Cover Page
Cover Page - shares | 6 Months Ended | |
Jun. 30, 2021 | Aug. 02, 2021 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2021 | |
Document Transition Report | false | |
Entity File Number | 1-13759 | |
Entity Registrant Name | REDWOOD TRUST, INC. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 68-0329422 | |
Entity Address Address Line | One Belvedere Place, Suite 300 | |
Entity Address City Or Town | Mill Valley, | |
Entity Address, State or Province | CA | |
Entity Address Postal Zip Code | 94941 | |
City Area Code | 415 | |
Local Phone Number | 389-7373 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity small business | false | |
Emerging growth company | false | |
Entity Shell Company | false | |
Title of 12(b) Security | Common stock, par value $0.01 per share | |
Trading Symbol | RWT | |
Security Exchange Name | NYSE | |
Entity Common Stock, Shares Outstanding | 113,055,422 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q2 | |
Entity Central Index Key | 0000930236 | |
Current Fiscal Year End Date | --12-31 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
ASSETS | |||
Real estate securities, at fair value | [1] | $ 354,886 | $ 344,125 |
Other investments | [1] | 308,732 | 348,175 |
Cash and cash equivalents | [1] | 421,223 | 461,260 |
Restricted cash | [1] | 55,048 | 83,190 |
Intangible assets | [1] | 49,119 | 56,865 |
Derivative assets | [1] | 34,305 | 53,238 |
Other assets | [1] | 136,432 | 130,588 |
Total Assets | [1] | 11,996,391 | 10,355,066 |
Liabilities | |||
Short-term debt, net | [1] | 1,484,999 | 522,609 |
Derivative liabilities | [1] | 3,240 | 16,072 |
Accrued expenses and other liabilities | [1] | 191,705 | 179,340 |
Asset-backed securities issued (includes $7,360,766 and $6,900,362 at fair value), net | [1] | 7,536,997 | 7,100,661 |
Long-term debt, net | [1] | 1,484,308 | 1,425,485 |
Total liabilities | [1] | 10,701,249 | 9,244,167 |
Commitments and Contingencies | [1] | ||
Equity | |||
Common stock, par value $0.01 per share, 395,000,000 shares authorized; 113,052,780 and 112,090,006 issued and outstanding | [1] | 1,131 | 1,121 |
Additional paid-in capital | [1] | 2,287,412 | 2,264,874 |
Accumulated other comprehensive income (loss) | [1] | 9,740 | (4,221) |
Cumulative earnings | [1] | 1,184,559 | 997,277 |
Cumulative distributions to stockholders | [1] | (2,187,700) | (2,148,152) |
Total equity | [1] | 1,295,142 | 1,110,899 |
Total Liabilities and Equity | [1] | 11,996,391 | 10,355,066 |
Residential loans, held-for-sale, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 1,160,548 | 176,641 |
Residential loans, held-for-investment, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 4,582,052 | 4,072,410 |
Business purpose loans, held-for-sale, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 418,442 | 245,394 |
Business purpose loans, held-for-investment, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 3,990,447 | 3,890,959 |
Multifamily loans | |||
ASSETS | |||
Fair value of loans | [1] | $ 485,157 | $ 492,221 |
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
CONSOLIDATED BALANCE SHEETS (PA
CONSOLIDATED BALANCE SHEETS (PARENTHETICAL) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
ABS issued, net, Fair value | $ 7,360,766 | $ 6,900,362 | |
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 | |
Common stock, shares authorized (shares) | 395,000,000 | 395,000,000 | |
Common stock, issued (shares) | 113,052,780 | 112,090,006 | |
Common stock, outstanding (shares) | 113,052,780 | 112,090,006 | |
Assets | [1] | $ 11,996,391 | $ 10,355,066 |
Liabilities | [1] | 10,701,249 | 9,244,167 |
Variable Interest Entity, Primary Beneficiary | |||
Assets | 8,616,435 | 8,141,069 | |
Liabilities | $ 7,562,367 | $ 7,148,414 | |
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Interest Income | ||||
Residential loans | $ 48,433 | $ 54,974 | $ 92,088 | $ 134,410 |
Business purpose loans | 70,323 | 53,419 | 134,511 | 106,073 |
Multifamily loans | 4,860 | 4,870 | 9,646 | 45,042 |
Real estate securities | 9,279 | 10,027 | 18,942 | 28,336 |
Other interest income | 5,800 | 6,656 | 11,813 | 14,166 |
Total interest income | 138,695 | 129,946 | 267,000 | 328,027 |
Interest Expense | ||||
Short-term debt | (11,195) | (16,907) | (18,968) | (39,974) |
Asset-backed securities issued | (76,419) | (65,304) | (148,980) | (165,802) |
Long-term debt | (20,451) | (20,455) | (42,669) | (43,561) |
Total interest expense | (108,065) | (102,666) | (210,617) | (249,337) |
Net Interest Income | 30,630 | 27,280 | 56,383 | 78,690 |
Non-interest Income (Loss) | ||||
Mortgage banking activities, net | 54,419 | (5,982) | 137,026 | (34,884) |
Investment fair value changes, net | 49,480 | 152,228 | 94,567 | (718,604) |
Other income, net | 2,126 | 1,165 | 5,969 | 4,093 |
Realized gains, net | 8,384 | 25,965 | 11,100 | 29,817 |
Total non-interest income (loss), net | 114,409 | 173,376 | 248,662 | (719,578) |
General and administrative expenses | (40,594) | (28,520) | (84,145) | (57,202) |
Loan acquisition costs | (3,748) | (1,572) | (7,307) | (5,558) |
Other expenses | (3,985) | (5,083) | (8,081) | (96,498) |
Net Income (Loss) before (Provision for) Benefit from Income Taxes | 96,712 | 165,481 | 205,512 | (800,146) |
(Provision for) benefit from income taxes | (6,687) | (37) | (18,230) | 22,192 |
Net Income (Loss) | $ 90,025 | $ 165,444 | $ 187,282 | $ (777,954) |
Basic earnings (loss) per common share (in dollars per share) | $ 0.77 | $ 1.41 | $ 1.61 | $ (6.82) |
Diluted earnings (loss) per common share (in dollars per share) | $ 0.66 | $ 1 | $ 1.38 | $ (6.82) |
Basic weighted average shares outstanding (in shares) | 112,921,070 | 114,383,289 | 112,337,984 | 114,229,928 |
Diluted weighted average shares outstanding (in shares) | 141,761,084 | 147,099,079 | 141,139,212 | 114,229,928 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Statement of Comprehensive Income [Abstract] | ||||
Net Income (Loss) | $ 90,025 | $ 165,444 | $ 187,282 | $ (777,954) |
Other comprehensive income (loss): | ||||
Net unrealized gain (loss) on available-for-sale securities | 11,224 | 52,393 | 22,210 | (28,126) |
Reclassification of unrealized (gain) loss on available-for-sale securities to net income | (7,500) | 2,718 | (10,295) | (11,080) |
Net unrealized loss on interest rate agreements | 0 | 0 | 0 | (32,806) |
Reclassification of unrealized loss on interest rate agreements to net income | 1,028 | 1,029 | 2,046 | 1,108 |
Total other comprehensive income (loss) | 4,752 | 56,140 | 13,961 | (70,904) |
Total Comprehensive Income (Loss) | $ 94,777 | $ 221,584 | $ 201,243 | $ (848,858) |
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, 2019 | 114,353,036 | |||||
Balance at beginning of period at Dec. 31, 2019 | $ 1,827,231 | $ 1,144 | $ 2,269,617 | $ 41,513 | $ 1,579,124 | $ (2,064,167) |
Increase (Decrease) in Stockholders' Equity | ||||||
Net Income (Loss) | (777,954) | (777,954) | ||||
Other comprehensive income (loss) | (70,904) | (70,904) | ||||
Issuance of common stock (in shares) | 350,088 | |||||
Issuance of common stock | 5,547 | $ 3 | 5,544 | |||
Employee stock purchase and incentive plans (in shares) | 237,073 | |||||
Employee stock purchase and incentive plans | (2,774) | $ 2 | (2,776) | |||
Non-cash equity award compensation | 7,240 | 7,240 | ||||
Common dividends declared | (51,810) | (51,810) | ||||
Ending balance (in shares) at Jun. 30, 2020 | 114,940,197 | |||||
Balance at End of Period at Jun. 30, 2020 | 936,576 | $ 1,149 | 2,279,625 | (29,391) | 801,170 | (2,115,977) |
Beginning balance (in shares) at Mar. 31, 2020 | 114,837,533 | |||||
Balance at beginning of period at Mar. 31, 2020 | 725,202 | $ 1,148 | 2,275,808 | (85,531) | 635,726 | (2,101,949) |
Increase (Decrease) in Stockholders' Equity | ||||||
Net Income (Loss) | 165,444 | 165,444 | ||||
Other comprehensive income (loss) | 56,140 | 56,140 | ||||
Employee stock purchase and incentive plans (in shares) | 102,664 | |||||
Employee stock purchase and incentive plans | (234) | $ 1 | (235) | |||
Non-cash equity award compensation | 4,052 | 4,052 | ||||
Common dividends declared | (14,028) | (14,028) | ||||
Ending balance (in shares) at Jun. 30, 2020 | 114,940,197 | |||||
Balance at End of Period at Jun. 30, 2020 | 936,576 | $ 1,149 | 2,279,625 | (29,391) | 801,170 | (2,115,977) |
Beginning balance (in shares) at Dec. 31, 2020 | 112,090,006 | |||||
Balance at beginning of period at Dec. 31, 2020 | 1,110,899 | $ 1,121 | 2,264,874 | (4,221) | 997,277 | (2,148,152) |
Increase (Decrease) in Stockholders' Equity | ||||||
Net Income (Loss) | 187,282 | 187,282 | ||||
Other comprehensive income (loss) | 13,961 | 13,961 | ||||
Issuance of common stock (in shares) | 806,068 | |||||
Issuance of common stock | 13,374 | $ 8 | 13,366 | |||
Employee stock purchase and incentive plans (in shares) | 156,706 | |||||
Employee stock purchase and incentive plans | (687) | $ 2 | (689) | |||
Non-cash equity award compensation | 9,861 | 9,861 | ||||
Common dividends declared | (39,548) | (39,548) | ||||
Ending balance (in shares) at Jun. 30, 2021 | 113,052,780 | |||||
Balance at End of Period at Jun. 30, 2021 | 1,295,142 | $ 1,131 | 2,287,412 | 9,740 | 1,184,559 | (2,187,700) |
Beginning balance (in shares) at Mar. 31, 2021 | 112,998,732 | |||||
Balance at beginning of period at Mar. 31, 2021 | 1,215,575 | $ 1,130 | 2,281,647 | 4,988 | 1,094,534 | (2,166,724) |
Increase (Decrease) in Stockholders' Equity | ||||||
Net Income (Loss) | 90,025 | 90,025 | ||||
Other comprehensive income (loss) | 4,752 | 4,752 | ||||
Employee stock purchase and incentive plans (in shares) | 54,048 | |||||
Employee stock purchase and incentive plans | 123 | $ 1 | 122 | |||
Non-cash equity award compensation | 5,643 | 5,643 | ||||
Common dividends declared | (20,976) | (20,976) | ||||
Ending balance (in shares) at Jun. 30, 2021 | 113,052,780 | |||||
Balance at End of Period at Jun. 30, 2021 | $ 1,295,142 | $ 1,131 | $ 2,287,412 | $ 9,740 | $ 1,184,559 | $ (2,187,700) |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Statement of Stockholders' Equity [Abstract] | ||||
Common dividends declared (in dollars per share) | $ 0.18 | $ 0.125 | $ 0.34 | $ 0.445 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | ||
Cash Flows From Operating Activities: | |||
Net Income (Loss) | $ 187,282 | $ (777,954) | |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | |||
Amortization of premiums, discounts, and securities issuance costs, net | 3,998 | 4,083 | |
Depreciation and amortization of non-financial assets | 8,405 | 8,962 | |
Originations of held-for-sale loans | (567,546) | (457,510) | |
Purchases of held-for-sale loans | (6,682,864) | (2,720,245) | |
Proceeds from sales of held-for-sale loans | 4,526,370 | 3,126,860 | |
Principal payments on held-for-sale loans | 19,856 | 48,901 | |
Net settlements of derivatives | 39,697 | (183,373) | |
Non-cash equity award compensation expense | 9,861 | 7,240 | |
Goodwill impairment expense | 0 | 88,675 | |
Market valuation adjustments | (213,641) | 765,647 | |
Realized gains, net | (11,100) | (29,817) | |
Net change in: | |||
Accrued interest receivable and other assets | 10,260 | 254,368 | |
Accrued interest payable and accrued expenses and other liabilities | 17,327 | (80,219) | |
Net cash (used in) provided by operating activities | (2,652,095) | 55,618 | |
Cash Flows From Investing Activities: | |||
Originations of loan investments | (348,389) | (263,544) | |
Proceeds from sales of loan investments | 9,231 | 1,574,160 | |
Principal payments on loan investments | 1,312,064 | 1,136,000 | |
Purchases of real estate securities | (18,593) | (52,260) | |
Sales of securities held in consolidated securitization trusts | 8,197 | 142,990 | |
Proceeds from sales of real estate securities | 36,735 | 621,730 | |
Principal payments on real estate securities | 29,786 | 16,405 | |
Purchases of servicer advance investments | 0 | (179,419) | |
Principal repayments from servicer advance investments | 45,838 | 75,478 | |
Other investing activities, net | (5,025) | (11,139) | |
Net cash provided by investing activities | 1,069,844 | 3,060,401 | |
Cash Flows From Financing Activities: | |||
Proceeds from borrowings on short-term debt | 6,604,603 | 3,655,530 | |
Repayments on short-term debt | (5,421,494) | (5,322,519) | |
Proceeds from issuance of asset-backed securities | 1,629,218 | 827,644 | |
Repayments on asset-backed securities issued | (1,088,809) | (673,323) | |
Proceeds from borrowings on long-term debt | 487,975 | 944,282 | |
Repayments on long-term debt | (654,893) | (2,128,805) | |
Net settlements of derivatives | 0 | (84,336) | |
Net proceeds from issuance of common stock | 255 | 5,707 | |
Taxes paid on equity award distributions | (943) | (2,934) | |
Dividends paid | (39,548) | (51,810) | |
Other financing activities, net | (2,292) | (3,180) | |
Net cash provided by (used in) financing activities | 1,514,072 | (2,833,744) | |
Net (decrease) increase in cash, cash equivalents and restricted cash | (68,179) | 282,275 | |
Cash, cash equivalents and restricted cash at beginning of period | [1] | 544,450 | 290,833 |
Cash, cash equivalents, and restricted cash at end of period | [1] | 476,271 | 573,108 |
Cash paid during the period for: | |||
Interest | 198,364 | 267,787 | |
Taxes | 19,183 | 209 | |
Supplemental Noncash Information: | |||
Real estate securities retained from loan securitizations | 9,374 | 46,560 | |
Consolidation of multifamily loans held in securitization trusts | 0 | (3,849,779) | |
Consolidation of multifamily ABS | 0 | (3,706,789) | |
Transfers from loans held-for-sale to loans held-for-investment | 1,998,535 | 706,775 | |
Transfers from loans held-for-investment to loans held-for-sale | 44,922 | 0 | |
Transfers from residential loans to real estate owned | 15,827 | 9,645 | |
Transfers from long-term debt to short-term debt | 47,994 | 0 | |
Right-of-use asset obtained in exchange for operating lease liability | 1,135 | 5,362 | |
Issuance of common stock for 5 Arches acquisition | $ 13,375 | $ 3,375 | |
[1] | Cash, cash equivalents, and restricted cash at June 30, 2021 includes cash and cash equivalents of $421 million and restricted cash of $55 million, and at December 31, 2020 includes cash and cash equivalents of $461 million and restricted cash of $83 million. |
CONSOLIDATED STATEMENTS OF CA_2
CONSOLIDATED STATEMENTS OF CASH FLOWS (PARENTHETICAL) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Statement of Cash Flows [Abstract] | |||
Cash and cash equivalents | [1] | $ 421,223 | $ 461,260 |
Restricted cash | [1] | $ 55,048 | $ 83,190 |
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Organization
Organization | 6 Months Ended |
Jun. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [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 primarily 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.” |
Basis of Presentation
Basis of Presentation | 6 Months Ended |
Jun. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of PresentationThe consolidated financial statements presented herein are at June 30, 2021 and December 31, 2020, and for the three and six months ended June 30, 2021 and 2020. These interim unaudited consolidated financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission ("SEC"). Certain information and note disclosures normally included in our annual financial statements prepared in accordance with U.S. generally accepted accounting principles ("GAAP") — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — have been condensed or omitted in these interim financial statements according to these SEC rules and regulations. Management believes that the disclosures included in these interim financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the company's Annual Report on Form 10-K for the year ended December 31, 2020. In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the Company at June 30, 2021 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2021 should not be construed as indicative of the results to be expected for the full year. Principles of Consolidation In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities issued prior to 2012 ("Legacy Sequoia"), certain entities formed in connection with the securitization of Redwood Choice expanded-prime loans and, beginning in the second quarter of 2021, Redwood Select loans ("Sequoia"), and entities formed in connection with the securitization of CoreVest single-family rental loans ("CAFL"). 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. 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 entity 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. 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. 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 Refer to our Annual Report on Form 10-K for the year ended December 31, 2020 for additional information regarding the acquisitions of 5 Arches, LLC ("5 Arches") and CoreVest American Finance Lender, LLC and certain affiliated entities ("CoreVest"), including purchase price allocations. In connection with the acquisitions of 5 Arches and CoreVest in 2019, 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 June 30, 2021. Table 2.1 – Intangible Assets – Activity Intangible Assets at Acquisition Accumulated Amortization at June 30, 2021 Carrying Value at June 30, 2021 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 45,300 $ (11,055) $ 34,245 7 Broker network 18,100 (8,447) 9,653 5 Non-compete agreements 9,500 (6,014) 3,486 3 Tradenames 4,000 (2,528) 1,472 3 Developed technology 1,800 (1,537) 263 2 Loan administration fees on existing loan assets 2,600 (2,600) — 1 Total $ 81,300 $ (32,181) $ 49,119 6 All of our intangible assets are amortized on a straight-line basis. For each of the six months ended June 30, 2021 and 2020, we recorded intangible asset amortization expense of $8 million. Estimated future amortization expense is summarized in the table below. Table 2.2 – Intangible Asset Amortization Expense by Year (In Thousands) June 30, 2021 2021 (6 months) $ 7,558 2022 12,800 2023 10,091 2024 7,073 2025 and thereafter 11,597 Total Future Intangible Asset Amortization $ 49,119 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 June 30, 2021. A liability resulting from the contingent consideration arrangement with 5 Arches was initially recorded in 2019 at its acquisition-date fair value as part of total consideration for the acquisition of 5 Arches. During the first quarter of 2021, we distributed 806,068 shares of Redwood common stock and paid $1 million in cash in full settlement of the remaining deferred consideration associated with this acquisition. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Significant Accounting Policies Included in Note 3 to the Consolidated Financial Statements of our Annual Report on Form 10-K for the year ended December 31, 2020 is a summary of our significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the company's consolidated financial position and results of operations for the three and six months ended June 30, 2021. Other Investments Strategic Investments We have made and may make additional strategic investments in companies through our RWT Horizons venture investment strategy or at a corporate level. These investments can take the form of equity or debt and often have conversion features. Depending on the terms of the investments, we may account for these investments under the fair value option or as non-marketable equity securities under the equity method of accounting or the measurement alternative (to the extent they do not have a “readily determinable fair value,” or are not traded in a verifiable public market or are restricted for sale in the public market by a restricted stock legend or otherwise). Investments accounted for under the fair value option are carried at fair value with periodic changes in value recorded through Investment fair value changes on our consolidated statements of income (loss). For non-marketable securities, we utilize the equity method of accounting when we are able to exert significant influence over but do not control the activities of the investee. Under the equity method of accounting, we generally elect to record our share of earnings or losses from equity method investments on a one-quarter lag and we assess our investments for impairment whenever events or changes in circumstances indicate that the carrying amount of our investment might not be recoverable. Income from equity method investments is recorded in Other income, net on our consolidated statements of income (loss). Under the measurement alternative, the carrying value of our investment is measured at cost, less any impairment, plus or minus changes resulting from observable price changes in orderly transactions for the identical or a similar investment of the same issuer. Adjustments are determined primarily based on a market approach as of the transaction date and are recorded as a component of Other income, net on our consolidated statements of income (loss). Recent Accounting Pronouncements Newly Adopted Accounting Standards Updates ("ASUs") 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. We adopted this guidance, as required, in the first quarter of 2021, which did not 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 became effective January 4, 2021. We adopted this guidance, as required, in the first quarter of 2021, which did not 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. We adopted this guidance, as required, in the first quarter of 2021, which did not have a material impact on our consolidated financial statements. In January 2020, the FASB issued ASU 2020-01, "Investments - Equity Securities (Topic 321), Investments - Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)." This new guidance clarifies the interaction of the accounting for equity securities, equity method investments, and certain forward contracts and purchased options. This new guidance is effective for fiscal years beginning after December 15, 2020. We adopted this guidance, as required, in the first quarter of 2021, which did not 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. We adopted this guidance, as required, in the first quarter of 2021, which did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements 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 June 30, 2021, we have not elected to apply the optional expedients and exceptions to any of our existing contracts, hedging relationships, or other transactions. Balance Sheet Netting Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at June 30, 2021 and December 31, 2020. 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 June 30, 2021 (In Thousands) Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 17,746 $ — $ 17,746 $ (957) $ (11,238) $ 5,551 TBAs 2,064 — 2,064 (478) (1,393) 193 Futures 304 — 304 (194) — 110 Total Assets $ 20,114 $ — $ 20,114 $ (1,629) $ (12,631) $ 5,854 Liabilities (2) Interest rate agreements $ (957) $ — $ (957) $ 957 $ — $ — TBAs (1,367) — (1,367) 478 889 — Futures (194) — (194) 194 — — Loan warehouse debt (1,049,144) — (1,049,144) 1,049,144 — — Security repurchase agreements (80,938) — (80,938) 80,938 — — Total Liabilities $ (1,132,600) $ — $ (1,132,600) $ 1,131,711 $ 889 $ — 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) (1) Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. (2) Interest rate agreements and TBAs are components of derivatives instruments on our consolidated balance sheets. Loan warehouse debt, which is secured by certain residential and business purpose loans, and security repurchase agreements are components of Short-term debt and Long-term debt on our consolidated balance sheets. |
Principles of Consolidation
Principles of Consolidation | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021, we consolidated Legacy Sequoia, Sequoia, CAFL, Freddie Mac SLST, and Freddie Mac K-Series 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 Legacy Sequoia, 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 June 30, 2021, the estimated fair value of our investments in the consolidated Legacy Sequoia, Sequoia, CAFL, Freddie Mac SLST, and Freddie Mac K-Series entities was $4 million, $234 million, $272 million, $452 million, and $31 million, respectively. We also consolidate 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 June 30, 2021, 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, 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 June 30, 2021, the estimated fair value of our investment in the Servicing Investment entities was $62 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 June 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Residential loans, held-for-investment $ 260,875 $ 2,222,553 $ — $ 2,098,624 $ — $ — $ 4,582,052 Business purpose loans, held-for-investment — — 3,263,878 — — — 3,263,878 Multifamily loans, held-for-investment — — — — 485,157 — 485,157 Other investments — — — — — 202,369 202,369 Cash and cash equivalents — — — — — 12,459 12,459 Restricted cash 148 — — — — 19,028 19,176 Accrued interest receivable 258 7,559 13,102 6,325 1,326 1,606 30,176 Other assets 659 — 12,596 1,636 — 6,277 21,168 Total Assets $ 261,940 $ 2,230,112 $ 3,289,576 $ 2,106,585 $ 486,483 $ 241,739 $ 8,616,435 Short-term debt $ — $ — $ — $ — $ — $ 163,629 $ 163,629 Accrued interest payable 124 5,521 10,183 4,490 1,200 94 21,612 Accrued expenses and other liabilities — — — — — 16,360 16,360 Asset-backed securities issued 258,211 1,990,548 3,007,596 1,650,087 454,324 — 7,360,766 Total Liabilities $ 258,335 $ 1,996,069 $ 3,017,779 $ 1,654,577 $ 455,524 $ 180,083 $ 7,562,367 Number of VIEs 20 12 14 3 1 3 53 December 31, 2020 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac 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 13,055 6,754 1,337 2,334 30,587 Other assets 638 — 2,930 646 — 5,723 9,937 Total Assets $ 287,026 $ 1,572,124 $ 3,265,179 $ 2,228,553 $ 493,558 $ 294,629 $ 8,141,069 Short-term debt $ — $ — $ — $ — $ — $ 208,375 $ 208,375 Accrued interest payable 141 4,697 10,278 4,846 1,177 135 21,274 Accrued expenses and other liabilities — 50 — — — 18,353 18,403 Asset-backed securities issued 282,326 1,347,357 3,013,093 1,793,620 463,966 — 6,900,362 Total Liabilities $ 282,467 $ 1,352,104 $ 3,023,371 $ 1,798,466 $ 465,143 $ 226,863 $ 7,148,414 Number of VIEs 20 10 14 2 1 3 50 The following table presents income (loss) from these VIEs for the three and six months ended June 30, 2021 and 2020. Table 4.2 – Income (Loss) from Consolidated VIEs Accounted for as Collateralized Financing Entities Three Months Ended June 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Interest income $ 1,169 $ 14,492 $ 54,849 $ 19,506 $ 4,860 $ 4,041 $ 98,917 Interest expense (755) (11,374) (43,201) (13,927) (4,478) (1,110) (74,845) Net interest income 414 3,118 11,648 5,579 382 2,931 24,072 Non-interest income Investment fair value changes, net (216) 4,906 3,697 36,316 1,855 (2,320) 44,238 Total non-interest income, net (216) 4,906 3,697 36,316 1,855 (2,320) 44,238 General and administrative expenses — — — — — (52) (52) Other expenses — — — — — (112) (112) Income from Consolidated VIEs $ 198 $ 8,024 $ 15,345 $ 41,895 $ 2,237 $ 447 $ 68,146 Six Months Ended June 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Interest income $ 2,517 $ 29,975 $ 103,722 $ 39,665 $ 9,646 $ 8,263 $ 193,788 Interest expense (1,630) (23,480) (81,054) (28,395) (8,834) (2,396) (145,789) Net interest income 887 6,495 22,668 11,270 812 5,867 47,999 Non-interest income Investment fair value changes, net (915) 9,804 3,411 40,433 10,776 (3,566) 59,943 Total non-interest income, net (915) 9,804 3,411 40,433 10,776 (3,566) 59,943 General and administrative expenses — — — — — (90) (90) Other expenses — — — — — (442) (442) Income (Loss) from Consolidated VIEs $ (28) $ 16,299 $ 26,079 $ 51,703 $ 11,588 $ 1,769 $ 107,410 Three Months Ended June 30, 2020 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Interest income $ 2,685 $ 22,564 $ 32,978 $ 21,187 $ 4,870 $ 4,540 $ 88,824 Interest expense (1,518) (19,117) (24,446) (15,846) (4,380) (1,797) (67,104) Net interest income 1,167 3,447 8,532 5,341 490 2,743 21,720 Non-interest income Investment fair value changes, net (230) 39,752 16,313 26,866 1,599 3,291 87,591 Total non-interest income, net (230) 39,752 16,313 26,866 1,599 3,291 87,591 General and administrative expenses — — — — — (712) (712) Other expenses — — — — — (1,065) (1,065) Income from Consolidated VIEs $ 937 $ 43,199 $ 24,845 $ 32,207 $ 2,089 $ 4,257 $ 107,534 Six Months Ended June 30, 2020 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Interest income $ 5,879 $ 47,647 $ 62,988 $ 43,173 $ 45,042 $ 8,623 $ 213,352 Interest expense (4,040) (40,627) (46,385) (32,022) (42,728) (3,374) (169,176) Net interest income 1,839 7,020 16,603 11,151 2,314 5,249 44,176 Non-interest income Investment fair value changes, net (621) (29,916) (51,533) (115,295) (84,910) (8,593) (290,868) Total non-interest income, net (621) (29,916) (51,533) (115,295) (84,910) (8,593) (290,868) General and administrative expenses — — — — — (743) (743) Other expenses — — — — — 817 817 Income (Loss) from Consolidated VIEs $ 1,218 $ (22,896) $ (34,930) $ (104,144) $ (82,596) $ (3,270) $ (246,618) 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 three months ended June 30, 2021, we called one of our consolidated CAFL entities and repaid the associated ABS issued. In association with this call, we transferred $45 million (unpaid principal balance) of loans from held-for-investment to held-for-sale. During 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. Analysis of Unconsolidated VIEs with Continuing Involvement Since 2012, we have transferred residential loans to 52 Sequoia securitization entities sponsored by us that are still outstanding as of June 30, 2021, and accounted for these transfers as sales for financial reporting purposes, in accordance with ASC 860. We also determined we were not the primary beneficiary of these VIEs as we lacked the power to direct the activities that will have the most significant economic impact on the entities. For certain of these transfers to securitization entities, for the transferred loans where we held the servicing rights prior to the transfer and continued to hold the servicing rights following the transfer, we recorded mortgage servicing rights ("MSRs") on our consolidated balance sheets, and classified those MSRs as Level 3 assets. We also retained senior and subordinate securities in these securitizations that we classified as Level 3 assets. Our continuing involvement in these securitizations is limited to customary servicing obligations associated with retaining servicing rights (which we retain a third-party sub-servicer to perform) and the receipt of interest income associated with the securities we retained. During the three months ended June 30, 2021, we called three of our unconsolidated Sequoia entities, and purchased $83 million (unpaid principal balance) of loans from the securitization trusts. In association with these calls, we realized a $7 million gain on the securities we owned from these called securitizations, which was recognized through Realized gains, net on our consolidated statements of income (loss). During the six months ended June 30, 2021, we called four of our unconsolidated Sequoia entities, and purchased $101 million (unpaid principal balance) of loans from the securitization trusts. In association with these calls, we realized a $9 million gain on the securities we owned from these called securitizations, which was recognized through Realized gains, net on our consolidated statements of income (loss). At June 30, 2021, we held $97 million of loans for sale at fair value that were acquired following the calls. The following table presents information related to securitization transactions that occurred during the three and six months ended June 30, 2021 and 2020. Table 4.3 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Principal balance of loans transferred $ 355,924 $ — $ 1,231,803 $ 1,573,703 Trading securities retained, at fair value 1,225 — 7,774 43,362 AFS securities retained, at fair value 522 — 1,600 3,198 The following table summarizes the cash flows during the three and six months ended June 30, 2021 and 2020 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.4 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Proceeds from new transfers $ 361,673 $ — $ 1,266,063 $ 1,610,761 MSR fees received 1,336 2,475 2,943 5,165 Funding of compensating interest, net (70) (205) (170) (297) Cash flows received on retained securities 16,764 6,788 25,393 13,369 The following table presents the key weighted-average assumptions used to value securities retained at the date of securitization for securitizations completed during the three and six months ended June 30, 2021 and 2020. Table 4.5 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates 8 % 8 % N/A N/A Discount rates 15 % 7 % N/A N/A Credit loss assumptions 0.25 % 0.25 % N/A N/A Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates 11 % 11 % 41 % 13 % Discount rates 15 % 6 % 16 % 6 % Credit loss assumptions 0.23 % 0.23 % 0.21 % 0.22 % The following table presents additional information at June 30, 2021 and December 31, 2020, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.6 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) June 30, 2021 December 31, 2020 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 20,527 $ 20,982 Subordinate securities, classified as AFS 140,321 136,475 Mortgage servicing rights 6,496 8,413 Maximum loss exposure (1) $ 167,344 $ 165,870 Assets transferred: Principal balance of loans outstanding $ 6,326,188 $ 7,728,432 Principal balance of loans 30+ days delinquent 58,362 138,029 (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 June 30, 2021 and December 31, 2020. Table 4.7 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood June 30, 2021 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at June 30, 2021 $ 6,496 $ 20,527 $ 140,321 Expected life (in years) (2) 2 4 8 Prepayment speed assumption (annual CPR) (2) 38 % 25 % 33 % Decrease in fair value from: 10% adverse change $ 613 $ 1,374 $ 238 25% adverse change 1,422 3,120 440 Discount rate assumption (2) 12 % 18 % 3.5 % Decrease in fair value from: 100 basis point increase $ 139 $ 462 $ 10,058 200 basis point increase 271 900 19,174 Credit loss assumption (2) N/A 0.39 % 0.39 % Decrease in fair value from: 10% higher losses N/A $ — $ 2,671 25% higher losses N/A — 6,384 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 (1) Senior securities included $21 million and $17 million of interest-only securities at June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020, grouped by asset type. Table 4.8 – Third-Party Sponsored VIE Summary (In Thousands) June 30, 2021 December 31, 2020 Mortgage-Backed Securities Senior $ 4,740 $ 11,131 Mezzanine — 2,014 Subordinate 189,298 173,523 Total Mortgage-Backed Securities 194,038 186,668 Excess MSR 12,170 14,133 Total Investments in Third-Party Sponsored VIEs $ 206,208 $ 200,801 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 | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 and December 31, 2020. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities June 30, 2021 December 31, 2020 Carrying Fair Carrying Fair (In Thousands) Assets Residential loans, held-for-sale at fair value $ 1,160,513 $ 1,160,513 $ 176,604 $ 176,604 Residential loans, held-for-investment 4,582,052 4,582,052 4,072,410 4,072,410 Business purpose loans, held-for-sale 418,442 418,442 245,394 245,394 Business purpose loans, held-for-investment 3,990,447 3,990,447 3,890,959 3,890,959 Multifamily loans 485,157 485,157 492,221 492,221 Real estate securities 354,886 354,886 344,125 344,125 Servicer advance investments (1) 184,551 184,551 231,489 231,489 MSRs (1) 8,721 8,721 8,815 8,815 Excess MSRs (1) 29,988 29,988 34,418 34,418 Shared home appreciation options (1) 44,319 44,319 42,440 42,440 Other financial instruments (2) 28,556 28,556 10,203 10,203 Cash and cash equivalents 421,223 421,223 461,260 461,260 Restricted cash 55,048 55,048 83,190 83,190 Derivative assets 34,305 34,305 53,238 53,238 REO (3) 15,489 17,718 8,413 9,229 Margin receivable (3) 10,269 10,269 4,758 4,758 FHLBC stock (3) 10 10 5,000 5,000 Pledged collateral (3) — — 1,177 1,177 Liabilities Short-term debt $ 1,484,999 $ 1,484,999 $ 522,609 $ 522,609 Margin payable (4) 19,503 19,503 — — Guarantee obligation (4) 8,446 5,932 10,039 7,843 Derivative liabilities 3,240 3,240 16,072 16,072 ABS issued, net Fair value 7,360,766 7,360,766 6,900,362 6,900,362 Amortized cost 176,231 180,080 200,299 204,892 Other long-term debt, net (5) 833,272 834,214 774,726 783,570 Convertible notes, net (5) 512,339 531,473 511,085 499,865 Trust preferred securities and subordinated notes, net (5) 138,697 87,188 138,674 80,910 (1) These investments are included in Other investments on our consolidated balance sheets. (2) Includes equity, debt, and loan investments included in Other investments on our consolidated balance sheets. (3) These assets are included in Other assets on our consolidated balance sheets. (4) These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets. (5) These liabilities are included in Long-term debt, net on our consolidated balance sheets. During the three and six months ended June 30, 2021, we elected the fair value option for $4 million and $26 million of securities, respectively, $3.48 billion and $6.58 billion of residential loans (principal balance), respectively, and $527 million and $914 million of business purpose loans (principal balance), respectively. Additionally, during the three months ended June 30, 2021, we elected the fair value option for $2 million of MSRs and $2 million of other financial instruments. 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, for business purpose bridge loans we hold for investment, as well as for MSRs retained from sales of residential loans, and 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 June 30, 2021 and December 31, 2020, 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 June 30, 2021 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 5,742,565 $ — $ — $ 5,742,565 Business purpose loans 4,408,889 — — 4,408,889 Multifamily loans 485,157 — — 485,157 Real estate securities 354,886 — — 354,886 Servicer advance investments 184,551 — — 184,551 MSRs 8,721 — — 8,721 Excess MSRs 29,988 — — 29,988 Shared home appreciation options 44,319 — — 44,319 Derivative assets 34,305 2,368 17,746 14,191 Liabilities Derivative liabilities $ 3,240 $ 1,561 $ 957 $ 722 ABS issued 7,360,766 — — 7,360,766 December 31, 2020 Carrying 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 The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2021. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Purpose Multifamily Loans Trading Securities AFS Servicer Advance Investments MSRs Excess MSRs Shared Home Appreciation Options (In Thousands) Beginning balance - $ 4,249,014 $ 4,136,353 $ 492,221 $ 125,667 $ 218,458 $ 231,489 $ 8,815 $ 34,418 $ 42,440 Acquisitions 6,684,292 — — 26,367 1,600 — 2,283 — — Originations — 913,704 — — — — — — — Sales (4,531,811) (9,231) — (31,949) (4,785) — — — — Principal paydowns (727,627) (599,889) (3,806) (807) (28,979) (45,838) — — (5,516) Gains (losses) in net income (loss), net 70,184 (17,835) (3,258) 23,147 14,172 (1,100) (2,251) (4,430) 7,395 Unrealized losses in OCI, net — — — — 11,995 — — — — Other settlements, net (1) (1,487) (14,213) — — — — (126) — — Ending balance - $ 5,742,565 $ 4,408,889 $ 485,157 $ 142,425 $ 212,461 $ 184,551 $ 8,721 $ 29,988 $ 44,319 Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued) Liabilities Derivatives (2) ABS (In Thousands) Beginning balance - December 31, 2020 $ 14,450 $ 6,900,362 Acquisitions — 1,629,218 Principal paydowns — (1,055,541) Gains (losses) in net income (loss), net (197) (113,273) Other settlements, net (1) (784) — Ending balance - June 30, 2021 $ 13,469 $ 7,360,766 (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. (2) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments and interest rate lock commitments, are presented on a net basis. The following table presents the portion of gains or losses included in our consolidated statements of income (loss) that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at June 30, 2021 and 2020. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and six months ended June 30, 2021 and 2020 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2021 and 2020 Included in Net Income Included in Net Income Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Assets Residential loans at Redwood $ 14,130 $ (359) $ 10,481 $ (746) Business purpose loans 28,404 31,187 40,003 (21,026) Net investments in consolidated Sequoia entities (1) 4,693 39,558 8,893 (30,502) Net investments in consolidated Freddie Mac SLST entities (1) 36,137 26,867 40,225 (115,295) Net investments in consolidated Freddie Mac K-Series entity (1) 1,855 1,599 10,776 (13,180) Net investments in consolidated CAFL entities (1) 2,908 17,125 2,556 (50,721) Trading securities 1,772 30,647 2,262 (79,633) Servicer advance investments (940) (136) (1,100) (6,198) MSRs (330) (1,591) 273 (16,507) Excess MSRs (2,477) 2,971 (4,430) (6,523) Shared home appreciation options 2,080 884 7,395 (6,670) Loan purchase and interest rate lock commitments 14,550 357 14,171 357 Liabilities Loan purchase commitments $ (696) $ 2,137 $ (724) $ (1,634) (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 June 30, 2021 and 2020, which netted together represent the change in value of our investments at the consolidated VIEs, excluding REO. The following table presents information on assets recorded at fair value on a non-recurring basis at June 30, 2021. