Cash Flow Hedge, Parent | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Balance at beginning of period | (50,939) | (34,045) | |
Other comprehensive (loss) income before reclassifications | (32,806) | (16,894) | |
Amounts reclassified from other accumulated comprehensive income | 3,188 | 0 | |
Total other comprehensive loss | (29,618) | (16,894) | |
Balance at End of Period | $ (80,557) | $ (50,939) | $ (34,045) |
Equity - Reclassifications out
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Investment fair value changes, net | $ (588,438) | $ 35,500 | $ (25,689) |
Realized gains, net | (30,424) | (23,821) | (27,041) |
Net income before provision for income taxes | (586,455) | 176,623 | 130,688 |
Interest expense | 448,005 | 479,808 | $ 239,039 |
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 | 388 | 0 | |
Realized gains, net | (12,553) | (19,967) | |
Net income before provision for income taxes | (12,165) | (19,967) | |
Reclassification out of Accumulated Other Comprehensive Income | Accumulated Gain (Loss), Net, Cash Flow Hedge, Parent | |||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Net income before provision for income taxes | 3,188 | 0 | |
Interest expense | $ 3,188 | $ 0 |
Equity - Additional Information
Equity - Additional Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||
Dec. 31, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Jun. 30, 2020 | Feb. 28, 2018 | |
Stockholders Equity Note [Line Items] | ||||||
Net proceeds from issuance of common stock | $ 5,881,000 | $ 450,710,000 | $ 142,601,000 | |||
Direct stock purchase and dividend reinvestment plan | $ 6,307,000 | 1,706,000 | ||||
Amount of shares repurchased during period | $ 21,659,000 | $ 15,544,000 | ||||
Share Repurchase Plan, February 2018 | ||||||
Stockholders Equity Note [Line Items] | ||||||
Stock repurchase program, authorized amount | $ 100,000,000 | |||||
Shares repurchased during period (in shares) | 3,047,335 | |||||
Amount of shares repurchased during period | $ 22,000,000 | |||||
Stock repurchase program, remaining authorized repurchase amount | 78,000,000 | $ 78,000,000 | ||||
Convertible debt securities | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share | 31,306,089 | |||||
Equity awards | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share | 12,622 | 10,051 | 7,230 | |||
ATM Offerings | Common Stock | ||||||
Stockholders Equity Note [Line Items] | ||||||
Aggregate value of common stock issuable | $ 150,000,000 | $ 175,000,000 | ||||
Issuance of common stock (in shares) | 129,500 | 2,259,758 | ||||
Net proceeds from issuance of common stock | $ 2,000,000 | $ 36,000,000 | ||||
Outstanding for future offerings, amount | $ 110,000,000 | $ 110,000,000 | ||||
Common Stock | ||||||
Stockholders Equity Note [Line Items] | ||||||
Issuance of common stock (in shares) | 350,088 | 28,724,645 | 8,738,319 | |||
Direct stock purchase and dividend reinvestment plan (in shares) | 0 | 399,838 | 113,004 | |||
Direct stock purchase and dividend reinvestment plan | $ 4,000 | $ 1,000 | ||||
Shares repurchased during period (in shares) | 3,047,335 | 1,040,829 | ||||
Amount of shares repurchased during period | $ 30,000 | $ 10,000 |
Equity - Basic and Diluted Earn
Equity - Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Per share data: | |||
Net (loss) income attributable to Redwood | $ (581,847) | $ 169,183 | $ 119,600 |
Less: Dividends and undistributed earnings allocated to participating securities | (1,990) | (4,797) | (3,754) |
Net (loss) income allocated to common shareholders | $ (583,837) | $ 164,386 | $ 115,846 |
Basic weighted average common shares outstanding (in shares) | 113,935,605 | 101,120,744 | 78,724,912 |
Basic earnings per common share (in dollars per share) | $ (5.12) | $ 1.63 | $ 1.47 |
Less: Dividends and undistributed earnings allocated to participating securities | $ (1,990) | $ (5,273) | $ (4,283) |
Adjust for interest expense and gain on extinguishment of convertible notes for the period, net of tax | 0 | 36,212 | 32,653 |
Net (loss) income allocated to common shareholders | $ (583,837) | $ 200,122 | $ 147,970 |
Weighted average common shares outstanding (in shares) | 113,935,605 | 101,147,225 | 78,724,912 |
Net effect of dilutive equity awards (in shares) | 0 | 251,100 | 189,120 |
Net effect of assumed convertible notes conversion to common shares (in shares) | 0 | 35,382,269 | 31,113,738 |
Diluted weighted average common shares outstanding (in shares) | 113,935,605 | 136,780,594 | 110,027,770 |
Diluted earnings per common share (in dollars per share) | $ (5.12) | $ 1.46 | $ 1.34 |
Equity Compensation Plans - Add
Equity Compensation Plans - Additional Information (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | 12 Months Ended | ||||||
Dec. 31, 2020USD ($)$ / sharesshares | May 31, 2020 | Dec. 31, 2018$ / shares | May 31, 2018executive$ / sharesshares | Dec. 31, 2019USD ($)$ / sharesshares | Dec. 31, 2018$ / sharesshares | Dec. 31, 2020USD ($)$ / sharesshares | Dec. 31, 2019USD ($)$ / sharesshares | Dec. 31, 2018USD ($)$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Number of additional shares authorized | 200,000 | ||||||||
Shares of common stock available for grant under Redwood's Incentive Plan (in shares) | 99,281 | 99,281 | |||||||
Unrecognized compensation cost | $ | $ 27,664 | $ 32,328 | $ 27,664 | $ 32,328 | |||||
Long-term incentive award expense | $ | $ 12,439 | $ 13,402 | $ 12,388 | ||||||
Weighted average amortization period remaining for equity awards (in years) | 1 year | ||||||||
Adjustment to stock-based compensation expense | $ | $ 1,000 | ||||||||
Shares of common stock to be purchased in aggregate for all employees (in shares) | 600,000 | 600,000 | |||||||
Number of shares purchased by employees (in shares) | 489,886 | ||||||||