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at June 30, 2021. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at June 30, 2021 Gain (Loss) for June 30, 2021 Carrying Fair Value Measurements Using Three Months Ended Six Months Ended (In Thousands) Level 1 Level 2 Level 3 June 30, 2021 June 30, 2021 Assets REO $ 1,233 $ — $ — $ 1,233 $ (3) $ (7) The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three and six months ended June 30, 2021 and 2020. Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ 24,988 $ (2,014) $ 48,100 $ (15,494) Residential loan purchase and forward sale commitments 51,919 621 (466) 22,056 Single-family rental loans held-for-sale, at fair value 25,222 1,210 35,470 12,677 Single-family rental loan purchase and interest rate lock commitments 744 — 744 341 Bridge loans 2,225 (1,260) 3,269 (5,194) Trading securities (1) (1,095) — (374) — Risk management derivatives, net (58,244) — 34,578 (52,832) Total mortgage banking activities, net (2) $ 45,759 $ (1,443) $ 121,321 $ (38,446) Investment Fair Value Changes, Net Residential loans at Redwood $ 1,290 $ 104 $ 1,607 $ (93,532) Single-family rental loans held-for-investment — 2,222 — (20,806) Bridge loans held-for-investment (62) 21,774 3,242 (16,828) Trading securities 2,893 42,246 23,521 (221,079) Servicer advance investments (940) (136) (1,100) (6,198) Excess MSRs (2,477) 2,971 (4,430) (6,523) Net investments in Legacy Sequoia entities (3) (216) (230) (915) (621) Net investments in Sequoia entities (3) 4,906 39,753 9,804 (29,916) Net investments in Freddie Mac SLST entities (3) 36,316 26,867 40,433 (115,295) Net investment in Freddie Mac K-Series entity (3) 1,855 1,599 10,776 (84,910) Net investments in CAFL entities (3) 3,697 17,125 3,411 (50,721) Shared home appreciation options 2,080 884 7,395 (6,670) Other investments 125 (3,005) 435 (4,892) Risk management derivatives, net — — — (59,142) Credit recoveries (losses) on AFS securities 13 54 388 (1,471) Total investment fair value changes, net $ 49,480 $ 152,228 $ 94,567 $ (718,604) Other Income MSRs $ (1,381) $ (3,955) $ (2,247) $ (22,563) Risk management derivatives, net — — — 13,966 Total other income (4) $ (1,381) $ (3,955) $ (2,247) $ (8,597) Total Market Valuation Gains (Losses), Net $ 93,858 $ 146,830 $ 213,641 $ (765,647) (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. At June 30, 2021, our valuation policy and processes had not changed from those described in our Annual Report on Form 10-K for the year ended December 31, 2020. 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 June 30, 2021 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 $ 232,343 Prepayment rate (annual CPR) 20 - 20 % 20 % Whole loan spread to TBA price $ 2.00 - $ 2.00 $ 2.00 Whole loan spread to swap rate 215 - 215 bps 215 bps Jumbo loans committed to sell 928,170 Whole loan committed sales price $ 100.88 - $ 103.03 $ 102.38 Loans held by Legacy Sequoia (2) 260,875 Liability price N/A N/A Loans held by Sequoia (2) 2,222,553 Liability price N/A N/A Loans held by Freddie Mac SLST (2) 2,098,624 Liability price N/A N/A Business purpose loans: Single-family rental loans 418,442 Senior credit spread 70 - 70 bps 70 bps Subordinate credit spread 105 - 1,531 bps 391 bps Senior credit support 34 - 34 % 34 % IO discount rate 9 - 9 % 9 % Prepayment rate (annual CPR) 3 - 3 % 3 % Non-securitizable loan dollar price $ 82 - $ 102 $ 99 Single-family rental loans held by CAFL 3,263,878 Liability price N/A N/A Bridge loans 726,569 Discount rate 6 - 15 % 8 % Multifamily loans held by Freddie Mac K-Series (2) 485,157 Liability price N/A N/A Trading and AFS securities 354,886 Discount rate 2 - 31 % 7 % Prepayment rate (annual CPR) 8 - 62 % 28 % Default rate — - 25 % 4 % Loss severity — - 50 % 22 % CRT dollar price $ 95 - $ 113 $ 102 Servicer advance investments 184,551 Discount rate 3 - 3 % 3 % Prepayment rate (annual CPR) 20 - 30 % 21 % Expected remaining life (3) 4 - 4 years 4 years Mortgage servicing income — - 15 bps 9 bps MSRs 8,721 Discount rate 12 - 12 % 12 % Prepayment rate (annual CPR) 7 - 84 % 36 % Per loan annual cost to service $ 96 - $ 96 $ 96 Excess MSRs 29,988 Discount rate 13 - 16 % 15 % Prepayment rate (annual CPR) 21 - 30 % 24 % Excess mortgage servicing income 8 - 17 bps 11 bps Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) June 30, 2021 Fair Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (1) Assets (continued) Shared home appreciation options $ 44,319 Discount rate 13 - 13 % 13 % Prepayment rate (annual CPR) 16 - 24 % 17 % Home price appreciation 3 - 4 % 3 % REO 1,233 Loss severity 4 - 40 % 23 % Residential loan purchase commitments, net 12,725 Committed sales price $ 102.00 - $ 103.03 $ 102.64 Pull-through rate 21 - 100 % 72 % Whole loan spread to TBA price $ 2.00 - $ 2.00 $ 2.00 Whole loan spread to swap rate 191 - 215 bps 201 bps Prepayment rate (annual CPR) 20 - 20 % 20 % Single-family rental interest rate lock commitments 744 Senior credit spread 70 - 70 bps 70 bps Subordinate credit spread 105 - 1,531 bps 391 bps Senior credit support 34 - 34 % 34 % IO discount rate 10 - 11 % 10 % Prepayment rate (annual CPR) 3 - 3 % 3 % Pull-through rate 100 - 100 % 100 % Liabilities ABS issued (2) : At consolidated Sequoia entities 2,248,759 Discount rate 1 - 18 % 3 % Prepayment rate (annual CPR) 7 - 51 % 33 % Default rate — - 39 % 2 % Loss severity 25 - 50 % 32 % At consolidated CAFL entities (4) 3,007,596 Discount rate 1 - 13 % 3 % Prepayment rate (annual CPR) 3 - 3 % 3 % Default rate 3 - 18 % 9 % Loss severity 30 - 30 % 30 % At consolidated Freddie Mac SLST entities 1,650,087 Discount rate 2 - 7 % 3 % Prepayment rate (annual CPR) 6 - 8 % 6 % Default rate 9 - 10 % 9 % Loss severity 35 - 35 % 35 % At consolidated Freddie Mac K-Series entities (4) 454,324 Discount rate 1 - 9 % 2 % (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 June 30, 2021, the fair value of securities we owned at the consolidated Sequoia, CAFL, Freddie Mac SLST, and Freddie Mac K-Series entities was $235 million, $268 million, $450 million, and $31 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 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. Included in Note 5 to the Consolidated Financial Statements of our Annual Report on Form 10-K for the year ended December 31, 2020 |
Residential Loans
Residential Loans | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 and December 31, 2020. Table 6.1 – Classifications and Carrying Values of Residential Loans June 30, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,160,548 $ — $ — $ — $ 1,160,548 Held-for-investment at fair value — 260,875 2,222,553 2,098,624 4,582,052 Total Residential Loans $ 1,160,548 $ 260,875 $ 2,222,553 $ 2,098,624 $ 5,742,600 December 31, 2020 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia 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 At June 30, 2021, we owned mortgage servicing rights associated with $1.10 billion (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 June 30, 2021 and December 31, 2020. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) June 30, 2021 December 31, 2020 Number of loans 1,316 198 Unpaid principal balance $ 1,135,356 $ 172,748 Fair value of loans $ 1,160,548 $ 176,641 Market value of loans pledged as collateral under short-term borrowing agreements $ 1,152,267 $ 156,355 Delinquency information Number of loans with 90+ day delinquencies 2 1 Unpaid principal balance of loans with 90+ day delinquencies $ 2,100 $ 1,882 Fair value of loans with 90+ day delinquencies $ 1,397 $ 1,223 Number of loans in foreclosure — — The following table provides the activity of residential loans held-for-sale during the three and six months ended June 30, 2021 and 2020. Table 6.3 – Activity of Residential Loans Held-for-Sale Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Principal balance of loans acquired $ 3,484,633 $ 57,743 $ 6,580,681 $ 2,687,651 Principal balance of loans sold 3,324,919 2,280,076 5,600,751 4,936,795 Net market valuation gains (losses) recorded (1) 26,278 (2,014) 49,707 (15,494) (1) Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily through Mortgage banking activities, net on our consolidated statements of income (loss). Residential Loans Held-for-Investment at Fair Value We invest in residential subordinate securities issued by Legacy Sequoia, Sequoia, and Freddie Mac SLST securitization trusts and consolidate the underlying residential loans owned by these entities for financial reporting purposes in accordance with GAAP. The following tables summarize the characteristics of the residential loans owned at consolidated Sequoia and Freddie Mac SLST entities at June 30, 2021 and December 31, 2020. Table 6.4 – Characteristics of Residential Loans Held-for-Investment June 30, 2021 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,733 2,775 12,902 Unpaid principal balance $ 295,368 $ 2,193,269 $ 2,107,256 Fair value of loans $ 260,875 $ 2,222,553 $ 2,098,624 Delinquency information Number of loans with 90+ day delinquencies (1) 43 48 1,446 Unpaid principal balance of loans with 90+ day delinquencies $ 14,878 $ 38,502 $ 261,504 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 18 3 308 Unpaid principal balance of loans in foreclosure $ 3,830 $ 2,257 $ 51,191 December 31, 2020 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia 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 (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 three and six months ended June 30, 2021 and 2020. Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Fair value of loans transferred from HFS to HFI $ — $ — $ — $ 13,258 Fair value of loans transferred from HFI to HFS — — — 1,870,986 Net market valuation gains (losses) recorded (1) — 104 — (93,532) (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 three and six months ended June 30, 2021 and 2020. Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 Legacy Freddie Mac Legacy Freddie Mac (In Thousands) Sequoia Sequoia SLST Sequoia Sequoia SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 1,205,494 N/A N/A $ 270,506 N/A Net market valuation gains (losses) recorded (1) 4,863 (12,835) 22,579 8,081 93,932 48,587 Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 Legacy Freddie Mac Legacy Freddie Mac (In Thousands) Sequoia Sequoia SLST Sequoia Sequoia SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 1,205,494 N/A N/A $ 270,506 N/A Net market valuation gains (losses) recorded (1) 12,476 (15,413) 19,014 (60,933) (16,553) (144,433) (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. (2) For loans held at our consolidated Legacy Sequoia, Sequoia, 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 Table 4.2 . We originate and invest in business purpose loans, including single-family rental ("SFR") loans and bridge loans. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans June 30, 2021 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 418,442 — $ — $ 418,442 Held-for-investment at fair value — 3,263,878 726,569 3,990,447 Total Business Purpose Loans $ 418,442 $ 3,263,878 $ 726,569 $ 4,408,889 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 The following table provides the activity of business purpose loans at Redwood during the three and six months ended June 30, 2021 and 2020. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 312,217 $ 215,160 $ 175,876 $ 58,468 Principal balance of loans sold to third parties — 354 — 1,558 Fair value of loans transferred from HFS to HFI (1) 297,301 N/A 220,923 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 25,222 978 1,210 (3,277) Investment fair value changes recorded (4) — (62) 2,222 21,774 Six Months Ended Six Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 565,315 $ 348,389 $ 436,005 $ 285,836 Principal balance of loans sold to third parties — 9,231 26,148 22,293 Fair value of loans transferred from HFS to HFI (1) 466,705 N/A 599,032 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 35,470 1,521 11,540 (3,441) Investment fair value changes recorded (4) — 3,242 (20,806) (16,828) (1) Represents the transfer of single-family rental loans from held-for-sale to held-for-investment associated with CAFL securitizations. (2) Represents the transfer of single-family rental loans from held-for-investment to held-for-sale associated with the call of a consolidated CAFL securitization during the second quarter of 2021. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio. Additionally, for the three and six months ended June 30, 2021, we recorded loan origination fee income of $7 million and $13 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). For the three and six months ended June 30, 2020, we recorded loan origination fee income of $2 million and $11 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes for loans classified as held-for-investment. Bridge Loans Held-for-Investment The outstanding bridge loans held-for-investment at June 30, 2021 were first lien, 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 We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying single-family rental loans owned by these entities. The outstanding single-family rental loans held-for-investment at CAFL at June 30, 2021 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years. During the six months ended June 30, 2021, we transferred two CAFL loans with a fair value of $12 million to REO, which is included in Other assets on our consolidated balance sheets. The following table provides the activity of single-family rental loans held-for-investment at CAFL during the three and six months ended June 30, 2021 and 2020. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net market valuation gains (losses) recorded (1) $ (1,230) $ 169,327 $ (62,132) $ (102,590) (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 Table 4.2 . Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.4 – Characteristics of Business Purpose Loans June 30, 2021 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 112 1,121 2,471 Unpaid principal balance $ 399,900 $ 3,060,949 $ 729,149 Fair value of loans $ 418,442 $ 3,263,878 $ 726,569 Weighted average coupon 4.84 % 5.34 % 7.63 % Weighted average remaining loan term (years) 7 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 122,277 N/A $ 127,133 Market value of loans pledged as collateral under long-term debt facilities $ 246,903 N/A $ 555,791 Delinquency information Number of loans with 90+ day delinquencies (1) 9 21 40 Unpaid principal balance of loans with 90+ day delinquencies $ 6,586 $ 59,841 $ 35,018 Fair value of loans with 90+ day delinquencies (2) $ 5,369 N/A $ 31,512 Number of loans in foreclosure 7 10 43 Unpaid principal balance of loans in foreclosure $ 5,976 $ 24,212 $ 32,611 Fair value of loans in foreclosure (2) $ 4,798 N/A $ 28,963 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 (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. We invest in multifamily subordinate securities issued by a Freddie Mac K-Series securitization trust and consolidate the underlying multifamily loans owned by this entity for financial reporting purposes in accordance with GAAP. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at June 30, 2021 and December 31, 2020. Table 8.1 – Characteristics of Multifamily Loans (Dollars in Thousands) June 30, 2021 December 31, 2020 Number of loans 28 28 Unpaid principal balance $ 459,002 $ 462,808 Fair value of loans $ 485,157 $ 492,221 Weighted average coupon 4.25 % 4.25 % Weighted average remaining loan term (years) 4 5 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at June 30, 2021 were first-lien, fixed-rate loans that were originated in 2015. The following table provides the activity of multifamily loans held-for-investment during the three and six months ended June 30, 2021 and 2020. Table 8.2 – Activity of Multifamily Loans Held-for-Investment Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net market valuation gains (losses) recorded (1) $ (2,528) $ 18,591 $ (3,258) $ (63,840) (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 entity, 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 Table 4.2 . |
Business Purpose Loans
Business Purpose Loans | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 and December 31, 2020. Table 6.1 – Classifications and Carrying Values of Residential Loans June 30, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,160,548 $ — $ — $ — $ 1,160,548 Held-for-investment at fair value — 260,875 2,222,553 2,098,624 4,582,052 Total Residential Loans $ 1,160,548 $ 260,875 $ 2,222,553 $ 2,098,624 $ 5,742,600 December 31, 2020 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia 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 At June 30, 2021, we owned mortgage servicing rights associated with $1.10 billion (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 June 30, 2021 and December 31, 2020. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) June 30, 2021 December 31, 2020 Number of loans 1,316 198 Unpaid principal balance $ 1,135,356 $ 172,748 Fair value of loans $ 1,160,548 $ 176,641 Market value of loans pledged as collateral under short-term borrowing agreements $ 1,152,267 $ 156,355 Delinquency information Number of loans with 90+ day delinquencies 2 1 Unpaid principal balance of loans with 90+ day delinquencies $ 2,100 $ 1,882 Fair value of loans with 90+ day delinquencies $ 1,397 $ 1,223 Number of loans in foreclosure — — The following table provides the activity of residential loans held-for-sale during the three and six months ended June 30, 2021 and 2020. Table 6.3 – Activity of Residential Loans Held-for-Sale Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Principal balance of loans acquired $ 3,484,633 $ 57,743 $ 6,580,681 $ 2,687,651 Principal balance of loans sold 3,324,919 2,280,076 5,600,751 4,936,795 Net market valuation gains (losses) recorded (1) 26,278 (2,014) 49,707 (15,494) (1) Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily through Mortgage banking activities, net on our consolidated statements of income (loss). Residential Loans Held-for-Investment at Fair Value We invest in residential subordinate securities issued by Legacy Sequoia, Sequoia, and Freddie Mac SLST securitization trusts and consolidate the underlying residential loans owned by these entities for financial reporting purposes in accordance with GAAP. The following tables summarize the characteristics of the residential loans owned at consolidated Sequoia and Freddie Mac SLST entities at June 30, 2021 and December 31, 2020. Table 6.4 – Characteristics of Residential Loans Held-for-Investment June 30, 2021 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,733 2,775 12,902 Unpaid principal balance $ 295,368 $ 2,193,269 $ 2,107,256 Fair value of loans $ 260,875 $ 2,222,553 $ 2,098,624 Delinquency information Number of loans with 90+ day delinquencies (1) 43 48 1,446 Unpaid principal balance of loans with 90+ day delinquencies $ 14,878 $ 38,502 $ 261,504 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 18 3 308 Unpaid principal balance of loans in foreclosure $ 3,830 $ 2,257 $ 51,191 December 31, 2020 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia 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 (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 three and six months ended June 30, 2021 and 2020. Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Fair value of loans transferred from HFS to HFI $ — $ — $ — $ 13,258 Fair value of loans transferred from HFI to HFS — — — 1,870,986 Net market valuation gains (losses) recorded (1) — 104 — (93,532) (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 three and six months ended June 30, 2021 and 2020. Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 Legacy Freddie Mac Legacy Freddie Mac (In Thousands) Sequoia Sequoia SLST Sequoia Sequoia SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 1,205,494 N/A N/A $ 270,506 N/A Net market valuation gains (losses) recorded (1) 4,863 (12,835) 22,579 8,081 93,932 48,587 Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 Legacy Freddie Mac Legacy Freddie Mac (In Thousands) Sequoia Sequoia SLST Sequoia Sequoia SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 1,205,494 N/A N/A $ 270,506 N/A Net market valuation gains (losses) recorded (1) 12,476 (15,413) 19,014 (60,933) (16,553) (144,433) (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. (2) For loans held at our consolidated Legacy Sequoia, Sequoia, 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 Table 4.2 . We originate and invest in business purpose loans, including single-family rental ("SFR") loans and bridge loans. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans June 30, 2021 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 418,442 — $ — $ 418,442 Held-for-investment at fair value — 3,263,878 726,569 3,990,447 Total Business Purpose Loans $ 418,442 $ 3,263,878 $ 726,569 $ 4,408,889 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 The following table provides the activity of business purpose loans at Redwood during the three and six months ended June 30, 2021 and 2020. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 312,217 $ 215,160 $ 175,876 $ 58,468 Principal balance of loans sold to third parties — 354 — 1,558 Fair value of loans transferred from HFS to HFI (1) 297,301 N/A 220,923 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 25,222 978 1,210 (3,277) Investment fair value changes recorded (4) — (62) 2,222 21,774 Six Months Ended Six Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 565,315 $ 348,389 $ 436,005 $ 285,836 Principal balance of loans sold to third parties — 9,231 26,148 22,293 Fair value of loans transferred from HFS to HFI (1) 466,705 N/A 599,032 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 35,470 1,521 11,540 (3,441) Investment fair value changes recorded (4) — 3,242 (20,806) (16,828) (1) Represents the transfer of single-family rental loans from held-for-sale to held-for-investment associated with CAFL securitizations. (2) Represents the transfer of single-family rental loans from held-for-investment to held-for-sale associated with the call of a consolidated CAFL securitization during the second quarter of 2021. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio. Additionally, for the three and six months ended June 30, 2021, we recorded loan origination fee income of $7 million and $13 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). For the three and six months ended June 30, 2020, we recorded loan origination fee income of $2 million and $11 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes for loans classified as held-for-investment. Bridge Loans Held-for-Investment The outstanding bridge loans held-for-investment at June 30, 2021 were first lien, 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 We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying single-family rental loans owned by these entities. The outstanding single-family rental loans held-for-investment at CAFL at June 30, 2021 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years. During the six months ended June 30, 2021, we transferred two CAFL loans with a fair value of $12 million to REO, which is included in Other assets on our consolidated balance sheets. The following table provides the activity of single-family rental loans held-for-investment at CAFL during the three and six months ended June 30, 2021 and 2020. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net market valuation gains (losses) recorded (1) $ (1,230) $ 169,327 $ (62,132) $ (102,590) (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 Table 4.2 . Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.4 – Characteristics of Business Purpose Loans June 30, 2021 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 112 1,121 2,471 Unpaid principal balance $ 399,900 $ 3,060,949 $ 729,149 Fair value of loans $ 418,442 $ 3,263,878 $ 726,569 Weighted average coupon 4.84 % 5.34 % 7.63 % Weighted average remaining loan term (years) 7 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 122,277 N/A $ 127,133 Market value of loans pledged as collateral under long-term debt facilities $ 246,903 N/A $ 555,791 Delinquency information Number of loans with 90+ day delinquencies (1) 9 21 40 Unpaid principal balance of loans with 90+ day delinquencies $ 6,586 $ 59,841 $ 35,018 Fair value of loans with 90+ day delinquencies (2) $ 5,369 N/A $ 31,512 Number of loans in foreclosure 7 10 43 Unpaid principal balance of loans in foreclosure $ 5,976 $ 24,212 $ 32,611 Fair value of loans in foreclosure (2) $ 4,798 N/A $ 28,963 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 (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. We invest in multifamily subordinate securities issued by a Freddie Mac K-Series securitization trust and consolidate the underlying multifamily loans owned by this entity for financial reporting purposes in accordance with GAAP. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at June 30, 2021 and December 31, 2020. Table 8.1 – Characteristics of Multifamily Loans (Dollars in Thousands) June 30, 2021 December 31, 2020 Number of loans 28 28 Unpaid principal balance $ 459,002 $ 462,808 Fair value of loans $ 485,157 $ 492,221 Weighted average coupon 4.25 % 4.25 % Weighted average remaining loan term (years) 4 5 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at June 30, 2021 were first-lien, fixed-rate loans that were originated in 2015. The following table provides the activity of multifamily loans held-for-investment during the three and six months ended June 30, 2021 and 2020. Table 8.2 – Activity of Multifamily Loans Held-for-Investment Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net market valuation gains (losses) recorded (1) $ (2,528) $ 18,591 $ (3,258) $ (63,840) (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 entity, 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 Table 4.2 . |
Multifamily Loans
Multifamily Loans | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 and December 31, 2020. Table 6.1 – Classifications and Carrying Values of Residential Loans June 30, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,160,548 $ — $ — $ — $ 1,160,548 Held-for-investment at fair value — 260,875 2,222,553 2,098,624 4,582,052 Total Residential Loans $ 1,160,548 $ 260,875 $ 2,222,553 $ 2,098,624 $ 5,742,600 December 31, 2020 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia 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 At June 30, 2021, we owned mortgage servicing rights associated with $1.10 billion (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 June 30, 2021 and December 31, 2020. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) June 30, 2021 December 31, 2020 Number of loans 1,316 198 Unpaid principal balance $ 1,135,356 $ 172,748 Fair value of loans $ 1,160,548 $ 176,641 Market value of loans pledged as collateral under short-term borrowing agreements $ 1,152,267 $ 156,355 Delinquency information Number of loans with 90+ day delinquencies 2 1 Unpaid principal balance of loans with 90+ day delinquencies $ 2,100 $ 1,882 Fair value of loans with 90+ day delinquencies $ 1,397 $ 1,223 Number of loans in foreclosure — — The following table provides the activity of residential loans held-for-sale during the three and six months ended June 30, 2021 and 2020. Table 6.3 – Activity of Residential Loans Held-for-Sale Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Principal balance of loans acquired $ 3,484,633 $ 57,743 $ 6,580,681 $ 2,687,651 Principal balance of loans sold 3,324,919 2,280,076 5,600,751 4,936,795 Net market valuation gains (losses) recorded (1) 26,278 (2,014) 49,707 (15,494) (1) Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily through Mortgage banking activities, net on our consolidated statements of income (loss). Residential Loans Held-for-Investment at Fair Value We invest in residential subordinate securities issued by Legacy Sequoia, Sequoia, and Freddie Mac SLST securitization trusts and consolidate the underlying residential loans owned by these entities for financial reporting purposes in accordance with GAAP. The following tables summarize the characteristics of the residential loans owned at consolidated Sequoia and Freddie Mac SLST entities at June 30, 2021 and December 31, 2020. Table 6.4 – Characteristics of Residential Loans Held-for-Investment June 30, 2021 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,733 2,775 12,902 Unpaid principal balance $ 295,368 $ 2,193,269 $ 2,107,256 Fair value of loans $ 260,875 $ 2,222,553 $ 2,098,624 Delinquency information Number of loans with 90+ day delinquencies (1) 43 48 1,446 Unpaid principal balance of loans with 90+ day delinquencies $ 14,878 $ 38,502 $ 261,504 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 18 3 308 Unpaid principal balance of loans in foreclosure $ 3,830 $ 2,257 $ 51,191 December 31, 2020 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia 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 (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 three and six months ended June 30, 2021 and 2020. Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Fair value of loans transferred from HFS to HFI $ — $ — $ — $ 13,258 Fair value of loans transferred from HFI to HFS — — — 1,870,986 Net market valuation gains (losses) recorded (1) — 104 — (93,532) (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 three and six months ended June 30, 2021 and 2020. Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 Legacy Freddie Mac Legacy Freddie Mac (In Thousands) Sequoia Sequoia SLST Sequoia Sequoia SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 1,205,494 N/A N/A $ 270,506 N/A Net market valuation gains (losses) recorded (1) 4,863 (12,835) 22,579 8,081 93,932 48,587 Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 Legacy Freddie Mac Legacy Freddie Mac (In Thousands) Sequoia Sequoia SLST Sequoia Sequoia SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 1,205,494 N/A N/A $ 270,506 N/A Net market valuation gains (losses) recorded (1) 12,476 (15,413) 19,014 (60,933) (16,553) (144,433) (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. (2) For loans held at our consolidated Legacy Sequoia, Sequoia, 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 Table 4.2 . We originate and invest in business purpose loans, including single-family rental ("SFR") loans and bridge loans. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans June 30, 2021 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 418,442 — $ — $ 418,442 Held-for-investment at fair value — 3,263,878 726,569 3,990,447 Total Business Purpose Loans $ 418,442 $ 3,263,878 $ 726,569 $ 4,408,889 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 The following table provides the activity of business purpose loans at Redwood during the three and six months ended June 30, 2021 and 2020. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 312,217 $ 215,160 $ 175,876 $ 58,468 Principal balance of loans sold to third parties — 354 — 1,558 Fair value of loans transferred from HFS to HFI (1) 297,301 N/A 220,923 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 25,222 978 1,210 (3,277) Investment fair value changes recorded (4) — (62) 2,222 21,774 Six Months Ended Six Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 565,315 $ 348,389 $ 436,005 $ 285,836 Principal balance of loans sold to third parties — 9,231 26,148 22,293 Fair value of loans transferred from HFS to HFI (1) 466,705 N/A 599,032 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 35,470 1,521 11,540 (3,441) Investment fair value changes recorded (4) — 3,242 (20,806) (16,828) (1) Represents the transfer of single-family rental loans from held-for-sale to held-for-investment associated with CAFL securitizations. (2) Represents the transfer of single-family rental loans from held-for-investment to held-for-sale associated with the call of a consolidated CAFL securitization during the second quarter of 2021. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio. Additionally, for the three and six months ended June 30, 2021, we recorded loan origination fee income of $7 million and $13 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). For the three and six months ended June 30, 2020, we recorded loan origination fee income of $2 million and $11 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes for loans classified as held-for-investment. Bridge Loans Held-for-Investment The outstanding bridge loans held-for-investment at June 30, 2021 were first lien, 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 We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying single-family rental loans owned by these entities. The outstanding single-family rental loans held-for-investment at CAFL at June 30, 2021 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years. During the six months ended June 30, 2021, we transferred two CAFL loans with a fair value of $12 million to REO, which is included in Other assets on our consolidated balance sheets. The following table provides the activity of single-family rental loans held-for-investment at CAFL during the three and six months ended June 30, 2021 and 2020. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net market valuation gains (losses) recorded (1) $ (1,230) $ 169,327 $ (62,132) $ (102,590) (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 Table 4.2 . Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.4 – Characteristics of Business Purpose Loans June 30, 2021 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 112 1,121 2,471 Unpaid principal balance $ 399,900 $ 3,060,949 $ 729,149 Fair value of loans $ 418,442 $ 3,263,878 $ 726,569 Weighted average coupon 4.84 % 5.34 % 7.63 % Weighted average remaining loan term (years) 7 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 122,277 N/A $ 127,133 Market value of loans pledged as collateral under long-term debt facilities $ 246,903 N/A $ 555,791 Delinquency information Number of loans with 90+ day delinquencies (1) 9 21 40 Unpaid principal balance of loans with 90+ day delinquencies $ 6,586 $ 59,841 $ 35,018 Fair value of loans with 90+ day delinquencies (2) $ 5,369 N/A $ 31,512 Number of loans in foreclosure 7 10 43 Unpaid principal balance of loans in foreclosure $ 5,976 $ 24,212 $ 32,611 Fair value of loans in foreclosure (2) $ 4,798 N/A $ 28,963 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 (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. We invest in multifamily subordinate securities issued by a Freddie Mac K-Series securitization trust and consolidate the underlying multifamily loans owned by this entity for financial reporting purposes in accordance with GAAP. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at June 30, 2021 and December 31, 2020. Table 8.1 – Characteristics of Multifamily Loans (Dollars in Thousands) June 30, 2021 December 31, 2020 Number of loans 28 28 Unpaid principal balance $ 459,002 $ 462,808 Fair value of loans $ 485,157 $ 492,221 Weighted average coupon 4.25 % 4.25 % Weighted average remaining loan term (years) 4 5 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at June 30, 2021 were first-lien, fixed-rate loans that were originated in 2015. The following table provides the activity of multifamily loans held-for-investment during the three and six months ended June 30, 2021 and 2020. Table 8.2 – Activity of Multifamily Loans Held-for-Investment Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net market valuation gains (losses) recorded (1) $ (2,528) $ 18,591 $ (3,258) $ (63,840) (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 entity, 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 Table 4.2 . |
Real Estate Securities
Real Estate Securities | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 and December 31, 2020. Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) June 30, 2021 December 31, 2020 Trading $ 142,425 $ 125,667 Available-for-sale 212,461 218,458 Total Real Estate Securities $ 354,886 $ 344,125 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. Subordinate securities are all interests below mezzanine. Exclusive of 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 June 30, 2021 and December 31, 2020. Table 9.2 – Fair Value of Trading Securities by Position (In Thousands) June 30, 2021 December 31, 2020 Senior Interest-only securities (1) $ 25,267 $ 28,464 Total Senior 25,267 28,464 Mezzanine Sequoia securities — 3,649 Total Mezzanine — 3,649 Subordinate RPL securities 60,887 47,448 Multifamily securities 8,266 5,592 Other third-party residential securities 48,005 40,514 Total Subordinate 117,158 93,554 Total Trading Securities $ 142,425 $ 125,667 (1) Includes $17 million and $13 million of Sequoia certificated mortgage servicing rights at June 30, 2021 and December 31, 2020, respectively. The following table presents the unpaid principal balance of trading securities by position and collateral type at June 30, 2021 and December 31, 2020. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position (In Thousands) June 30, 2021 December 31, 2020 Senior (1) $ — $ — Mezzanine — 3,577 Subordinate 208,381 242,278 Total Trading Securities $ 208,381 $ 245,855 (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 three and six months ended June 30, 2021 and 2020. Table 9.4 – Trading Securities Activity Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Principal balance of securities acquired $ 1,750 $ 10,250 $ 17,630 $ 66,721 Principal balance of securities sold 18,068 85,747 52,811 704,614 Net market valuation gains (losses) recorded (1) 1,798 42,246 23,147 (221,079) (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 June 30, 2021 and December 31, 2020. Table 9.5 – Fair Value of Available-for-Sale Securities by Position (In Thousands) June 30, 2021 December 31, 2020 Mezzanine Other third-party residential securities $ — $ 2,014 Total Mezzanine — 2,014 Subordinate Sequoia securities 140,321 136,475 Multifamily securities 34,213 43,663 Other third-party residential securities 37,927 36,306 Total Subordinate 212,461 216,444 Total AFS Securities $ 212,461 $ 218,458 The following table provides the activity of available-for-sale securities during the three and six months ended June 30, 2021 and 2020. Table 9.6 – Available-for-Sale Securities Activity Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Fair value of securities acquired $ 522 $ — $ 1,600 $ 31,181 Fair value of securities sold 2,585 8,736 4,785 55,193 Net realized gains recorded 1,307 783 1,507 4,635 During the three months ended June 30, 2021, we called three of our unconsolidated Sequoia entities, and purchased $83 million (unpaid principal balance) of loans from the securitization trusts. In association with these calls, we realized a $7 million gain on the securities we owned from these securitizations, which was recognized through Realized gains, net on our consolidated statements of income (loss). During the six months ended June 30, 2021, we called four of our unconsolidated Sequoia entities, and purchased $101 million (unpaid principal balance) of loans from the securitization trusts. In association with these calls, we realized a $9 million gain on the securities we owned from these securitizations, which was recognized through Realized gains, net on our consolidated statements of income (loss). 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 June 30, 2021, we had $31 million of AFS securities with contractual maturities less than five years, $4 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 June 30, 2021 and December 31, 2020. Table 9.7 – Carrying Value of AFS Securities June 30, 2021 (In Thousands) Mezzanine Subordinate Total Principal balance $ — $ 254,784 $ 254,784 Credit reserve — (40,349) (40,349) Unamortized discount, net — (90,216) (90,216) Amortized cost — 124,219 124,219 Gross unrealized gains — 88,321 88,321 Gross unrealized losses — (79) (79) CECL allowance — — — Carrying Value $ — $ 212,461 $ 212,461 December 31, 2020 (In Thousands) 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 allowance — (388) (388) Carrying Value $ 2,014 $ 216,444 $ 218,458 The following table presents the changes for the three and six months ended June 30, 2021, 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 Three Months Ended Six Months Ended Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 44,947 $ 94,188 $ 44,967 $ 95,718 Amortization of net discount — (1,569) — (3,183) Realized credit losses (112) — (249) — Acquisitions 890 368 2,825 1,208 Sales, calls, other (718) (7,429) (992) (9,729) Transfers to (release of) credit reserves, net (4,658) 4,658 (6,202) 6,202 Ending Balance $ 40,349 $ 90,216 $ 40,349 $ 90,216 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 June 30, 2021 and December 31, 2020. 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) June 30, 2021 $ — $ — $ — $ 3,600 $ (79) $ 3,521 December 31, 2020 9,129 (1,047) 7,920 — — — At June 30, 2021, after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 88 AFS securities, of which two were in a continuous unrealized loss position for 12 consecutive months or longer. At December 31, 2020, 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. Evaluating AFS Securities for Credit Losses Gross unrealized losses on our AFS securities were $0.1 million at June 30, 2021. 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 June 30, 2021, 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 June 30, 2021, our current expected credit loss ("CECL") allowance related to our AFS securities was zero. 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 June 30, 2021. Table 9.10 – Significant Credit Quality Indicators June 30, 2021 Subordinate Securities Default rate 0.35% Loss severity 18% The following table details the activity related to the allowance for credit losses for AFS securities for the three and six months ended June 30, 2021. Table 9.11 – Rollforward of Allowance for Credit Losses Three Months Ended June 30, 2021 Six Months Ended June 30, 2021 (In Thousands) Beginning balance allowance for credit losses $ 13 $ 388 Additions to allowance for credit losses on securities for which credit losses were not previously recorded — — Additional increases (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period (13) (388) 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 $ — $ — Gains and losses from the sale of AFS securities are recorded as Realized gains, net, in our consolidated statements of income (loss). The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and six months ended June 30, 2021 and 2020. Table 9.12 – Gross Realized Gains and Losses on AFS Securities Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Gross realized gains - sales $ 1,307 $ 1,074 $ 1,507 $ 8,779 Gross realized gains - calls 6,687 — 9,095 — Gross realized losses - sales — (291) — (4,144) Total Realized Gains on Sales and Calls of AFS Securities, net $ 7,994 $ 783 $ 10,602 $ 4,635 |
Other Investments
Other Investments | 6 Months Ended |
Jun. 30, 2021 | |
Investments, All Other Investments [Abstract] | |
Other Investments | Other Investments Other investments at June 30, 2021 and December 31, 2020 are summarized in the following table. Table 10.1 – Components of Other Investments (In Thousands) June 30, 2021 December 31, 2020 Servicer advance investments $ 184,551 $ 231,489 Shared home appreciation options 44,319 42,440 Excess MSRs 29,988 34,418 Mortgage servicing rights 8,721 8,815 Other 41,153 31,013 Total Other Investments $ 308,732 $ 348,175 Servicer advance investments We and a third-party co-investor, through two partnerships (“SA Buyers”) consolidated by us, purchased the outstanding servicer advances and excess MSRs related to a portfolio of legacy residential mortgage-backed securitizations serviced by the co-investor (Refer to our Annual Report on Form 10-K for the year ended December 31, 2020 for additional information regarding the transactions). At June 30, 2021, we had funded $94 million of total capital to the SA Buyers (see Note 16 for additional detail). At June 30, 2021, our servicer advance investments had a carrying value of $185 million and were associated with a portfolio of residential mortgage loans with an unpaid principal balance of $8.03 billion. The outstanding servicer advance receivables associated with this investment were $172 million at June 30, 2021, 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 June 30, 2021 and December 31, 2020. Table 10.2 – Components of Servicer Advance Receivables (In Thousands) June 30, 2021 December 31, 2020 Principal and interest advances $ 80,741 $ 110,923 Escrow advances (taxes and insurance advances) 68,534 79,279 Corporate advances 22,543 27,454 Total Servicer Advance Receivables $ 171,818 $ 217,656 We account for our servicer advance investments at fair value and during the three and six months ended June 30, 2021, we recorded $2 million and $5 million of interest income, respectively, through Other interest income, and recorded net market valuation losses of $1 million for both periods through Investment fair value changes, net in our consolidated statements of income (loss). During the three and six months ended June 30, 2020, we recorded $3 million and $6 million of interest income, respectively, through Other interest income, and recorded net market valuation losses of $0.1 million and $6 million, respectively, through Investment fair value changes, net in our consolidated statements of income (loss). Shared Home Appreciation Options In 2019, we entered into a flow purchase agreement to acquire shared home appreciation options. At June 30, 2021, 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 three and six months ended June 30, 2021, we recorded net market valuation gains of $2 million and $7 million, respectively, related to these assets through Investment fair value changes, net on our consolidated statements of income (loss). During the three and six months ended June 30, 2020, we recorded a net market valuation gain of $1 million and a net market valuation loss of $7 million, respectively, related to these assets through Investment fair value changes, net on our consolidated statements of income (loss). Excess MSRs In association with our servicer advance investments described above, we (through our consolidated SA Buyers) invested in excess MSRs associated with the same portfolio of legacy residential mortgage-backed securitizations. Additionally, we own excess MSRs associated with specified pools of multifamily loans. We account for our excess MSRs at fair value and during the three and six months ended June 30, 2021, we recognized $3 million and $6 million of interest income, respectively, through Other interest income, and recorded net market valuation losses of $2 million and $4 million, respectively, through Investment fair value changes, net on our consolidated statements of income (loss). During the three and six months ended June 30, 2020, we recognized $3 million and $6 million of interest income, respectively, through Other interest income, and recorded a net market valuation gain of $3 million and a net market valuation loss of $7 million, respectively, through Investment fair value changes, net on our consolidated statements of income (loss). Mortgage Servicing Rights We invest in mortgage servicing rights associated with residential mortgage loans and contract with licensed sub-servicers to perform all servicing functions for these loans. The majority of our investments in MSRs were made through the retention of servicing rights associated with the residential jumbo mortgage loans that we acquired and subsequently sold to third parties. During both the three and six months ended June 30, 2021, we retained $2 million of MSRs from sales of residential loans to third parties. We hold our MSR investments at our taxable REIT subsidiaries. |
Derivative Financial Instrument
Derivative Financial Instruments | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 and December 31, 2020. Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments June 30, 2021 December 31, 2020 Fair Notional Fair Notional (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 264 $ 133,000 $ 224 $ 42,000 TBAs 2,064 730,000 18,260 3,520,000 Interest rate futures 304 81,500 — — Swaptions 17,482 2,100,000 19,727 1,585,000 Assets - Other Derivatives Loan purchase and interest rate lock commitments 14,191 2,332,511 15,027 2,617,254 Total Assets $ 34,305 $ 5,377,011 $ 53,238 $ 7,764,254 Liabilities - Risk Management Derivatives Interest rate swaps $ (957) $ 87,500 $ — $ — TBAs (1,367) 730,000 (15,495) 3,105,000 Interest rate futures (194) 140,000 — — Liabilities - Other Derivatives Loan purchase commitments (722) 164,971 (577) 477,153 Total Liabilities $ (3,240) $ 1,122,471 $ (16,072) $ 3,582,153 Total Derivative Financial Instruments, Net $ 31,065 $ 6,499,482 $ 37,166 $ 11,346,407 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 June 30, 2021, we were party to swaps and swaptions with an aggregate notional amount of $2.32 billion, TBA agreements with an aggregate notional amount of $1.46 billion, and interest rate futures contracts with an aggregate notional amount of $222 million. 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. During the three and six months ended June 30, 2021, risk management derivatives had a net market valuation loss of $58 million and a net market valuation gain of $35 million, respectively. During the three and six months ended June 30, 2020, risk management derivatives had net market valuation losses of zero and $98 million, respectively. These market valuation gains and losses are recorded in Mortgage banking activities, net, Investment fair value changes, net, and Other income on our consolidated statements of income (loss). Loan Purchase and Interest Rate Lock Commitments LPCs and IRLCs that qualify as derivatives are recorded at their estimated fair values. For the three and six months ended June 30, 2021, LPCs and IRLCs had net market valuation gains of $53 million and $0.3 million, respectively, that were recorded in Mortgage banking activities, net on our consolidated statements of income (loss). For the three and six months ended June 30, 2020, LPCs and IRLCs had net market valuation gains of $1 million and $22 million, respectively, that were recorded in Mortgage banking activities, net on our consolidated statements of income (loss). Derivatives Designated as Cash Flow Hedges To manage the variability in interest expense related to a portion of our long-term debt that is 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 $79 million and $81 million at June 30, 2021 and December 31, 2020, respectively. We are amortizing this loss into interest expense over the remaining term of the debt they were originally hedging. As of June 30, 2021, we expect to amortize $4 million of realized losses related to terminated cash flow hedges into interest expense over the next twelve months. For both the three and six months ended June 30, 2021, we did not have any derivatives designated as cash flow hedges. For the three and six months ended June 30, 2020, changes in the values of designated cash flow hedges were zero and negative $33 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 three and six months ended June 30, 2021 and 2020. Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net interest expense on cash flows hedges $ — $ — $ — $ (860) Realized net losses reclassified from other comprehensive income (1,028) (1,029) (2,046) (1,108) Total Interest Expense $ (1,028) $ (1,029) $ (2,046) $ (1,968) Derivative Counterparty Credit Risk As discussed in our Annual Report on Form 10-K for the year ended December 31, 2020, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At June 30, 2021, we assessed this risk as remote and did not record an associated specific valuation adjustment. At June 30, 2021, we were in compliance with our derivative counterparty ISDA agreements. |
Other Assets and Liabilities
Other Assets and Liabilities | 6 Months Ended |
Jun. 30, 2021 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Liabilities | Other Assets and Liabilities Other assets at June 30, 2021 and December 31, 2020 are summarized in the following table. Table 12.1 – Components of Other Assets (In Thousands) June 30, 2021 December 31, 2020 Accrued interest receivable $ 41,366 $ 39,445 Investment receivable 38,281 43,176 REO 15,489 8,413 Operating lease right-of-use assets 14,370 15,012 Margin receivable 10,269 4,758 Fixed assets and leasehold improvements (1) 7,202 4,203 Pledged collateral — 1,177 Other 9,455 14,404 Total Other Assets $ 136,432 $ 130,588 (1) Fixed assets and leasehold improvements had a basis of $14 million and accumulated depreciation of $7 million at June 30, 2021. Accrued expenses and other liabilities at June 30, 2021 and December 31, 2020 are summarized in the following table. Table 12.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) June 30, 2021 December 31, 2020 Accrued compensation $ 42,737 $ 24,393 Accrued interest payable 35,615 34,858 Margin payable 19,503 14,728 Operating lease liabilities 15,997 16,687 Payable to minority partner 15,414 16,941 Unsettled trades 13,952 — Residential loan and MSR repurchase reserve 8,709 8,631 Guarantee obligations 8,446 10,039 Accrued income taxes payable 5,395 5,614 Bridge loan holdbacks 5,394 5,708 Accrued operating expenses 4,938 5,509 Deferred consideration — 14,579 Other 15,605 21,653 Total Accrued Expenses and Other Liabilities $ 191,705 $ 179,340 Deferred Consideration The deferred consideration presented in the table above is related to our acquisition of 5 Arches in 2019. During the first quarter of 2021, we distributed 806,068 shares of Redwood common stock and paid $1 million in cash in full settlement of the remaining deferred consideration associated with this acquisition. 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 six months ended June 30, 2021. Table 12.3 – REO Activity Six Months Ended June 30, 2021 (In Thousands) Redwood Bridge Legacy Sequoia Freddie Mac SLST CAFL Total Balance at beginning of period $ 4,600 $ 638 $ 646 $ 2,529 $ 8,413 Transfers to REO 2,289 65 1,548 11,924 15,826 Liquidations (1) (5,972) (39) (766) (1,949) (8,726) Changes in fair value, net 428 (5) 208 (655) (24) Balance at End of Period $ 1,345 $ 659 $ 1,636 $ 11,849 $ 15,489 (1) For the six months ended June 30, 2021, REO liquidations resulted in less than $0.1 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 June 30, 2021 and December 31, 2020. Table 12.4 – REO Assets Number of REO assets Redwood Bridge Legacy Sequoia Freddie Mac SLST CAFL Total At June 30, 2021 3 3 18 2 26 At December 31, 2020 3 3 9 2 17 Refer to our Annual Report on Form 10-K for the year ended December 31, 2020 for additional descriptions of our other assets and liabilities. |
Short-Term Debt
Short-Term Debt | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021, 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 June 30, 2021 and December 31, 2020. Table 13.1 – Short-Term Debt June 30, 2021 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate (1) Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse 6 $ 1,049,144 $ 2,350,000 1.87 % 8/2021-3/2022 211 Business purpose loan warehouse 2 191,288 355,497 2.99 % 3/2022-5/2022 260 Real estate securities repo 3 80,938 — 1.53 % 7/2021-9/2021 35 Total Short-Term Debt Facilities 11 1,321,370 Servicer advance financing 1 163,629 260,000 1.89 % 11/2021 153 Total Short-Term Debt $ 1,484,999 December 31, 2020 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate (1) Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse 4 $ 137,269 $ 1,300,000 2.45 % 1/2021-11/2021 268 Business purpose loan warehouse 2 99,190 500,000 3.37 % 5/2022-6/2022 521 Real estate securities repo 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 (1) Borrowings under our facilities are generally uncommitted and charged interest based on a specified margin over the 1- or 3-month LIBOR. The following table below presents the value of loans, securities, and other assets pledged as collateral under our short-term debt at June 30, 2021 and December 31, 2020. Table 13.2 – Collateral for Short-Term Debt (In Thousands) June 30, 2021 December 31, 2020 Collateral Type Held-for-sale residential loans $ 1,152,267 $ 156,355 Business purpose loans 249,410 127,029 Real estate securities On balance sheet 16,435 23,193 Sequoia securitizations (1) 62,387 63,105 Freddie Mac K-Series securitization (1) 30,834 28,255 Total real estate securities owned 109,656 114,553 Restricted cash and other assets 1,709 315 Total Collateral for Short-Term Debt Facilities 1,513,042 398,252 Cash 12,442 9,978 Restricted cash 19,028 23,220 Servicer advances 171,818 217,656 Total Collateral for Servicer Advance Financing 203,288 250,854 Total Collateral for Short-Term Debt $ 1,716,330 $ 649,106 (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. For the three and six months ended June 30, 2021, the average balances of our short-term debt facilities were $1.85 billion and $1.42 billion, respectively. At June 30, 2021 and December 31, 2020, accrued interest payable on our short-term debt facilities was $2 million and $1 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 June 30, 2021, the accrued interest payable balance on this financing was $0.1 million and the unamortized capitalized commitment costs were $0.4 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 June 30, 2021. At both June 30, 2021 and December 31, 2020, 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 at June 30, 2021. Table 13.3 – Short-Term Debt by Collateral Type and Remaining Maturities June 30, 2021 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ 119,462 $ 929,682 $ 1,049,144 Business purpose loans — — 191,288 191,288 Real estate securities 44,527 36,411 — 80,938 Total Secured Short-Term Debt 44,527 155,873 1,120,970 1,321,370 Servicer advance financing — — 163,629 163,629 Total Short-Term Debt $ 44,527 $ 155,873 $ 1,284,599 $ 1,484,999 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | Asset-Backed Securities Issued The carrying values of ABS issued by our consolidated securitization entities at June 30, 2021 and December 31, 2020, along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued June 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST (1) Freddie Mac Total (Dollars in Thousands) Certificates with principal balance $ 291,083 $ 1,946,901 $ 2,746,648 $ 1,718,754 $ 422,534 $ 7,125,920 Interest-only certificates 788 15,282 167,460 21,455 11,627 216,612 Market valuation adjustments (33,660) 28,365 93,488 86,109 20,163 194,465 ABS Issued, Net $ 258,211 $ 1,990,548 $ 3,007,596 $ 1,826,318 $ 454,324 $ 7,536,997 Range of weighted average interest rates, by series 0.49% to 1.46% 2.31% to 5.10% 2.62% to 5.20% 3.50% to 4.75% 3.41 % Stated maturities 2024 - 2036 2047 - 2051 2021 - 2031 2028 - 2059 2025 Number of series 20 12 14 3 1 December 31, 2020 Legacy Sequoia CAFL Freddie Mac SLST (1) Freddie Mac K-Series Total (Dollars in Thousands) Certificates with principal balance $ 329,039 $ 1,309,957 $ 2,716,425 $ 1,866,145 $ 416,339 $ 6,637,905 Interest-only certificates 1,092 4,591 162,934 23,335 13,026 204,978 Market valuation adjustments (47,805) 32,809 133,734 104,439 34,601 257,778 ABS Issued, Net $ 282,326 $ 1,347,357 $ 3,013,093 $ 1,993,919 $ 463,966 $ 7,100,661 Range of weighted average interest rates, by series 0.35% to 1.55% 2.25% to 5.04% 2.68% to 5.42% 3.50% to 4.75% 3.39 % Stated maturities 2024 - 2036 2047 - 2050 2021 - 2031 2028 - 2059 2025 Number of series 20 10 14 3 1 (1) Includes $179 million and $205 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at June 30, 2021 and December 31, 2020, respectively. 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 June 30, 2021, the principal balance of the ABS issued was $179 million, and the debt discount and deferred issuance costs were $3 million, for a carrying value of $176 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 June 30, 2021, 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 June 30, 2021 and December 31, 2020. Interest due on consolidated ABS issued is payable monthly. Table 14.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) June 30, 2021 December 31, 2020 Legacy Sequoia $ 123 $ 141 Sequoia 5,521 4,697 CAFL 10,183 10,122 Freddie Mac SLST (1) 5,200 5,656 Freddie Mac K-Series 1,200 1,177 Total Accrued Interest Payable on ABS Issued $ 22,227 $ 21,793 (1) Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood. |
Long-Term Debt
Long-Term Debt | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Long-Term Debt The table below summarizes our long-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information at June 30, 2021. Table 15.1 – Long-Term Debt June 30, 2021 (Dollars in Thousands) Borrowings Unamortized Deferred Issuance Costs / Discount Net Carrying Value Limit Weighted Average Interest Rate (1) Final Maturity Facilities Recourse Subordinate Securities Financing Sequoia $ 160,102 $ (521) $ 159,581 N/A 4.21 % 9/2024 CAFL 102,424 (505) 101,919 N/A 4.21 % 2/2025 Non-Recourse BPL Financing Facility A 45,582 (444) 45,138 45,582 L + 3.85% 7/2022 Facility B 57,616 (199) 57,417 250,000 L + 3.00% N/A Recourse BPL Financing Facility C 269,100 — 269,100 450,000 L + 3.40% 6/2023 Facility D 200,275 (158) 200,117 250,000 L + 3.00% 9/2023 Total Long-Term Debt Facilities 835,099 (1,827) 833,272 Convertible notes 4.75% convertible senior notes 198,629 (2,356) 196,273 N/A 4.75 % 8/2023 5.625% convertible senior notes 150,200 (2,450) 147,750 N/A 5.625 % 7/2024 5.75% exchangeable senior notes 172,092 (3,776) 168,316 N/A 5.75 % 10/2025 Trust preferred securities and subordinated notes 139,500 (803) 138,697 N/A L + 2.25% 7/2037 Total Long-Term Debt $ 1,495,520 $ (11,212) $ 1,484,308 (1) Variable rate borrowings are based on 1- or 3-month LIBOR ("L" in the table above) plus an applicable spread. Non-Recourse BPL Financing Facilities In the second quarter of 2021, we repaid one of our non-recourse BPL financing facilities that had a balance of $242 million at March 31, 2021, and entered into a new non-recourse facility to finance business purpose bridge loans with a total borrowing capacity of $250 million (see details for "Facility B" above). Recourse BPL Financing Facilities In the second quarter of 2021, we reclassified one of our recourse facilities with a borrowing capacity of $450 million from short-term to long-term debt as we amended the terms of this facility, including an extension of its maturity (see details for "Facility C" above). The following table below presents the value of loans, securities, and other assets pledged as collateral under our long-term debt at June 30, 2021 and December 31, 2020. Table 15.2 – Collateral for Long-Term Debt (In Thousands) June 30, 2021 December 31, 2020 Collateral Type Bridge loans $ 555,791 $ 544,151 Single-family rental loans 246,903 154,774 Real estate securities Sequoia securitizations (1) 256,910 249,446 CAFL securitizations (1) 112,207 114,044 Total real estate securities owned 369,117 363,490 Other BPL investments — 21,414 Restricted cash — 1,100 Total Collateral for Long-Term Debt $ 1,171,811 $ 1,084,929 (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. The following table summarizes the accrued interest payable on long-term debt at June 30, 2021 and December 31, 2020. Table 15.3 – Accrued Interest Payable on Long-Term Debt (In Thousands) June 30, 2021 December 31, 2020 Long-term debt facilities $ 704 $ 1,799 Convertible notes 4.75% convertible senior notes 3,564 3,564 5.625% convertible senior notes 3,896 3,896 5.75% exchangeable senior notes 2,474 2,474 Trust preferred securities and subordinated notes 585 669 Total Accrued Interest Payable on Long-Term Debt $ 11,223 $ 12,402 |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At June 30, 2021, we were obligated under seven non-cancelable operating leases with expiration dates through 2031 for $19 million of cumulative lease payments. Our operating lease expense was $2 million for both six-month periods ended June 30, 2021 and 2020. The following table presents our future lease commitments at June 30, 2021. Table 16.1 – Future Lease Commitments by Year (In Thousands) June 30, 2021 2021 (6 months) $ 1,854 2022 3,714 2023 3,235 2024 2,411 2025 1,983 2026 and thereafter 6,128 Total Lease Commitments 19,325 Less: Imputed interest (3,328) Operating Lease Liabilities $ 15,997 During the six months ended June 30, 2021, we did not enter into any office leases. During the three months ended June 30, 2021, we increased our operating lease right-of-use assets and liabilities by $1 million as the result of an amendment to one of our existing leases. At June 30, 2021, our operating lease liabilities were $16 million, which were a component of Accrued expenses and other liabilities 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 June 30, 2021, 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 June 30, 2021, we had commitments to fund up to $374 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 June 30, 2021, we carried a $0.3 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 $0.3 million at June 30, 2021. During the three and six months ended June 30, 2021, we recorded net market valuation gains of $1 million and $2 million, respectively, related to this liability through Mortgage banking activities, net on our consolidated statements of income (loss). During the three and six months ended June 30, 2020, we recorded a net market valuation gain of $2 million and a net market valuation loss of $2 million, respectively, related to this liability through Mortgage banking activities, net on our consolidated statements of income (loss). Commitment to Fund Partnerships In 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. 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 June 30, 2021, the maximum potential amount of future payments we could be required to make under these arrangements was $44 million and this amount was partially 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 June 30, 2021, we had not incurred any losses under these arrangements. For the three and six months ended June 30, 2021, other income related to these arrangements was $1 million and $2 million, respectively, and net market valuation losses related to these investments were less than $0.1 million for both periods. For the three and six months ended June 30, 2020, other income related to these arrangements was $1 million and $2 million, respectively, and net market valuation losses related to these investments were less than $0.2 million and $1 million, respectively. All of the loans in the reference pools subject to these risk-sharing arrangements were originated in 2014 and 2015, and at June 30, 2021, the loans had an unpaid principal balance of $702 million and a weighted average FICO score of 756 (at origination) and LTV ratio of 75% (at origination). At June 30, 2021, $29 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 June 30, 2021, the carrying value of our guarantee obligation was $8 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 June 30, 2021 and December 31, 2020, assets of such SPEs totaled $34 million and $46 million, respectively, and liabilities of such SPEs totaled $8 million and $10 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 both June 30, 2021 and December 31, 2020, our repurchase reserve associated with our residential loans and MSRs was $9 million and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. We received one and five repurchase requests during the six months ended June 30, 2021 and 2020, respectively, and repurchased one and zero loans, respectively. During the six months ended June 30, 2021 and 2020, we recorded repurchase provisions of $0.3 million and $4 million, respectively, that were recorded in Mortgage banking activities, net; Investment fair value changes, net; and Other income on our consolidated statements of income (loss). 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, 2020 under the heading “Loss Contingencies - Litigation.” At June 30, 2021, 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, 2020 was $2 million. At June 30, 2021, the aggregate amount of our accrual for estimated costs associated with the "Residential Loan Seller Demands" described in our Annual Report on Form 10-K for the year ended December 31, 2020 was $2 million, a portion of which is 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. |
Equity
Equity | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income by component for the three and six months ended June 30, 2021 and 2020. Table 17.1 – Changes in Accumulated Other Comprehensive Income (Loss) by Component Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 (In Thousands) Available-for-Sale Securities Interest Rate Agreements Accounted for as Cash Flow Hedges Available-for-Sale Securities Interest Rate Agreements Accounted for as Cash Flow Hedges Balance at beginning of period $ 84,527 $ (79,539) $ (1,865) $ (83,666) Other comprehensive income 11,224 — 52,393 — Amounts reclassified from other (7,500) 1,028 2,718 1,029 Net current-period other comprehensive income 3,724 1,028 55,111 1,029 Balance at End of Period $ 88,251 $ (78,511) $ 53,246 $ (82,637) Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 (In Thousands) Available-for-Sale Securities Interest Rate Agreements Accounted for as Cash Flow Hedges Available-for-Sale Securities Interest Rate Agreements Accounted for as Cash Flow Hedges Balance at beginning of period $ 76,336 $ (80,557) $ 92,452 $ (50,939) Other comprehensive income (loss) 22,210 — (28,126) (32,806) Amounts reclassified from other (10,295) 2,046 (11,080) 1,108 Net current-period other comprehensive income (loss) 11,915 2,046 (39,206) (31,698) Balance at End of Period $ 88,251 $ (78,511) $ 53,246 $ (82,637) The following table provides a summary of reclassifications out of accumulated other comprehensive income for the three and six months ended June 30, 2021 and 2020. Table 17.2 – Reclassifications Out of Accumulated Other Comprehensive Income (Loss) Amount Reclassified From Affected Line Item in the Three Months Ended June 30, (In Thousands) Income Statement 2021 2020 Net Realized (Gain) Loss on AFS Securities Decrease in allowance for credit losses on AFS securities Investment fair value changes, net $ (13) $ (54) Gain on sale of AFS securities Realized gains, net (7,487) 2,772 $ (7,500) $ 2,718 Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 1,028 $ 1,029 $ 1,028 $ 1,029 Amount Reclassified From Affected Line Item in the Six Months Ended June 30, (In Thousands) Income Statement 2021 2020 Net Realized (Gain) Loss on AFS Securities (Decrease) increase in allowance for credit losses on AFS securities Investment fair value changes, net $ (388) $ 1,471 Gain on sale of AFS securities Realized gains, net (9,907) (12,551) $ (10,295) $ (11,080) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 2,046 $ 1,108 $ 2,046 $ 1,108 Issuance of Common Stock We have an established program to sell up to an aggregate of $175 million of common stock from time to time in at-the-market ("ATM") offerings, with $110 million of remaining capacity available at June 30, 2021. During the six months ended June 30, 2021, we did not issue any shares under this program. Direct Stock Purchase and Dividend Reinvestment Plan During both the six months ended June 30, 2021 and 2020, we did not issue any shares of common stock through our Direct Stock Purchase and Dividend Reinvestment Plan. Earnings (Loss) per Common Share The following table provides the basic and diluted earnings (loss) per common share computations for the three and six months ended June 30, 2021 and 2020. Table 17.3 – Basic and Diluted Earnings (Loss) per Common Share Three Months Ended June 30, Six Months Ended June 30, (In Thousands, except Share Data) 2021 2020 2021 2020 Basic Earnings (Loss) per Common Share: Net income (loss) attributable to Redwood $ 90,025 $ 165,444 $ 187,282 $ (777,954) Less: Dividends and undistributed earnings allocated to participating securities (3,149) (4,528) (6,458) (1,011) Net income (loss) allocated to common shareholders $ 86,876 $ 160,916 $ 180,824 $ (778,965) Basic weighted average common shares outstanding 112,921,070 114,383,289 112,337,984 114,229,928 Basic Earnings (Loss) per Common Share $ 0.77 $ 1.41 $ 1.61 $ (6.82) Diluted Earnings (Loss) per Common Share: Net income (loss) attributable to Redwood $ 90,025 $ 165,444 $ 187,282 $ (777,954) Less: Dividends and undistributed earnings allocated to participating securities (2,869) (3,116) (5,829) (1,011) Adjust for interest expense and gain on extinguishment of convertible notes for the period, net of tax 6,990 (15,835) 13,971 — Net income (loss) allocated to common shareholders $ 94,146 $ 146,493 $ 195,424 $ (778,965) Weighted average common shares outstanding 112,921,070 114,383,289 112,337,984 114,229,928 Net effect of dilutive equity awards 273,139 — 234,353 — Net effect of assumed convertible notes conversion to common shares 28,566,875 32,715,790 28,566,875 — Diluted weighted average common shares outstanding 141,761,084 147,099,079 141,139,212 114,229,928 Diluted Earnings (Loss) per Common Share $ 0.66 $ 1.00 $ 1.38 $ (6.82) 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 six months ended June 30, 2021, 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 six months ended June 30, 2020, 34.1 million of common shares related to the assumed conversion of our convertible notes were antidilutive and were excluded in the calculation of diluted earnings per share. For the three and six months ended June 30, 2021, the number of outstanding equity awards that were antidilutive totaled 18,645 and 17,053, respectively. For the three and six months ended June 30, 2020, the number of outstanding equity awards that were antidilutive totaled 11,561 and 16,405, 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 six months ended June 30, 2021, we did not repurchase any shares. At June 30, 2021, $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 | 6 Months Ended |
Jun. 30, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans At June 30, 2021 and December 31, 2020, 7,443,250 and 7,957,891 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 $27 million at June 30, 2021, as shown in the following table. Table 18.1 – Activities of Equity Compensation Costs by Award Type Six Months Ended June 30, 2021 (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 $ 564 $ 3,540 $ 17,766 $ 5,794 $ — $ 27,664 Equity grants — 2,370 3,141 — 259 5,770 Performance-based valuation adjustment — — — 1,072 — 1,072 Equity grant forfeitures (2) (610) (550) — — (1,162) Equity compensation expense (271) (752) (3,629) (1,355) (130) (6,137) Unrecognized Compensation Cost at End of Period $ 291 $ 4,548 $ 16,728 $ 5,511 $ 129 $ 27,207 At June 30, 2021, the weighted average amortization period remaining for all of our equity awards was one year. Restricted Stock Awards ("RSAs") At June 30, 2021 and December 31, 2020, there were 29,693 and 78,998 shares, respectively, of RSAs outstanding. Restrictions on these shares lapse through 2022. During the six months ended June 30, 2021, there were no RSAs granted, restrictions on 49,305 RSAs lapsed and those shares were distributed, and no RSAs were forfeited. Restricted Stock Units ("RSUs") At June 30, 2021 and December 31, 2020, there were 453,811 and 282,424 shares, respectively, of RSUs outstanding. Restrictions on these shares lapse through 2025. During the six months ended June 30, 2021, there were 272,261 RSUs granted, 62,494 RSUs distributed, and 38,380 RSUs forfeited. Deferred Stock Units (“DSUs”) At June 30, 2021 and December 31, 2020, there were 3,081,201 and 2,805,144 DSUs, respectively, outstanding of which 1,437,464 and 1,206,125, respectively, had vested. During the six months ended June 30, 2021, there were 463,213 DSUs granted, 155,995 DSUs distributed, and 31,161 DSUs forfeited. Unvested DSUs at June 30, 2021 vest through 2025. Performance Stock Units (“PSUs”) At June 30, 2021 and December 31, 2020, the target number of PSUs that were unvested was 955,710 and 978,735, respectively. Vesting for all PSUs will generally occur at the end of three years from their grant date based on various Total Shareholder Return ("TSR") performance calculations, as discussed in our Annual Report on Form 10-K for the year ended December 31, 2020. With respect to PSUs granted in May 2018, the three-year performance period ended during the second quarter of 2021, resulting in the vesting of no shares of our common stock. During the second quarter of 2021, for PSUs granted in 2020, we adjusted the future amortization expense by $1 million to reflect our current estimate of the number of shares expected to vest in relation to the performance condition for the initial one-year vesting tranche. Employee Stock Purchase Plan ("ESPP") The ESPP allows a maximum of 850,000 shares of common stock to be purchased in aggregate for all employees. As of June 30, 2021 and December 31, 2020, 523,991 and 489,886 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at June 30, 2021. |
Mortgage Banking Activities, Ne
Mortgage Banking Activities, Net | 6 Months Ended |
Jun. 30, 2021 | |
Mortgage Banking [Abstract] | |
Mortgage Banking Activities, Net | Mortgage Banking Activities, Net The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income (loss) for the three and six months ended June 30, 2021 and 2020. Table 19.1 – Mortgage Banking Activities Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Residential Mortgage Banking Activities, Net Changes in fair value of: Residential loans, at fair value (1) $ 76,907 $ (1,393) $ 47,634 $ 6,562 Trading securities (2) (1,095) — (374) — Risk management derivatives (3) (55,740) — 33,224 (31,294) Other income (expense), net (4) 1,193 (6,612) 2,216 (6,354) Total residential mortgage banking activities, net 21,265 (8,005) 82,700 (31,086) Business Purpose Mortgage Banking Activities, Net: Changes in fair value of: Single-family rental loans, at fair value (1) 25,966 1,210 36,214 13,018 Risk management derivatives (3) (2,504) — 1,354 (21,538) Bridge loans, at fair value 2,225 (1,260) 3,269 (5,194) Other income, net (5) 7,467 2,073 13,489 9,916 Total business purpose mortgage banking activities, net 33,154 2,023 54,326 (3,798) Mortgage Banking Activities, Net $ 54,419 $ (5,982) $ 137,026 $ (34,884) (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 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 and provisions for repurchase expense, presented net. (5) Amounts in this line item include other fee income from loan originations. |
Other Income
Other Income | 6 Months Ended |
Jun. 30, 2021 | |
Other Income and Expenses [Abstract] | |
Other Income | Other Income The following table presents the components of Other income recorded in our consolidated statements of income (loss) for the three and six months ended June 30, 2021 and 2020. Table 20.1 – Other Income Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 MSR (loss) income, net $ (43) $ (1,424) $ 654 $ (3,233) Risk share income 861 1,181 1,743 1,946 FHLBC capital stock dividend 25 538 50 1,085 Bridge loan fees 911 626 1,604 1,804 Other 372 244 1,918 2,491 Other Income $ 2,126 $ 1,165 $ 5,969 $ 4,093 |
General and Administrative Expe
General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses | 6 Months Ended |
Jun. 30, 2021 | |
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 three and six months ended June 30, 2021 and 2020 are presented in the following table. Table 21.1 – Components of General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 General and Administrative Expenses Fixed compensation expense $ 11,269 $ 11,818 $ 23,074 $ 26,502 Annual variable compensation 12,508 3,278 31,177 3,289 Long-term incentive award expense (1) 5,682 3,262 9,851 5,257 Acquisition-related equity compensation expense (2) 1,212 1,212 2,424 2,424 Systems and consulting 3,272 2,395 6,249 5,607 Office costs 2,024 1,887 3,832 3,995 Accounting and legal 1,221 2,788 1,935 5,004 Corporate costs 873 626 1,564 1,297 Other 2,533 1,254 4,039 3,827 Total General and Administrative Expenses 40,594 28,520 84,145 57,202 Loan Acquisition Costs Commissions 1,661 360 2,924 2,148 Underwriting costs 1,836 856 3,521 2,518 Transfer and holding costs 251 356 862 892 Total Loan Acquisition Costs 3,748 1,572 7,307 5,558 Other Expenses Goodwill impairment expense — — — 88,675 Amortization of purchase-related intangible assets 3,873 3,873 7,746 8,182 Other 112 1,210 335 (359) Total Other Expenses 3,985 5,083 8,081 96,498 Total General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses $ 48,327 $ 35,175 $ 99,533 $ 159,258 (1) For the three months ended June 30, 2021, long-term incentive award expense includes $4 million of expense for awards settleable in shares of our common stock and $1 million of expense for awards settleable in cash. For the six months ended June 30, 2021, long-term incentive award expense includes $7 million of expense for awards settleable in shares of our common stock and $3 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 is being recognized as compensation expense over the two-year vesting period on a straight-line basis in accordance with GAAP. |
Taxes
Taxes | 6 Months Ended |
Jun. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
Taxes | Taxes For the six months ended June 30, 2021 and 2020, we recognized a provision for income taxes of $18 million and a benefit from income taxes of $22 million, respectively. The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at June 30, 2021 and 2020. Table 22.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate June 30, 2021 June 30, 2020 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of Federal tax effect 8.6 % 8.6 % Differences in taxable (loss) income from GAAP income (14.1) % (23.6) % Change in valuation allowance (3.3) % (3.2) % Dividends paid deduction (1) (3.3) % — % Effective Tax Rate 8.9 % 2.8 % (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 six months ended June 30, 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. We assessed our tax positions for all open tax years (i.e., Federal, 2017 to 2021, and State, 2016 to 2021) at June 30, 2021 and December 31, 2020, and concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits. |
Segment Information
Segment Information | 6 Months Ended |