Redwood Incentive Plan | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Number of additional shares authorized | 5,000,000 | ||||||||
Shares of common stock available for grant under Redwood's Incentive Plan (in shares) | 7,957,891 | 3,637,480 | 7,957,891 | 3,637,480 | |||||
Restricted Stock Awards | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Unrecognized compensation cost | $ | $ 1,000 | $ 1,000 | |||||||
Long-term incentive award expense | $ | $ 1,000 | $ 2,000 | $ 2,000 | ||||||
Weighted average amortization period remaining for equity awards (in years) | 1 year | ||||||||
Number of stock awards granted (in shares) | 0 | 0 | 168,537 | ||||||
Number of stock awards forfeited (in shares) | 34,857 | 0 | 7,470 | ||||||
Granted (in dollars per share) | $ / shares | $ 0 | $ 0 | $ 14.71 | ||||||
Number of stock awards vested (in shares) | 102,615 | 118,136 | 83,968 | ||||||
Restricted Stock Awards | Redwood Incentive Plan | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Unrecognized compensation cost | $ | 564 | $ 1,990 | $ 564 | $ 1,990 | |||||
Restricted Stock Units | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Unrecognized compensation cost | $ | 4,000 | 4,000 | |||||||
Long-term incentive award expense | $ | $ 1,000 | $ 1,000 | $ 100 | ||||||
Weighted average amortization period remaining for equity awards (in years) | 2 years | ||||||||
Number of stock awards granted (in shares) | 205,482 | 270,297 | 4,876 | ||||||
Number of stock awards forfeited (in shares) | 130,155 | 0 | 0 | ||||||
Granted (in dollars per share) | $ / shares | $ 16.86 | $ 15.66 | $ 15.38 | ||||||
Number of stock awards vested (in shares) | 68,076 | 0 | 0 | ||||||
Restricted Stock Units | Redwood Incentive Plan | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Unrecognized compensation cost | $ | 3,540 | $ 3,534 | $ 3,540 | $ 3,534 | |||||
Deferred Stock Units | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Unrecognized compensation cost | $ | $ 18,000 | 18,000 | |||||||
Long-term incentive award expense | $ | $ 8,000 | $ 8,000 | $ 8,000 | ||||||
Unvested outstanding stock awards (in units) | 1,599,019 | 1,344,743 | 1,599,019 | 1,344,743 | |||||
Weighted-average grant date fair value of stock awards (in dollars per unit) | $ / shares | $ 13.30 | $ 15.76 | $ 13.30 | $ 15.76 | |||||
Number of stock awards vested (in units) | 1,206,125 | 1,286,063 | 1,206,125 | 1,286,063 | |||||
Number of stock awards granted (in shares) | 1,186,154 | 733,096 | 670,254 | ||||||
Number of stock awards forfeited (in shares) | 291,253 | 19,898 | 0 | ||||||
Granted (in dollars per share) | $ / shares | $ 10.69 | $ 16.06 | $ 15.53 | ||||||
Deferred Stock Units | Redwood Incentive Plan | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Unrecognized compensation cost | $ | $ 17,766 | $ 17,858 | $ 17,766 | $ 17,858 | |||||
Performance Stock Units | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Unrecognized compensation cost | $ | $ 6,000 | 6,000 | |||||||
Long-term incentive award expense | $ | $ 100 | $ 3,000 | $ 3,000 | ||||||
Unvested outstanding stock awards (in units) | 978,735 | 839,070 | 978,735 | 839,070 | |||||
Weighted-average grant date fair value of stock awards (in dollars per unit) | $ / shares | $ 10.42 | $ 17.05 | $ 17.13 | $ 17.05 | $ 10.42 | $ 17.13 | $ 17.05 | ||
Number of stock awards granted (in shares) | 473,845 | 307,938 | 258,078 | ||||||
Number of stock awards forfeited (in shares) | 99,175 | 0 | 0 | ||||||
Share-based compensation, vesting period (in years) | 3 years | ||||||||
BvTSR for tranche (as a percent) | 7.70% | ||||||||
TSR performance period (in years) | 3 years | ||||||||
Performance Stock Units | Executives | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Number of stock awards granted (in shares) | 23,025 | ||||||||
Stock price valuation period | 60 days | ||||||||
Grant date fair value assumptions, volatility rate | 27.00% | ||||||||
Grant date fair value assumptions, risk-free rate | 2.71% | ||||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||||
Granted (in dollars per share) | $ / shares | $ 15.20 | ||||||||
Number of executives granted PSUs in connection with promotions | executive | 2 | ||||||||
Performance Stock Units | Redwood Incentive Plan | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Unrecognized compensation cost | $ | $ 5,794 | $ 8,946 | $ 5,794 | $ 8,946 | |||||
Performance Stock Units | Performance Share Units (PSUs), 2020 | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Grant date fair value (in dollars per share) | $ / shares | $ 10.42 | ||||||||
Grant date fair value assumptions, volatility rate | 54.00% | ||||||||
Grant date fair value assumptions, risk-free rate | 0.18% | ||||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||||
TSR performance period (in years) | 3 years | ||||||||
Performance Stock Units | Performance Share Units (PSUs), 2019 | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Stock price valuation period | 60 days | ||||||||
Grant date fair value (in dollars per share) | $ / shares | $ 17.13 | ||||||||
Grant date fair value assumptions, volatility rate | 15.00% | ||||||||
Grant date fair value assumptions, risk-free rate | 1.68% | ||||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||||
TSR performance period (in years) | 3 years | ||||||||
Performance Stock Units | Performance Share Units (PSUs), 2018 | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Number of stock awards granted (in shares) | 473,845 | 275,831 | 206,034 | ||||||
Vesting percentage if TSR is 25% | 100.00% | ||||||||
Relative increase/decrease in vesting percentage based on TSR | 50.00% | ||||||||
Vesting percentage cap if first 2 steps yield a vesting level greater than 100% | 100.00% | ||||||||
Grant date fair value (in dollars per share) | $ / shares | $ 17.23 | ||||||||
Grant date fair value assumptions, volatility rate | 22.00% | ||||||||
Grant date fair value assumptions, risk-free rate | 2.78% | ||||||||
Grant date fair value assumptions, dividend yield | 0.00% | ||||||||
TSR performance period (in years) | 3 years | ||||||||
Award vesting rights, total share return, percentage | 125.00% | ||||||||
Performance Stock Units | Performance Share Units (PSUs), 2016 | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Number of stock awards vested (in shares) | 222,769 | ||||||||
Performance Stock Units | Performance Share Units (PSUs), 2015 | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Number of stock awards vested (in shares) | 387,937 | ||||||||
Maximum | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Share-based compensation, vesting period (in years) | 4 years | ||||||||
Maximum | Deferred Stock Units | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Weighted average amortization period remaining for equity awards (in years) | 2 years | ||||||||
Maximum | Performance Stock Units | Performance Share Units (PSUs), 2020 | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Vesting percentage | 200.00% | ||||||||
Maximum | Performance Stock Units | Performance Share Units (PSUs), 2018 | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Vesting percentage | 250.00% | ||||||||
First baseline vesting percentage | 200.00% | ||||||||
Equity awards, vesting percentage | 200.00% | ||||||||
Minimum | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Share-based compensation, vesting period (in years) | 3 years | ||||||||
Minimum | Performance Stock Units | Performance Share Units (PSUs), 2020 | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Vesting percentage | 0.00% | ||||||||
Minimum | Performance Stock Units | Performance Share Units (PSUs), 2018 | |||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||
Vesting percentage | 0.00% | ||||||||
First baseline vesting percentage | 0.00% | ||||||||
Equity awards, vesting percentage | 0.00% |
Equity Compensation Plans - Unr
Equity Compensation Plans - Unrecognized Compensation Cost (Details) $ in Thousands | 12 Months Ended |
Dec. 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 | 20,800 |
Performance-based valuation adjustment | (7,352) |
Equity grant forfeitures | (8,075) |
Equity compensation expense | (10,037) |
Unrecognized Compensation Cost at End of Period | 27,664 |
Restricted Stock Awards | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized Compensation Cost at End of Period | 1,000 |
Restricted Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized Compensation Cost at End of Period | 4,000 |
Deferred Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized Compensation Cost at End of Period | 18,000 |
Performance Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized Compensation Cost at End of Period | 6,000 |
Redwood Incentive Plan | 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 | 0 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (531) |
Equity compensation expense | (895) |
Unrecognized Compensation Cost at End of Period | 564 |
Redwood Incentive Plan | 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 | 3,465 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (2,163) |
Equity compensation expense | (1,296) |
Unrecognized Compensation Cost at End of Period | 3,540 |
Redwood Incentive Plan | 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 | 12,261 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (4,733) |
Equity compensation expense | (7,620) |
Unrecognized Compensation Cost at End of Period | 17,766 |
Redwood Incentive Plan | 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 | 4,937 |
Performance-based valuation adjustment | (7,352) |
Equity grant forfeitures | (648) |
Equity compensation expense | (89) |
Unrecognized Compensation Cost at End of Period | 5,794 |
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 | 137 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | 0 |
Equity compensation expense | (137) |
Unrecognized Compensation Cost at End of Period | $ 0 |
Equity Compensation Plans - Res
Equity Compensation Plans - Restricted Stock Activity (Details) - Restricted Stock Awards - $ / shares | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Shares | |||
Beginning of period (in shares) | 216,470 | 334,606 | 257,507 |
Granted (in shares) | 0 | 0 | 168,537 |
Vested (in shares) | (102,615) | (118,136) | (83,968) |
Forfeited (in shares) | (34,857) | 0 | (7,470) |
Balance at End of Period (in shares) | 78,998 | 216,470 | 334,606 |
Weighted Average Grant Date Fair Market Value | |||
Beginning of period (in dollars per share) | $ 14.85 | $ 14.92 | $ 15.23 |
Granted (in dollars per share) | 0 | 0 | 14.71 |
Vested (in dollars per share) | 14.44 | 15.05 | 15.46 |
Forfeited (in dollars per share) | 15.16 | 0 | 15.05 |
Balance at End of Period (in dollars per share) | $ 15.23 | $ 14.85 | $ 14.92 |
Equity Compensation Plans - R_2
Equity Compensation Plans - Restricted Stock Units Activities (Details) - Restricted Stock Units - $ / shares | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Shares | |||
Beginning of period (in shares) | 275,173 | 4,876 | 0 |
Granted (in shares) | 205,482 | 270,297 | 4,876 |
Vested (in shares) | (68,076) | 0 | 0 |
Forfeited (in shares) | (130,155) | 0 | 0 |
Balance at End of Period (in shares) | 282,424 | 275,173 | 4,876 |
Weighted Average Grant Date Fair Market Value | |||
Beginning of period (in dollars per share) | $ 15.65 | $ 15.38 | $ 0 |
Granted (in dollars per share) | 16.86 | 15.66 | 15.38 |
Vested (in dollars per share) | 15.65 | 0 | 0 |
Forfeited (in dollars per share) | 16.60 | 0 | 0 |
Balance at End of Period (in dollars per share) | $ 16.09 | $ 15.65 | $ 15.38 |