Jun. 30, 2021 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information Redwood operates in three segments: Residential Lending, Business Purpose Lending, and Third-Party Investments. For a full description of our segments, see Part I, Item 1—Business in our Annual Report on Form 10-K for the year ended December 31, 2020. 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 from 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 three and six months ended June 30, 2021 and 2020. Table 23.1 – Business Segment Financial Information Three Months Ended June 30, 2021 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 33,033 $ 70,515 $ 33,972 $ 1,175 $ 138,695 Interest expense (21,056) (54,442) (22,334) (10,233) (108,065) Net interest income 11,977 16,073 11,638 (9,058) 30,630 Non-interest income Mortgage banking activities, net 21,265 33,154 — — 54,419 Investment fair value changes, net 3,927 3,782 42,018 (247) 49,480 Other income, net 839 1,017 5 265 2,126 Realized gains, net 6,687 390 1,307 — 8,384 Total non-interest income (loss), net 32,718 38,343 43,330 18 114,409 General and administrative expenses (7,793) (13,688) (930) (18,183) (40,594) Loan acquisition costs (1,887) (1,861) — — (3,748) Other expenses — (3,873) (112) — (3,985) Provision for income taxes (4,171) (2,182) (334) — (6,687) Segment Contribution $ 30,844 $ 32,812 $ 53,592 $ (27,223) Net Income $ 90,025 Non-cash amortization (expense) income, net $ 1,339 $ (5,584) $ 185 $ (1,955) $ (6,015) Six Months Ended June 30, 2021 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 60,581 $ 134,920 $ 68,962 $ 2,537 $ 267,000 Interest expense (40,093) (104,517) (45,513) (20,494) (210,617) Net interest income 20,488 30,403 23,449 (17,957) 56,383 Non-interest income Mortgage banking activities, net 82,700 54,326 — — 137,026 Investment fair value changes, net 6,673 7,081 81,734 (921) 94,567 Other income, net 3,692 1,860 5 412 5,969 Realized gains, net 9,095 498 1,507 — 11,100 Total non-interest income, net 102,160 63,765 83,246 (509) 248,662 General and administrative expenses (21,550) (24,847) (2,061) (35,687) (84,145) Loan acquisition costs (3,303) (3,913) (87) (4) (7,307) Other expenses (6) (7,650) (442) 17 (8,081) Provision for income taxes (14,150) (3,503) (577) — (18,230) Segment Contribution $ 83,639 $ 54,255 $ 103,528 $ (54,140) Net Income $ 187,282 Non-cash amortization (expense) income, net $ 3,005 $ (11,441) $ 41 $ (3,850) $ (12,245) Three Months Ended June 30, 2020 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 36,653 $ 53,742 $ 36,811 $ 2,740 $ 129,946 Interest expense (28,762) (36,631) (24,927) (12,346) (102,666) Net interest income 7,891 17,111 11,884 (9,606) 27,280 Non-interest income Mortgage banking activities, net (8,005) 2,023 — — (5,982) Investment fair value changes, net 35,085 40,401 76,972 (230) 152,228 Other income, net 230 686 (509) 758 1,165 Realized gains, net 205 — 578 25,182 25,965 Total non-interest income, net 27,515 43,110 77,041 25,710 173,376 General and administrative expenses (3,700) (9,016) (1,986) (13,818) (28,520) Loan acquisition costs (175) (1,277) (120) — (1,572) Other expenses — (3,884) (1,065) (134) (5,083) Benefit from (provision for) income taxes 3,323 2,439 (5,799) — (37) Segment Contribution $ 34,854 $ 48,483 $ 79,955 $ 2,152 Net Income $ 165,444 Non-cash amortization income (expense), net $ (1,265) $ (6,391) $ 312 $ (1,619) $ (8,963) Six Months Ended June 30, 2020 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 97,284 $ 106,802 $ 118,007 $ 5,934 $ 328,027 Interest expense (66,324) (68,984) (87,428) (26,601) (249,337) Net interest income 30,960 37,818 30,579 (20,667) 78,690 Non-interest income Mortgage banking activities, net (31,086) (3,798) — — (34,884) Investment fair value changes, net (161,550) (101,729) (454,586) (739) (718,604) Other income, net (267) 2,870 732 758 4,093 Realized gains, net 2,001 — 2,634 25,182 29,817 Total non-interest income, net (190,902) (102,657) (451,220) 25,201 (719,578) General and administrative expenses (8,299) (20,656) (3,521) (24,726) (57,202) Loan acquisition costs (1,208) (3,970) (373) (7) (5,558) Other expenses — (96,869) 817 (446) (96,498) Benefit from income taxes 8,653 9,021 4,518 — 22,192 Segment Contribution $ (160,796) $ (177,313) $ (419,200) $ (20,645) Net Loss $ (777,954) Non-cash amortization income (expense), net $ (1,053) $ (11,316) $ 1,053 $ (1,728) $ (13,044) Other significant non-cash expense: goodwill impairment $ — $ (88,675) $ — $ — $ (88,675) The following table presents the components of Corporate/Other for the three and six months ended June 30, 2021 and 2020. Table 23.2 – Components of Corporate/Other Three Months Ended June 30, 2021 2020 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 1,169 $ 6 $ 1,175 $ 2,685 $ 55 $ 2,740 Interest expense (755) (9,478) (10,233) (1,518) (10,828) (12,346) Net interest income 414 (9,472) (9,058) 1,167 (10,773) (9,606) Non-interest income Investment fair value changes, net (216) (31) (247) (230) — (230) Other income — 265 265 — 758 758 Realized gains, net — — — — 25,182 25,182 Total non-interest income, net (216) 234 18 (230) 25,940 25,710 General and administrative expenses — (18,183) (18,183) — (13,818) (13,818) Other expenses — — — — (134) (134) Total $ 198 $ (27,421) $ (27,223) $ 937 $ 1,215 $ 2,152 Six Months Ended June 30, 2021 2020 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 2,517 $ 20 $ 2,537 $ 5,879 $ 55 $ 5,934 Interest expense (1,630) (18,864) (20,494) (4,040) (22,561) (26,601) Net interest income 887 (18,844) (17,957) 1,839 (22,506) (20,667) Non-interest income Investment fair value changes, net (915) (6) (921) (621) (118) (739) Other income — 412 412 — 758 758 Realized gains, net — — — — 25,182 25,182 Total non-interest income, net (915) 406 (509) (621) 25,822 25,201 General and administrative expenses — (35,687) (35,687) — (24,726) (24,726) Loan acquisition costs — (4) (4) — (7) (7) Other expenses — 17 17 — (446) (446) Total $ (28) $ (54,112) $ (54,140) $ 1,218 $ (21,863) $ (20,645) (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 June 30, 2021 and December 31, 2020. Table 23.3 – Supplemental Segment Information (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total June 30, 2021 Residential loans $ 3,383,101 $ — $ 2,098,624 $ 260,875 $ 5,742,600 Business purpose loans — 4,408,889 — — 4,408,889 Multifamily loans — — 485,157 — 485,157 Real estate securities 163,609 — 191,277 — 354,886 Other investments 8,721 13,168 267,851 18,992 308,732 Intangible assets — 49,119 — — 49,119 Total assets 3,615,860 4,576,139 3,063,094 741,298 11,996,391 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 Intangible assets — 56,865 — — 56,865 Total assets 1,989,802 4,323,040 3,232,415 809,809 10,355,066 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of PresentationThe consolidated financial statements presented herein are at June 30, 2021 and December 31, 2020, and for the three and six months ended June 30, 2021 and 2020. These interim unaudited consolidated financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission ("SEC"). Certain information and note disclosures normally included in our annual financial statements prepared in accordance with U.S. generally accepted accounting principles ("GAAP") — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — have been condensed or omitted in these interim financial statements according to these SEC rules and regulations. Management believes that the disclosures included in these interim financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the company's Annual Report on Form 10-K for the year ended December 31, 2020. In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the Company at June 30, 2021 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2021 should not be construed as indicative of the results to be expected for the full year. |
Principles of Consolidation | Principles of Consolidation In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities issued prior to 2012 ("Legacy Sequoia"), certain entities formed in connection with the securitization of Redwood Choice expanded-prime loans and, beginning in the second quarter of 2021, Redwood Select loans ("Sequoia"), and entities formed in connection with the securitization of CoreVest single-family rental loans ("CAFL"). 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. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have purchased or retained, although for the consolidated Sequoia and CAFL entities we are exposed to certain financial risks associated with our role as a sponsor, servicing administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. |
Use of Estimates | Use of Estimates The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Newly Adopted Accounting Standards Updates ("ASUs") 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. We adopted this guidance, as required, in the first quarter of 2021, which did not 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 became effective January 4, 2021. We adopted this guidance, as required, in the first quarter of 2021, which did not 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. We adopted this guidance, as required, in the first quarter of 2021, which did not have a material impact on our consolidated financial statements. In January 2020, the FASB issued ASU 2020-01, "Investments - Equity Securities (Topic 321), Investments - Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815)." This new guidance clarifies the interaction of the accounting for equity securities, equity method investments, and certain forward contracts and purchased options. This new guidance is effective for fiscal years beginning after December 15, 2020. We adopted this guidance, as required, in the first quarter of 2021, which did not 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. We adopted this guidance, as required, in the first quarter of 2021, which did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements 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 June 30, 2021, we have not elected to apply the optional expedients and exceptions to any of our existing contracts, hedging relationships, or other transactions. |
Balance Sheet Netting | 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.For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between us and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be aggregated and treated as a single transaction. For certain categories of these instruments, some of our transactions are cleared and settled through one or more clearinghouses that are substituted as our counterparty. References herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting agreement or similar agreement provides for settlement on a net basis. Any such settlement would include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party. Such limitations should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral. |
Basis of Presentation (Tables)
Basis of Presentation (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
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 June 30, 2021. Table 2.1 – Intangible Assets – Activity Intangible Assets at Acquisition Accumulated Amortization at June 30, 2021 Carrying Value at June 30, 2021 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 45,300 $ (11,055) $ 34,245 7 Broker network 18,100 (8,447) 9,653 5 Non-compete agreements 9,500 (6,014) 3,486 3 Tradenames 4,000 (2,528) 1,472 3 Developed technology 1,800 (1,537) 263 2 Loan administration fees on existing loan assets 2,600 (2,600) — 1 Total $ 81,300 $ (32,181) $ 49,119 6 |
Finite-lived Intangible Assets Amortization Expense | . Estimated future amortization expense is summarized in the table below. Table 2.2 – Intangible Asset Amortization Expense by Year (In Thousands) June 30, 2021 2021 (6 months) $ 7,558 2022 12,800 2023 10,091 2024 7,073 2025 and thereafter 11,597 Total Future Intangible Asset Amortization $ 49,119 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 and December 31, 2020. 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 June 30, 2021 (In Thousands) Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 17,746 $ — $ 17,746 $ (957) $ (11,238) $ 5,551 TBAs 2,064 — 2,064 (478) (1,393) 193 Futures 304 — 304 (194) — 110 Total Assets $ 20,114 $ — $ 20,114 $ (1,629) $ (12,631) $ 5,854 Liabilities (2) Interest rate agreements $ (957) $ — $ (957) $ 957 $ — $ — TBAs (1,367) — (1,367) 478 889 — Futures (194) — (194) 194 — — Loan warehouse debt (1,049,144) — (1,049,144) 1,049,144 — — Security repurchase agreements (80,938) — (80,938) 80,938 — — Total Liabilities $ (1,132,600) $ — $ (1,132,600) $ 1,131,711 $ 889 $ — 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) (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) | 6 Months Ended |
Jun. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated VIEs | The following table presents a summary of the assets and liabilities of these VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs Accounted for as Collateralized Financing Entities June 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Residential loans, held-for-investment $ 260,875 $ 2,222,553 $ — $ 2,098,624 $ — $ — $ 4,582,052 Business purpose loans, held-for-investment — — 3,263,878 — — — 3,263,878 Multifamily loans, held-for-investment — — — — 485,157 — 485,157 Other investments — — — — — 202,369 202,369 Cash and cash equivalents — — — — — 12,459 12,459 Restricted cash 148 — — — — 19,028 19,176 Accrued interest receivable 258 7,559 13,102 6,325 1,326 1,606 30,176 Other assets 659 — 12,596 1,636 — 6,277 21,168 Total Assets $ 261,940 $ 2,230,112 $ 3,289,576 $ 2,106,585 $ 486,483 $ 241,739 $ 8,616,435 Short-term debt $ — $ — $ — $ — $ — $ 163,629 $ 163,629 Accrued interest payable 124 5,521 10,183 4,490 1,200 94 21,612 Accrued expenses and other liabilities — — — — — 16,360 16,360 Asset-backed securities issued 258,211 1,990,548 3,007,596 1,650,087 454,324 — 7,360,766 Total Liabilities $ 258,335 $ 1,996,069 $ 3,017,779 $ 1,654,577 $ 455,524 $ 180,083 $ 7,562,367 Number of VIEs 20 12 14 3 1 3 53 December 31, 2020 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac 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 13,055 6,754 1,337 2,334 30,587 Other assets 638 — 2,930 646 — 5,723 9,937 Total Assets $ 287,026 $ 1,572,124 $ 3,265,179 $ 2,228,553 $ 493,558 $ 294,629 $ 8,141,069 Short-term debt $ — $ — $ — $ — $ — $ 208,375 $ 208,375 Accrued interest payable 141 4,697 10,278 4,846 1,177 135 21,274 Accrued expenses and other liabilities — 50 — — — 18,353 18,403 Asset-backed securities issued 282,326 1,347,357 3,013,093 1,793,620 463,966 — 6,900,362 Total Liabilities $ 282,467 $ 1,352,104 $ 3,023,371 $ 1,798,466 $ 465,143 $ 226,863 $ 7,148,414 Number of VIEs 20 10 14 2 1 3 50 The following table presents income (loss) from these VIEs for the three and six months ended June 30, 2021 and 2020. Table 4.2 – Income (Loss) from Consolidated VIEs Accounted for as Collateralized Financing Entities Three Months Ended June 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Interest income $ 1,169 $ 14,492 $ 54,849 $ 19,506 $ 4,860 $ 4,041 $ 98,917 Interest expense (755) (11,374) (43,201) (13,927) (4,478) (1,110) (74,845) Net interest income 414 3,118 11,648 5,579 382 2,931 24,072 Non-interest income Investment fair value changes, net (216) 4,906 3,697 36,316 1,855 (2,320) 44,238 Total non-interest income, net (216) 4,906 3,697 36,316 1,855 (2,320) 44,238 General and administrative expenses — — — — — (52) (52) Other expenses — — — — — (112) (112) Income from Consolidated VIEs $ 198 $ 8,024 $ 15,345 $ 41,895 $ 2,237 $ 447 $ 68,146 Six Months Ended June 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Interest income $ 2,517 $ 29,975 $ 103,722 $ 39,665 $ 9,646 $ 8,263 $ 193,788 Interest expense (1,630) (23,480) (81,054) (28,395) (8,834) (2,396) (145,789) Net interest income 887 6,495 22,668 11,270 812 5,867 47,999 Non-interest income Investment fair value changes, net (915) 9,804 3,411 40,433 10,776 (3,566) 59,943 Total non-interest income, net (915) 9,804 3,411 40,433 10,776 (3,566) 59,943 General and administrative expenses — — — — — (90) (90) Other expenses — — — — — (442) (442) Income (Loss) from Consolidated VIEs $ (28) $ 16,299 $ 26,079 $ 51,703 $ 11,588 $ 1,769 $ 107,410 Three Months Ended June 30, 2020 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Interest income $ 2,685 $ 22,564 $ 32,978 $ 21,187 $ 4,870 $ 4,540 $ 88,824 Interest expense (1,518) (19,117) (24,446) (15,846) (4,380) (1,797) (67,104) Net interest income 1,167 3,447 8,532 5,341 490 2,743 21,720 Non-interest income Investment fair value changes, net (230) 39,752 16,313 26,866 1,599 3,291 87,591 Total non-interest income, net (230) 39,752 16,313 26,866 1,599 3,291 87,591 General and administrative expenses — — — — — (712) (712) Other expenses — — — — — (1,065) (1,065) Income from Consolidated VIEs $ 937 $ 43,199 $ 24,845 $ 32,207 $ 2,089 $ 4,257 $ 107,534 Six Months Ended June 30, 2020 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment Total (Dollars in Thousands) Interest income $ 5,879 $ 47,647 $ 62,988 $ 43,173 $ 45,042 $ 8,623 $ 213,352 Interest expense (4,040) (40,627) (46,385) (32,022) (42,728) (3,374) (169,176) Net interest income 1,839 7,020 16,603 11,151 2,314 5,249 44,176 Non-interest income Investment fair value changes, net (621) (29,916) (51,533) (115,295) (84,910) (8,593) (290,868) Total non-interest income, net (621) (29,916) (51,533) (115,295) (84,910) (8,593) (290,868) General and administrative expenses — — — — — (743) (743) Other expenses — — — — — 817 817 Income (Loss) from Consolidated VIEs $ 1,218 $ (22,896) $ (34,930) $ (104,144) $ (82,596) $ (3,270) $ (246,618) |
Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents information related to securitization transactions that occurred during the three and six months ended June 30, 2021 and 2020. Table 4.3 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Principal balance of loans transferred $ 355,924 $ — $ 1,231,803 $ 1,573,703 Trading securities retained, at fair value 1,225 — 7,774 43,362 AFS securities retained, at fair value 522 — 1,600 3,198 |
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three and six months ended June 30, 2021 and 2020 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.4 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Proceeds from new transfers $ 361,673 $ — $ 1,266,063 $ 1,610,761 MSR fees received 1,336 2,475 2,943 5,165 Funding of compensating interest, net (70) (205) (170) (297) Cash flows received on retained securities 16,764 6,788 25,393 13,369 |
Assumptions Related to Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents the key weighted-average assumptions used to value securities retained at the date of securitization for securitizations completed during the three and six months ended June 30, 2021 and 2020. Table 4.5 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates 8 % 8 % N/A N/A Discount rates 15 % 7 % N/A N/A Credit loss assumptions 0.25 % 0.25 % N/A N/A Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates 11 % 11 % 41 % 13 % Discount rates 15 % 6 % 16 % 6 % Credit loss assumptions 0.23 % 0.23 % 0.21 % 0.22 % |
Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents additional information at June 30, 2021 and December 31, 2020, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.6 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) June 30, 2021 December 31, 2020 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 20,527 $ 20,982 Subordinate securities, classified as AFS 140,321 136,475 Mortgage servicing rights 6,496 8,413 Maximum loss exposure (1) $ 167,344 $ 165,870 Assets transferred: Principal balance of loans outstanding $ 6,326,188 $ 7,728,432 Principal balance of loans 30+ days delinquent 58,362 138,029 (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 June 30, 2021 and December 31, 2020. Table 4.7 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood June 30, 2021 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at June 30, 2021 $ 6,496 $ 20,527 $ 140,321 Expected life (in years) (2) 2 4 8 Prepayment speed assumption (annual CPR) (2) 38 % 25 % 33 % Decrease in fair value from: 10% adverse change $ 613 $ 1,374 $ 238 25% adverse change 1,422 3,120 440 Discount rate assumption (2) 12 % 18 % 3.5 % Decrease in fair value from: 100 basis point increase $ 139 $ 462 $ 10,058 200 basis point increase 271 900 19,174 Credit loss assumption (2) N/A 0.39 % 0.39 % Decrease in fair value from: 10% higher losses N/A $ — $ 2,671 25% higher losses N/A — 6,384 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 (1) Senior securities included $21 million and $17 million of interest-only securities at June 30, 2021 and December 31, 2020, respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. |
Schedule of Third-Party Sponsored VIE Summary | The following table presents a summary of our interests in third-party VIEs at June 30, 2021 and December 31, 2020, grouped by asset type. Table 4.8 – Third-Party Sponsored VIE Summary (In Thousands) June 30, 2021 December 31, 2020 Mortgage-Backed Securities Senior $ 4,740 $ 11,131 Mezzanine — 2,014 Subordinate 189,298 173,523 Total Mortgage-Backed Securities 194,038 186,668 Excess MSR 12,170 14,133 Total Investments in Third-Party Sponsored VIEs $ 206,208 $ 200,801 |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Carrying Values and Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at June 30, 2021 and December 31, 2020. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities June 30, 2021 December 31, 2020 Carrying Fair Carrying Fair (In Thousands) Assets Residential loans, held-for-sale at fair value $ 1,160,513 $ 1,160,513 $ 176,604 $ 176,604 Residential loans, held-for-investment 4,582,052 4,582,052 4,072,410 4,072,410 Business purpose loans, held-for-sale 418,442 418,442 245,394 245,394 Business purpose loans, held-for-investment 3,990,447 3,990,447 3,890,959 3,890,959 Multifamily loans 485,157 485,157 492,221 492,221 Real estate securities 354,886 354,886 344,125 344,125 Servicer advance investments (1) 184,551 184,551 231,489 231,489 MSRs (1) 8,721 8,721 8,815 8,815 Excess MSRs (1) 29,988 29,988 34,418 34,418 Shared home appreciation options (1) 44,319 44,319 42,440 42,440 Other financial instruments (2) 28,556 28,556 10,203 10,203 Cash and cash equivalents 421,223 421,223 461,260 461,260 Restricted cash 55,048 55,048 83,190 83,190 Derivative assets 34,305 34,305 53,238 53,238 REO (3) 15,489 17,718 8,413 9,229 Margin receivable (3) 10,269 10,269 4,758 4,758 FHLBC stock (3) 10 10 5,000 5,000 Pledged collateral (3) — — 1,177 1,177 Liabilities Short-term debt $ 1,484,999 $ 1,484,999 $ 522,609 $ 522,609 Margin payable (4) 19,503 19,503 — — Guarantee obligation (4) 8,446 5,932 10,039 7,843 Derivative liabilities 3,240 3,240 16,072 16,072 ABS issued, net Fair value 7,360,766 7,360,766 6,900,362 6,900,362 Amortized cost 176,231 180,080 200,299 204,892 Other long-term debt, net (5) 833,272 834,214 774,726 783,570 Convertible notes, net (5) 512,339 531,473 511,085 499,865 Trust preferred securities and subordinated notes, net (5) 138,697 87,188 138,674 80,910 (1) These investments are included in Other investments on our consolidated balance sheets. (2) Includes equity, debt, and loan investments included in Other investments on our consolidated balance sheets. (3) These assets are included in Other assets on our consolidated balance sheets. (4) These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets. (5) These liabilities are included in Long-term debt, net 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 June 30, 2021 and December 31, 2020, 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 June 30, 2021 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 5,742,565 $ — $ — $ 5,742,565 Business purpose loans 4,408,889 — — 4,408,889 Multifamily loans 485,157 — — 485,157 Real estate securities 354,886 — — 354,886 Servicer advance investments 184,551 — — 184,551 MSRs 8,721 — — 8,721 Excess MSRs 29,988 — — 29,988 Shared home appreciation options 44,319 — — 44,319 Derivative assets 34,305 2,368 17,746 14,191 Liabilities Derivative liabilities $ 3,240 $ 1,561 $ 957 $ 722 ABS issued 7,360,766 — — 7,360,766 December 31, 2020 Carrying 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 |
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 six months ended June 30, 2021. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Purpose Multifamily Loans Trading Securities AFS Servicer Advance Investments MSRs Excess MSRs Shared Home Appreciation Options (In Thousands) Beginning balance - $ 4,249,014 $ 4,136,353 $ 492,221 $ 125,667 $ 218,458 $ 231,489 $ 8,815 $ 34,418 $ 42,440 Acquisitions 6,684,292 — — 26,367 1,600 — 2,283 — — Originations — 913,704 — — — — — — — Sales (4,531,811) (9,231) — (31,949) (4,785) — — — — Principal paydowns (727,627) (599,889) (3,806) (807) (28,979) (45,838) — — (5,516) Gains (losses) in net income (loss), net 70,184 (17,835) (3,258) 23,147 14,172 (1,100) (2,251) (4,430) 7,395 Unrealized losses in OCI, net — — — — 11,995 — — — — Other settlements, net (1) (1,487) (14,213) — — — — (126) — — Ending balance - $ 5,742,565 $ 4,408,889 $ 485,157 $ 142,425 $ 212,461 $ 184,551 $ 8,721 $ 29,988 $ 44,319 Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued) Liabilities Derivatives (2) ABS (In Thousands) Beginning balance - December 31, 2020 $ 14,450 $ 6,900,362 Acquisitions — 1,629,218 Principal paydowns — (1,055,541) Gains (losses) in net income (loss), net (197) (113,273) Other settlements, net (1) (784) — Ending balance - June 30, 2021 $ 13,469 $ 7,360,766 (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. (2) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments and interest rate lock commitments, are presented on a net basis. |
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of gains or losses included in our consolidated statements of income (loss) that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at June 30, 2021 and 2020. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and six months ended June 30, 2021 and 2020 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2021 and 2020 Included in Net Income Included in Net Income Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Assets Residential loans at Redwood $ 14,130 $ (359) $ 10,481 $ (746) Business purpose loans 28,404 31,187 40,003 (21,026) Net investments in consolidated Sequoia entities (1) 4,693 39,558 8,893 (30,502) Net investments in consolidated Freddie Mac SLST entities (1) 36,137 26,867 40,225 (115,295) Net investments in consolidated Freddie Mac K-Series entity (1) 1,855 1,599 10,776 (13,180) Net investments in consolidated CAFL entities (1) 2,908 17,125 2,556 (50,721) Trading securities 1,772 30,647 2,262 (79,633) Servicer advance investments (940) (136) (1,100) (6,198) MSRs (330) (1,591) 273 (16,507) Excess MSRs (2,477) 2,971 (4,430) (6,523) Shared home appreciation options 2,080 884 7,395 (6,670) Loan purchase and interest rate lock commitments 14,550 357 14,171 357 Liabilities Loan purchase commitments $ (696) $ 2,137 $ (724) $ (1,634) (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 June 30, 2021 and 2020, which netted together represent the change in value of our investments at the consolidated VIEs, excluding REO. |
Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at June 30, 2021. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at June 30, 2021. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at June 30, 2021 Gain (Loss) for June 30, 2021 Carrying Fair Value Measurements Using Three Months Ended Six Months Ended (In Thousands) Level 1 Level 2 Level 3 June 30, 2021 June 30, 2021 Assets REO $ 1,233 $ — $ — $ 1,233 $ (3) $ (7) |
Market Valuation Gains and Losses, Net | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three and six months ended June 30, 2021 and 2020. Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ 24,988 $ (2,014) $ 48,100 $ (15,494) Residential loan purchase and forward sale commitments 51,919 621 (466) 22,056 Single-family rental loans held-for-sale, at fair value 25,222 1,210 35,470 12,677 Single-family rental loan purchase and interest rate lock commitments 744 — 744 341 Bridge loans 2,225 (1,260) 3,269 (5,194) Trading securities (1) (1,095) — (374) — Risk management derivatives, net (58,244) — 34,578 (52,832) Total mortgage banking activities, net (2) $ 45,759 $ (1,443) $ 121,321 $ (38,446) Investment Fair Value Changes, Net Residential loans at Redwood $ 1,290 $ 104 $ 1,607 $ (93,532) Single-family rental loans held-for-investment — 2,222 — (20,806) Bridge loans held-for-investment (62) 21,774 3,242 (16,828) Trading securities 2,893 42,246 23,521 (221,079) Servicer advance investments (940) (136) (1,100) (6,198) Excess MSRs (2,477) 2,971 (4,430) (6,523) Net investments in Legacy Sequoia entities (3) (216) (230) (915) (621) Net investments in Sequoia entities (3) 4,906 39,753 9,804 (29,916) Net investments in Freddie Mac SLST entities (3) 36,316 26,867 40,433 (115,295) Net investment in Freddie Mac K-Series entity (3) 1,855 1,599 10,776 (84,910) Net investments in CAFL entities (3) 3,697 17,125 3,411 (50,721) Shared home appreciation options 2,080 884 7,395 (6,670) Other investments 125 (3,005) 435 (4,892) Risk management derivatives, net — — — (59,142) Credit recoveries (losses) on AFS securities 13 54 388 (1,471) Total investment fair value changes, net $ 49,480 $ 152,228 $ 94,567 $ (718,604) Other Income MSRs $ (1,381) $ (3,955) $ (2,247) $ (22,563) Risk management derivatives, net — — — 13,966 Total other income (4) $ (1,381) $ (3,955) $ (2,247) $ (8,597) Total Market Valuation Gains (Losses), Net $ 93,858 $ 146,830 $ 213,641 $ (765,647) (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 June 30, 2021 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 $ 232,343 Prepayment rate (annual CPR) 20 - 20 % 20 % Whole loan spread to TBA price $ 2.00 - $ 2.00 $ 2.00 Whole loan spread to swap rate 215 - 215 bps 215 bps Jumbo loans committed to sell 928,170 Whole loan committed sales price $ 100.88 - $ 103.03 $ 102.38 Loans held by Legacy Sequoia (2) 260,875 Liability price N/A N/A Loans held by Sequoia (2) 2,222,553 Liability price N/A N/A Loans held by Freddie Mac SLST (2) 2,098,624 Liability price N/A N/A Business purpose loans: Single-family rental loans 418,442 Senior credit spread 70 - 70 bps 70 bps Subordinate credit spread 105 - 1,531 bps 391 bps Senior credit support 34 - 34 % 34 % IO discount rate 9 - 9 % 9 % Prepayment rate (annual CPR) 3 - 3 % 3 % Non-securitizable loan dollar price $ 82 - $ 102 $ 99 Single-family rental loans held by CAFL 3,263,878 Liability price N/A N/A Bridge loans 726,569 Discount rate 6 - 15 % 8 % Multifamily loans held by Freddie Mac K-Series (2) 485,157 Liability price N/A N/A Trading and AFS securities 354,886 Discount rate 2 - 31 % 7 % Prepayment rate (annual CPR) 8 - 62 % 28 % Default rate — - 25 % 4 % Loss severity — - 50 % 22 % CRT dollar price $ 95 - $ 113 $ 102 Servicer advance investments 184,551 Discount rate 3 - 3 % 3 % Prepayment rate (annual CPR) 20 - 30 % 21 % Expected remaining life (3) 4 - 4 years 4 years Mortgage servicing income — - 15 bps 9 bps MSRs 8,721 Discount rate 12 - 12 % 12 % Prepayment rate (annual CPR) 7 - 84 % 36 % Per loan annual cost to service $ 96 - $ 96 $ 96 Excess MSRs 29,988 Discount rate 13 - 16 % 15 % Prepayment rate (annual CPR) 21 - 30 % 24 % Excess mortgage servicing income 8 - 17 bps 11 bps Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) June 30, 2021 Fair Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (1) Assets (continued) Shared home appreciation options $ 44,319 Discount rate 13 - 13 % 13 % Prepayment rate (annual CPR) 16 - 24 % 17 % Home price appreciation 3 - 4 % 3 % REO 1,233 Loss severity 4 - 40 % 23 % Residential loan purchase commitments, net 12,725 Committed sales price $ 102.00 - $ 103.03 $ 102.64 Pull-through rate 21 - 100 % 72 % Whole loan spread to TBA price $ 2.00 - $ 2.00 $ 2.00 Whole loan spread to swap rate 191 - 215 bps 201 bps Prepayment rate (annual CPR) 20 - 20 % 20 % Single-family rental interest rate lock commitments 744 Senior credit spread 70 - 70 bps 70 bps Subordinate credit spread 105 - 1,531 bps 391 bps Senior credit support 34 - 34 % 34 % IO discount rate 10 - 11 % 10 % Prepayment rate (annual CPR) 3 - 3 % 3 % Pull-through rate 100 - 100 % 100 % Liabilities ABS issued (2) : At consolidated Sequoia entities 2,248,759 Discount rate 1 - 18 % 3 % Prepayment rate (annual CPR) 7 - 51 % 33 % Default rate — - 39 % 2 % Loss severity 25 - 50 % 32 % At consolidated CAFL entities (4) 3,007,596 Discount rate 1 - 13 % 3 % Prepayment rate (annual CPR) 3 - 3 % 3 % Default rate 3 - 18 % 9 % Loss severity 30 - 30 % 30 % At consolidated Freddie Mac SLST entities 1,650,087 Discount rate 2 - 7 % 3 % Prepayment rate (annual CPR) 6 - 8 % 6 % Default rate 9 - 10 % 9 % Loss severity 35 - 35 % 35 % At consolidated Freddie Mac K-Series entities (4) 454,324 Discount rate 1 - 9 % 2 % (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 June 30, 2021, the fair value of securities we owned at the consolidated Sequoia, CAFL, Freddie Mac SLST, and Freddie Mac K-Series entities was $235 million, $268 million, $450 million, and $31 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) | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at June 30, 2021 and December 31, 2020. Table 6.1 – Classifications and Carrying Values of Residential Loans June 30, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,160,548 $ — $ — $ — $ 1,160,548 Held-for-investment at fair value — 260,875 2,222,553 2,098,624 4,582,052 Total Residential Loans $ 1,160,548 $ 260,875 $ 2,222,553 $ 2,098,624 $ 5,742,600 December 31, 2020 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia 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 Table 7.1 – Classifications and Carrying Values of Business Purpose Loans June 30, 2021 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 418,442 — $ — $ 418,442 Held-for-investment at fair value — 3,263,878 726,569 3,990,447 Total Business Purpose Loans $ 418,442 $ 3,263,878 $ 726,569 $ 4,408,889 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 The following table provides the activity of business purpose loans at Redwood during the three and six months ended June 30, 2021 and 2020. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 312,217 $ 215,160 $ 175,876 $ 58,468 Principal balance of loans sold to third parties — 354 — 1,558 Fair value of loans transferred from HFS to HFI (1) 297,301 N/A 220,923 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 25,222 978 1,210 (3,277) Investment fair value changes recorded (4) — (62) 2,222 21,774 Six Months Ended Six Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 565,315 $ 348,389 $ 436,005 $ 285,836 Principal balance of loans sold to third parties — 9,231 26,148 22,293 Fair value of loans transferred from HFS to HFI (1) 466,705 N/A 599,032 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 35,470 1,521 11,540 (3,441) Investment fair value changes recorded (4) — 3,242 (20,806) (16,828) (1) Represents the transfer of single-family rental loans from held-for-sale to held-for-investment associated with CAFL securitizations. (2) Represents the transfer of single-family rental loans from held-for-investment to held-for-sale associated with the call of a consolidated CAFL securitization during the second quarter of 2021. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio. Additionally, for the three and six months ended June 30, 2021, we recorded loan origination fee income of $7 million and $13 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). For the three and six months ended June 30, 2020, we recorded loan origination fee income of $2 million and $11 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes for loans classified as held-for-investment. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net market valuation gains (losses) recorded (1) $ (1,230) $ 169,327 $ (62,132) $ (102,590) (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 Table 4.2 . The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.4 – Characteristics of Business Purpose Loans June 30, 2021 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 112 1,121 2,471 Unpaid principal balance $ 399,900 $ 3,060,949 $ 729,149 Fair value of loans $ 418,442 $ 3,263,878 $ 726,569 Weighted average coupon 4.84 % 5.34 % 7.63 % Weighted average remaining loan term (years) 7 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 122,277 N/A $ 127,133 Market value of loans pledged as collateral under long-term debt facilities $ 246,903 N/A $ 555,791 Delinquency information Number of loans with 90+ day delinquencies (1) 9 21 40 Unpaid principal balance of loans with 90+ day delinquencies $ 6,586 $ 59,841 $ 35,018 Fair value of loans with 90+ day delinquencies (2) $ 5,369 N/A $ 31,512 Number of loans in foreclosure 7 10 43 Unpaid principal balance of loans in foreclosure $ 5,976 $ 24,212 $ 32,611 Fair value of loans in foreclosure (2) $ 4,798 N/A $ 28,963 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 (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 June 30, 2021 and December 31, 2020. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) June 30, 2021 December 31, 2020 Number of loans 1,316 198 Unpaid principal balance $ 1,135,356 $ 172,748 Fair value of loans $ 1,160,548 $ 176,641 Market value of loans pledged as collateral under short-term borrowing agreements $ 1,152,267 $ 156,355 Delinquency information Number of loans with 90+ day delinquencies 2 1 Unpaid principal balance of loans with 90+ day delinquencies $ 2,100 $ 1,882 Fair value of loans with 90+ day delinquencies $ 1,397 $ 1,223 Number of loans in foreclosure — — |
Quarterly Activity of Residential Loans Held-for-Sale | The following table provides the activity of residential loans held-for-sale during the three and six months ended June 30, 2021 and 2020. Table 6.3 – Activity of Residential Loans Held-for-Sale Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Principal balance of loans acquired $ 3,484,633 $ 57,743 $ 6,580,681 $ 2,687,651 Principal balance of loans sold 3,324,919 2,280,076 5,600,751 4,936,795 Net market valuation gains (losses) recorded (1) 26,278 (2,014) 49,707 (15,494) (1) Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily 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 consolidated Sequoia and Freddie Mac SLST entities at June 30, 2021 and December 31, 2020. Table 6.4 – Characteristics of Residential Loans Held-for-Investment June 30, 2021 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,733 2,775 12,902 Unpaid principal balance $ 295,368 $ 2,193,269 $ 2,107,256 Fair value of loans $ 260,875 $ 2,222,553 $ 2,098,624 Delinquency information Number of loans with 90+ day delinquencies (1) 43 48 1,446 Unpaid principal balance of loans with 90+ day delinquencies $ 14,878 $ 38,502 $ 261,504 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 18 3 308 Unpaid principal balance of loans in foreclosure $ 3,830 $ 2,257 $ 51,191 December 31, 2020 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia 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 (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 three and six months ended June 30, 2021 and 2020. Table 6.5 – Activity of Residential Loans Held-for-Investment at Redwood Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Fair value of loans transferred from HFS to HFI $ — $ — $ — $ 13,258 Fair value of loans transferred from HFI to HFS — — — 1,870,986 Net market valuation gains (losses) recorded (1) — 104 — (93,532) (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 three and six months ended June 30, 2021 and 2020. Table 6.6 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 Legacy Freddie Mac Legacy Freddie Mac (In Thousands) Sequoia Sequoia SLST Sequoia Sequoia SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 1,205,494 N/A N/A $ 270,506 N/A Net market valuation gains (losses) recorded (1) 4,863 (12,835) 22,579 8,081 93,932 48,587 Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 Legacy Freddie Mac Legacy Freddie Mac (In Thousands) Sequoia Sequoia SLST Sequoia Sequoia SLST Fair value of loans transferred from HFS to HFI (1) N/A $ 1,205,494 N/A N/A $ 270,506 N/A Net market valuation gains (losses) recorded (1) 12,476 (15,413) 19,014 (60,933) (16,553) (144,433) (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. (2) For loans held at our consolidated Legacy Sequoia, Sequoia, 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 Table 4.2 . |
Business Purpose Loans (Tables)