Equity Compensation Plans - Def
Equity Compensation Plans - Deferred Stock Units Activity (Details) - Deferred Stock Units - $ / shares | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Units | |||
Beginning of period (in shares) | 2,630,805 | 2,336,720 | 1,878,491 |
Granted (in shares) | 1,186,154 | 733,096 | 670,254 |
Distributions (in shares) | (720,562) | (419,113) | (212,025) |
Forfeited (in shares) | (291,253) | (19,898) | 0 |
Balance at End of Period (in shares) | 2,805,144 | 2,630,805 | 2,336,720 |
Weighted Average Grant Date Fair Market Value | |||
Beginning of period (in dollars per share) | $ 15.66 | $ 15.58 | $ 15.92 |
Granted (in dollars per share) | 10.69 | 16.06 | 15.53 |
Distributions (in dollars per share) | 14.31 | 15.96 | 18.37 |
Forfeited (in dollars per share) | 16.25 | 15.96 | 0 |
Balance at End of Period (in dollars per share) | $ 13.84 | $ 15.66 | $ 15.58 |
Equity Compensation Plans - Sum
Equity Compensation Plans - Summary of Activity Related to ESPP (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Employee Stock Purchase Plan (ESPP) Activity [Roll Forward] | |||
Balance at beginning of period | $ 4 | $ 6 | $ 4 |
Employee purchases | 347 | 524 | 375 |
Cost of common stock issued | (334) | (526) | (373) |
Balance at End of Period | $ 17 | $ 4 | $ 6 |
Equity Compensation Plans - S_2
Equity Compensation Plans - Summary of Activity Related to Executive Deferred Compensation Plan (Details) - Executive Deferred Compensation Plan - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Deferred Compensation Cash-based Arrangements, Liability, Current and Noncurrent [Roll Forward] | |||
Balance at beginning of period | $ 2,454 | $ 2,484 | $ 2,171 |
New deferrals | 726 | 789 | 759 |
Accrued interest | 42 | 68 | 82 |
Withdrawals | (933) | (887) | (528) |
Balance at End of Period | $ 2,289 | $ 2,454 | $ 2,484 |
Mortgage Banking Activities (De
Mortgage Banking Activities (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Net market valuation gains (losses) recorded | $ (230,731) | $ 56,046 | |
Other income | 4,188 | 19,257 | $ 13,070 |
Mortgage Banking Activities, Net | 78,472 | 87,266 | 59,566 |
Residential Mortgage Banking Activities, Net | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Other income | (6,652) | 1,735 | 2,567 |
Mortgage Banking Activities, Net | 3,721 | 47,743 | 59,623 |
Residential Mortgage Banking Activities, Net | Residential loans, held-for-sale 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 | 41,284 | 63,527 | 21,808 |
Residential Mortgage Banking Activities, Net | Trading securities | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | (4,535) | 0 | 0 |
Residential Mortgage Banking Activities, Net | Risk management derivatives, net | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of risk management derivatives | (26,376) | (17,519) | 35,248 |
Business Purpose Mortgage Banking | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Other income | 18,642 | 16,205 | 0 |
Mortgage Banking Activities, Net | 74,751 | 39,523 | (57) |
Business Purpose Mortgage Banking | Risk management derivatives, net | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of risk management derivatives | (21,403) | 1,796 | (510) |
Business Purpose Mortgage Banking | Single-family rental loans, held-for-sale | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | 82,510 | 17,004 | 453 |
Business Purpose Mortgage Banking | Bridge loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Changes in fair value of assets | $ (4,998) | $ 4,518 | $ 0 |
Other Income (Details)
Other Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Other Income and Expenses [Abstract] | |||
MSR (loss) income, net | $ (9,694) | $ 3,521 | $ 7,076 |
Risk share income | 4,367 | 3,522 | 3,613 |
FHLBC capital stock dividend | 1,229 | 2,169 | 1,763 |
Equity investment income | 1,037 | 1,405 | 618 |
5 Arches loan administration fee income | 2,912 | 4,400 | 0 |
Gain on re-measurement of investment in 5 Arches | 0 | 2,441 | 0 |
Other | 4,337 | 1,799 | 0 |
Other Income | $ 4,188 | $ 19,257 | $ 13,070 |
General and Administrative Ex_3
General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses - Components of Operating Expenses (Details) - USD ($) $ in Thousands | Oct. 15, 2019 | Dec. 31, 2020 | Oct. 31, 2019 | Dec. 31, 2020 | Sep. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Goodwill [Line Items] | |||||||||
Fixed compensation expense | $ 46,689 | $ 39,639 | $ 24,445 | ||||||
Variable compensation expense | 14,116 | 21,728 | 14,589 | ||||||
Long-term incentive award expense | 12,439 | 13,402 | 12,388 | ||||||
Acquisition-related equity compensation expense | 4,848 | 1,010 | 0 | ||||||
Systems and consulting | 11,728 | 10,746 | 7,451 | ||||||
Office costs | 7,794 | 6,310 | 4,705 | ||||||
Accounting and legal | 7,928 | 5,450 | 5,529 | ||||||
Corporate costs | 2,829 | 2,351 | 1,955 | ||||||
Other | 6,833 | 8,101 | 4,236 | ||||||
Total General and Administrative Expenses | 115,204 | 108,737 | 75,298 | ||||||
Commissions | 4,321 | 3,833 | 78 | ||||||
Underwriting costs | 4,945 | 4,767 | 5,140 | ||||||
Transfer and holding costs | 1,757 | 1,335 | 2,266 | ||||||
Loan acquisition costs | 11,023 | 9,935 | 7,484 | ||||||
Goodwill impairment expense | $ 89,000 | 88,675 | 0 | 0 | |||||
Amortization of purchase-related intangible assets | 15,925 | 8,696 | 177 | ||||||
Contingent consideration expense | 200 | 3,218 | 0 | ||||||
Other | 3,936 | 1,108 | 19 | ||||||
Total Other Expenses | 108,785 | 13,022 | 196 | ||||||
Total General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses | 235,012 | $ 131,694 | $ 82,978 | ||||||
Variable compensation expense | 5,000 | ||||||||
Settlement in Common Stock | |||||||||
Goodwill [Line Items] | |||||||||
Long-term incentive award expense | 10,000 | ||||||||
Settlement in Cash | |||||||||
Goodwill [Line Items] | |||||||||
Long-term incentive award expense | 2,000 | ||||||||
Cash Based Retention Award | |||||||||
Goodwill [Line Items] | |||||||||
Cash based retention awards granted | $ 8,000 | ||||||||
Cash based retention awards, term | 3 years | 3 years | |||||||
Cash Based Retention Award | Certain Executives and Non-Executive Employees | |||||||||
Goodwill [Line Items] | |||||||||
Cash based retention awards granted | $ 2,000 | ||||||||
Long Term Relative TSR Performance Vesting Cash Awards | |||||||||
Goodwill [Line Items] | |||||||||
Cash based retention awards, service period | 3 years | ||||||||
Cash-Settled Deferred Stock Units | |||||||||
Goodwill [Line Items] | |||||||||
Cash based retention awards granted | $ 2,000 | $ 2,000 | $ 2,000 | ||||||
Cash based retention awards, term | 4 years | ||||||||
Variable compensation expense | $ 2,000 | ||||||||
CoreVest LLC | |||||||||
Goodwill [Line Items] | |||||||||
Acquisition-related equity compensation expense | $ 10,000 | ||||||||
Restricted stock awards (in shares) | 588,260 | ||||||||
Restricted stock awards | $ 10,000 | $ 10,000 | |||||||
Contingent consideration performance term | 2 years |
Taxes - Components of Net Defer
Taxes - Components of Net Deferred Tax Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Deferred Tax Assets | ||
Net operating loss carryforward – state | $ 103,334 | $ 98,554 |
Net capital loss carryforward – state | 23,487 | 0 |
Net operating loss carryforward – federal | 82 | 82 |
Real estate assets | 2,948 | 676 |
Allowances and accruals | 3,324 | 1,930 |
Goodwill and intangible assets | 23,231 | 2,739 |
Other | 1,914 | 1,749 |
Tax effect of unrealized (gains) / losses - OCI | 124 | 0 |
Total Deferred Tax Assets | 158,444 | 105,730 |
Deferred Tax Liabilities | ||
Mortgage Servicing Rights | (2,458) | (13,783) |
Interest rate agreements | (3,867) | (42) |
Total Deferred Tax Liabilities | (6,325) | (13,825) |
Valuation allowance | (151,248) | (97,057) |
Total Deferred Tax Asset (Liability), net of Valuation Allowance | $ 871 | |
Total Deferred Tax Asset (Liability), net of Valuation Allowance | $ (5,152) |
Taxes - Additional Information
Taxes - Additional Information (Details) $ in Millions | Dec. 31, 2020USD ($) |
Federal | |
Income Taxes [Line Items] | |
Estimated operating loss carry forwards | $ 36 |
Federal | Subsidiaries | |
Income Taxes [Line Items] | |
NOL carry forwards | (0.8) |
Federal | Net Operating Losses, Expiring In 2029 | |
Income Taxes [Line Items] | |
NOL carry forwards | (28) |
Federal | Net Operating Losses, Indefinite Carryforward Period | |
Income Taxes [Line Items] | |
NOL carry forwards | (7) |
Federal | Net Operating Losses, Indefinite Carryforward Period | Subsidiaries | |
Income Taxes [Line Items] | |
NOL carry forwards | (0.6) |
Federal | Net Operating Losses, Expiring In 2035 | Subsidiaries | |
Income Taxes [Line Items] | |
NOL carry forwards | (0.2) |
State and Local Jurisdiction | |
Income Taxes [Line Items] | |
NOL carry forwards | $ (1,210) |
Taxes - Provision for (Benefit
Taxes - Provision for (Benefit from) Income Taxes (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Current Provision for Income Taxes | |||
Federal | $ 1,598 | $ 12,036 | $ 11,387 |
State | (182) | 897 | 820 |
Total Current Provision for Income Taxes | 1,416 | 12,933 | 12,207 |
Deferred (Benefit) Provision for Income Taxes | |||
Federal | (6,024) | (3,976) | (1,419) |
State | 0 | (1,517) | 300 |
Total Deferred (Benefit) Provision for Income Taxes | (6,024) | (5,493) | (1,119) |
Total (Benefit From) Provision for Income Taxes | $ (4,608) | $ 7,440 | $ 11,088 |
Taxes - Reconciliation of Statu
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Details) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Income Tax Disclosure [Abstract] | |||
Federal statutory rate | 21.00% | 21.00% | 21.00% |
State statutory rate, net of Federal tax effect | 8.60% | 8.60% | 8.60% |
Differences in taxable (loss) income from GAAP income | (19.60%) | (2.10%) | (1.70%) |
Change in valuation allowance | (9.20%) | (2.20%) | 1.90% |
Dividends paid deduction | 0.00% | (21.10%) | (21.30%) |
Federal statutory rate change | 0 | 0 | 0 |
Effective Tax Rate | 0.80% | 4.20% | 8.50% |
Segment Information - Additiona
Segment Information - Additional Information (Details) | 12 Months Ended |
Dec. 31, 2020segment | |
Segment Reporting [Abstract] | |
Number of operating segments | 3 |
Segment Information - Financial
Segment Information - Financial Information by Segment (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Segment Reporting Information [Line Items] | ||||
Interest income | $ 571,916 | $ 622,281 | $ 378,717 | |
Interest expense | (448,005) | (479,808) | (239,039) | |
Net Interest Income | 123,911 | 142,473 | 139,678 | |
Non-interest income | ||||
Mortgage banking activities, net | 78,472 | 87,266 | 59,566 | |
Investment fair value changes, net | (588,438) | 35,500 | (25,689) | |
Other income | 4,188 | 19,257 | 13,070 | |
Realized gains, net | 30,424 | 23,821 | 27,041 | |
Total non-interest income, net | (475,354) | 165,844 | 73,988 | |
General and administrative expenses | (115,204) | (108,737) | (75,298) | |
Loan acquisition costs | (11,023) | (9,935) | (7,484) | |
Other expenses | (108,785) | (13,022) | (196) | |
Provision for income taxes | 4,608 | (7,440) | (11,088) | |
Net (Loss) Income | (581,847) | 169,183 | 119,600 | |
Non-cash amortization (expense) income, net | (25,324) | (3,361) | 12,379 | |
Other significant non-cash expense: goodwill impairment | $ (89,000) | (88,675) | 0 | 0 |
Operating Segments | Residential Lending | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 150,906 | 268,559 | 245,124 | |
Interest expense | (107,371) | (171,119) | (134,590) | |