Business Purpose Loans (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at June 30, 2021 and December 31, 2020. Table 6.1 – Classifications and Carrying Values of Residential Loans June 30, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,160,548 $ — $ — $ — $ 1,160,548 Held-for-investment at fair value — 260,875 2,222,553 2,098,624 4,582,052 Total Residential Loans $ 1,160,548 $ 260,875 $ 2,222,553 $ 2,098,624 $ 5,742,600 December 31, 2020 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia 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 Table 7.1 – Classifications and Carrying Values of Business Purpose Loans June 30, 2021 Single-Family Rental Residential (In Thousands) Redwood CAFL Bridge Total Held-for-sale at fair value $ 418,442 — $ — $ 418,442 Held-for-investment at fair value — 3,263,878 726,569 3,990,447 Total Business Purpose Loans $ 418,442 $ 3,263,878 $ 726,569 $ 4,408,889 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 The following table provides the activity of business purpose loans at Redwood during the three and six months ended June 30, 2021 and 2020. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 312,217 $ 215,160 $ 175,876 $ 58,468 Principal balance of loans sold to third parties — 354 — 1,558 Fair value of loans transferred from HFS to HFI (1) 297,301 N/A 220,923 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 25,222 978 1,210 (3,277) Investment fair value changes recorded (4) — (62) 2,222 21,774 Six Months Ended Six Months Ended (In Thousands) SFR at Redwood Bridge SFR at Redwood Bridge Principal balance of loans originated $ 565,315 $ 348,389 $ 436,005 $ 285,836 Principal balance of loans sold to third parties — 9,231 26,148 22,293 Fair value of loans transferred from HFS to HFI (1) 466,705 N/A 599,032 N/A Fair value of loans transferred from HFI to HFS (2) 44,922 — — — Mortgage banking activities income (loss) recorded (3) 35,470 1,521 11,540 (3,441) Investment fair value changes recorded (4) — 3,242 (20,806) (16,828) (1) Represents the transfer of single-family rental loans from held-for-sale to held-for-investment associated with CAFL securitizations. (2) Represents the transfer of single-family rental loans from held-for-investment to held-for-sale associated with the call of a consolidated CAFL securitization during the second quarter of 2021. (3) Represents net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio. Additionally, for the three and six months ended June 30, 2021, we recorded loan origination fee income of $7 million and $13 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). For the three and six months ended June 30, 2020, we recorded loan origination fee income of $2 million and $11 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (4) Represents net market valuation changes for loans classified as held-for-investment. Table 7.3 – Activity of Single-Family Rental Loans Held-for-Investment at CAFL Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net market valuation gains (losses) recorded (1) $ (1,230) $ 169,327 $ (62,132) $ (102,590) (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 Table 4.2 . The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at June 30, 2021 and December 31, 2020. Table 7.4 – Characteristics of Business Purpose Loans June 30, 2021 Single-Family Rental at Redwood Single-Family Rental at CAFL Bridge (Dollars in Thousands) Number of loans 112 1,121 2,471 Unpaid principal balance $ 399,900 $ 3,060,949 $ 729,149 Fair value of loans $ 418,442 $ 3,263,878 $ 726,569 Weighted average coupon 4.84 % 5.34 % 7.63 % Weighted average remaining loan term (years) 7 5 1 Market value of loans pledged as collateral under short-term debt facilities $ 122,277 N/A $ 127,133 Market value of loans pledged as collateral under long-term debt facilities $ 246,903 N/A $ 555,791 Delinquency information Number of loans with 90+ day delinquencies (1) 9 21 40 Unpaid principal balance of loans with 90+ day delinquencies $ 6,586 $ 59,841 $ 35,018 Fair value of loans with 90+ day delinquencies (2) $ 5,369 N/A $ 31,512 Number of loans in foreclosure 7 10 43 Unpaid principal balance of loans in foreclosure $ 5,976 $ 24,212 $ 32,611 Fair value of loans in foreclosure (2) $ 4,798 N/A $ 28,963 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 (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. |
Multifamily Loans (Tables)
Multifamily Loans (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Schedule of Multifamily Loans | The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at June 30, 2021 and December 31, 2020. Table 8.1 – Characteristics of Multifamily Loans (Dollars in Thousands) June 30, 2021 December 31, 2020 Number of loans 28 28 Unpaid principal balance $ 459,002 $ 462,808 Fair value of loans $ 485,157 $ 492,221 Weighted average coupon 4.25 % 4.25 % Weighted average remaining loan term (years) 4 5 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at June 30, 2021 were first-lien, fixed-rate loans that were originated in 2015. The following table provides the activity of multifamily loans held-for-investment during the three and six months ended June 30, 2021 and 2020. Table 8.2 – Activity of Multifamily Loans Held-for-Investment Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net market valuation gains (losses) recorded (1) $ (2,528) $ 18,591 $ (3,258) $ (63,840) (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 entity, 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 Table 4.2 . |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Fair Values of Real Estate Securities by Type | The following table presents the fair values of our real estate securities by type at June 30, 2021 and December 31, 2020. Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) June 30, 2021 December 31, 2020 Trading $ 142,425 $ 125,667 Available-for-sale 212,461 218,458 Total Real Estate Securities $ 354,886 $ 344,125 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at June 30, 2021 and December 31, 2020. Table 9.2 – Fair Value of Trading Securities by Position (In Thousands) June 30, 2021 December 31, 2020 Senior Interest-only securities (1) $ 25,267 $ 28,464 Total Senior 25,267 28,464 Mezzanine Sequoia securities — 3,649 Total Mezzanine — 3,649 Subordinate RPL securities 60,887 47,448 Multifamily securities 8,266 5,592 Other third-party residential securities 48,005 40,514 Total Subordinate 117,158 93,554 Total Trading Securities $ 142,425 $ 125,667 (1) Includes $17 million and $13 million of Sequoia certificated mortgage servicing rights at June 30, 2021 and December 31, 2020, respectively. The following table presents the unpaid principal balance of trading securities by position and collateral type at June 30, 2021 and December 31, 2020. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position (In Thousands) June 30, 2021 December 31, 2020 Senior (1) $ — $ — Mezzanine — 3,577 Subordinate 208,381 242,278 Total Trading Securities $ 208,381 $ 245,855 (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 three and six months ended June 30, 2021 and 2020. Table 9.4 – Trading Securities Activity Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Principal balance of securities acquired $ 1,750 $ 10,250 $ 17,630 $ 66,721 Principal balance of securities sold 18,068 85,747 52,811 704,614 Net market valuation gains (losses) recorded (1) 1,798 42,246 23,147 (221,079) (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 June 30, 2021 and December 31, 2020. Table 9.5 – Fair Value of Available-for-Sale Securities by Position (In Thousands) June 30, 2021 December 31, 2020 Mezzanine Other third-party residential securities $ — $ 2,014 Total Mezzanine — 2,014 Subordinate Sequoia securities 140,321 136,475 Multifamily securities 34,213 43,663 Other third-party residential securities 37,927 36,306 Total Subordinate 212,461 216,444 Total AFS Securities $ 212,461 $ 218,458 The following table provides the activity of available-for-sale securities during the three and six months ended June 30, 2021 and 2020. Table 9.6 – Available-for-Sale Securities Activity Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Fair value of securities acquired $ 522 $ — $ 1,600 $ 31,181 Fair value of securities sold 2,585 8,736 4,785 55,193 Net realized gains recorded 1,307 783 1,507 4,635 |
Carrying Value of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at June 30, 2021 and December 31, 2020. Table 9.7 – Carrying Value of AFS Securities June 30, 2021 (In Thousands) Mezzanine Subordinate Total Principal balance $ — $ 254,784 $ 254,784 Credit reserve — (40,349) (40,349) Unamortized discount, net — (90,216) (90,216) Amortized cost — 124,219 124,219 Gross unrealized gains — 88,321 88,321 Gross unrealized losses — (79) (79) CECL allowance — — — Carrying Value $ — $ 212,461 $ 212,461 December 31, 2020 (In Thousands) 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 allowance — (388) (388) Carrying Value $ 2,014 $ 216,444 $ 218,458 |
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | The following table presents the changes for the three and six months ended June 30, 2021, 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 Three Months Ended Six Months Ended Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 44,947 $ 94,188 $ 44,967 $ 95,718 Amortization of net discount — (1,569) — (3,183) Realized credit losses (112) — (249) — Acquisitions 890 368 2,825 1,208 Sales, calls, other (718) (7,429) (992) (9,729) Transfers to (release of) credit reserves, net (4,658) 4,658 (6,202) 6,202 Ending Balance $ 40,349 $ 90,216 $ 40,349 $ 90,216 |
Components of Fair Value of Available for Sale Securities by Holding Periods | The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at June 30, 2021 and December 31, 2020. 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) June 30, 2021 $ — $ — $ — $ 3,600 $ (79) $ 3,521 December 31, 2020 9,129 (1,047) 7,920 — — — |
Summary of Significant Valuation Assumptions for Available for Sale Securities Credit Loss | The table below summarizes the weighted average of the significant credit quality indicators we used for the credit loss allowance on our AFS securities at June 30, 2021. Table 9.10 – Significant Credit Quality Indicators June 30, 2021 Subordinate Securities Default rate 0.35% Loss severity 18% |
Activity of Allowance for Credit Losses for Available-for-sale Securities | The following table details the activity related to the allowance for credit losses for AFS securities for the three and six months ended June 30, 2021. Table 9.11 – Rollforward of Allowance for Credit Losses Three Months Ended June 30, 2021 Six Months Ended June 30, 2021 (In Thousands) Beginning balance allowance for credit losses $ 13 $ 388 Additions to allowance for credit losses on securities for which credit losses were not previously recorded — — Additional increases (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period (13) (388) 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 $ — $ — |
Gross Realized Gains and Losses on Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and six months ended June 30, 2021 and 2020. Table 9.12 – Gross Realized Gains and Losses on AFS Securities Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Gross realized gains - sales $ 1,307 $ 1,074 $ 1,507 $ 8,779 Gross realized gains - calls 6,687 — 9,095 — Gross realized losses - sales — (291) — (4,144) Total Realized Gains on Sales and Calls of AFS Securities, net $ 7,994 $ 783 $ 10,602 $ 4,635 |
Other Investments (Tables)
Other Investments (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Investments, All Other Investments [Abstract] | |
Summary of Other Investments | Other investments at June 30, 2021 and December 31, 2020 are summarized in the following table. Table 10.1 – Components of Other Investments (In Thousands) June 30, 2021 December 31, 2020 Servicer advance investments $ 184,551 $ 231,489 Shared home appreciation options 44,319 42,440 Excess MSRs 29,988 34,418 Mortgage servicing rights 8,721 8,815 Other 41,153 31,013 Total Other Investments $ 308,732 $ 348,175 |
Components of Servicer Advance Investments | The servicer advance receivables were comprised of the following types of advances at June 30, 2021 and December 31, 2020. Table 10.2 – Components of Servicer Advance Receivables (In Thousands) June 30, 2021 December 31, 2020 Principal and interest advances $ 80,741 $ 110,923 Escrow advances (taxes and insurance advances) 68,534 79,279 Corporate advances 22,543 27,454 Total Servicer Advance Receivables $ 171,818 $ 217,656 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value and Notional Amount of Derivative Financial Instruments | The following table presents the fair value and notional amount of our derivative financial instruments at June 30, 2021 and December 31, 2020. Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments June 30, 2021 December 31, 2020 Fair Notional Fair Notional (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 264 $ 133,000 $ 224 $ 42,000 TBAs 2,064 730,000 18,260 3,520,000 Interest rate futures 304 81,500 — — Swaptions 17,482 2,100,000 19,727 1,585,000 Assets - Other Derivatives Loan purchase and interest rate lock commitments 14,191 2,332,511 15,027 2,617,254 Total Assets $ 34,305 $ 5,377,011 $ 53,238 $ 7,764,254 Liabilities - Risk Management Derivatives Interest rate swaps $ (957) $ 87,500 $ — $ — TBAs (1,367) 730,000 (15,495) 3,105,000 Interest rate futures (194) 140,000 — — Liabilities - Other Derivatives Loan purchase commitments (722) 164,971 (577) 477,153 Total Liabilities $ (3,240) $ 1,122,471 $ (16,072) $ 3,582,153 Total Derivative Financial Instruments, Net $ 31,065 $ 6,499,482 $ 37,166 $ 11,346,407 |
Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges | The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three and six months ended June 30, 2021 and 2020. Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Net interest expense on cash flows hedges $ — $ — $ — $ (860) Realized net losses reclassified from other comprehensive income (1,028) (1,029) (2,046) (1,108) Total Interest Expense $ (1,028) $ (1,029) $ (2,046) $ (1,968) |
Other Assets and Liabilities (T
Other Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Components of Other Assets | Other assets at June 30, 2021 and December 31, 2020 are summarized in the following table. Table 12.1 – Components of Other Assets (In Thousands) June 30, 2021 December 31, 2020 Accrued interest receivable $ 41,366 $ 39,445 Investment receivable 38,281 43,176 REO 15,489 8,413 Operating lease right-of-use assets 14,370 15,012 Margin receivable 10,269 4,758 Fixed assets and leasehold improvements (1) 7,202 4,203 Pledged collateral — 1,177 Other 9,455 14,404 Total Other Assets $ 136,432 $ 130,588 |
Components of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at June 30, 2021 and December 31, 2020 are summarized in the following table. Table 12.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) June 30, 2021 December 31, 2020 Accrued compensation $ 42,737 $ 24,393 Accrued interest payable 35,615 34,858 Margin payable 19,503 14,728 Operating lease liabilities 15,997 16,687 Payable to minority partner 15,414 16,941 Unsettled trades 13,952 — Residential loan and MSR repurchase reserve 8,709 8,631 Guarantee obligations 8,446 10,039 Accrued income taxes payable 5,395 5,614 Bridge loan holdbacks 5,394 5,708 Accrued operating expenses 4,938 5,509 Deferred consideration — 14,579 Other 15,605 21,653 Total Accrued Expenses and Other Liabilities $ 191,705 $ 179,340 |
Other Real Estate | 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 six months ended June 30, 2021. Table 12.3 – REO Activity Six Months Ended June 30, 2021 (In Thousands) Redwood Bridge Legacy Sequoia Freddie Mac SLST CAFL Total Balance at beginning of period $ 4,600 $ 638 $ 646 $ 2,529 $ 8,413 Transfers to REO 2,289 65 1,548 11,924 15,826 Liquidations (1) (5,972) (39) (766) (1,949) (8,726) Changes in fair value, net 428 (5) 208 (655) (24) Balance at End of Period $ 1,345 $ 659 $ 1,636 $ 11,849 $ 15,489 (1) For the six months ended June 30, 2021, REO liquidations resulted in less than $0.1 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 June 30, 2021 and December 31, 2020. Table 12.4 – REO Assets Number of REO assets Redwood Bridge Legacy Sequoia Freddie Mac SLST CAFL Total At June 30, 2021 3 3 18 2 26 At December 31, 2020 3 3 9 2 17 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Short-Term Debt Facilities | The table below summarizes our short-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information at June 30, 2021 and December 31, 2020. Table 13.1 – Short-Term Debt June 30, 2021 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate (1) Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse 6 $ 1,049,144 $ 2,350,000 1.87 % 8/2021-3/2022 211 Business purpose loan warehouse 2 191,288 355,497 2.99 % 3/2022-5/2022 260 Real estate securities repo 3 80,938 — 1.53 % 7/2021-9/2021 35 Total Short-Term Debt Facilities 11 1,321,370 Servicer advance financing 1 163,629 260,000 1.89 % 11/2021 153 Total Short-Term Debt $ 1,484,999 December 31, 2020 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate (1) Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse 4 $ 137,269 $ 1,300,000 2.45 % 1/2021-11/2021 268 Business purpose loan warehouse 2 99,190 500,000 3.37 % 5/2022-6/2022 521 Real estate securities repo 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 |
Collateral for Short-Term Debt Facilities | The following table below presents the value of loans, securities, and other assets pledged as collateral under our short-term debt at June 30, 2021 and December 31, 2020. Table 13.2 – Collateral for Short-Term Debt (In Thousands) June 30, 2021 December 31, 2020 Collateral Type Held-for-sale residential loans $ 1,152,267 $ 156,355 Business purpose loans 249,410 127,029 Real estate securities On balance sheet 16,435 23,193 Sequoia securitizations (1) 62,387 63,105 Freddie Mac K-Series securitization (1) 30,834 28,255 Total real estate securities owned 109,656 114,553 Restricted cash and other assets 1,709 315 Total Collateral for Short-Term Debt Facilities 1,513,042 398,252 Cash 12,442 9,978 Restricted cash 19,028 23,220 Servicer advances 171,818 217,656 Total Collateral for Servicer Advance Financing 203,288 250,854 Total Collateral for Short-Term Debt $ 1,716,330 $ 649,106 |
Short-Term Debt by Collateral Type and Remaining Maturities | The following table presents the remaining maturities of our secured short-term debt by the type of collateral securing the debt at June 30, 2021. Table 13.3 – Short-Term Debt by Collateral Type and Remaining Maturities June 30, 2021 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ 119,462 $ 929,682 $ 1,049,144 Business purpose loans — — 191,288 191,288 Real estate securities 44,527 36,411 — 80,938 Total Secured Short-Term Debt 44,527 155,873 1,120,970 1,321,370 Servicer advance financing — — 163,629 163,629 Total Short-Term Debt $ 44,527 $ 155,873 $ 1,284,599 $ 1,484,999 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | The carrying values of ABS issued by our consolidated securitization entities at June 30, 2021 and December 31, 2020, along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued June 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST (1) Freddie Mac Total (Dollars in Thousands) Certificates with principal balance $ 291,083 $ 1,946,901 $ 2,746,648 $ 1,718,754 $ 422,534 $ 7,125,920 Interest-only certificates 788 15,282 167,460 21,455 11,627 216,612 Market valuation adjustments (33,660) 28,365 93,488 86,109 20,163 194,465 ABS Issued, Net $ 258,211 $ 1,990,548 $ 3,007,596 $ 1,826,318 $ 454,324 $ 7,536,997 Range of weighted average interest rates, by series 0.49% to 1.46% 2.31% to 5.10% 2.62% to 5.20% 3.50% to 4.75% 3.41 % Stated maturities 2024 - 2036 2047 - 2051 2021 - 2031 2028 - 2059 2025 Number of series 20 12 14 3 1 December 31, 2020 Legacy Sequoia CAFL Freddie Mac SLST (1) Freddie Mac K-Series Total (Dollars in Thousands) Certificates with principal balance $ 329,039 $ 1,309,957 $ 2,716,425 $ 1,866,145 $ 416,339 $ 6,637,905 Interest-only certificates 1,092 4,591 162,934 23,335 13,026 204,978 Market valuation adjustments (47,805) 32,809 133,734 104,439 34,601 257,778 ABS Issued, Net $ 282,326 $ 1,347,357 $ 3,013,093 $ 1,993,919 $ 463,966 $ 7,100,661 Range of weighted average interest rates, by series 0.35% to 1.55% 2.25% to 5.04% 2.68% to 5.42% 3.50% to 4.75% 3.39 % Stated maturities 2024 - 2036 2047 - 2050 2021 - 2031 2028 - 2059 2025 Number of series 20 10 14 3 1 (1) Includes $179 million and $205 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at June 30, 2021 and December 31, 2020, respectively. |
Accrued Interest Payable on Asset-Backed Securities Issued | The following table summarizes the accrued interest payable on ABS issued at June 30, 2021 and December 31, 2020. Interest due on consolidated ABS issued is payable monthly. Table 14.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) June 30, 2021 December 31, 2020 Legacy Sequoia $ 123 $ 141 Sequoia 5,521 4,697 CAFL 10,183 10,122 Freddie Mac SLST (1) 5,200 5,656 Freddie Mac K-Series 1,200 1,177 Total Accrued Interest Payable on ABS Issued $ 22,227 $ 21,793 (1) Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood. |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Long-term Debt Instruments | The table below summarizes our long-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information at June 30, 2021. Table 15.1 – Long-Term Debt June 30, 2021 (Dollars in Thousands) Borrowings Unamortized Deferred Issuance Costs / Discount Net Carrying Value Limit Weighted Average Interest Rate (1) Final Maturity Facilities Recourse Subordinate Securities Financing Sequoia $ 160,102 $ (521) $ 159,581 N/A 4.21 % 9/2024 CAFL 102,424 (505) 101,919 N/A 4.21 % 2/2025 Non-Recourse BPL Financing Facility A 45,582 (444) 45,138 45,582 L + 3.85% 7/2022 Facility B 57,616 (199) 57,417 250,000 L + 3.00% N/A Recourse BPL Financing Facility C 269,100 — 269,100 450,000 L + 3.40% 6/2023 Facility D 200,275 (158) 200,117 250,000 L + 3.00% 9/2023 Total Long-Term Debt Facilities 835,099 (1,827) 833,272 Convertible notes 4.75% convertible senior notes 198,629 (2,356) 196,273 N/A 4.75 % 8/2023 5.625% convertible senior notes 150,200 (2,450) 147,750 N/A 5.625 % 7/2024 5.75% exchangeable senior notes 172,092 (3,776) 168,316 N/A 5.75 % 10/2025 Trust preferred securities and subordinated notes 139,500 (803) 138,697 N/A L + 2.25% 7/2037 Total Long-Term Debt $ 1,495,520 $ (11,212) $ 1,484,308 (1) Variable rate borrowings are based on 1- or 3-month LIBOR ("L" in the table above) plus an applicable spread. The following table summarizes the accrued interest payable on long-term debt at June 30, 2021 and December 31, 2020. Table 15.3 – Accrued Interest Payable on Long-Term Debt (In Thousands) June 30, 2021 December 31, 2020 Long-term debt facilities $ 704 $ 1,799 Convertible notes 4.75% convertible senior notes 3,564 3,564 5.625% convertible senior notes 3,896 3,896 5.75% exchangeable senior notes 2,474 2,474 Trust preferred securities and subordinated notes 585 669 Total Accrued Interest Payable on Long-Term Debt $ 11,223 $ 12,402 |
Schedule of Financial Instruments Owned and Pledged as Collateral | The following table below presents the value of loans, securities, and other assets pledged as collateral under our long-term debt at June 30, 2021 and December 31, 2020. Table 15.2 – Collateral for Long-Term Debt (In Thousands) June 30, 2021 December 31, 2020 Collateral Type Bridge loans $ 555,791 $ 544,151 Single-family rental loans 246,903 154,774 Real estate securities Sequoia securitizations (1) 256,910 249,446 CAFL securitizations (1) 112,207 114,044 Total real estate securities owned 369,117 363,490 Other BPL investments — 21,414 Restricted cash — 1,100 Total Collateral for Long-Term Debt $ 1,171,811 $ 1,084,929 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Lease Commitments by Year | The following table presents our future lease commitments at June 30, 2021. Table 16.1 – Future Lease Commitments by Year (In Thousands) June 30, 2021 2021 (6 months) $ 1,854 2022 3,714 2023 3,235 2024 2,411 2025 1,983 2026 and thereafter 6,128 Total Lease Commitments 19,325 Less: Imputed interest (3,328) Operating Lease Liabilities $ 15,997 |
Equity (Tables)
Equity (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
Changes to Accumulated Other Comprehensive Income by Component | The following table provides a summary of changes to accumulated other comprehensive income by component for the three and six months ended June 30, 2021 and 2020. Table 17.1 – Changes in Accumulated Other Comprehensive Income (Loss) by Component Three Months Ended June 30, 2021 Three Months Ended June 30, 2020 (In Thousands) Available-for-Sale Securities Interest Rate Agreements Accounted for as Cash Flow Hedges Available-for-Sale Securities Interest Rate Agreements Accounted for as Cash Flow Hedges Balance at beginning of period $ 84,527 $ (79,539) $ (1,865) $ (83,666) Other comprehensive income 11,224 — 52,393 — Amounts reclassified from other (7,500) 1,028 2,718 1,029 Net current-period other comprehensive income 3,724 1,028 55,111 1,029 Balance at End of Period $ 88,251 $ (78,511) $ 53,246 $ (82,637) Six Months Ended June 30, 2021 Six Months Ended June 30, 2020 (In Thousands) Available-for-Sale Securities Interest Rate Agreements Accounted for as Cash Flow Hedges Available-for-Sale Securities Interest Rate Agreements Accounted for as Cash Flow Hedges Balance at beginning of period $ 76,336 $ (80,557) $ 92,452 $ (50,939) Other comprehensive income (loss) 22,210 — (28,126) (32,806) Amounts reclassified from other (10,295) 2,046 (11,080) 1,108 Net current-period other comprehensive income (loss) 11,915 2,046 (39,206) (31,698) Balance at End of Period $ 88,251 $ (78,511) $ 53,246 $ (82,637) |
Reclassifications out of Accumulated Other Comprehensive Income | The following table provides a summary of reclassifications out of accumulated other comprehensive income for the three and six months ended June 30, 2021 and 2020. Table 17.2 – Reclassifications Out of Accumulated Other Comprehensive Income (Loss) Amount Reclassified From Affected Line Item in the Three Months Ended June 30, (In Thousands) Income Statement 2021 2020 Net Realized (Gain) Loss on AFS Securities Decrease in allowance for credit losses on AFS securities Investment fair value changes, net $ (13) $ (54) Gain on sale of AFS securities Realized gains, net (7,487) 2,772 $ (7,500) $ 2,718 Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 1,028 $ 1,029 $ 1,028 $ 1,029 Amount Reclassified From Affected Line Item in the Six Months Ended June 30, (In Thousands) Income Statement 2021 2020 Net Realized (Gain) Loss on AFS Securities (Decrease) increase in allowance for credit losses on AFS securities Investment fair value changes, net $ (388) $ 1,471 Gain on sale of AFS securities Realized gains, net (9,907) (12,551) $ (10,295) $ (11,080) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 2,046 $ 1,108 $ 2,046 $ 1,108 |
Basic and Diluted Earnings Per Common Share | The following table provides the basic and diluted earnings (loss) per common share computations for the three and six months ended June 30, 2021 and 2020. Table 17.3 – Basic and Diluted Earnings (Loss) per Common Share Three Months Ended June 30, Six Months Ended June 30, (In Thousands, except Share Data) 2021 2020 2021 2020 Basic Earnings (Loss) per Common Share: Net income (loss) attributable to Redwood $ 90,025 $ 165,444 $ 187,282 $ (777,954) Less: Dividends and undistributed earnings allocated to participating securities (3,149) (4,528) (6,458) (1,011) Net income (loss) allocated to common shareholders $ 86,876 $ 160,916 $ 180,824 $ (778,965) Basic weighted average common shares outstanding 112,921,070 114,383,289 112,337,984 114,229,928 Basic Earnings (Loss) per Common Share $ 0.77 $ 1.41 $ 1.61 $ (6.82) Diluted Earnings (Loss) per Common Share: Net income (loss) attributable to Redwood $ 90,025 $ 165,444 $ 187,282 $ (777,954) Less: Dividends and undistributed earnings allocated to participating securities (2,869) (3,116) (5,829) (1,011) Adjust for interest expense and gain on extinguishment of convertible notes for the period, net of tax 6,990 (15,835) 13,971 — Net income (loss) allocated to common shareholders $ 94,146 $ 146,493 $ 195,424 $ (778,965) Weighted average common shares outstanding 112,921,070 114,383,289 112,337,984 114,229,928 Net effect of dilutive equity awards 273,139 — 234,353 — Net effect of assumed convertible notes conversion to common shares 28,566,875 32,715,790 28,566,875 — Diluted weighted average common shares outstanding 141,761,084 147,099,079 141,139,212 114,229,928 Diluted Earnings (Loss) per Common Share $ 0.66 $ 1.00 $ 1.38 $ (6.82) |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Equity Compensation Costs by Award Type | 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 $27 million at June 30, 2021, as shown in the following table. Table 18.1 – Activities of Equity Compensation Costs by Award Type Six Months Ended June 30, 2021 (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 $ 564 $ 3,540 $ 17,766 $ 5,794 $ — $ 27,664 Equity grants — 2,370 3,141 — 259 5,770 Performance-based valuation adjustment — — — 1,072 — 1,072 Equity grant forfeitures (2) (610) (550) — — (1,162) Equity compensation expense (271) (752) (3,629) (1,355) (130) (6,137) Unrecognized Compensation Cost at End of Period $ 291 $ 4,548 $ 16,728 $ 5,511 $ 129 $ 27,207 |
Mortgage Banking Activities, _2
Mortgage Banking Activities, Net (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Mortgage Banking [Abstract] | |
Mortgage Banking Activities | The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income (loss) for the three and six months ended June 30, 2021 and 2020. Table 19.1 – Mortgage Banking Activities Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 Residential Mortgage Banking Activities, Net Changes in fair value of: Residential loans, at fair value (1) $ 76,907 $ (1,393) $ 47,634 $ 6,562 Trading securities (2) (1,095) — (374) — Risk management derivatives (3) (55,740) — 33,224 (31,294) Other income (expense), net (4) 1,193 (6,612) 2,216 (6,354) Total residential mortgage banking activities, net 21,265 (8,005) 82,700 (31,086) Business Purpose Mortgage Banking Activities, Net: Changes in fair value of: Single-family rental loans, at fair value (1) 25,966 1,210 36,214 13,018 Risk management derivatives (3) (2,504) — 1,354 (21,538) Bridge loans, at fair value 2,225 (1,260) 3,269 (5,194) Other income, net (5) 7,467 2,073 13,489 9,916 Total business purpose mortgage banking activities, net 33,154 2,023 54,326 (3,798) Mortgage Banking Activities, Net $ 54,419 $ (5,982) $ 137,026 $ (34,884) (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 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 and provisions for repurchase expense, presented net. (5) Amounts in this line item include other fee income from loan originations. |
Other Income (Tables)
Other Income (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Other Income and Expenses [Abstract] | |
Schedule of other income | The following table presents the components of Other income recorded in our consolidated statements of income (loss) for the three and six months ended June 30, 2021 and 2020. Table 20.1 – Other Income Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 MSR (loss) income, net $ (43) $ (1,424) $ 654 $ (3,233) Risk share income 861 1,181 1,743 1,946 FHLBC capital stock dividend 25 538 50 1,085 Bridge loan fees 911 626 1,604 1,804 Other 372 244 1,918 2,491 Other Income $ 2,126 $ 1,165 $ 5,969 $ 4,093 |
General and Administrative Ex_2
General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Other Income and Expenses [Abstract] | |
Components of General and Administrative Expenses and Other Expenses | Components of our general and administrative expenses, loan acquisition costs, and other expenses for the three and six months ended June 30, 2021 and 2020 are presented in the following table. Table 21.1 – Components of General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2021 2020 2021 2020 General and Administrative Expenses Fixed compensation expense $ 11,269 $ 11,818 $ 23,074 $ 26,502 Annual variable compensation 12,508 3,278 31,177 3,289 Long-term incentive award expense (1) 5,682 3,262 9,851 5,257 Acquisition-related equity compensation expense (2) 1,212 1,212 2,424 2,424 Systems and consulting 3,272 2,395 6,249 5,607 Office costs 2,024 1,887 3,832 3,995 Accounting and legal 1,221 2,788 1,935 5,004 Corporate costs 873 626 1,564 1,297 Other 2,533 1,254 4,039 3,827 Total General and Administrative Expenses 40,594 28,520 84,145 57,202 Loan Acquisition Costs Commissions 1,661 360 2,924 2,148 Underwriting costs 1,836 856 3,521 2,518 Transfer and holding costs 251 356 862 892 Total Loan Acquisition Costs 3,748 1,572 7,307 5,558 Other Expenses Goodwill impairment expense — — — 88,675 Amortization of purchase-related intangible assets 3,873 3,873 7,746 8,182 Other 112 1,210 335 (359) Total Other Expenses 3,985 5,083 8,081 96,498 Total General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses $ 48,327 $ 35,175 $ 99,533 $ 159,258 (1) For the three months ended June 30, 2021, long-term incentive award expense includes $4 million of expense for awards settleable in shares of our common stock and $1 million of expense for awards settleable in cash. For the six months ended June 30, 2021, long-term incentive award expense includes $7 million of expense for awards settleable in shares of our common stock and $3 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 is being recognized as compensation expense over the two-year vesting period on a straight-line basis in accordance with GAAP. |
Taxes (Tables)
Taxes (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
Reconciliation of Statutory Tax Rate to Effective Tax Rate | The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at June 30, 2021 and 2020. Table 22.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate June 30, 2021 June 30, 2020 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of Federal tax effect 8.6 % 8.6 % Differences in taxable (loss) income from GAAP income (14.1) % (23.6) % Change in valuation allowance (3.3) % (3.2) % Dividends paid deduction (1) (3.3) % — % Effective Tax Rate 8.9 % 2.8 % (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 six months ended June 30, 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) | 6 Months Ended |
Jun. 30, 2021 | |
Segment Reporting [Abstract] | |
Business Segment Financial Information | The following tables present financial information by segment for the three and six months ended June 30, 2021 and 2020. Table 23.1 – Business Segment Financial Information Three Months Ended June 30, 2021 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 33,033 $ 70,515 $ 33,972 $ 1,175 $ 138,695 Interest expense (21,056) (54,442) (22,334) (10,233) (108,065) Net interest income 11,977 16,073 11,638 (9,058) 30,630 Non-interest income Mortgage banking activities, net 21,265 33,154 — — 54,419 Investment fair value changes, net 3,927 3,782 42,018 (247) 49,480 Other income, net 839 1,017 5 265 2,126 Realized gains, net 6,687 390 1,307 — 8,384 Total non-interest income (loss), net 32,718 38,343 43,330 18 114,409 General and administrative expenses (7,793) (13,688) (930) (18,183) (40,594) Loan acquisition costs (1,887) (1,861) — — (3,748) Other expenses — (3,873) (112) — (3,985) Provision for income taxes (4,171) (2,182) (334) — (6,687) Segment Contribution $ 30,844 $ 32,812 $ 53,592 $ (27,223) Net Income $ 90,025 Non-cash amortization (expense) income, net $ 1,339 $ (5,584) $ 185 $ (1,955) $ (6,015) Six Months Ended June 30, 2021 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 60,581 $ 134,920 $ 68,962 $ 2,537 $ 267,000 Interest expense (40,093) (104,517) (45,513) (20,494) (210,617) Net interest income 20,488 30,403 23,449 (17,957) 56,383 Non-interest income Mortgage banking activities, net 82,700 54,326 — — 137,026 Investment fair value changes, net 6,673 7,081 81,734 (921) 94,567 Other income, net 3,692 1,860 5 412 5,969 Realized gains, net 9,095 498 1,507 — 11,100 Total non-interest income, net 102,160 63,765 83,246 (509) 248,662 General and administrative expenses (21,550) (24,847) (2,061) (35,687) (84,145) Loan acquisition costs (3,303) (3,913) (87) (4) (7,307) Other expenses (6) (7,650) (442) 17 (8,081) Provision for income taxes (14,150) (3,503) (577) — (18,230) Segment Contribution $ 83,639 $ 54,255 $ 103,528 $ (54,140) Net Income $ 187,282 Non-cash amortization (expense) income, net $ 3,005 $ (11,441) $ 41 $ (3,850) $ (12,245) Three Months Ended June 30, 2020 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 36,653 $ 53,742 $ 36,811 $ 2,740 $ 129,946 Interest expense (28,762) (36,631) (24,927) (12,346) (102,666) Net interest income 7,891 17,111 11,884 (9,606) 27,280 Non-interest income Mortgage banking activities, net (8,005) 2,023 — — (5,982) Investment fair value changes, net 35,085 40,401 76,972 (230) 152,228 Other income, net 230 686 (509) 758 1,165 Realized gains, net 205 — 578 25,182 25,965 Total non-interest income, net 27,515 43,110 77,041 25,710 173,376 General and administrative expenses (3,700) (9,016) (1,986) (13,818) (28,520) Loan acquisition costs (175) (1,277) (120) — (1,572) Other expenses — (3,884) (1,065) (134) (5,083) Benefit from (provision for) income taxes 3,323 2,439 (5,799) — (37) Segment Contribution $ 34,854 $ 48,483 $ 79,955 $ 2,152 Net Income $ 165,444 Non-cash amortization income (expense), net $ (1,265) $ (6,391) $ 312 $ (1,619) $ (8,963) Six Months Ended June 30, 2020 (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total Interest income $ 97,284 $ 106,802 $ 118,007 $ 5,934 $ 328,027 Interest expense (66,324) (68,984) (87,428) (26,601) (249,337) Net interest income 30,960 37,818 30,579 (20,667) 78,690 Non-interest income Mortgage banking activities, net (31,086) (3,798) — — (34,884) Investment fair value changes, net (161,550) (101,729) (454,586) (739) (718,604) Other income, net (267) 2,870 732 758 4,093 Realized gains, net 2,001 — 2,634 25,182 29,817 Total non-interest income, net (190,902) (102,657) (451,220) 25,201 (719,578) General and administrative expenses (8,299) (20,656) (3,521) (24,726) (57,202) Loan acquisition costs (1,208) (3,970) (373) (7) (5,558) Other expenses — (96,869) 817 (446) (96,498) Benefit from income taxes 8,653 9,021 4,518 — 22,192 Segment Contribution $ (160,796) $ (177,313) $ (419,200) $ (20,645) Net Loss $ (777,954) Non-cash amortization income (expense), net $ (1,053) $ (11,316) $ 1,053 $ (1,728) $ (13,044) Other significant non-cash expense: goodwill impairment $ — $ (88,675) $ — $ — $ (88,675) |
Components of Corporate and Other | The following table presents the components of Corporate/Other for the three and six months ended June 30, 2021 and 2020. Table 23.2 – Components of Corporate/Other Three Months Ended June 30, 2021 2020 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 1,169 $ 6 $ 1,175 $ 2,685 $ 55 $ 2,740 Interest expense (755) (9,478) (10,233) (1,518) (10,828) (12,346) Net interest income 414 (9,472) (9,058) 1,167 (10,773) (9,606) Non-interest income Investment fair value changes, net (216) (31) (247) (230) — (230) Other income — 265 265 — 758 758 Realized gains, net — — — — 25,182 25,182 Total non-interest income, net (216) 234 18 (230) 25,940 25,710 General and administrative expenses — (18,183) (18,183) — (13,818) (13,818) Other expenses — — — — (134) (134) Total $ 198 $ (27,421) $ (27,223) $ 937 $ 1,215 $ 2,152 Six Months Ended June 30, 2021 2020 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 2,517 $ 20 $ 2,537 $ 5,879 $ 55 $ 5,934 Interest expense (1,630) (18,864) (20,494) (4,040) (22,561) (26,601) Net interest income 887 (18,844) (17,957) 1,839 (22,506) (20,667) Non-interest income Investment fair value changes, net (915) (6) (921) (621) (118) (739) Other income — 412 412 — 758 758 Realized gains, net — — — — 25,182 25,182 Total non-interest income, net (915) 406 (509) (621) 25,822 25,201 General and administrative expenses — (35,687) (35,687) — (24,726) (24,726) Loan acquisition costs — (4) (4) — (7) (7) Other expenses — 17 17 — (446) (446) Total $ (28) $ (54,112) $ (54,140) $ 1,218 $ (21,863) $ (20,645) (1) Legacy consolidated VIEs represent Legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 for further discussion on VIEs. |
Supplemental Information by Segment | The following table presents supplemental information by segment at June 30, 2021 and December 31, 2020. Table 23.3 – Supplemental Segment Information (In Thousands) Residential Lending Business Purpose Lending Third-Party Investments Corporate/ Total June 30, 2021 Residential loans $ 3,383,101 $ — $ 2,098,624 $ 260,875 $ 5,742,600 Business purpose loans — 4,408,889 — — 4,408,889 Multifamily loans — — 485,157 — 485,157 Real estate securities 163,609 — 191,277 — 354,886 Other investments 8,721 13,168 267,851 18,992 308,732 Intangible assets — 49,119 — — 49,119 Total assets 3,615,860 4,576,139 3,063,094 741,298 11,996,391 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 Intangible assets — 56,865 — — 56,865 Total assets 1,989,802 4,323,040 3,232,415 809,809 10,355,066 |
Organization (Details)
Organization (Details) | 6 Months Ended |
Jun. 30, 2021segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 3 |
Basis of Presentation - Narrati
Basis of Presentation - Narrative (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2021USD ($) | Mar. 31, 2021USD ($)shares | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)partnership | Jun. 30, 2020USD ($) | Dec. 31, 2019USD ($) | |
Variable Interest Entity [Line Items] | ||||||
Number of partnerships consolidated | partnership | 2 | |||||
VIE, ownership interest rate | 80.00% | |||||
Amortization of purchase-related intangible assets | $ 3,873 | $ 3,873 | $ 7,746 | $ 8,182 | ||
5 Arches | ||||||
Variable Interest Entity [Line Items] | ||||||
Intangible assets | $ 25,000 | |||||
Shares issued for settlement of remaining deferred consideration | shares | 806,068 | |||||
Cash payment for contingent consideration liability | $ 1,000 | |||||
CoreVest | ||||||
Variable Interest Entity [Line Items] | ||||||
Intangible assets | $ 57,000 |
Basis of Presentation - Intangi
Basis of Presentation - Intangible Assets – Activity (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | |
Finite-Lived Intangible Assets [Line Items] | ||
Intangible Assets at Acquisition | $ 49,119 | |
Carrying value | 49,119 | |
5 Arches LLC and CoreVest | ||
Finite-Lived Intangible Assets [Line Items] | ||
Intangible Assets at Acquisition | 49,119 | $ 81,300 |
Accumulated amortization | (32,181) | |
Carrying value | $ 49,119 | 81,300 |
Weighted Average Amortization Period (in years) | 6 years | |
5 Arches LLC and CoreVest | Borrower network | ||
Finite-Lived Intangible Assets [Line Items] | ||
Intangible Assets at Acquisition | $ 34,245 | 45,300 |
Accumulated amortization | (11,055) | |
Carrying value | $ 34,245 | 45,300 |
Weighted Average Amortization Period (in years) | 7 years | |
5 Arches LLC and CoreVest | Broker network | ||
Finite-Lived Intangible Assets [Line Items] | ||
Intangible Assets at Acquisition | $ 9,653 | 18,100 |
Accumulated amortization | (8,447) | |
Carrying value | $ 9,653 | 18,100 |
Weighted Average Amortization Period (in years) | 5 years | |
5 Arches LLC and CoreVest | Non-compete agreements | ||
Finite-Lived Intangible Assets [Line Items] | ||
Intangible Assets at Acquisition | $ 3,486 | 9,500 |
Accumulated amortization | (6,014) | |
Carrying value | $ 3,486 | 9,500 |
Weighted Average Amortization Period (in years) | 3 years | |
5 Arches LLC and CoreVest | Tradenames | ||
Finite-Lived Intangible Assets [Line Items] | ||
Intangible Assets at Acquisition | $ 1,472 | 4,000 |
Accumulated amortization | (2,528) | |
Carrying value | $ 1,472 | 4,000 |
Weighted Average Amortization Period (in years) | 3 years | |
5 Arches LLC and CoreVest | Developed technology | ||
Finite-Lived Intangible Assets [Line Items] | ||
Intangible Assets at Acquisition | $ 263 | 1,800 |
Accumulated amortization | (1,537) | |
Carrying value | $ 263 | 1,800 |
Weighted Average Amortization Period (in years) | 2 years | |
5 Arches LLC and CoreVest | Loan administration fees on existing loan assets | ||
Finite-Lived Intangible Assets [Line Items] | ||
Intangible Assets at Acquisition | $ 0 | 2,600 |
Accumulated amortization | (2,600) | |
Carrying value | $ 0 | $ 2,600 |
Weighted Average Amortization Period (in years) | 1 year |
Basis of Presentation - Intan_2
Basis of Presentation - Intangible Asset Amortization Expense by Year (Details) $ in Thousands | Jun. 30, 2021USD ($) |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
2021 (6 months) | $ 7,558 |
2022 | 12,800 |
2023 | 10,091 |
2024 | 7,073 |
2025 and thereafter | 11,597 |
Total Future Intangible Asset Amortization | $ 49,119 |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Assets | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | $ 34,305 | $ 53,238 |
Liabilities | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | (3,240) | (16,072) |
Total Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (1,132,600) | (230,539) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (1,132,600) | (230,539) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,131,711 | 228,467 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 889 | 1,061 | |
Net Amount | 0 | (1,011) | |
Interest rate agreements | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 17,746 | 19,951 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 17,746 | 19,951 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (957) | 0 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (11,238) | (7,769) | |
Net Amount | 5,551 | 12,182 | |
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (957) | ||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (957) | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 957 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | ||
Net Amount | 0 | ||
TBAs | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 2,064 | 18,260 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 2,064 | 18,260 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (478) | (13,423) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (1,393) | (4,658) | |
Net Amount | 193 | 179 | |
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (1,367) | (15,495) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (1,367) | (15,495) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 478 | 13,423 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 889 | 1,061 | |
Net Amount | 0 | (1,011) | |
Futures | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 304 | ||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 304 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (194) | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | ||
Net Amount | 110 | ||
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (194) | ||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | ||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (194) | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 194 | ||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | ||
Net Amount | 0 | ||
Interest Rate Agreement, TBAs, and Futures | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 20,114 | 38,211 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 20,114 | 38,211 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (1,629) | (13,423) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (12,631) | (12,427) | |
Net Amount | 5,854 | 12,361 | |
Loan warehouse debt | |||
Loan warehouse debt and Security repurchase agreement | |||
Gross Amounts of Recognized Assets (Liabilities) | (1,049,144) | (137,269) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (1,049,144) | (137,269) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,049,144 | 137,269 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | 0 | |
Net Amount | 0 | 0 | |
Security repurchase agreements | |||
Loan warehouse debt and Security repurchase agreement | |||
Gross Amounts of Recognized Assets (Liabilities) | (80,938) | (77,775) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (80,938) | (77,775) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 80,938 | 77,775 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) 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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Principles of Consolidation - A
Principles of Consolidation - Additional Information (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2021USD ($)entity | Jun. 30, 2021USD ($)partnershipentity | Dec. 31, 2020USD ($) | |
Variable Interest Entity [Line Items] | |||
Number of partnerships consolidated | partnership | 2 | ||
VIE, ownership interest rate | 80.00% | ||
MSRs | $ 171,818 | $ 171,818 | $ 217,656 |
Loans for sale at fair value that were acquired | $ 97,000 | $ 97,000 | |
Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Number of partnerships consolidated | partnership | 2 | ||
Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Number of securitization entities to which asset transferred (in entities) | entity | 52 | 52 | |
Number of entities called | entity | 3 | 4 | |
Unpaid principal balance of loans purchased | $ 83,000 | $ 101,000 | |
Gain related to called security | 7,000 | 9,000 | |
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Estimated fair value of investments | 4,000 | 4,000 | |
Sequoia | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Estimated fair value of investments | 234,000 | 234,000 | |
CAFL | |||
Variable Interest Entity [Line Items] | |||
Loans transferred to held-for-sale | 45,000 | ||
CAFL | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Estimated fair value of investments | 272,000 | 272,000 | |
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Estimated fair value of investments | 452,000 | 452,000 | |
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Estimated fair value of investments | 31,000 | 31,000 | |
Servicing Investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
MSRs | $ 62,000 | $ 62,000 |
Principles of Consolidation -_2
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entities Accounted for as Collateralized Financing Entities (Details) $ in Thousands | Jun. 30, 2021USD ($)investment | Dec. 31, 2020USD ($)investment | |
Variable Interest Entity [Line Items] | |||
Other investments | [1] | $ 308,732 | $ 348,175 |
Cash and cash equivalents | [1] | 421,223 | 461,260 |
Restricted cash | [1] | 55,048 | 83,190 |
Accrued interest receivable | 41,366 | 39,445 | |
Other assets | [1] | 136,432 | 130,588 |
Total Assets | [1] | 11,996,391 | 10,355,066 |
Short-term debt | [1] | 1,484,999 | 522,609 |
Accrued interest payable | 35,615 | 34,858 | |
Accrued expenses and other liabilities | [1] | 191,705 | 179,340 |
Asset-backed securities issued | [1] | 7,536,997 | 7,100,661 |
Total liabilities | [1] | 10,701,249 | 9,244,167 |
Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Other investments | 202,369 | 251,773 | |
Cash and cash equivalents | 12,459 | 11,579 | |
Restricted cash | 19,176 | 23,368 | |
Accrued interest receivable | 30,176 | 30,587 | |
Other assets | 21,168 | 9,937 | |
Total Assets | 8,616,435 | 8,141,069 | |
Short-term debt | 163,629 | 208,375 | |
Accrued interest payable | 21,612 | 21,274 | |
Accrued expenses and other liabilities | 16,360 | 18,403 | |
Asset-backed securities issued | 7,360,766 | 6,900,362 | |
Total liabilities | $ 7,562,367 | $ 7,148,414 | |
Number of VIEs | investment | 53 | 50 | |
Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 4,582,052 | $ 4,072,410 | |
Business purpose loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | [1] | 3,990,447 | 3,890,959 |
Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 3,263,878 | 3,249,194 | |
Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 485,157 | 492,221 | |
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 | 148 | |
Accrued interest receivable | 258 | 305 | |
Other assets | 659 | 638 | |
Total Assets | 261,940 | 287,026 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 124 | 141 | |
Accrued expenses and other liabilities | 0 | 0 | |
Asset-backed securities issued | 258,211 | 282,326 | |
Total liabilities | $ 258,335 | $ 282,467 | |
Number of VIEs | investment | 20 | 20 | |
Legacy Sequoia | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 260,875 | $ 285,935 | |
Legacy Sequoia | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Legacy Sequoia | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Sequoia | 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 | 7,559 | 6,802 | |
Other assets | 0 | 0 | |
Total Assets | 2,230,112 | 1,572,124 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 5,521 | 4,697 | |
Accrued expenses and other liabilities | 0 | 50 | |
Asset-backed securities issued | 1,990,548 | 1,347,357 | |
Total liabilities | $ 1,996,069 | $ 1,352,104 | |
Number of VIEs | investment | 12 | 10 | |
Sequoia | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 2,222,553 | $ 1,565,322 | |
Sequoia | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Sequoia | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
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 | 13,102 | 13,055 | |
Other assets | 12,596 | 2,930 | |
Total Assets | 3,289,576 | 3,265,179 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 10,183 | 10,278 | |
Accrued expenses and other liabilities | 0 | 0 | |
Asset-backed securities issued | 3,007,596 | 3,013,093 | |
Total liabilities | $ 3,017,779 | $ 3,023,371 | |
Number of VIEs | investment | 14 | 14 | |
CAFL | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 0 | $ 0 | |
CAFL | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 3,263,878 | 3,249,194 | |
CAFL | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
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 | 6,325 | 6,754 | |
Other assets | 1,636 | 646 | |
Total Assets | 2,106,585 | 2,228,553 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 4,490 | 4,846 | |
Accrued expenses and other liabilities | 0 | 0 | |
Asset-backed securities issued | 1,650,087 | 1,793,620 | |
Total liabilities | $ 1,654,577 | $ 1,798,466 | |
Number of VIEs | investment | 3 | 2 | |
Freddie Mac SLST | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 2,098,624 | $ 2,221,153 | |
Freddie Mac SLST | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Freddie Mac SLST | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
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 | 1,326 | 1,337 | |
Other assets | 0 | 0 | |
Total Assets | 486,483 | 493,558 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 1,200 | 1,177 | |
Accrued expenses and other liabilities | 0 | 0 | |
Asset-backed securities issued | 454,324 | 463,966 | |
Total liabilities | $ 455,524 | $ 465,143 | |
Number of VIEs | investment | 1 | 1 | |
Freddie Mac K-Series | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 0 | $ 0 | |
Freddie Mac K-Series | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Freddie Mac K-Series | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 485,157 | 492,221 | |
Servicing Investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Other investments | 202,369 | 251,773 | |
Cash and cash equivalents | 12,459 | 11,579 | |
Restricted cash | 19,028 | 23,220 | |
Accrued interest receivable | 1,606 | 2,334 | |
Other assets | 6,277 | 5,723 | |
Total Assets | 241,739 | 294,629 | |
Short-term debt | 163,629 | 208,375 | |
Accrued interest payable | 94 | 135 | |
Accrued expenses and other liabilities | 16,360 | 18,353 | |
Asset-backed securities issued | 0 | 0 | |
Total liabilities | $ 180,083 | $ 226,863 | |
Number of VIEs | investment | 3 | 3 | |
Servicing Investment | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 0 | $ 0 | |
Servicing Investment | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Servicing Investment | Multifamily loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Principles of Consolidation - I
Principles of Consolidation - Income (Loss) from Consolidated VIEs Accounted for as Collateralized Financing Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Variable Interest Entity [Line Items] | ||||
Interest income | $ 138,695 | $ 129,946 | $ 267,000 | $ 328,027 |
Interest expense | (108,065) | (102,666) | (210,617) | (249,337) |
Net Interest Income | 30,630 | 27,280 | 56,383 | 78,690 |
Investment fair value changes, net | 49,480 | 152,228 | 94,567 | (718,604) |
Total non-interest income (loss), net | 114,409 | 173,376 | 248,662 | (719,578) |
General and administrative expenses | (40,594) | (28,520) | (84,145) | (57,202) |
Net Income (Loss) | 90,025 | 165,444 | 187,282 | (777,954) |
Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 98,917 | 88,824 | 193,788 | 213,352 |
Interest expense | (74,845) | (67,104) | (145,789) | (169,176) |
Net Interest Income | 24,072 | 21,720 | 47,999 | 44,176 |
Investment fair value changes, net | 44,238 | 87,591 | 59,943 | (290,868) |
Total non-interest income (loss), net | 44,238 | 87,591 | 59,943 | (290,868) |
General and administrative expenses | (52) | (712) | (90) | (743) |
Other expenses | (112) | (1,065) | (442) | 817 |
Net Income (Loss) | 68,146 | 107,534 | 107,410 | (246,618) |
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 1,169 | 2,685 | 2,517 | 5,879 |
Interest expense | (755) | (1,518) | (1,630) | (4,040) |
Net Interest Income | 414 | 1,167 | 887 | 1,839 |
Investment fair value changes, net | (216) | (230) | (915) | (621) |
Total non-interest income (loss), net | (216) | (230) | (915) | (621) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Income (Loss) | 198 | 937 | (28) | 1,218 |
Sequoia | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 14,492 | 22,564 | 29,975 | 47,647 |
Interest expense | (11,374) | (19,117) | (23,480) | (40,627) |
Net Interest Income | 3,118 | 3,447 | 6,495 | 7,020 |
Investment fair value changes, net | 4,906 | 39,752 | 9,804 | (29,916) |
Total non-interest income (loss), net | 4,906 | 39,752 | 9,804 | (29,916) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Income (Loss) | 8,024 | 43,199 | 16,299 | (22,896) |
CAFL | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 54,849 | 32,978 | 103,722 | 62,988 |
Interest expense | (43,201) | (24,446) | (81,054) | (46,385) |
Net Interest Income | 11,648 | 8,532 | 22,668 | 16,603 |
Investment fair value changes, net | 3,697 | 16,313 | 3,411 | (51,533) |
Total non-interest income (loss), net | 3,697 | 16,313 | 3,411 | (51,533) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Income (Loss) | 15,345 | 24,845 | 26,079 | (34,930) |
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 19,506 | 21,187 | 39,665 | 43,173 |
Interest expense | (13,927) | (15,846) | (28,395) | (32,022) |
Net Interest Income | 5,579 | 5,341 | 11,270 | 11,151 |
Investment fair value changes, net | 36,316 | 26,866 | 40,433 | (115,295) |
Total non-interest income (loss), net | 36,316 | 26,866 | 40,433 | (115,295) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Income (Loss) | 41,895 | 32,207 | 51,703 | (104,144) |
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 4,860 | 4,870 | 9,646 | 45,042 |
Interest expense | (4,478) | (4,380) | (8,834) | (42,728) |
Net Interest Income | 382 | 490 | 812 | 2,314 |
Investment fair value changes, net | 1,855 | 1,599 | 10,776 | (84,910) |
Total non-interest income (loss), net | 1,855 | 1,599 | 10,776 | (84,910) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Income (Loss) | 2,237 | 2,089 | 11,588 | (82,596) |
Servicing Investment | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 4,041 | 4,540 | 8,263 | 8,623 |
Interest expense | (1,110) | (1,797) | (2,396) | (3,374) |
Net Interest Income | 2,931 | 2,743 | 5,867 | 5,249 |
Investment fair value changes, net | (2,320) | 3,291 | (3,566) | (8,593) |
Total non-interest income (loss), net | (2,320) | 3,291 | (3,566) | (8,593) |
General and administrative expenses | (52) | (712) | (90) | (743) |
Other expenses | (112) | (1,065) | (442) | 817 |
Net Income (Loss) | $ 447 | $ 4,257 | $ 1,769 | $ (3,270) |
Principles of Consolidation - S
Principles of Consolidation - Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Variable Interest Entity [Line Items] | ||||
Principal balance of loans transferred | $ 355,924 | $ 0 | $ 1,231,803 | $ 1,573,703 |
Trading securities retained, at fair value | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | 1,225 | 0 | 7,774 | 43,362 |
AFS securities retained, at fair value | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | $ 522 | $ 0 | $ 1,600 | $ 3,198 |
Principles of Consolidation - C
Principles of Consolidation - Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Variable Interest Entity [Line Items] | ||||
Proceeds from new transfers | $ 361,673 | $ 0 | $ 1,266,063 | $ 1,610,761 |
MSR fees received | 1,336 | 2,475 | 2,943 | 5,165 |
Funding of compensating interest, net | (70) | (205) | (170) | (297) |
Cash flows received on retained securities | $ 16,764 | $ 6,788 | $ 25,393 | $ 13,369 |
Principles of Consolidation -_3
Principles of Consolidation - Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2021 | Jun. 30, 2020 | |
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 | 8.00% | 11.00% | 41.00% |
Discount rates | 15.00% | 15.00% | 16.00% |
Credit loss assumptions | 0.25% | 0.23% | 0.21% |
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 | 8.00% | 11.00% | 13.00% |
Discount rates | 7.00% | 6.00% | 6.00% |
Credit loss assumptions | 0.25% | 0.23% | 0.22% |
Principles of Consolidation -_4
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
On-balance sheet assets, at fair value: | ||
Subordinate securities, classified as AFS | $ 212,461 | $ 218,458 |
Servicing asset, fair value | 171,818 | 217,656 |
Variable Interest Entity, Not Primary Beneficiary | ||
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | 167,344 | 165,870 |
Assets transferred: | ||
Principal balance of loans outstanding | 6,326,188 | 7,728,432 |
Principal balance of loans 30+ days delinquent | 58,362 | 138,029 |
Interest-only, senior and subordinate securities, classified as trading | Variable Interest Entity, Not Primary Beneficiary | ||
On-balance sheet assets, at fair value: | ||
Interest-only, senior and subordinate securities, classified as trading | 20,527 | 20,982 |
Subordinate securities, classified as AFS | Variable Interest Entity, Not Primary Beneficiary | ||
On-balance sheet assets, at fair value: | ||
Subordinate securities, classified as AFS | 140,321 | 136,475 |
Mortgage servicing rights | ||
On-balance sheet assets, at fair value: | ||
Servicing asset, fair value | 8,721 | 8,815 |
Mortgage servicing rights | Variable Interest Entity, Not Primary Beneficiary | ||
On-balance sheet assets, at fair value: | ||
Servicing asset, fair value | $ 6,496 | $ 8,413 |
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 | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
MSRs | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 6,496 | $ 8,413 |
Expected life (in years) | 2 years | 2 years |
Prepayment speed assumption (annual CPR) | 38.00% | 37.00% |
Decrease in fair value from: | ||
10% adverse change | $ 613 | $ 906 |
25% adverse change | $ 1,422 | $ 2,058 |
Discount rate assumption | 12.00% | 12.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 139 | $ 196 |
200 basis point increase | 271 | 380 |
Senior Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 20,527 | $ 17,333 |
Expected life (in years) | 4 years | 3 years |
Prepayment speed assumption (annual CPR) | 25.00% | 31.00% |
Decrease in fair value from: | ||
10% adverse change | $ 1,374 | $ 1,557 |
25% adverse change | $ 3,120 | $ 3,754 |
Discount rate assumption | 18.00% | 21.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 462 | $ 337 |
200 basis point increase | $ 900 | $ 659 |
Credit loss assumption | 0.39% | 0.41% |
Decrease in fair value from: | ||
10% higher losses | $ 0 | $ 0 |
25% higher losses | 0 | 0 |
Subordinate Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 140,321 | $ 140,124 |
Expected life (in years) | 8 years | 8 years |
Prepayment speed assumption (annual CPR) | 33.00% | 33.00% |
Decrease in fair value from: | ||
10% adverse change | $ 238 | $ 452 |
25% adverse change | $ 440 | $ 2,298 |
Discount rate assumption | 3.50% | 5.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 10,058 | $ 9,769 |
200 basis point increase | $ 19,174 | $ 18,650 |
Credit loss assumption | 0.39% | 0.41% |
Decrease in fair value from: | ||
10% higher losses | $ 2,671 | $ 2,409 |
25% higher losses | $ 6,384 | $ 5,915 |
Minimum | MSRs | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 10.00% | 10.00% |
Impact of increase in discount rate assumption | 1.00% | 1.00% |
Impact of adverse change in expected credit losses | 10.00% | 10.00% |
Minimum | Senior Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 10.00% | 10.00% |
Impact of increase in discount rate assumption | 1.00% | 1.00% |
Impact of adverse change in expected credit losses | 10.00% | 10.00% |
Minimum | Subordinate Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 10.00% | 10.00% |
Impact of increase in discount rate assumption | 1.00% | 1.00% |
Impact of adverse change in expected credit losses | 10.00% | 10.00% |
Maximum | MSRs | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25.00% | 25.00% |
Impact of increase in discount rate assumption | 2.00% | 2.00% |
Impact of adverse change in expected credit losses | 25.00% | 25.00% |
Maximum | Senior Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25.00% | 25.00% |
Impact of increase in discount rate assumption | 2.00% | 2.00% |
Impact of adverse change in expected credit losses | 25.00% | 25.00% |
Maximum | Subordinate Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25.00% | 25.00% |
Impact of increase in discount rate assumption | 2.00% | 2.00% |
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 | Jun. 30, 2021 | Dec. 31, 2020 | |
Variable Interest Entity [Line Items] | |||
Real estate securities | [1] | $ 354,886 | $ 344,125 |
Other assets | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 206,208 | 200,801 | |
Other assets | Senior | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 4,740 | 11,131 | |
Other assets | Mezzanine | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 0 | 2,014 | |
Other assets | Subordinate | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 189,298 | 173,523 | |
Other assets | Total Mortgage-Backed Securities | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 194,038 | 186,668 | |
Other assets | Excess MSR | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | $ 12,170 | $ 14,133 | |
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Assets | |||
Real estate securities | $ 142,425 | $ 125,667 | |
MSRs | 171,818 | 217,656 | |
Derivative assets | [1] | 34,305 | 53,238 |
Pledged collateral | 0 | 1,177 | |
Liabilities | |||
Derivative liabilities | [1] | 3,240 | 16,072 |
ABS issued, net, Fair value | 7,360,766 | 6,900,362 | |
Residential Loans | |||
Assets | |||
MSRs | 184,551 | 231,489 | |
Carrying Value | |||
Assets | |||
Real estate securities | 354,886 | 344,125 | |
Other financial instruments | 28,556 | 10,203 | |
Cash and cash equivalents | 421,223 | 461,260 | |
Restricted cash | 55,048 | 83,190 | |
Derivative assets | 34,305 | 53,238 | |
Margin receivable | 10,269 | 4,758 | |
FHLBC stock | 10 | 5,000 | |
Pledged collateral | 0 | 1,177 | |
Liabilities | |||
Margin payable | 19,503 | 0 | |
Guarantee obligation | 8,446 | 10,039 | |
Derivative liabilities | 3,240 | 16,072 | |
ABS issued, net, Fair value | 7,360,766 | 6,900,362 | |
ABS issued, net, Amortized cost | 176,231 | 200,299 | |
Other long-term debt, net (5) | 833,272 | 774,726 | |
Convertible notes, net (5) | 512,339 | 511,085 | |
Trust preferred securities and subordinated notes, net (5) | 138,697 | 138,674 | |
Carrying Value | Servicer Advance Investments | |||
Assets | |||
MSRs | 184,551 | 231,489 | |
Carrying Value | MSRs | |||
Assets | |||
MSRs | 8,721 | 8,815 | |
Carrying Value | Excess MSRs | |||
Assets | |||
REO | 29,988 | 34,418 | |
Carrying Value | REO | |||
Assets | |||
REO | 15,489 | 8,413 | |
Carrying Value | Short-term debt | |||
Liabilities | |||
Short-term debt | 1,484,999 | 522,609 | |
Carrying Value | Residential Loans | Residential loans, at fair value | |||
Assets | |||
Loans, held-for-sale | 1,160,513 | 176,604 | |
Carrying Value | Residential Loans | Residential loans, held-for-investment | |||
Assets | |||
Loans receivable, fair value | 4,582,052 | 4,072,410 | |
Carrying Value | Residential Loans | Business purpose residential loans, held-for-sale | |||
Assets | |||
Loans, held-for-sale | 418,442 | 245,394 | |
Carrying Value | Residential Loans | Business purpose loans, held-for-investment | |||
Assets | |||
Loans receivable, fair value | 3,990,447 | 3,890,959 | |
Carrying Value | Residential Loans | Multifamily loans | |||
Assets | |||
Loans receivable, fair value | 485,157 | 492,221 | |
Fair Value | |||
Assets | |||
Real estate securities | 354,886 | 344,125 | |
Other financial instruments | 28,556 | 10,203 | |
Cash and cash equivalents | 421,223 | 461,260 | |
Restricted cash | 55,048 | 83,190 | |
Derivative assets | 34,305 | 53,238 | |
Margin receivable | 10,269 | 4,758 | |
FHLBC stock | 10 | 5,000 | |
Pledged collateral | 0 | 1,177 | |
Liabilities | |||
Margin payable | 19,503 | 0 | |
Guarantee obligation | 5,932 | 7,843 | |
Derivative liabilities | 3,240 | 16,072 | |
ABS issued, net, Fair value | 7,360,766 | 6,900,362 | |
ABS issued, net, Amortized cost | 180,080 | 204,892 | |
Other long-term debt, net (5) | 834,214 | 783,570 | |
Convertible notes, net (5) | 531,473 | 499,865 | |
Trust preferred securities and subordinated notes, net (5) | 87,188 | 80,910 | |
Fair Value | Servicer Advance Investments | |||
Assets | |||
MSRs | 184,551 | 231,489 | |
Fair Value | MSRs | |||
Assets | |||
MSRs | 8,721 | 8,815 | |
Fair Value | Excess MSRs | |||
Assets | |||
REO | 29,988 | 34,418 | |
Fair Value | REO | |||
Assets | |||
REO | 17,718 | 9,229 | |
Fair Value | Short-term debt | |||
Liabilities | |||
Short-term debt | 1,484,999 | 522,609 | |
Fair Value | Residential Loans | Residential loans, at fair value | |||
Assets | |||
Loans, held-for-sale | 1,160,513 | 176,604 | |
Fair Value | Residential Loans | Residential loans, held-for-investment | |||
Assets | |||
Loans receivable, fair value | 4,582,052 | 4,072,410 | |
Fair Value | Residential Loans | Business purpose residential loans, held-for-sale | |||
Assets | |||
Loans, held-for-sale | 418,442 | 245,394 | |
Fair Value | Residential Loans | Business purpose loans, held-for-investment | |||
Assets | |||
Loans receivable, fair value | 3,990,447 | 3,890,959 | |
Fair Value | Residential Loans | Multifamily loans | |||
Assets | |||
Loans receivable, fair value | 485,157 | 492,221 | |
Shared home appreciation options | |||
Assets | |||
Shared home appreciation options | 42,440 | ||
Shared home appreciation options | Carrying Value | |||
Assets | |||
Shared home appreciation options | 44,319 | 42,440 | |
Shared home appreciation options | Fair Value | |||
Assets | |||
Shared home appreciation options | $ 44,319 | $ 42,440 | |
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Additional Information (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended |
Jun. 30, 2021 | Jun. 30, 2021 | |
Securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 4 | $ 26 |
Residential loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 3,480 | 6,580 |
Business purpose loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 527 | $ 914 |
Excess MSR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 2 | |
Other Financial Instrument | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 2 |
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 | Jun. 30, 2021 | Dec. 31, 2020 | |
Assets | |||
Real estate securities | $ 142,425 | $ 125,667 | |
MSRs | 171,818 | 217,656 | |
Derivative assets | [1] | 34,305 | 53,238 |
Pledged collateral | 0 | 1,177 | |
Liabilities | |||
Derivative liabilities | [1] | 3,240 | 16,072 |
ABS issued | 7,360,766 | 6,900,362 | |
Fair Value, Measurements, Recurring | |||
Assets | |||
Business purpose loans | 4,408,889 | 4,136,353 | |
Multifamily loans | 485,157 | 492,221 | |
Real estate securities | 354,886 | 344,125 | |
Servicer advance investments | 184,551 | 231,489 | |
MSRs | 8,721 | 8,815 | |
Excess MSRs | 29,988 | 34,418 | |
Shared home appreciation options | 44,319 | 42,440 | |
Derivative assets | 34,305 | 53,238 | |
Pledged collateral | 1,177 | ||
FHLBC stock | 5,000 | ||
Liabilities | |||
Derivative liabilities | 3,240 | 16,072 | |
ABS issued | 7,360,766 | 6,900,362 | |
Fair Value, Measurements, Recurring | Residential Loans | |||
Assets | |||
Residential loans | 5,742,565 | 4,249,014 | |
Fair Value, Measurements, Recurring | Level 1 | |||
Assets | |||
Business purpose loans | 0 | 0 | |
Multifamily loans | 0 | 0 | |
Real estate securities | 0 | 0 | |
Servicer advance investments | 0 | 0 | |
MSRs | 0 | 0 | |
Excess MSRs | 0 | 0 | |
Shared home appreciation options | 0 | 0 | |
Derivative assets | 2,368 | 18,260 | |
Pledged collateral | 1,177 | ||
FHLBC stock | 0 | ||
Liabilities | |||
Derivative liabilities | 1,561 | 15,495 | |
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 1 | Residential Loans | |||
Assets | |||
Residential loans | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | |||
Assets | |||
Business purpose loans | 0 | 0 | |
Multifamily loans | 0 | 0 | |
Real estate securities | 0 | 0 | |
Servicer advance investments | 0 | 0 | |
MSRs | 0 | 0 | |
Excess MSRs | 0 | 0 | |
Shared home appreciation options | 0 | 0 | |
Derivative assets | 17,746 | 19,951 | |
Pledged collateral | 0 | ||
FHLBC stock | 5,000 | ||
Liabilities | |||
Derivative liabilities | 957 | 0 | |
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | Residential Loans | |||
Assets | |||
Residential loans | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | |||
Assets | |||
Business purpose loans | 4,408,889 | 4,136,353 | |
Multifamily loans | 485,157 | 492,221 | |
Real estate securities | 354,886 | 344,125 | |
Servicer advance investments | 184,551 | 231,489 | |
MSRs | 8,721 | 8,815 | |
Excess MSRs | 29,988 | 34,418 | |
Shared home appreciation options | 44,319 | 42,440 | |
Derivative assets | 14,191 | 15,027 | |
Pledged collateral | 0 | ||
FHLBC stock | 0 | ||
Liabilities | |||
Derivative liabilities | 722 | 577 | |
ABS issued | 7,360,766 | 6,900,362 | |
Fair Value, Measurements, Recurring | Level 3 | Residential Loans | |||
Assets | |||
Residential loans | $ 5,742,565 | $ 4,249,014 | |
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
ABS Issued | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | $ 6,900,362 |
Acquisitions | 1,629,218 |
Principal paydowns | (1,055,541) |
Gains (losses) in net income (loss), net | (113,273) |
Other settlements, net | 0 |
Ending balance - June 30, 2021 | 7,360,766 |
Residential Loans | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 4,249,014 |
Acquisitions | 6,684,292 |
Originations | 0 |
Sales | (4,531,811) |
Principal paydowns | (727,627) |
Gains (losses) in net income (loss), net | 70,184 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | (1,487) |
Ending balance - June 30, 2021 | 5,742,565 |
Business purpose loans | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 4,136,353 |
Acquisitions | 0 |
Originations | 913,704 |
Sales | (9,231) |
Principal paydowns | (599,889) |
Gains (losses) in net income (loss), net | (17,835) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | (14,213) |
Ending balance - June 30, 2021 | 4,408,889 |
Multifamily loans | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 492,221 |
Acquisitions | 0 |
Originations | 0 |
Sales | 0 |
Principal paydowns | (3,806) |
Gains (losses) in net income (loss), net | (3,258) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance - June 30, 2021 | 485,157 |
Trading Securities | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 125,667 |
Acquisitions | 26,367 |
Originations | 0 |
Sales | (31,949) |
Principal paydowns | (807) |
Gains (losses) in net income (loss), net | 23,147 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance - June 30, 2021 | 142,425 |
AFS Securities | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 218,458 |
Acquisitions | 1,600 |
Originations | 0 |
Sales | (4,785) |
Principal paydowns | (28,979) |
Gains (losses) in net income (loss), net | 14,172 |
Unrealized losses in OCI, net | 11,995 |
Other settlements, net | 0 |
Ending balance - June 30, 2021 | 212,461 |
Servicer Advance Investments | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 231,489 |
Acquisitions | 0 |
Originations | 0 |
Sales | 0 |
Principal paydowns | (45,838) |
Gains (losses) in net income (loss), net | (1,100) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance - June 30, 2021 | 184,551 |
MSRs | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 8,815 |
Acquisitions | 2,283 |
Originations | 0 |
Sales | 0 |
Principal paydowns | 0 |
Gains (losses) in net income (loss), net | (2,251) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | (126) |
Ending balance - June 30, 2021 | 8,721 |
Excess MSRs | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 34,418 |
Acquisitions | 0 |
Originations | 0 |
Sales | 0 |
Principal paydowns | 0 |
Gains (losses) in net income (loss), net | (4,430) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance - June 30, 2021 | 29,988 |
Shared Home Appreciation Options | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 42,440 |
Acquisitions | 0 |
Originations | 0 |
Sales | 0 |
Principal paydowns | (5,516) |
Gains (losses) in net income (loss), net | 7,395 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance - June 30, 2021 | 44,319 |
Derivatives | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2020 | 14,450 |
Acquisitions | 0 |
Principal paydowns | 0 |
Gains (losses) in net income (loss), net | (197) |
Other settlements, net | (784) |
Ending balance - June 30, 2021 | $ 13,469 |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held Included in Net Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Residential loan purchase commitments, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 liabilities still held included in net income | $ (696) | $ 2,137 | $ (724) | $ (1,634) |
Held-for-investment at fair value | Residential loans at Redwood | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 14,130 | (359) | 10,481 | (746) |
Held-for-investment at fair value | Sequoia | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 4,693 | 39,558 | 8,893 | (30,502) |
Held-for-investment at fair value | Freddie Mac SLST | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 36,137 | 26,867 | 40,225 | (115,295) |
Business purpose loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 28,404 | 31,187 | 40,003 | (21,026) |
Multifamily loans | Freddie Mac K-Series | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 1,855 | 1,599 | 10,776 | (13,180) |
Single family rental loans | CAFL | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 2,908 | 17,125 | 2,556 | (50,721) |
Trading Securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 1,772 | 30,647 | 2,262 | (79,633) |
Servicer Advance Investments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (940) | (136) | (1,100) | (6,198) |
MSRs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (330) | (1,591) | 273 | (16,507) |
Excess MSRs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (2,477) | 2,971 | (4,430) | (6,523) |
Shared home appreciation options | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 2,080 | 884 | 7,395 | (6,670) |
Residential loan purchase commitments, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | $ 14,550 | $ 357 | $ 14,171 | $ 357 |
Fair Value of Financial Instr_8
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - REO $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2021USD ($) | Jun. 30, 2021USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
REO | $ 1,233 | $ 1,233 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (3) | (7) |
Level 1 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
REO | 0 | 0 |
Level 2 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
REO | 0 | 0 |
Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
REO | $ 1,233 | $ 1,233 |
Fair Value of Financial Instr_9
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other Income | $ (43) | $ (1,424) | $ 654 | $ (3,233) |
Total Market Valuation Gains (Losses), Net | 93,858 | 146,830 | 213,641 | (765,647) |
Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 45,759 | (1,443) | 121,321 | (38,446) |
Mortgage Banking Activities, Net | Residential loans, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 24,988 | (2,014) | 48,100 | (15,494) |
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 | 51,919 | 621 | (466) | 22,056 |
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 | 25,222 | 1,210 | 35,470 | 12,677 |
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 | 744 | 0 | 744 | 341 |
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 | 2,225 | (1,260) | 3,269 | (5,194) |
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 | (1,095) | 0 | (374) | 0 |
Mortgage Banking Activities, Net | Risk management derivatives | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | (58,244) | 0 | 34,578 | (52,832) |
Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 49,480 | 152,228 | 94,567 | (718,604) |
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 | 2,893 | 42,246 | 23,521 | (221,079) |
Investment Fair Value Changes, Net | Risk management derivatives | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 0 | 0 | 0 | (59,142) |
Investment Fair Value Changes, Net | Residential loans at Redwood | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 1,290 | 104 | 1,607 | (93,532) |
Investment Fair Value Changes, Net | Single Family Rental Loans Held For Investment At Fair Value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 0 | 2,222 | 0 | (20,806) |
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 | (62) | 21,774 | 3,242 | (16,828) |
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 | (940) | (136) | (1,100) | (6,198) |
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 | (2,477) | 2,971 | (4,430) | (6,523) |
Investment Fair Value Changes, Net | Legacy Sequoia | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | (216) | (230) | (915) | (621) |
Investment Fair Value Changes, Net | Sequoia | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 4,906 | 39,753 | 9,804 | (29,916) |
Investment Fair Value Changes, Net | Freddie Mac SLST | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 36,316 | 26,867 | 40,433 | (115,295) |
Investment Fair Value Changes, Net | Freddie Mac K-Series | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 1,855 | 1,599 | 10,776 | (84,910) |
Investment Fair Value Changes, Net | CAFL | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 3,697 | 17,125 | 3,411 | (50,721) |
Investment Fair Value Changes, Net | Shared Home Appreciation Options | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 2,080 | 884 | 7,395 | (6,670) |
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 | 125 | (3,005) | 435 | (4,892) |
Investment Fair Value Changes, Net | Credit recoveries (losses) on AFS securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 13 | 54 | 388 | (1,471) |
Other Income | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other Income | (1,381) | (3,955) | (2,247) | (8,597) |
Other Income | Risk management derivatives | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other Income | 0 | 0 | 0 | 13,966 |
Other Income | MSRs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other Income | $ (1,381) | $ (3,955) | $ (2,247) | $ (22,563) |
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 | 6 Months Ended | ||
Jun. 30, 2021USD ($)$ / loan | Dec. 31, 2020USD ($) | Jun. 30, 2020 | |
Assets | |||
ABS issued, net, Fair value | $ | $ 7,360,766 | $ 6,900,362 | |
ABS Issued | |||
Liabilities | |||
ABS issued | $ | $ 2,248,759 | ||
ABS Issued | Prepayment rate (annual CPR) | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.07 | ||
ABS Issued | Prepayment rate (annual CPR) | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.51 | ||
ABS Issued | Prepayment rate (annual CPR) | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.33 | ||
ABS Issued | Discount rate | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.01 | ||
ABS Issued | Discount rate | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.18 | ||
ABS Issued | Discount rate | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.03 | ||
ABS Issued | Default rate | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0 | ||
ABS Issued | Default rate | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.39 | ||
ABS Issued | Default rate | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.02 | ||
ABS Issued | Loss severity | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.25 | ||