Net Interest Income | 43,535 | 97,440 | 110,534 | |
Non-interest income | ||||
Mortgage banking activities, net | 3,721 | 47,743 | 59,623 | |
Investment fair value changes, net | (153,388) | (27,920) | (21,686) | |
Other income | (4,642) | 9,210 | 12,452 | |
Realized gains, net | 2,001 | 8,292 | 7,709 | |
Total non-interest income, net | (152,308) | 37,325 | 58,098 | |
General and administrative expenses | (17,939) | (26,717) | (26,897) | |
Loan acquisition costs | (2,785) | (3,954) | (5,242) | |
Other expenses | (4,114) | 0 | 0 | |
Provision for income taxes | 4,567 | (4,074) | (8,033) | |
Net (Loss) Income | (129,044) | 100,020 | 128,460 | |
Non-cash amortization (expense) income, net | 2,401 | 3,669 | 4,486 | |
Other significant non-cash expense: goodwill impairment | 0 | |||
Operating Segments | Business Purpose Lending | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 218,890 | 54,372 | 4,588 | |
Interest expense | (157,292) | (32,232) | (1,598) | |
Net Interest Income | 61,598 | 22,140 | 2,990 | |
Non-interest income | ||||
Mortgage banking activities, net | 74,751 | 39,523 | (57) | |
Investment fair value changes, net | (81,042) | (6,722) | (29) | |
Other income | 4,651 | 5,852 | 0 | |
Realized gains, net | 0 | 0 | 0 | |
Total non-interest income, net | (1,640) | 38,653 | (86) | |
General and administrative expenses | (39,319) | (25,591) | (1,948) | |
Loan acquisition costs | (7,544) | (5,064) | (649) | |
Other expenses | (104,147) | (8,521) | 0 | |
Provision for income taxes | (4,063) | (947) | 0 | |
Net (Loss) Income | (95,115) | 20,670 | 307 | |
Non-cash amortization (expense) income, net | (24,638) | (9,173) | (290) | |
Other significant non-cash expense: goodwill impairment | (88,675) | |||
Operating Segments | Third-Party Investments | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 192,984 | 281,701 | 108,969 | |
Interest expense | (135,722) | (213,312) | (41,887) | |
Net Interest Income | 57,262 | 68,389 | 67,082 | |
Non-interest income | ||||
Mortgage banking activities, net | 0 | 0 | 0 | |
Investment fair value changes, net | (352,004) | 71,759 | (2,978) | |
Other income | 1,494 | 1,484 | 0 | |
Realized gains, net | 3,241 | 15,529 | 19,332 | |
Total non-interest income, net | (347,269) | 88,772 | 16,354 | |
General and administrative expenses | (5,046) | (3,561) | (2,140) | |
Loan acquisition costs | (684) | (780) | (1,584) | |
Other expenses | 194 | (1,106) | (18) | |
Provision for income taxes | 4,104 | (2,419) | (3,055) | |
Net (Loss) Income | (291,439) | 149,295 | 76,639 | |
Non-cash amortization (expense) income, net | 1,867 | 6,956 | 12,294 | |
Other significant non-cash expense: goodwill impairment | 0 | |||
Corporate/ Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 9,136 | 17,649 | 20,036 | |
Interest expense | (47,620) | (63,145) | (60,964) | |
Net Interest Income | (38,484) | (45,496) | (40,928) | |
Non-interest income | ||||
Mortgage banking activities, net | 0 | 0 | 0 | |
Investment fair value changes, net | (2,004) | (1,617) | (996) | |
Other income | 2,685 | 2,711 | 618 | |
Realized gains, net | 25,182 | 0 | 0 | |
Total non-interest income, net | 25,863 | 1,094 | (378) | |
General and administrative expenses | (52,900) | (52,868) | (44,313) | |
Loan acquisition costs | (10) | (137) | (9) | |
Other expenses | (718) | (3,395) | (178) | |
Provision for income taxes | 0 | 0 | 0 | |
Net (Loss) Income | (66,249) | (100,802) | (85,806) | |
Non-cash amortization (expense) income, net | (4,954) | $ (4,813) | $ (4,111) | |
Other significant non-cash expense: goodwill impairment | $ 0 |
Segment Information - Component
Segment Information - Components of Corporate/Other (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Segment Reporting Information [Line Items] | |||
Interest income | $ 571,916 | $ 622,281 | $ 378,717 |
Interest expense | (448,005) | (479,808) | (239,039) |
Net Interest Income | 123,911 | 142,473 | 139,678 |
Investment fair value changes, net | (588,438) | 35,500 | (25,689) |
Other income | 4,337 | 1,799 | 0 |
Realized gains, net | 30,424 | 23,821 | 27,041 |
Total non-interest income, net | (475,354) | 165,844 | 73,988 |
General and administrative expenses | (115,204) | (108,737) | (75,298) |
Loan acquisition costs | (11,023) | (9,935) | (7,484) |
Other expenses | (108,785) | (13,022) | (196) |
Net (Loss) Income | (581,847) | 169,183 | 119,600 |
Legacy Consolidated VIEs | |||
Segment Reporting Information [Line Items] | |||
Other expenses | 0 | 0 | 0 |
Other | |||
Segment Reporting Information [Line Items] | |||
Other expenses | (718) | (3,395) | (178) |
Corporate/ Other | |||
Segment Reporting Information [Line Items] | |||
Interest income | 9,136 | 17,649 | 20,036 |
Interest expense | (47,620) | (63,145) | (60,964) |
Net Interest Income | (38,484) | (45,496) | (40,928) |
Investment fair value changes, net | (2,004) | (1,617) | (996) |
Other income | 2,685 | 2,711 | 618 |
Realized gains, net | 25,182 | 0 | 0 |
Total non-interest income, net | 25,863 | 1,094 | (378) |
General and administrative expenses | (52,900) | (52,868) | (44,313) |
Loan acquisition costs | (10) | (137) | (9) |
Other expenses | (718) | (3,395) | (178) |
Net (Loss) Income | (66,249) | (100,802) | (85,806) |
Corporate/ Other | Legacy Consolidated VIEs | |||
Segment Reporting Information [Line Items] | |||
Interest income | 9,061 | 17,649 | 20,036 |
Interest expense | (5,945) | (14,418) | (16,519) |
Net Interest Income | 3,116 | 3,231 | 3,517 |
Investment fair value changes, net | (1,512) | (1,545) | (1,016) |
Other income | 0 | 0 | 0 |
Realized gains, net | 0 | 0 | 0 |
Total non-interest income, net | (1,512) | (1,545) | (1,016) |
General and administrative expenses | 0 | 0 | 0 |
Loan acquisition costs | 0 | 0 | 0 |
Net (Loss) Income | 1,604 | 1,686 | 2,501 |
Corporate/ Other | Other | |||