ABS Issued | Loss severity | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.50 | ||
ABS Issued | Loss severity | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.32 | ||
Freddie Mac SLST | |||
Liabilities | |||
ABS issued | $ | $ 1,650,087 | ||
Freddie Mac SLST | Prepayment rate (annual CPR) | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.06 | ||
Freddie Mac SLST | Prepayment rate (annual CPR) | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.08 | ||
Freddie Mac SLST | Prepayment rate (annual CPR) | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.06 | ||
Freddie Mac SLST | Discount rate | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.02 | ||
Freddie Mac SLST | Discount rate | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.07 | ||
Freddie Mac SLST | Discount rate | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.03 | ||
Freddie Mac SLST | Default rate | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.09 | ||
Freddie Mac SLST | Default rate | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.10 | ||
Freddie Mac SLST | Default rate | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.09 | ||
Freddie Mac SLST | Loss severity | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.35 | ||
Freddie Mac SLST | Loss severity | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.35 | ||
Freddie Mac SLST | Loss severity | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.35 | ||
Freddie Mac K-Series | |||
Liabilities | |||
ABS issued | $ | $ 454,324 | ||
Freddie Mac K-Series | Discount rate | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.01 | ||
Freddie Mac K-Series | Discount rate | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.09 | ||
Freddie Mac K-Series | Discount rate | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.02 | ||
CAFL | |||
Liabilities | |||
ABS issued | $ | $ 3,007,596 | ||
CAFL | Prepayment rate (annual CPR) | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.03 | ||
CAFL | Prepayment rate (annual CPR) | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.03 | ||
CAFL | Prepayment rate (annual CPR) | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.03 | ||
CAFL | Discount rate | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.01 | ||
CAFL | Discount rate | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.13 | ||
CAFL | Discount rate | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.03 | ||
CAFL | Default rate | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.03 | ||
CAFL | Default rate | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.18 | ||
CAFL | Default rate | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.09 | ||
CAFL | Loss severity | Minimum | |||
Liabilities | |||
ABS issued, measurement input | 0.30 | ||
CAFL | Loss severity | Maximum | |||
Liabilities | |||
ABS issued, measurement input | 0.30 | ||
CAFL | Loss severity | Weighted Average | |||
Liabilities | |||
ABS issued, measurement input | 0.30 | ||
Single Family Rental Interest Rate Lock Commitments | |||
Liabilities | |||
Loan commitments | $ | $ 744 | ||
Single Family Rental Interest Rate Lock Commitments | Prepayment rate (annual CPR) | Minimum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.03 | ||
Single Family Rental Interest Rate Lock Commitments | Prepayment rate (annual CPR) | Maximum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.03 | ||
Single Family Rental Interest Rate Lock Commitments | Prepayment rate (annual CPR) | Weighted Average | |||
Liabilities | |||
Loan liabilities, measurement input | 0.03 | ||
Single Family Rental Interest Rate Lock Commitments | Senior credit spread | Minimum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.0070 | ||
Single Family Rental Interest Rate Lock Commitments | Senior credit spread | Maximum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.0070 | ||
Single Family Rental Interest Rate Lock Commitments | Senior credit spread | Weighted Average | |||
Liabilities | |||
Loan liabilities, measurement input | 0.0070 | ||
Single Family Rental Interest Rate Lock Commitments | Subordinate credit spread | Minimum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.0105 | ||
Single Family Rental Interest Rate Lock Commitments | Subordinate credit spread | Maximum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.1531 | ||
Single Family Rental Interest Rate Lock Commitments | Subordinate credit spread | Weighted Average | |||
Liabilities | |||
Loan liabilities, measurement input | 0.0391 | ||
Single Family Rental Interest Rate Lock Commitments | Senior credit support | Minimum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.34 | ||
Single Family Rental Interest Rate Lock Commitments | Senior credit support | Maximum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.34 | ||
Single Family Rental Interest Rate Lock Commitments | Senior credit support | Weighted Average | |||
Liabilities | |||
Loan liabilities, measurement input | 0.34 | ||
Single Family Rental Interest Rate Lock Commitments | IO discount rate | Minimum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.10 | ||
Single Family Rental Interest Rate Lock Commitments | IO discount rate | Maximum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.11 | ||
Single Family Rental Interest Rate Lock Commitments | IO discount rate | Weighted Average | |||
Liabilities | |||
Loan liabilities, measurement input | 0.10 | ||
Single Family Rental Interest Rate Lock Commitments | Pull-through rate | Minimum | |||
Liabilities | |||
Loan liabilities, measurement input | 1 | ||
Single Family Rental Interest Rate Lock Commitments | Pull-through rate | Maximum | |||
Liabilities | |||
Loan liabilities, measurement input | 1 | ||
Single Family Rental Interest Rate Lock Commitments | Pull-through rate | Weighted Average | |||
Liabilities | |||
Loan liabilities, measurement input | 1 | ||
Jumbo fixed-rate loans | |||
Assets | |||
ABS issued, net, Fair value | $ | $ 232,343 | ||
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 fixed-rate loans | Whole Loan Spread to TBA Price | Minimum | |||
Assets | |||
Loans held-for-sale, measurement input | 2 | ||
Jumbo fixed-rate loans | Whole Loan Spread to TBA Price | Maximum | |||
Assets | |||
Loans held-for-sale, measurement input | 2 | ||
Jumbo fixed-rate loans | Whole Loan Spread to TBA Price | Weighted Average | |||
Assets | |||
Loans held-for-sale, measurement input | 2 | ||
Jumbo fixed-rate loans | Whole loan spread to swap rate | Minimum | |||
Assets | |||
Loans held-for-sale, measurement input | 0.0215 | ||
Jumbo fixed-rate loans | Whole loan spread to swap rate | Maximum | |||
Assets | |||
Loans held-for-sale, measurement input | 0.0215 | ||
Jumbo fixed-rate loans | Whole loan spread to swap rate | Weighted Average | |||
Assets | |||
Loans held-for-sale, measurement input | 0.0215 | ||
Jumbo loans committed to sell | |||
Assets | |||
Loans receivable, fair value | $ | $ 928,170 | ||
Jumbo loans committed to sell | Whole loan committed sales price | Minimum | |||
Assets | |||
Loans held-for-sale, measurement input | 100.88 | ||
Jumbo loans committed to sell | Whole loan committed sales price | Maximum | |||
Assets | |||
Loans held-for-sale, measurement input | 103.03 | ||
Jumbo loans committed to sell | Whole loan committed sales price | Weighted Average | |||
Assets | |||
Loans held-for-sale, measurement input | 102.38 | ||
Legacy Sequoia | |||
Assets | |||
Loans receivable, fair value | $ | $ 260,875 | ||
Sequoia | |||
Assets | |||
Loans receivable, fair value | $ | 2,222,553 | ||
Liabilities | |||
Fair value of securities owned | $ | 235,000 | ||
Freddie Mac SLST | |||
Assets | |||
Loans receivable, fair value | $ | 2,098,624 | ||
Liabilities | |||
Fair value of securities owned | $ | 450,000 | ||
Single-family rental loans | |||
Assets | |||
Loans receivable, fair value | $ | $ 418,442 | ||
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 | Senior credit spread | Minimum | |||
Assets | |||
Loans receivable, measurement input | 0.0070 | ||
Single-family rental loans | Senior credit spread | Maximum | |||
Assets | |||
Loans receivable, measurement input | 0.0070 | ||
Single-family rental loans | Senior credit spread | Weighted Average | |||
Assets | |||
Loans receivable, measurement input | 0.0070 | ||
Single-family rental loans | Subordinate credit spread | Minimum | |||
Assets | |||
Loans receivable, measurement input | 0.0105 | ||
Single-family rental loans | Subordinate credit spread | Maximum | |||
Assets | |||
Loans receivable, measurement input | 0.1531 | ||
Single-family rental loans | Subordinate credit spread | Weighted Average | |||
Assets | |||
Loans receivable, measurement input | 0.0391 | ||
Single-family rental loans | Senior credit support | Minimum | |||
Assets | |||
Loans receivable, measurement input | 0.34 | ||
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 | 0.34 | ||
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 | ||
Single-family rental loans | Non-securitizable loan dollar price | Minimum | |||
Assets | |||
Loans receivable, measurement input | 82 | ||
Single-family rental loans | Non-securitizable loan dollar price | Maximum | |||
Assets | |||
Loans receivable, measurement input | 102 | ||
Single-family rental loans | Non-securitizable loan dollar price | Weighted Average | |||
Assets | |||
Loans receivable, measurement input | 99 | ||
CAFL | |||
Assets | |||
Loans receivable, fair value | $ | $ 3,263,878 | ||
Liabilities | |||
Fair value of securities owned | $ | 268,000 | ||
Bridge loans | |||
Assets | |||
Loans receivable, fair value | $ | $ 726,569 | ||
Bridge loans | Discount rate | Minimum | |||
Assets | |||
Loans held-for-investment, measurement input | 0.06 | ||
Bridge loans | Discount rate | Maximum | |||
Assets | |||
Loans held-for-investment, measurement input | 0.15 | ||
Bridge loans | Discount rate | Weighted Average | |||
Assets | |||
Loans held-for-investment, measurement input | 0.08 | ||
Freddie Mac K-Series | |||
Assets | |||
Loans receivable, fair value | $ | $ 485,157 | ||
Liabilities | |||
Fair value of securities owned | $ | 31,000 | ||
Trading and AFS securities | |||
Assets | |||
Trading and AFS securities | $ | $ 354,886 | ||
Trading and AFS securities | Prepayment rate (annual CPR) | Minimum | |||
Assets | |||
Trading and AFS securities | 0.08 | ||
Trading and AFS securities | Prepayment rate (annual CPR) | Maximum | |||
Assets | |||
Trading and AFS securities | 0.62 | ||
Trading and AFS securities | Prepayment rate (annual CPR) | Weighted Average | |||
Assets | |||
Trading and AFS securities | 0.28 | ||
Trading and AFS securities | Discount rate | Minimum | |||
Assets | |||
Trading and AFS securities | 0.02 | ||
Trading and AFS securities | Discount rate | Maximum | |||
Assets | |||
Trading and AFS securities | 0.31 | ||
Trading and AFS securities | Discount rate | Weighted Average | |||
Assets | |||
Trading and AFS securities | 0.07 | ||
Trading and AFS securities | Default rate | Minimum | |||
Assets | |||
Trading and AFS securities | 0 | ||
Trading and AFS securities | Default rate | Maximum | |||
Assets | |||
Trading and AFS securities | 0.25 | ||
Trading and AFS securities | Default rate | Weighted Average | |||
Assets | |||
Trading and AFS securities | 0.04 | ||
Trading and AFS securities | Loss severity | Minimum | |||
Assets | |||
Trading and AFS securities | 0 | ||
Trading and AFS securities | Loss severity | Maximum | |||
Assets | |||
Trading and AFS securities | 0.50 | ||
Trading and AFS securities | Loss severity | Weighted Average | |||
Assets | |||
Trading and AFS securities | 0.22 | ||
Trading and AFS securities | Measurement Input, CRT Dollar Price | Minimum | |||
Assets | |||
Trading and AFS securities | 95 | ||
Trading and AFS securities | Measurement Input, CRT Dollar Price | Maximum | |||
Assets | |||
Trading and AFS securities | 113 | ||
Trading and AFS securities | Measurement Input, CRT Dollar Price | Weighted Average | |||
Assets | |||
Trading and AFS securities | 102 | ||
Servicer Advance Investments | |||
Assets | |||
Servicing asset | $ | $ 184,551 | ||
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 asset, measurement input | 0.20 | ||
Servicer Advance Investments | Prepayment rate (annual CPR) | Maximum | |||
Assets | |||
Servicing asset, measurement input | 0.30 | ||
Servicer Advance Investments | Prepayment rate (annual CPR) | Weighted Average | |||
Assets | |||
Servicing asset, measurement input | 0.21 | ||
Servicer Advance Investments | Discount rate | Minimum | |||
Assets | |||
Servicing asset, measurement input | 0.03 | ||
Servicer Advance Investments | Discount rate | Maximum | |||
Assets | |||
Servicing asset, measurement input | 0.03 | ||
Servicer Advance Investments | Discount rate | Weighted Average | |||
Assets | |||
Servicing asset, measurement input | 0.03 | ||
Residential loan purchase commitments, net | |||
Liabilities | |||
Loan purchase commitments, net | $ | $ 12,725 | ||
Residential loan purchase commitments, net | Prepayment rate (annual CPR) | Minimum | |||
Assets | |||
Loans receivable, measurement input | 0.20 | ||
Residential loan purchase commitments, net | Prepayment rate (annual CPR) | Maximum | |||
Assets | |||
Loans receivable, measurement input | 0.20 | ||
Residential loan purchase commitments, net | Prepayment rate (annual CPR) | Weighted Average | |||
Assets | |||
Loans receivable, measurement input | 0.20 | ||
Residential loan purchase commitments, net | Whole Loan Spread to TBA Price | Minimum | |||
Assets | |||
Loans receivable, measurement input | 2 | ||
Residential loan purchase commitments, net | Whole Loan Spread to TBA Price | Maximum | |||
Assets | |||
Loans receivable, measurement input | 2 | ||
Residential loan purchase commitments, net | Whole Loan Spread to TBA Price | Weighted Average | |||
Assets | |||
Loans receivable, measurement input | 2 | ||
Residential loan purchase commitments, net | Whole loan spread to swap rate | Minimum | |||
Assets | |||
Loans receivable, measurement input | 0.0191 | ||
Residential loan purchase commitments, net | Whole loan spread to swap rate | Maximum | |||
Assets | |||
Loans receivable, measurement input | 0.0215 | ||
Residential loan purchase commitments, net | Whole loan spread to swap rate | Weighted Average | |||
Assets | |||
Loans receivable, measurement input | 0.0201 | ||
Residential loan purchase commitments, net | Mortgage servicing income | Minimum | |||
Assets | |||
Servicing asset, measurement input | 0 | ||
Residential loan purchase commitments, net | Mortgage servicing income | Maximum | |||
Assets | |||
Servicing asset, measurement input | 0.0015 | ||
Residential loan purchase commitments, net | Mortgage servicing income | Weighted Average | |||
Assets | |||
Servicing asset, measurement input | 0.0009 | ||
Residential loan purchase commitments, net | Committed sales price | Minimum | |||
Liabilities | |||
Loan liabilities, measurement input | 102 | ||
Residential loan purchase commitments, net | Committed sales price | Maximum | |||
Liabilities | |||
Loan liabilities, measurement input | 103.03 | ||
Residential loan purchase commitments, net | Committed sales price | Weighted Average | |||
Liabilities | |||
Loan liabilities, measurement input | 102.64 | ||
Residential loan purchase commitments, net | Pull-through rate | Minimum | |||
Liabilities | |||
Loan liabilities, measurement input | 0.21 | ||
Residential loan purchase commitments, net | Pull-through rate | Maximum | |||
Liabilities | |||
Loan liabilities, measurement input | 1 | ||
Residential loan purchase commitments, net | Pull-through rate | Weighted Average | |||
Liabilities | |||
Loan liabilities, measurement input | 0.72 | ||
MSRs | |||
Assets | |||
Servicing asset | $ | $ 8,721 | ||
MSRs | Prepayment rate (annual CPR) | Minimum | |||
Assets | |||
Servicing asset, measurement input | 0.07 | ||
MSRs | Prepayment rate (annual CPR) | Maximum | |||
Assets | |||
Servicing asset, measurement input | 0.84 | ||
MSRs | Prepayment rate (annual CPR) | Weighted Average | |||
Assets | |||
Servicing asset, measurement input | 0.36 | ||
MSRs | Discount rate | Minimum | |||
Assets | |||
Servicing asset, measurement input | 0.12 | ||
MSRs | Discount rate | Maximum | |||
Assets | |||
Servicing asset, measurement input | 0.12 | ||
MSRs | Discount rate | Weighted Average | |||
Assets | |||
Servicing asset, measurement input | 0.12 | ||
MSRs | Per loan annual cost to service | Minimum | |||
Assets | |||
Servicing asset, measurement input | 96 | ||
MSRs | Per loan annual cost to service | Maximum | |||
Assets | |||
Servicing asset, measurement input | 96 | ||
MSRs | Per loan annual cost to service | Weighted Average | |||
Assets | |||
Servicing asset, measurement input | 96 | ||
Excess MSRs | |||
Assets | |||
Servicing asset | $ | $ 29,988 | ||
Excess MSRs | Prepayment rate (annual CPR) | Minimum | |||
Assets | |||
Servicing asset, measurement input | 0.21 | ||
Excess MSRs | Prepayment rate (annual CPR) | Maximum | |||
Assets | |||
Servicing asset, measurement input | 0.30 | ||
Excess MSRs | Prepayment rate (annual CPR) | Weighted Average | |||
Assets | |||
Servicing asset, measurement input | 0.24 | ||
Excess MSRs | Discount rate | Minimum | |||
Assets | |||
Servicing asset, measurement input | 0.13 | ||
Excess MSRs | Discount rate | Maximum | |||
Assets | |||
Servicing asset, measurement input | 0.16 | ||
Excess MSRs | Discount rate | Weighted Average | |||
Assets | |||
Servicing asset, measurement input | 0.15 | ||
Excess MSRs | Excess mortgage servicing income | Minimum | |||
Assets | |||
Servicing asset, measurement input | 0.0008 | ||
Excess MSRs | Excess mortgage servicing income | Maximum | |||
Assets | |||
Servicing asset, measurement input | 0.0017 | ||
Excess MSRs | Excess mortgage servicing income | Weighted Average | |||
Assets | |||
Servicing asset, measurement input | 0.0011 | ||
Shared home appreciation options | |||
Assets | |||
Shared home appreciation options | $ | $ 44,319 | ||
Shared home appreciation options | Prepayment rate (annual CPR) | Minimum | |||
Assets | |||
Shared home appreciation options | 0.16 | ||
Shared home appreciation options | Prepayment rate (annual CPR) | Maximum | |||
Assets | |||
Shared home appreciation options | 0.24 | ||
Shared home appreciation options | Prepayment rate (annual CPR) | Weighted Average | |||
Assets | |||
Shared home appreciation options | 0.17 | ||
Shared home appreciation options | Discount rate | Minimum | |||
Assets | |||
Shared home appreciation options | 0.13 | ||
Shared home appreciation options | Discount rate | Maximum | |||
Assets | |||
Shared home appreciation options | 0.13 | ||
Shared home appreciation options | Discount rate | Weighted Average | |||
Assets | |||
Shared home appreciation options | 0.13 | ||
Shared home appreciation options | Home price appreciation | Minimum | |||
Assets | |||
Shared home appreciation options | 0.03 | ||
Shared home appreciation options | Home price appreciation | Maximum | |||
Assets | |||
Shared home appreciation options | 0.04 | ||
Shared home appreciation options | Home price appreciation | Weighted Average | |||
Assets | |||
Shared home appreciation options | 0.03 | ||
REO | |||
Assets | |||
REO | $ | $ 1,233 | ||
REO | Loss severity | Minimum | |||
Assets | |||
REO, measurement input | 0.04 | ||
REO | Loss severity | Maximum | |||
Assets | |||
REO, measurement input | 0.40 | ||
REO | Loss severity | Weighted Average | |||
Assets | |||
REO, measurement input | 0.23 |
Residential Loans - Summary of
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | [1] | $ 1,160,548 | $ 176,641 |
Held-for-investment at fair value | Legacy Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 260,875 | 285,935 | |
Held-for-investment at fair value | Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 2,222,553 | 1,565,322 | |
Held-for-investment at fair value | Freddie Mac SLST | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 2,098,624 | 2,221,153 | |
Residential Loans | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 5,742,600 | 4,249,051 | |
Residential Loans | Legacy Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 260,875 | 285,935 | |
Residential Loans | Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 2,222,553 | 1,565,322 | |
Residential Loans | Freddie Mac SLST | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 2,098,624 | 2,221,153 | |
Residential Loans | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 1,160,548 | 176,641 | |
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] | |||
Fair value of loans | 0 | 0 | |
Residential Loans | Held-for-sale at fair value | Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 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] | |||
Fair value of loans | 0 | 0 | |
Residential Loans | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 4,582,052 | 4,072,410 | |
Residential Loans | Held-for-investment at fair value | Legacy Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 260,875 | 285,935 | |
Residential Loans | Held-for-investment at fair value | Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 2,222,553 | 1,565,322 | |
Residential Loans | Held-for-investment at fair value | Freddie Mac SLST | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 2,098,624 | 2,221,153 | |
Residential Loans | Redwood | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 1,160,548 | 176,641 | |
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] | |||
Fair value of loans | 1,160,548 | 176,641 | |
Residential Loans | Redwood | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | $ 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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Residential Loans - Additional
Residential Loans - Additional Information (Details) $ in Millions | Jun. 30, 2021USD ($) |
MSRs | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Mortgage servicing rights, at amortized cost | $ 1,100 |
Residential Loans - Characteris
Residential Loans - Characteristics of Residential Loans Held-for-Sale (Details) - Residential Loans $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 1,316 | 198 |
Unpaid principal balance | $ 1,135,356 | $ 172,748 |
Fair value of loans | 1,160,548 | 176,641 |
Market value of loans pledged as collateral under short-term borrowing agreements | $ 1,152,267 | $ 156,355 |
Number of loans in foreclosure | loan | 0 | 0 |
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] | ||
Fair value of loans | $ 2,100 | $ 1,882 |
Number of loans with 90+ day delinquencies | loan | 2 | 1 |
Fair value of loans with 90+ day delinquencies | $ 1,397 | $ 1,223 |
Residential Loans - Quarterly A
Residential Loans - Quarterly Activity of Residential Loans Held-for-Sale (Details) - Residential Loans - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance of loans acquired | $ 3,484,633 | $ 57,743 | $ 6,580,681 | $ 2,687,651 |
Principal balance of loans sold | 3,324,919 | 2,280,076 | 5,600,751 | 4,936,795 |
Net market valuation gains (losses) recorded | $ 26,278 | $ (2,014) | $ 49,707 | $ (15,494) |
Residential Loans - Character_2
Residential Loans - Characteristics of Loans Held-for-Investment (Details) - Held-for-investment at fair value $ in Thousands | 3 Months Ended | 12 Months Ended |
Jun. 30, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | |
Legacy Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 1,733 | 1,908 |
Unpaid principal balance | $ 295,368 | $ 333,474 |
Fair value of loans | $ 260,875 | $ 285,935 |
Number of loans in foreclosure | loan | 18 | 21 |
Unpaid principal balance of loans in foreclosure | $ 3,830 | $ 4,939 |
Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 2,775 | 2,177 |
Unpaid principal balance | $ 2,193,269 | $ 1,550,454 |
Fair value of loans | $ 2,222,553 | $ 1,565,322 |
Number of loans in foreclosure | loan | 3 | 3 |
Unpaid principal balance of loans in foreclosure | $ 2,257 | $ 2,251 |
Freddie Mac SLST | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 12,902 | 13,605 |
Unpaid principal balance | $ 2,107,256 | $ 2,247,771 |
Fair value of loans | $ 2,098,624 | $ 2,221,153 |
Number of loans in foreclosure | loan | 308 | 245 |
Unpaid principal balance of loans in foreclosure | $ 51,191 | $ 38,610 |
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 with 90+ day delinquencies | loan | 43 | 52 |
Fair value of loans with 90+ day delinquencies | $ 14,878 | $ 17,285 |
Financing Receivables, Equal to Greater than 90 Days Past Due | Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans with 90+ day delinquencies | loan | 48 | 94 |
Fair value of loans with 90+ day delinquencies | $ 38,502 | $ 74,742 |
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 with 90+ day delinquencies | loan | 1,446 | 2,110 |
Fair value of loans with 90+ day delinquencies | $ 261,504 | $ 389,245 |
Residential Loans - Quarterly_2
Residential Loans - Quarterly Activity of Residential Loans Held-for-Investment (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
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 | $ 1,998,535 | $ 706,775 | ||
Held-for-investment at fair value | Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Net market valuation gain (loss) | $ (12,835) | $ 93,932 | (15,413) | (16,553) |
Held-for-investment at fair value | Freddie Mac SLST | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Net market valuation gain (loss) | 22,579 | 48,587 | 19,014 | (144,433) |
Held-for-investment at fair value | Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Net market valuation gain (loss) | 4,863 | 8,081 | 12,476 | (60,933) |
Held-for-investment at fair value | Sequoia | ||||
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 | 1,205,494 | 270,506 | 1,205,494 | 270,506 |
Held-for-investment at fair value | Redwood | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Transfers from loans held-for-sale to loans held-for-investment | 0 | 0 | 0 | 13,258 |
Transfers from loans held-for-investment to loans held-for-sale | 0 | 0 | 0 | 1,870,986 |
Net market valuation gains (losses) recorded | $ 0 | $ 104 | $ 0 | $ (93,532) |
Business Purpose Loans - Classi
Business Purpose Loans - Classifications and Carrying Values of Business Purpose Residential Loans (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Residential Bridge, Held-for-sale at fair value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | $ 0 | $ 0 |
Bridge loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 726,569 | 641,765 |
Residential bridge loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 726,569 | 641,765 |
Held-for-sale at fair value, Total | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 418,442 | 245,394 |
Held-for-investment at fair value, Total | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 3,990,447 | 3,890,959 |
Business Purpose Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 4,408,889 | 4,136,353 |
Redwood | Single-family rental loans, held-for-sale | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 418,442 | 245,394 |
Redwood | Single Family Rental Loans Held For Investment At Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 0 | 0 |
Redwood | Single family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 418,442 | 245,394 |
CoreVest | Single-family rental loans, held-for-sale | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 0 | 0 |
CoreVest | Single Family Rental Loans Held For Investment At Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 3,263,878 | 3,249,194 |
CoreVest | Single family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | $ 3,263,878 | $ 3,249,194 |
Business Purpose Loans - Activi
Business Purpose Loans - Activity and Characteristics of Business Purpose Loans (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2021USD ($)loan | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)loan | Jun. 30, 2020USD ($) | Dec. 31, 2020USD ($)loan | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Purchases of held-for-sale loans | $ 6,682,864 | $ 2,720,245 | |||
Principal balance of loans sold to third parties | 29,786 | 16,405 | |||
Transfers from loans held-for-sale to loans held-for-investment | 1,998,535 | 706,775 | |||
Transfers from loans held-for-investment to loans held-for-sale | $ 44,922 | 0 | |||
Adjustable rate (as a percent) | 63.00% | ||||
Fixed rate (as a percent) | 37.00% | ||||
Number of loans transferred | loan | 4 | ||||
Transfers from residential loans to real estate owned | $ 15,827 | 9,645 | |||
Amount related to transfers into REO | 15,826 | ||||
CAFL | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Amount related to transfers into REO | $ 11,924 | ||||
Number of loans | loan | 2 | ||||
Commitment To Fund Residential Bridge Loan | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Commitment to fund loan | $ 374,000 | $ 374,000 | |||
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 | 312,217 | $ 175,876 | 565,315 | 436,005 | |
Principal balance of loans sold to third parties | 0 | 0 | 0 | 26,148 | |
Transfers from loans held-for-sale to loans held-for-investment | 297,301 | 220,923 | 466,705 | 599,032 | |
Transfers from loans held-for-investment to loans held-for-sale | 44,922 | 0 | 44,922 | 0 | |
Gain (loss) on investments | 0 | 2,222 | 0 | (20,806) | |
Fair value of loans | 418,442 | 418,442 | $ 245,394 | ||
Single-family rental loans, held-for-sale | Redwood | Business Purpose Mortgage Banking Activities, Net: | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | 25,222 | 1,210 | 35,470 | 11,540 | |
Single Family Rental Loans Held For Investment At Fair Value | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fair value of loans | 0 | 0 | $ 0 | ||
Single Family Rental Loans Held For Investment At Fair Value | CAFL | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | $ (1,230) | 169,327 | (62,132) | (102,590) | |
Number of loans | loan | 1,121 | 1,094 | |||
Unpaid principal balance | $ 3,060,949 | 3,060,949 | $ 3,017,137 | ||
Fair value of loans | $ 3,263,878 | $ 3,263,878 | $ 3,249,194 | ||
Weighted average coupon rate | 5.34% | 5.34% | 5.44% | ||
Contract maturities | 5 years | 5 years | |||
Fair value of loans with 90+ day delinquencies | $ 24,212 | $ 24,212 | $ 24,745 | ||
Number of loans in foreclosure | loan | 10 | 10 | 10 | ||
Single Family Rental Loans Held For Investment At Fair Value | 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 with 90+ day delinquencies | loan | 21 | 21 | 22 | ||
Fair value of loans with 90+ day delinquencies | $ 59,841 | $ 59,841 | $ 61,440 | ||
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 | 215,160 | 58,468 | 348,389 | 285,836 | |
Principal balance of loans sold to third parties | 354 | 1,558 | 9,231 | 22,293 | |
Transfers from loans held-for-investment to loans held-for-sale | 0 | 0 | 0 | 0 | |
Gain (loss) on investments | (62) | 21,774 | 3,242 | (16,828) | |
Transfers from residential loans to real estate owned | 2,000 | ||||
Fair value of loans | 726,569 | $ 726,569 | 641,765 | ||
Bridge loans held-for-investment | Minimum | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Residential bridge loans held-for-investment, original maturities (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] | |||||
Residential bridge loans held-for-investment, original maturities (in months) | 24 months | ||||
Bridge loans held-for-investment | Business Purpose Mortgage Banking Activities, Net: | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | 978 | (3,277) | $ 1,521 | (3,441) | |
Business Purpose Loans | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fee income | 7,000 | $ 2,000 | 13,000 | $ 11,000 | |
Fair value of loans | $ 4,408,889 | 4,408,889 | $ 4,136,353 | ||
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 | 112 | 65 | |||
Unpaid principal balance | $ 399,900 | 399,900 | $ 234,475 | ||
Fair value of loans | $ 418,442 | $ 418,442 | $ 245,394 | ||
Weighted average coupon rate | 4.84% | 4.84% | 4.84% | ||
Contract maturities | 7 years | 8 years | |||
Fair value of loans with 90+ day delinquencies | $ 5,976 | $ 5,976 | $ 0 | ||
Number of loans in foreclosure | loan | 7 | 7 | 0 | ||
Unpaid principal balance of loans in foreclosure | $ 4,798 | $ 4,798 | $ 0 | ||
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 | 122,277 | 34,098 | |||
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 | 246,903 | 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] | |||||
Fair value of loans | $ 5,369 | $ 5,369 | $ 6,143 | ||
Number of loans with 90+ day delinquencies | loan | 9 | 9 | 10 | ||
Fair value of loans with 90+ day delinquencies | $ 6,586 | $ 6,586 | $ 7,127 | ||
Business Purpose Bridge Loans | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 2,471 | 1,725 | |||
Unpaid principal balance | $ 729,149 | 729,149 | $ 649,532 | ||
Fair value of loans | $ 726,569 | $ 726,569 | $ 641,765 | ||
Weighted average coupon rate | 7.63% | 7.63% | 8.09% | ||
Contract maturities | 1 year | 1 year | |||
Fair value of loans with 90+ day delinquencies | $ 32,611 | $ 32,611 | $ 38,552 | ||
Number of loans in foreclosure | loan | 43 | 43 | 25 | ||
Unpaid principal balance of loans in foreclosure | $ 28,963 | $ 28,963 | $ 33,066 | ||
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 | 127,133 | 92,931 | |||
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 | 555,791 | 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] | |||||
Fair value of loans | $ 31,512 | $ 31,512 | $ 33,605 | ||
Number of loans with 90+ day delinquencies | loan | 40 | 40 | 31 | ||
Fair value of loans with 90+ day delinquencies | $ 35,018 | $ 35,018 | $ 39,415 |
Multifamily Loans (Details)
Multifamily Loans (Details) - Multifamily loans, held-for-investment, at fair value $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2021USD ($)loan | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)loan | Jun. 30, 2020USD ($) | Dec. 31, 2020USD ($)loan | |
Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 28 | 28 | |||
Loan principal | $ | $ 459,002 | $ 459,002 | $ 462,808 | ||
Fair value of loans | $ | $ 485,157 | $ 485,157 | $ 492,221 | ||
Weighted average coupon rate | 4.25% | 4.25% | 4.25% | ||
Contract maturities | 4 years | 5 years | |||
Number of loans in foreclosure | loan | 0 | 0 | 0 | ||
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 with 90+ day delinquencies | loan | 0 | 0 | 0 | ||
Held-for-investment at fair value | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Net market valuation gain (loss) | $ | $ (2,528) | $ 18,591 | $ (3,258) | $ (63,840) |
Real Estate Securities - Fair V
Real Estate Securities - Fair Values of Real Estate Securities (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |||
Trading | $ 142,425 | $ 125,667 | |
Available-for-sale | 212,461 | 218,458 | |
Total Real Estate Securities | [1] | $ 354,886 | $ 344,125 |
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Real Estate Securities - Tradin
Real Estate Securities - Trading Securities by Collateral Type (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Investment Holdings [Line Items] | |||||
Real estate securities | $ 142,425 | $ 142,425 | $ 125,667 | ||
Unpaid principal balance | 208,381 | 208,381 | 245,855 | ||
Principal balance of securities acquired | 1,750 | $ 10,250 | 17,630 | $ 66,721 | |
Principal balance of securities sold | 18,068 | 85,747 | 52,811 | 704,614 | |
Net market valuation gains (losses) recorded | 1,798 | $ 42,246 | 23,147 | $ (221,079) | |
Senior IO Securities | |||||
Investment Holdings [Line Items] | |||||
Real estate securities | 25,267 | 25,267 | 28,464 | ||
Unpaid principal balance | 0 | 0 | 0 | ||
Mezzanine | |||||
Investment Holdings [Line Items] | |||||
Real estate securities | 0 | 0 | 3,649 | ||
Unpaid principal balance | 0 | 0 | 3,577 | ||
Subordinate | |||||
Investment Holdings [Line Items] | |||||
Real estate securities | 117,158 | 117,158 | 93,554 | ||
Unpaid principal balance | 208,381 | 208,381 | 242,278 | ||
Interest Only Senior Trading Securities | Senior IO Securities | |||||
Investment Holdings [Line Items] | |||||
Real estate securities | 25,267 | 25,267 | 28,464 | ||
Interest Only Senior Trading Securities | Senior IO Securities | Sequoia | |||||
Investment Holdings [Line Items] | |||||
Real estate securities | 17,000 | 17,000 | 13,000 | ||
Sequoia securities | Mezzanine | |||||
Investment Holdings [Line Items] | |||||
Real estate securities | 0 | 0 | 3,649 | ||
RPL securities | Subordinate | |||||
Investment Holdings [Line Items] | |||||
Real estate securities | 60,887 | 60,887 | 47,448 | ||
Multifamily loans, held-for-investment, at fair value | Subordinate | |||||
Investment Holdings [Line Items] | |||||
Real estate securities | 8,266 | 8,266 | 5,592 | ||
Other third-party residential securities | Subordinate | |||||
Investment Holdings [Line Items] | |||||
Real estate securities | $ 48,005 | $ 48,005 | $ 40,514 |
Real Estate Securities - Availa
Real Estate Securities - Available for Sale Securities by Collateral Type (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Investment Holdings [Line Items] | |||||
Available-for-sale | $ 212,461 | $ 212,461 | $ 218,458 | ||
Fair value of securities acquired | 522 | $ 0 | 1,600 | $ 31,181 | |
Fair value of securities sold | 2,585 | 8,736 | 4,785 | 55,193 | |
Net realized gains recorded | 1,307 | $ 783 | 1,507 | $ 4,635 | |
Mezzanine | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | 0 | 0 | 2,014 | ||
Subordinate | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | 212,461 | 212,461 | 216,444 | ||
Other third-party residential securities | Mezzanine | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | 0 | 0 | 2,014 | ||
Other third-party residential securities | Subordinate | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | 37,927 | 37,927 | 36,306 | ||
Sequoia securities | Subordinate | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | 140,321 | 140,321 | 136,475 | ||
Multifamily loans, held-for-investment, at fair value | Subordinate | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | $ 34,213 | $ 34,213 | $ 43,663 |
Real Estate Securities - Additi
Real Estate Securities - Additional Information (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021USD ($)entityinvestment | Jun. 30, 2021USD ($)investmententity | Mar. 31, 2021USD ($) | Dec. 31, 2020USD ($)investment | |
Investment Holdings [Line Items] | ||||
Number of AFS securities (in investments) | investment | 88 | 88 | 96 | |
Number of securities in unrealized loss position | investment | 2 | 2 | 5 | |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer (in investments) | investment | 0 | |||
Gross unrealized losses | $ 79 | $ 79 | $ 1,047 | |
CECL credit allowance | $ 0 | $ 0 | $ 13 | 388 |
Variable Interest Entity, Not Primary Beneficiary | ||||
Investment Holdings [Line Items] | ||||
Number of entities called | entity | 3 | 4 | ||
Unpaid principal balance of loans purchased | $ 83,000 | $ 101,000 | ||
Gain related to called security | 7,000 | 9,000 | ||
Residential | ||||
Investment Holdings [Line Items] | ||||
AFS securities, contractual maturities, less than five years | 31,000 | 31,000 | ||
Marketable securities, due from five to ten years | 4,000 | 4,000 | ||
CECL credit allowance | $ 40,349 | $ 40,349 | $ 44,947 | $ 44,967 |
Real Estate Securities - Compon
Real Estate Securities - Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | |||
Principal balance | $ 254,784 | $ 283,284 | |
Credit reserve | (40,349) | (44,967) | |
Unamortized discount, net | (90,216) | (95,718) | |
Amortized cost | 124,219 | 142,599 | |
Gross unrealized gains | 88,321 | 77,294 | |
Gross unrealized losses | (79) | (1,047) | |
CECL allowance | 0 | $ (13) | (388) |
Carrying Value | 212,461 | 218,458 | |
Mezzanine | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal balance | 0 | 2,000 | |
Credit reserve | 0 | 0 | |
Unamortized discount, net | 0 | 0 | |
Amortized cost | 0 | 2,000 | |
Gross unrealized gains | 0 | 14 | |
Gross unrealized losses | 0 | 0 | |
CECL allowance | 0 | 0 | |
Carrying Value | 0 | 2,014 | |
Subordinate | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal balance | 254,784 | 281,284 | |
Credit reserve | (40,349) | (44,967) | |
Unamortized discount, net | (90,216) | (95,718) | |
Amortized cost | 124,219 | 140,599 | |
Gross unrealized gains | 88,321 | 77,280 | |
Gross unrealized losses | (79) | (1,047) | |
CECL allowance | 0 | (388) | |
Carrying Value | $ 212,461 | $ 216,444 |
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 | 3 Months Ended | 6 Months Ended |
Jun. 30, 2021 | Jun. 30, 2021 | |
Credit Reserve | ||
Beginning balance | $ 13 | $ 388 |
Sales, calls, other | 0 | 0 |
Ending Balance | 0 | 0 |
Unamortized Discount, Net | ||
Beginning balance | 95,718 | |
Ending Balance | 90,216 | 90,216 |
Residential | ||
Credit Reserve | ||
Beginning balance | 44,947 | 44,967 |
Amortization of net discount | 0 | 0 |
Realized credit losses | (112) | (249) |
Acquisitions | 890 | 2,825 |
Sales, calls, other | (718) | (992) |
Transfers to (release of) credit reserves, net | (4,658) | (6,202) |
Ending Balance | 40,349 | 40,349 |
Unamortized Discount, Net | ||
Beginning balance | 94,188 | 95,718 |
Amortization of net discount | (1,569) | (3,183) |
Realized credit losses | 0 | 0 |
Acquisitions | 368 | 1,208 |
Sales, calls, other | (7,429) | (9,729) |
Transfers to (release of) credit reserves, net | 4,658 | 6,202 |
Ending Balance | $ 90,216 | $ 90,216 |
Real Estate Securities - Comp_2
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Details) - Residential - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Consecutive Months, Amortized Cost | $ 0 | $ 9,129 |
Less Than 12 Consecutive Months, Unrealized Losses | 0 | (1,047) |
Less Than 12 Consecutive Months, Fair Value | 0 | 7,920 |
12 Consecutive Months or Longer, Amortized Cost | 3,600 | 0 |
12 Consecutive Months or Longer, Unrealized Losses | (79) | 0 |