Segment Reporting Information [Line Items] | |||
Interest income | 75 | 0 | 0 |
Interest expense | (41,675) | (48,727) | (44,445) |
Net Interest Income | (41,600) | (48,727) | (44,445) |
Investment fair value changes, net | (492) | (72) | 20 |
Other income | 2,685 | 2,711 | 618 |
Realized gains, net | 25,182 | 0 | 0 |
Total non-interest income, net | 27,375 | 2,639 | 638 |
General and administrative expenses | (52,900) | (52,868) | (44,313) |
Loan acquisition costs | (10) | (137) | (9) |
Net (Loss) Income | $ (67,853) | $ (102,488) | $ (88,307) |
Segment Information - Supplemen
Segment Information - Supplemental Information by Segment (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | |||
Real estate securities | [1] | $ 344,125 | $ 1,099,874 |
Other investments | [1] | 348,175 | 358,130 |
Goodwill and intangible assets | [1] | 56,865 | 161,464 |
Total Assets | [1] | 10,355,066 | 17,995,440 |
Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 4,249,051 | 7,714,850 | |
Business Purpose Loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 4,136,353 | 3,506,743 | |
Multifamily securities | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 492,221 | 4,408,524 | |
Operating Segments | Residential Lending | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 160,780 | 229,074 | |
Other investments | 8,815 | 42,224 | |
Goodwill and intangible assets | 0 | 0 | |
Total Assets | 1,989,802 | 5,410,540 | |
Operating Segments | Residential Lending | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 1,741,963 | 4,939,745 | |
Operating Segments | Residential Lending | Business Purpose Loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Operating Segments | Residential Lending | Multifamily securities | |||
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 | 0 | |
Other investments | 21,627 | 21,002 | |
Goodwill and intangible assets | 56,865 | 161,464 | |
Total Assets | 4,323,040 | 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 Loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 4,136,353 | 3,506,743 | |
Operating Segments | Business Purpose Lending | Multifamily securities | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Operating Segments | Third-Party Investments | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 183,345 | 870,800 | |
Other investments | 317,282 | 294,904 | |
Goodwill and intangible assets | 0 | 0 | |
Total Assets | 3,232,415 | 8,028,946 | |
Operating Segments | Third-Party Investments | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 2,221,153 | 2,367,215 | |
Operating Segments | Third-Party Investments | Business Purpose Loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Operating Segments | Third-Party Investments | Multifamily securities | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 492,221 | 4,408,524 | |
Corporate/ Other | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 0 | 0 | |
Other investments | 451 | 0 | |
Goodwill and intangible assets | 0 | 0 | |
Total Assets | 809,809 | 769,313 | |
Corporate/ Other | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 285,935 | 407,890 | |
Corporate/ Other | Business Purpose Loans | |||
Segment Reporting Information [Line Items] | |||
Loans, at fair value | 0 | 0 | |
Corporate/ Other | Multifamily securities | |||
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 December 31, 2020 and December 31, 2019, assets of consolidated VIEs totaled $8,141,069 and $11,931,869, respectively. At December 31, 2020 and December 31, 2019, liabilities of consolidated VIEs totaled $7,148,414 and $10,717,072, respectively. See Note 4 for further discussion. |
Schedule IV - Mortgage Loans _2
Schedule IV - Mortgage Loans On Real Estate (Details) | 12 Months Ended | |||
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 198 | 669 | ||
Carrying Amount | $ 8,877,626,000 | $ 15,630,117,000 | $ 9,540,598,000 | $ 5,115,210,000 |
Principal Amount Subject to Delinquent Principal or Interest | 1,882,000 | $ 747,000 | ||
Residential loans, held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Carrying Amount | 4,072,410,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | 481,272,000 | |||
Residential loans, held-for-sale, at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Carrying Amount | 176,641,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 1,882,000 | |||
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 2 | 115 | ||
Carrying Amount | $ 1,014,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 0 | $ 0 | ||
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 2.00% | |||
Residential loans, held-for-sale, at fair value | Hybrid ARM loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 4.38% | |||
Residential loans, held-for-sale, at fair value | Fixed loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 196 | 554 | ||
Carrying Amount | $ 175,627,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 1,882,000 | $ 747,000 | ||
Residential loans, held-for-sale, at fair value | Fixed loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 2.38% | |||
Residential loans, held-for-sale, at fair value | Fixed loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 5.50% | |||
Single-family rental loans, held-for-sale | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Carrying Amount | $ 245,394,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 7,127,000 | |||
Single-family rental loans, held-for-sale | Fixed loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 65 | |||
Carrying Amount | $ 245,394,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 7,127,000 | |||
Single-family rental loans, held-for-sale | Fixed loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 3.82% | |||
Single-family rental loans, held-for-sale | Fixed loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 7.75% | |||
Single-family rental loans held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Carrying Amount | $ 3,249,194,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | 61,440,000 | |||
Bridge loans held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Carrying Amount | 641,765,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | 39,415,000 | |||
Real estate loans, federal income tax basis | $ 654,000,000 | |||
Bridge loans held-for-investment | Fixed loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 1,725 | |||
Carrying Amount | $ 641,765,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 39,415,000 | |||
Bridge loans held-for-investment | Fixed loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 6.04% | |||
Bridge loans held-for-investment | Fixed loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 13.00% | |||
Multifamily loans, held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Carrying Amount | $ 492,221,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 0 | |||
Multifamily loans, held-for-investment | Fixed loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 28 | |||
Carrying Amount | $ 492,221,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 0 | |||
Multifamily loans, held-for-investment | Fixed loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 4.25% | |||
Multifamily loans, held-for-investment | Fixed loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 4.25% | |||
Redwood | Residential loans, held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 2,940 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 1,585,000 | |||
Redwood | Residential loans, held-for-investment | Hybrid ARM loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 299 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 971,000 | |||
Redwood | Residential loans, held-for-investment | Fixed loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 2,641 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 614,000 | |||
Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Real estate loans, federal income tax basis | $ 0 | |||
Legacy Sequoia | Residential loans, held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 1,908 | 2,198 | ||
Principal Amount Subject to Delinquent Principal or Interest | $ 17,285,000 | $ 9,803,000 | ||
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 1,899 | 2,186 | ||
Carrying Amount | $ 282,551,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 17,285,000 | $ 9,803,000 | ||
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 0.25% | |||
Legacy Sequoia | Residential loans, held-for-investment | ARM loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 5.63% | |||
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 9 | 12 | ||
Carrying Amount | $ 3,384,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 0 | $ 0 | ||
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 2.63% | |||
Legacy Sequoia | Residential loans, held-for-investment | Hybrid ARM loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 4.00% | |||
Sequoia Choice | Residential loans, held-for-investment | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 2,177 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 74,742,000 | |||
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 54 | |||
Carrying Amount | $ 43,003,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 2,415,000 | |||
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 3.13% | |||
Sequoia Choice | Residential loans, held-for-investment | Hybrid ARM loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 6.75% | |||
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 2,123 | 3,156 | ||
Carrying Amount | $ 1,522,319,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 72,327,000 | $ 6,755,000 | ||
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 2.75% | |||
Sequoia Choice | Residential loans, held-for-investment | Fixed loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 6.75% | |||
Freddie Mac SLST | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Real estate loans, federal income tax basis | $ 0 | |||
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 13,605 | 14,502 | ||
Carrying Amount | $ 2,221,153,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 389,245,000 | $ 135,175,000 | ||
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 2.00% | |||
Freddie Mac SLST | Residential loans, held-for-investment | Fixed loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 11.00% | |||
CAFL | Single-family rental loans held-for-investment | Fixed loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Number of Loans | loan | 1,094 | |||
Carrying Amount | $ 3,249,194,000 | |||
Principal Amount Subject to Delinquent Principal or Interest | $ 61,440,000 | |||
CAFL | Single-family rental loans held-for-investment | Fixed loans | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 3.93% | |||
CAFL | Single-family rental loans held-for-investment | Fixed loans | Maximum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Interest Rate | 7.57% |
Schedule IV - Mortgage Loans _3
Schedule IV - Mortgage Loans On Real Estate - Rollforward of mortgage loans (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Balance at beginning of period | $ 15,630,117 | $ 9,540,598 | $ 5,115,210 |
Additions during period: | |||
Originations/acquisitions | 5,914,728 | 12,911,261 | 10,607,896 |
Deductions during period: | |||
Sales | (6,398,690) | (5,218,797) | (5,426,304) |
Principal repayments | (2,313,143) | (1,851,278) | (843,984) |
Transfers to REO | (14,104) | (7,552) | (4,104) |
Deconsolidation adjustments | (3,849,779) | 0 | 0 |
Changes in fair value, net | (91,503) | 255,885 | 91,884 |
Balance at end of period | $ 8,877,626 | $ 15,630,117 | $ 9,540,598 |