12 Consecutive Months or Longer, Fair Value | $ 3,521 | $ 0 |
Real Estate Securities - Summar
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities Credit Loss (Details) - Subordinate Securities | 6 Months Ended |
Jun. 30, 2021 | |
Debt Securities, Available-for-sale [Line Items] | |
Default rate | 0.35% |
Loss severity | 18.00% |
Real Estate Securities - Activi
Real Estate Securities - Activity of Allowance for Credit Losses for Available-for-sale Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2021 | Jun. 30, 2021 | |
Rollforward of Allowance for Credit Losses | ||
Beginning balance | $ 13 | $ 388 |
Additions to allowance for credit losses on securities for which credit losses were not previously recorded | 0 | 0 |
Additional increases (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period | (13) | (388) |
Allowance on purchased financial assets with credit deterioration | 0 | 0 |
Reduction to allowance for securities sold during the period | 0 | 0 |
Reduction to allowance for securities we intend to sell or more likely than not will be required to sell | 0 | 0 |
Write-offs charged against allowance | 0 | 0 |
Recoveries of amounts previously written off | 0 | 0 |
Ending Balance | $ 0 | $ 0 |
Real Estate Securities - Gross
Real Estate Securities - Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized gains | $ 1,307 | $ 783 | $ 1,507 | $ 4,635 |
Total Realized Gains on Sales and Calls of AFS Securities, net | 7,994 | 783 | 10,602 | 4,635 |
Sales | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized gains | 1,307 | 1,074 | 1,507 | 8,779 |
Gross realized losses - sales | 0 | (291) | 0 | (4,144) |
Calls | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized gains | $ 6,687 | $ 0 | $ 9,095 | $ 0 |
Other Investments - Summary of
Other Investments - Summary of Other Investments (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Net Investment Income [Line Items] | |||
Servicing asset, fair value | $ 171,818 | $ 217,656 | |
Other Investments | [1] | 308,732 | 348,175 |
Residential Loans | |||
Net Investment Income [Line Items] | |||
Servicing asset, fair value | 184,551 | 231,489 | |
Excess MSRs | |||
Net Investment Income [Line Items] | |||
Servicing asset, fair value | 29,988 | 34,418 | |
Shared home appreciation options | |||
Net Investment Income [Line Items] | |||
Loans held for investment | 42,440 | ||
Mortgage servicing rights | |||
Net Investment Income [Line Items] | |||
Servicing asset, fair value | 8,721 | 8,815 | |
Other | |||
Net Investment Income [Line Items] | |||
Loans held for investment | $ 41,153 | $ 31,013 | |
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Other Investments - Additional
Other Investments - Additional Information (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021USD ($) | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)partnership | Jun. 30, 2020USD ($) | Dec. 31, 2020USD ($) | |
Net Investment Income [Line Items] | |||||
Number of partnerships consolidated | partnership | 2 | ||||
Commitment to fund partnership | $ 94,000 | ||||
Servicing asset, fair value | $ 171,818 | 171,818 | $ 217,656 | ||
Collateral amounts | 1,171,811 | 1,171,811 | 1,084,929 | ||
Investment fair value changes, net | 49,480 | $ 152,228 | 94,567 | $ (718,604) | |
Interest income | 138,695 | 129,946 | 267,000 | 328,027 | |
Mortgage Servicing Rights Retained | 2,000 | 2,000 | |||
Servicer advance financing | |||||
Net Investment Income [Line Items] | |||||
Collateral amounts | 172,000 | 172,000 | |||
Equity investment income | 2,000 | 5,000 | |||
Investment fair value changes, net | (1,000) | (100) | (1,000) | (6,000) | |
Servicer advance financing | Other Interest Income | |||||
Net Investment Income [Line Items] | |||||
Investment fair value changes, net | 3,000 | 6,000 | |||
Held-for-sale residential loans | |||||
Net Investment Income [Line Items] | |||||
Servicing asset, fair value | 184,551 | 184,551 | 231,489 | ||
Servicing asset, unpaid principal balance on underlying loan | 8,030,000 | 8,030,000 | |||
Excess MSRs | |||||
Net Investment Income [Line Items] | |||||
Servicing asset, fair value | 29,988 | 29,988 | 34,418 | ||
Investment fair value changes, net | (2,000) | 3,000 | (4,000) | (7,000) | |
Interest income | 3,000 | 3,000 | 6,000 | 6,000 | |
Shared home appreciation options | |||||
Net Investment Income [Line Items] | |||||
Payments to acquire investments | 47,000 | ||||
Shared home appreciation options | Commitment To Fund Investment | |||||
Net Investment Income [Line Items] | |||||
Investment fair value changes, net | 2,000 | 1,000 | 7,000 | (7,000) | |
MSRs | |||||
Net Investment Income [Line Items] | |||||
Servicing asset, fair value | 8,721 | 8,721 | 8,815 | ||
Aggregate principal balance | $ 1,970,000 | 1,970,000 | $ 2,590,000 | ||
MSR income (losses), net | $ (1,000) | $ 1,000 | $ (3,000) |
Other Investments - Servicing A
Other Investments - Servicing Advance Investments (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Schedule of Investments [Line Items] | ||
Total Servicer Advance Receivables | $ 171,818 | $ 217,656 |
Servicer advance financing | ||
Schedule of Investments [Line Items] | ||
Principal and interest advances | 80,741 | 110,923 |
Escrow advances (taxes and insurance advances) | 68,534 | 79,279 |
Corporate advances | $ 22,543 | $ 27,454 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Details) - USD ($) | Jun. 30, 2021 | Dec. 31, 2020 |
Derivative [Line Items] | ||
Fair Value | $ 31,065,000 | $ 37,166,000 |
Notional Amount | 6,499,482,000 | 11,346,407,000 |
TBAs | ||
Derivative [Line Items] | ||
Notional Amount | 1,460,000,000 | 6,630,000,000 |
Interest rate futures | ||
Derivative [Line Items] | ||
Notional Amount | 222,000,000 | |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (3,240,000) | (16,072,000) |
Notional Amount | 1,122,471,000 | 3,582,153,000 |
Derivative Liabilities | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | (957,000) | 0 |
Notional Amount | 87,500,000 | 0 |
Derivative Liabilities | TBAs | ||
Derivative [Line Items] | ||
Fair Value | (1,367,000) | (15,495,000) |
Notional Amount | 730,000,000 | 3,105,000,000 |
Derivative Liabilities | Interest rate futures | ||
Derivative [Line Items] | ||
Fair Value | (194,000) | 0 |
Notional Amount | 140,000,000 | 0 |
Derivative Liabilities | Residential loan purchase commitments, net | ||
Derivative [Line Items] | ||
Fair Value | (722,000) | (577,000) |
Notional Amount | 164,971,000 | 477,153,000 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 34,305,000 | 53,238,000 |
Notional Amount | 5,377,011,000 | 7,764,254,000 |
Derivative Assets | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | 264,000 | 224,000 |
Notional Amount | 133,000,000 | 42,000,000 |
Derivative Assets | TBAs | ||
Derivative [Line Items] | ||
Fair Value | 2,064,000 | 18,260,000 |
Notional Amount | 730,000,000 | 3,520,000,000 |
Derivative Assets | Interest rate futures | ||
Derivative [Line Items] | ||
Fair Value | 304,000 | 0 |
Notional Amount | 81,500,000 | 0 |
Derivative Assets | Swaptions | ||
Derivative [Line Items] | ||
Fair Value | 17,482,000 | 19,727,000 |
Notional Amount | 2,100,000,000 | 1,585,000,000 |
Derivative Assets | Residential loan purchase commitments, net | ||
Derivative [Line Items] | ||
Fair Value | 14,191,000 | 15,027,000 |
Notional Amount | $ 2,332,511,000 | $ 2,617,254,000 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Additional Information (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2021 | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Mar. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | ||||||||
Notional amount | $ 6,499,482,000 | $ 6,499,482,000 | $ 11,346,407,000 | |||||
Accumulated other comprehensive income (loss) | 1,295,142,000 | $ 936,576,000 | $ 725,202,000 | 1,295,142,000 | $ 936,576,000 | $ 1,215,575,000 | 1,110,899,000 | $ 1,827,231,000 |
Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||
Derivative [Line Items] | ||||||||
Accumulated other comprehensive income (loss) | (78,511,000) | (82,637,000) | (83,666,000) | (78,511,000) | (82,637,000) | $ (79,539,000) | (80,557,000) | $ (50,939,000) |
Interest Expense | ||||||||
Derivative [Line Items] | ||||||||
Cash flow hedge gain (loss) to be reclassified over the next 12 months | (4,000,000) | |||||||
Mortgage Banking Activities, Net | ||||||||
Derivative [Line Items] | ||||||||
Market valuations gains (losses), net | 45,759,000 | (1,443,000) | 121,321,000 | (38,446,000) | ||||
Loan purchase commitments and forward sales commitments | Mortgage Banking Activities, Net | ||||||||
Derivative [Line Items] | ||||||||
Market valuations gains (losses), net | 53,000,000 | 1,000,000 | 300,000 | 22,000,000 | ||||
Interest rate contract | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 2,320,000,000 | 2,320,000,000 | 1,630,000,000 | |||||
TBAs | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 1,460,000,000 | 1,460,000,000 | $ 6,630,000,000 | |||||
Interest rate futures | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 222,000,000 | 222,000,000 | ||||||
Unsecuritized Residential and Commercial Loans | ||||||||
Derivative [Line Items] | ||||||||
Derivative gain (loss) | (58,000,000) | 0 | 35,000,000 | (98,000,000) | ||||
Interest rate swaps | Cash Flow Hedging | ||||||||
Derivative [Line Items] | ||||||||
Derivative gain (loss) | $ 0 | $ 0 | $ 0 | $ (33,000,000) | ||||
Derivative, cost of hedge | $ 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 | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Derivative [Line Items] | ||||
Total interest expense | $ (108,065) | $ (102,666) | $ (210,617) | $ (249,337) |
Cash Flow Hedging | Interest rate contract | ||||
Derivative [Line Items] | ||||
Net interest expense on cash flows hedges | 0 | 0 | 0 | (860) |
Realized net losses reclassified from other comprehensive income | (1,028) | (1,029) | (2,046) | (1,108) |
Total interest expense | $ (1,028) | $ (1,029) | $ (2,046) | $ (1,968) |
Other Assets and Liabilities -
Other Assets and Liabilities - Components of Other Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Accrued interest receivable | $ 41,366 | $ 39,445 | |
Investment receivable | 38,281 | 43,176 | |
REO | 15,489 | 8,413 | |
Operating lease right-of-use assets | 14,370 | 15,012 | |
Margin receivable | 10,269 | 4,758 | |
Fixed assets and leasehold improvements | 7,202 | 4,203 | |
Pledged collateral | 0 | 1,177 | |
Other | 9,455 | 14,404 | |
Total Other Assets | [1] | 136,432 | $ 130,588 |
Fixed assets | 14,000 | ||
Accumulated depreciation | $ 7,000 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities _2
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Accrued compensation | $ 42,737 | $ 24,393 | |
Accrued interest payable | 35,615 | 34,858 | |
Margin payable | 19,503 | 14,728 | |
Operating lease liabilities | 15,997 | 16,687 | |
Payable to minority partner | 15,414 | 16,941 | |
Unsettled trades | 13,952 | 0 | |
Residential loan and MSR repurchase reserve | 8,709 | 8,631 | |
Guarantee obligations | 8,446 | 10,039 | |
Accrued income taxes payable | 5,395 | 5,614 | |
Bridge loan holdbacks | 5,394 | 5,708 | |
Accrued operating expenses | 4,938 | 5,509 | |
Deferred consideration | 0 | 14,579 | |
Other | 15,605 | 21,653 | |
Total Accrued Expenses and Other Liabilities | [1] | $ 191,705 | $ 179,340 |
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities _3
Other Assets and Liabilities - REO Information (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Mar. 31, 2021USD ($)shares | Jun. 30, 2021USD ($)asset | Dec. 31, 2020asset | |
Other Real Estate [Roll Forward] | |||
Balance at beginning of period | $ 8,413 | $ 8,413 | |
Amount related to transfers into REO | 15,826 | ||
Liquidations | (8,726) | ||
Unrealized gain (loss) resulting from market valuation adjustments on REO | (24) | ||
Balance at End of Period | $ 15,489 | ||
Number of REO properties recorded on balance sheet | asset | 26 | 17 | |
5 Arches | |||
Other Assets and Other Liabilities [Line Items] | |||
Shares issued for settlement of remaining deferred consideration | shares | 806,068 | ||
Cash payment for contingent consideration liability | $ 1,000 | ||
Legacy Sequoia | |||
Other Real Estate [Roll Forward] | |||
Balance at beginning of period | 638 | $ 638 | |
Amount related to transfers into REO | 65 | ||
Liquidations | (39) | ||
Unrealized gain (loss) resulting from market valuation adjustments on REO | (5) | ||
Balance at End of Period | $ 659 | ||
Number of REO properties recorded on balance sheet | asset | 3 | 3 | |
Freddie Mac SLST | |||
Other Real Estate [Roll Forward] | |||
Balance at beginning of period | 646 | $ 646 | |
Amount related to transfers into REO | 1,548 | ||
Liquidations | (766) | ||
Unrealized gain (loss) resulting from market valuation adjustments on REO | 208 | ||
Balance at End of Period | $ 1,636 | ||
Number of REO properties recorded on balance sheet | asset | 18 | 9 | |
CAFL | |||
Other Real Estate [Roll Forward] | |||
Balance at beginning of period | 2,529 | $ 2,529 | |
Amount related to transfers into REO | 11,924 | ||
Liquidations | (1,949) | ||
Unrealized gain (loss) resulting from market valuation adjustments on REO | (655) | ||
Balance at End of Period | $ 11,849 | ||
Number of REO properties recorded on balance sheet | asset | 2 | 2 | |
Bridge Loan | |||
Other Real Estate [Roll Forward] | |||
Balance at beginning of period | $ 4,600 | $ 4,600 | |
Amount related to transfers into REO | 2,289 | ||
Liquidations | (5,972) | ||
Unrealized gain (loss) resulting from market valuation adjustments on REO | 428 | ||
Balance at End of Period | $ 1,345 | ||
Number of REO properties recorded on balance sheet | asset | 3 | 3 |
Short-Term Debt - Outstanding B
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Details) | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2021USD ($)facility | Dec. 31, 2020USD ($)facility | ||
Short-term Debt [Line Items] | |||
Outstanding Balance | [1] | $ 1,484,999,000 | $ 522,609,000 |
Facilities | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 11 | 9 | |
Outstanding Balance | $ 1,321,370,000 | $ 314,234,000 | |
Facilities | Residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 6 | 4 | |
Outstanding Balance | $ 1,049,144,000 | $ 137,269,000 | |
Limit | $ 2,350,000,000 | $ 1,300,000,000 | |
Weighted Average Interest Rate (1) | 1.87% | 2.45% | |
Weighted Average Days Until Maturity | 211 days | 268 days | |
Facilities | Business purpose residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 2 | 2 | |
Outstanding Balance | $ 191,288,000 | $ 99,190,000 | |
Limit | $ 355,497,000 | $ 500,000,000 | |
Weighted Average Interest Rate (1) | 2.99% | 3.37% | |
Weighted Average Days Until Maturity | 260 days | 521 days | |
Facilities | Real estate securities repo | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 3 | 3 | |
Outstanding Balance | $ 80,938,000 | $ 77,775,000 | |
Limit | $ 0 | $ 0 | |
Weighted Average Interest Rate (1) | 1.53% | 2.24% | |
Weighted Average Days Until Maturity | 35 days | 36 days | |
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 1 | 1 | |
Outstanding Balance | $ 163,629,000 | $ 208,375,000 | |
Limit | $ 260,000,000 | $ 335,000,000 | |
Weighted Average Interest Rate (1) | 1.89% | 1.95% | |
Weighted Average Days Until Maturity | 153 days | 334 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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Short-Term Debt - Collateral fo
Short-Term Debt - Collateral for Short-Term Debt Facilities (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Short-term Debt [Line Items] | ||
Total collateral for financing | $ 1,716,330 | $ 649,106 |
Facilities | ||
Short-term Debt [Line Items] | ||
Total real estate securities owned | 109,656 | 114,553 |
Other assets | 1,709 | 315 |
Total collateral for financing | 1,513,042 | 398,252 |
Servicer advance financing | ||
Short-term Debt [Line Items] | ||
Total collateral for financing | 203,288 | 250,854 |
Cash | 12,442 | 9,978 |
Restricted cash | 19,028 | 23,220 |
Servicer advances | 171,818 | 217,656 |
Held-for-sale residential loans | Facilities | ||
Short-term Debt [Line Items] | ||
Market value of loans pledged as collateral under short-term borrowing agreements | 1,152,267 | 156,355 |
Business purpose loans | Facilities | ||
Short-term Debt [Line Items] | ||
Market value of loans pledged as collateral under short-term borrowing agreements | 249,410 | 127,029 |
On balance sheet | Facilities | ||
Short-term Debt [Line Items] | ||
Available-for-sale securities pledged as collateral | 16,435 | 23,193 |
Sequoia | Sequoia securities | Short Term Borrowing Agreement | Facilities | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 62,387 | 63,105 |
Freddie Mac K-Series | Sequoia securities | Short Term Borrowing Agreement | Facilities | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | $ 30,834 | $ 28,255 |
Short-Term Debt - Additional In
Short-Term Debt - Additional Information (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | |
Short-term Debt [Line Items] | |||
Average balance of short-term debt | $ 1,850,000,000 | $ 1,420,000,000 | |
Accrued interest payable on short-term debt | 2,000,000 | 2,000,000 | $ 1,000,000 |
Committed line of credit | 10,000,000 | 10,000,000 | |
Fair value of mortgage backed securities securing loan (in excess) | 2,000,000 | 2,000,000 | |
Amount outstanding under credit facilities | 0 | 0 | $ 0 |
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Accrued interest payable on short-term debt | 100,000 | 100,000 | |
Unamortized capitalized commitment costs | $ 400,000 | $ 400,000 |
Short-Term Debt - Remaining Mat
Short-Term Debt - Remaining Maturities of Short Term Debt (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Short-term Debt [Line Items] | |||
Short-term debt | [1] | $ 1,484,999 | $ 522,609 |
Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 44,527 | ||
31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 155,873 | ||
Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,284,599 | ||
Facilities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,321,370 | 314,234 | |
Facilities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 44,527 | ||
Facilities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 155,873 | ||
Facilities | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,120,970 | ||
Facilities | Held-for-sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,049,144 | 137,269 | |
Facilities | Held-for-sale residential loans | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | Held-for-sale residential loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 119,462 | ||
Facilities | Held-for-sale residential loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 929,682 | ||
Facilities | Business purpose loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 191,288 | ||
Facilities | Business purpose loans | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | Business purpose loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | Business purpose loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 191,288 | ||
Facilities | Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 80,938 | ||
Facilities | Real estate securities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 44,527 | ||
Facilities | Real estate securities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 36,411 | ||
Facilities | Real estate securities | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Short-term debt | 163,629 | $ 208,375 | |
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 | $ 163,629 | ||
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issue_2
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Details) | Jun. 30, 2021USD ($)series | Dec. 31, 2020USD ($)series |
Debt Instrument [Line Items] | ||
Certificates | $ 1,495,520,000 | |
Net Carrying Value | 1,484,308,000 | |
Asset-backed securities issued | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | 7,536,997,000 | $ 7,100,661,000 |
Asset-backed securities issued | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | 194,465,000 | 257,778,000 |
Asset-backed securities issued | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | 7,125,920,000 | 6,637,905,000 |
Asset-backed securities issued | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 216,612,000 | 204,978,000 |
Asset-backed securities issued | Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ 258,211,000 | $ 282,326,000 |
Number of series | series | 20 | 20 |
Asset-backed securities issued | Legacy Sequoia | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ (33,660,000) | $ (47,805,000) |
Asset-backed securities issued | Legacy Sequoia | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 0.49% | 0.35% |
Asset-backed securities issued | Legacy Sequoia | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 1.46% | 1.55% |
Asset-backed securities issued | Legacy Sequoia | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 291,083,000 | $ 329,039,000 |
Asset-backed securities issued | Legacy Sequoia | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 788,000 | 1,092,000 |
Asset-backed securities issued | Sequoia | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ 1,990,548,000 | $ 1,347,357,000 |
Number of series | series | 12 | 10 |
Asset-backed securities issued | Sequoia | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ 28,365,000 | $ 32,809,000 |
Asset-backed securities issued | Sequoia | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 2.31% | 2.25% |
Asset-backed securities issued | Sequoia | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 5.10% | 5.04% |
Asset-backed securities issued | Sequoia | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 1,946,901,000 | $ 1,309,957,000 |
Asset-backed securities issued | Sequoia | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 15,282,000 | 4,591,000 |
Asset-backed securities issued | CAFL | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ 3,007,596,000 | $ 3,013,093,000 |
Number of series | series | 14 | 14 |
Asset-backed securities issued | CAFL | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ 93,488,000 | $ 133,734,000 |
Asset-backed securities issued | CAFL | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 2.62% | 2.68% |
Asset-backed securities issued | CAFL | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 5.20% | 5.42% |
Asset-backed securities issued | CAFL | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 2,746,648,000 | $ 2,716,425,000 |
Asset-backed securities issued | CAFL | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 167,460,000 | 162,934,000 |
Asset-backed securities issued | Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ 1,826,318,000 | $ 1,993,919,000 |
Number of series | series | 3 | 3 |
Debt instrument, face amount | $ 179,000,000 | $ 205,000,000 |
Asset-backed securities issued | Freddie Mac SLST | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ 86,109,000 | $ 104,439,000 |
Asset-backed securities issued | Freddie Mac SLST | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 3.50% | 3.50% |
Asset-backed securities issued | Freddie Mac SLST | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 4.75% | 4.75% |
Asset-backed securities issued | Freddie Mac SLST | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | $ 1,718,754,000 | $ 1,866,145,000 |
Asset-backed securities issued | Freddie Mac SLST | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | 21,455,000 | 23,335,000 |
Asset-backed securities issued | Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ 454,324,000 | $ 463,966,000 |
Range of weighted average interest rates, by series | 3.41% | 3.39% |
Number of series | series | 1 | 1 |
Asset-backed securities issued | Freddie Mac K-Series | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
Net Carrying Value | $ 20,163,000 | $ 34,601,000 |
Asset-backed securities issued | Freddie Mac K-Series | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
Certificates | 422,534,000 | 416,339,000 |
Asset-backed securities issued | Freddie Mac K-Series | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
Certificates | $ 11,627,000 | $ 13,026,000 |
Asset-Backed Securities Issue_3
Asset-Backed Securities Issued - Additional Information (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |
Sep. 30, 2020 | Jun. 30, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | |||
VIE, ownership interest rate | 80.00% | ||
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | |||
Debt Instrument [Line Items] | |||
ABS issued, net, Amortized cost | $ 210,000,000 | ||
Asset-backed securities issued | Freddie Mac SLST | |||
Debt Instrument [Line Items] | |||
Debt instrument, face amount | $ 179,000,000 | $ 205,000,000 | |
Asset-backed securities issued | Variable Interest Entity, Primary Beneficiary | |||
Debt Instrument [Line Items] | |||
VIE, ownership interest rate | 100.00% | ||
Debt instrument, face amount | 176,000,000 | ||
Unamortized debt discount | $ 3,000,000 | ||
Debt Instrument interest rate | 4.75% | ||
Asset-backed securities issued | Contractual maturities of over five years | |||
Debt Instrument [Line Items] | |||
Contractual maturities of securities (in years) | 5 years |
Asset-Backed Securities Issue_4
Asset-Backed Securities Issued - Accrued Interest Payable (Details) - Asset-backed securities issued - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | $ 22,227 | $ 21,793 |
Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 123 | 141 |
Sequoia | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 5,521 | 4,697 |
CAFL | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 10,183 | 10,122 |
Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 5,200 | 5,656 |
Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | $ 1,200 | $ 1,177 |
Long-Term Debt - Schedule of Co
Long-Term Debt - Schedule of Components of Long-Term Debt (Details) $ in Thousands | 3 Months Ended |
Jun. 30, 2021USD ($) | |
Debt Instrument [Line Items] | |
Borrowings | $ 1,495,520 |
Unamortized Deferred Issuance Costs / Discount | (11,212) |
Net Carrying Value | 1,484,308 |
Facilities | |
Debt Instrument [Line Items] | |
Borrowings | 835,099 |
Unamortized Deferred Issuance Costs / Discount | (1,827) |
Net Carrying Value | 833,272 |
Trust preferred securities and subordinated notes | |
Debt Instrument [Line Items] | |
Borrowings | 139,500 |
Unamortized Deferred Issuance Costs / Discount | (803) |
Net Carrying Value | $ 138,697 |
Trust preferred securities and subordinated notes | LIBOR | |
Debt Instrument [Line Items] | |
Basis spread on variable rate | 2.25% |
Non-Recourse Business Purpose Loans | |
Debt Instrument [Line Items] | |
Repayments of debt | $ 242,000 |
Sequoia | Recourse Subordinate Securities Financing | Affiliated Entity | |
Debt Instrument [Line Items] | |
Borrowings | 160,102 |
Unamortized Deferred Issuance Costs / Discount | (521) |
Net Carrying Value | $ 159,581 |
Weighted Average Interest Rate (as a percent) | 4.21% |
CAFL | Recourse Subordinate Securities Financing | Affiliated Entity | |
Debt Instrument [Line Items] | |
Borrowings | $ 102,424 |
Unamortized Deferred Issuance Costs / Discount | (505) |
Net Carrying Value | $ 101,919 |
Weighted Average Interest Rate (as a percent) | 4.21% |
Non-Recourse BPL Financing, Facility A | Facilities | |
Debt Instrument [Line Items] | |
Borrowings | $ 45,582 |
Unamortized Deferred Issuance Costs / Discount | (444) |
Net Carrying Value | 45,138 |
Limit | $ 45,582 |
Non-Recourse BPL Financing, Facility A | Facilities | LIBOR | |
Debt Instrument [Line Items] | |
Basis spread on variable rate | 3.85% |
Non-Recourse BPL Financing, Facility B | Facilities | |
Debt Instrument [Line Items] | |
Borrowings | $ 57,616 |
Unamortized Deferred Issuance Costs / Discount | (199) |
Net Carrying Value | 57,417 |
Limit | $ 250,000 |
Non-Recourse BPL Financing, Facility B | Facilities | LIBOR | |
Debt Instrument [Line Items] | |
Basis spread on variable rate | 3.00% |
Recourse BPL Financing, Facility C | Facilities | |
Debt Instrument [Line Items] | |
Borrowings | $ 269,100 |
Unamortized Deferred Issuance Costs / Discount | 0 |
Net Carrying Value | 269,100 |
Limit | $ 450,000 |
Recourse BPL Financing, Facility C | Facilities | LIBOR | |
Debt Instrument [Line Items] | |
Basis spread on variable rate | 3.40% |
Recourse BPL Financing, Facility D | Facilities | |
Debt Instrument [Line Items] | |
Borrowings | $ 200,275 |
Unamortized Deferred Issuance Costs / Discount | (158) |
Net Carrying Value | 200,117 |
Limit | $ 250,000 |
Recourse BPL Financing, Facility D | Facilities | LIBOR | |
Debt Instrument [Line Items] | |
Basis spread on variable rate | 3.00% |
4.75% convertible senior notes | Convertible notes | |
Debt Instrument [Line Items] | |
Borrowings | $ 198,629 |
Unamortized Deferred Issuance Costs / Discount | (2,356) |
Net Carrying Value | $ 196,273 |
Weighted Average Interest Rate (as a percent) | 4.75% |
5.625% convertible senior notes | Convertible notes | |
Debt Instrument [Line Items] | |
Borrowings | $ 150,200 |
Unamortized Deferred Issuance Costs / Discount | (2,450) |
Net Carrying Value | $ 147,750 |
Weighted Average Interest Rate (as a percent) | 5.625% |
5.75% exchangeable senior notes | Convertible notes | |
Debt Instrument [Line Items] | |
Borrowings | $ 172,092 |
Unamortized Deferred Issuance Costs / Discount | (3,776) |
Net Carrying Value | $ 168,316 |
Weighted Average Interest Rate (as a percent) | 5.75% |
Long-Term Debt - Schedule of _2
Long-Term Debt - Schedule of Collateral for Long-Term Debt (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Collateral amounts | $ 1,171,811 | $ 1,084,929 |
Bridge Loan | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 555,791 | 544,151 |
Residential Real Estate | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 246,903 | 154,774 |
Commercial Real Estate | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 369,117 | 363,490 |
Commercial Real Estate | Sequoia | Affiliated Entity | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 256,910 | 249,446 |
Commercial Real Estate | CAFL | Affiliated Entity | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 112,207 | 114,044 |
Other Business Purpose Loan Investments | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 0 | 21,414 |
Restricted cash | ||
Debt Instrument [Line Items] | ||
Collateral amounts | $ 0 | $ 1,100 |
Long-Term Debt - Schedule of Ac
Long-Term Debt - Schedule of Accrued Interest Payable on Long Term Debt (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Accrued interest payable | $ 11,223 | $ 12,402 |
Facilities | ||
Debt Instrument [Line Items] | ||
Accrued interest payable | 704 | 1,799 |
Convertible notes | 4.75% convertible senior notes | ||
Debt Instrument [Line Items] | ||
Accrued interest payable | 3,564 | 3,564 |
Convertible notes | 5.625% convertible senior notes | ||
Debt Instrument [Line Items] | ||
Accrued interest payable | 3,896 | 3,896 |
Convertible notes | 5.75% exchangeable senior notes | ||
Debt Instrument [Line Items] | ||
Accrued interest payable | 2,474 | 2,474 |
Trust preferred securities and subordinated notes | ||
Debt Instrument [Line Items] | ||
Accrued interest payable | $ 585 | $ 669 |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||
Jun. 30, 2021USD ($)lease | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)leaserepurchase_requestloan | Jun. 30, 2020USD ($)loanrepurchase_request | Dec. 31, 2018partnership | Dec. 31, 2020USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2015USD ($) | ||
Loss Contingencies [Line Items] | |||||||||
Lessee, number of leases | lease | 7 | 7 | |||||||
Present value of remaining lease payments | $ 19,325 | $ 19,325 | |||||||
Operating lease expense | 2,000 | $ 2,000 | |||||||
Increase in operating lease liability | 1,000 | ||||||||
Increase in operating lease, right of use asset | 1,000 | ||||||||
Operating lease liabilities | $ 15,997 | $ 15,997 | $ 16,687 | ||||||
Operating lease liability, statement of financial position [Extensible List] | us-gaap:AccountsPayableAndAccruedLiabilitiesCurrentAndNoncurrent | us-gaap:AccountsPayableAndAccruedLiabilitiesCurrentAndNoncurrent | |||||||
Operating lease right-of-use assets | $ 14,370 | $ 14,370 | 15,012 | ||||||
Operating lease right-of-use asset, statement of financial position [Extensible List] | Other assets | Other assets | |||||||
Weighted average remaining lease term | 7 years | 7 years | |||||||
Discount rate | 4.90% | 4.90% | |||||||
Derivative liabilities | [1] | $ 3,240 | $ 3,240 | 16,072 | |||||
Number of partnerships, committed to fund | partnership | 2 | ||||||||
Other income related to risk sharing agreement | 861 | $ 1,181 | 1,743 | $ 1,946 | |||||
Guarantee obligations | 8,446 | 8,446 | 10,039 | ||||||
Guarantee obligations, credit reserve | 5,000 | 5,000 | |||||||
Special purpose entities assets | 34,000 | 34,000 | 46,000 | ||||||
Special purpose entities liabilities | 8,000 | 8,000 | 10,000 | ||||||
Residential repurchase reserve | 8,709 | $ 8,709 | 8,631 | ||||||
Number of residential repurchase requests (in repurchase requests) | repurchase_request | 1 | 5 | |||||||
Number of loans repurchased | loan | 1 | 0 | |||||||
Residential loans repurchase provision (reversal) | $ 300 | $ (4,000) | |||||||
Aggregate amount of loss contingency reserves | 2,000 | 2,000 | |||||||
Residential Loan Seller Demands | |||||||||
Loss Contingencies [Line Items] | |||||||||
Aggregate amount of accrual | 2,000 | 2,000 | |||||||
Residential Loans | |||||||||
Loss Contingencies [Line Items] | |||||||||
Loan principal | 1,135,356 | 1,135,356 | 172,748 | ||||||
Fair value of loans | 1,160,548 | 1,160,548 | 176,641 | ||||||
Financing Receivables, Equal to Greater than 90 Days Past Due | Residential Loans | |||||||||
Loss Contingencies [Line Items] | |||||||||
Fair value of loans | 2,100 | 2,100 | $ 1,882 | ||||||
Other income | |||||||||
Loss Contingencies [Line Items] | |||||||||
Other income related to risk sharing agreement | 1,000 | 1,000 | 2,000 | 2,000 | |||||
Mortgage banking and investment activities | |||||||||
Loss Contingencies [Line Items] | |||||||||
Market valuation losses related to these investments | (200) | (1,000) | |||||||
Guarantee Obligations | |||||||||
Loss Contingencies [Line Items] | |||||||||
Original unpaid balance of loans subject to risk sharing agreements | $ 3,190,000 | $ 3,190,000 | |||||||
Potential future payments on loans | 44,000 | 44,000 | |||||||
Loan principal | $ 702,000 | $ 702,000 | |||||||
Weighted average original FICO score | 756 | 756 | |||||||
Weighted average original loan-to-value (LTV) | 75.00% | 75.00% | |||||||
Guarantee Obligations | Residential Loans | |||||||||
Loss Contingencies [Line Items] | |||||||||
Unpaid principal balance of loans in foreclosure | $ 200 | $ 200 | |||||||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||||||
Loss Contingencies [Line Items] | |||||||||
Fair value of loans | 29,000 | 29,000 | |||||||
Commitment To Fund Residential Bridge Loan | |||||||||
Loss Contingencies [Line Items] | |||||||||
Commitments to fund temporary advances | 374,000 | 374,000 | |||||||
Derivative liabilities | (300) | (300) | |||||||
Commitment To Fund Temporary Advances On Residential Bridge Loans | |||||||||
Loss Contingencies [Line Items] | |||||||||
Commitments to fund temporary advances | 300 | 300 | |||||||
Net market valuation gains (losses) | $ 1,000 | $ 2,000 | $ 2,000 | $ (2,000) | |||||
[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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |
Commitments and Contingencies_2
Commitments and Contingencies - Future Lease Commitments (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Commitments and Contingencies Disclosure [Abstract] | ||
2021 (6 months) | $ 1,854 | |
2022 | 3,714 | |
2023 | 3,235 | |
2024 | 2,411 | |
2025 | 1,983 | |
2026 and thereafter | 6,128 | |
Total Lease Commitments | 19,325 | |
Less: Imputed interest | (3,328) | |
Operating lease liabilities | $ 15,997 | $ 16,687 |
Equity - Changes to Accumulated
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | $ 1,215,575 | $ 725,202 | $ 1,110,899 | $ 1,827,231 |
Total other comprehensive income (loss) | 4,752 | 56,140 | 13,961 | (70,904) |
Balance at End of Period | 1,295,142 | 936,576 | 1,295,142 | 936,576 |
Available-for-Sale Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | 84,527 | (1,865) | 76,336 | 92,452 |
Other comprehensive income before reclassifications | 11,224 | 52,393 | 22,210 | (28,126) |
Amounts reclassified from other accumulated comprehensive income | (7,500) | 2,718 | (10,295) | (11,080) |
Total other comprehensive income (loss) | 3,724 | 55,111 | 11,915 | (39,206) |
Balance at End of Period | 88,251 | 53,246 | 88,251 | 53,246 |
Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | (79,539) | (83,666) | (80,557) | (50,939) |
Other comprehensive income before reclassifications | 0 | 0 | 0 | (32,806) |
Amounts reclassified from other accumulated comprehensive income | 1,028 | 1,029 | 2,046 | 1,108 |
Total other comprehensive income (loss) | 1,028 | 1,029 | 2,046 | (31,698) |
Balance at End of Period | $ (78,511) | $ (82,637) | $ (78,511) | $ (82,637) |
Equity - Reclassifications out
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Investment fair value changes, net | $ 49,480 | $ 152,228 | $ 94,567 | $ (718,604) |
Realized gains, net | (8,384) | (25,965) | (11,100) | (29,817) |
Interest expense | 108,065 | 102,666 | 210,617 | 249,337 |
Net income before provision for income taxes | 96,712 | 165,481 | 205,512 | (800,146) |
Reclassification out of Accumulated Other Comprehensive Income | Available-for-Sale Securities | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Investment fair value changes, net | (13) | (54) | (388) | 1,471 |
Realized gains, net | (7,487) | 2,772 | (9,907) | (12,551) |
Net income before provision for income taxes | (7,500) | 2,718 | (10,295) | (11,080) |
Reclassification out of Accumulated Other Comprehensive Income | Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Interest expense | 1,028 | 1,029 | 2,046 | 1,108 |
Net income before provision for income taxes | $ 1,028 | $ 1,029 | $ 2,046 | $ 1,108 |
Equity - Additional Information
Equity - Additional Information (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Feb. 28, 2018 | |
Share Repurchase Plan, February 2018 | |||||
Stockholders Equity Note [Line Items] | |||||
Common stock authorized to repurchase by Board | $ 100,000,000 | ||||
Common stock repurchased (in shares) | 0 | ||||
Available authorization remaining for repurchase | $ 78,000,000 | $ 78,000,000 | |||
Convertible Debt Securities | |||||
Stockholders Equity Note [Line Items] | |||||
Securities excluded in the calculation of diluted earnings per share (in shares) | 34,100,000 | ||||
Equity awards | |||||
Stockholders Equity Note [Line Items] | |||||
Securities excluded in the calculation of diluted earnings per share (in shares) | 18,645 | 11,561 | 17,053 | 16,405 | |
At The Market Offerings | Common Stock | |||||
Stockholders Equity Note [Line Items] | |||||
Stock issuance program, authorized amount | $ 175,000,000 | $ 175,000,000 | |||
Remaining capacity | $ 110,000,000 | $ 110,000,000 | |||
Issuance of common stock (in shares) | 0 | ||||
Common Stock | |||||
Stockholders Equity Note [Line Items] | |||||
Issuance of common stock (in shares) | 806,068 | 350,088 | |||
Direct stock purchase and dividend reinvestment plan (in shares) | 0 | 0 |
Equity - Basic and Diluted Earn
Equity - Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Basic Earnings (Loss) per Common Share: | ||||
Net income (loss) attributable to Redwood | $ 90,025 | $ 165,444 | $ 187,282 | $ (777,954) |
Less: Dividends and undistributed earnings allocated to participating securities | (3,149) | (4,528) | (6,458) | (1,011) |
Net income (loss) allocated to common shareholders | $ 86,876 | $ 160,916 | $ 180,824 | $ (778,965) |
Basic weighted average common shares outstanding (in shares) | 112,921,070 | 114,383,289 | 112,337,984 | 114,229,928 |
Basic Earnings (Loss) per Common Share (in dollars per share) | $ 0.77 | $ 1.41 | $ 1.61 | $ (6.82) |
Diluted Earnings (Loss) per Common Share: | ||||
Net income (loss) attributable to Redwood | $ 90,025 | $ 165,444 | $ 187,282 | $ (777,954) |
Less: Dividends and undistributed earnings allocated to participating securities | (2,869) | (3,116) | (5,829) | (1,011) |
Adjust for interest expense and gain on extinguishment of convertible notes for the period, net of tax | 6,990 | (15,835) | 13,971 | 0 |
Net income (loss) allocated to common shareholders | $ 94,146 | $ 146,493 | $ 195,424 | $ (778,965) |
Weighted average common shares outstanding (in shares) | 112,921,070 | 114,383,289 | 112,337,984 | 114,229,928 |
Net effect of dilutive equity awards (in shares) | 273,139 | 0 | 234,353 | 0 |
Net effect of assumed convertible notes conversion to common shares (in shares) | 28,566,875 | 32,715,790 | 28,566,875 | 0 |
Diluted weighted average common shares outstanding (in shares) | 141,761,084 | 147,099,079 | 141,139,212 | 114,229,928 |
Diluted Earnings (Loss) per Common Share (in dollars per share) | $ 0.66 | $ 1 | $ 1.38 | $ (6.82) |
Equity Compensation Plans - Add
Equity Compensation Plans - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | $ 27,207 | $ 27,207 | $ 27,664 |
Weighted average amortization period remaining for equity awards | 1 year | ||
Shares of common stock to be purchased in aggregate for all employees (in shares) | 850,000 | 850,000 | |
Number of shares purchased by employees (in shares) | 523,991 | 489,886 | |
Restricted Stock Awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 29,693 | 29,693 | 78,998 |
Number of stock awards granted (in shares) | 0 | ||
Number of stock awards vested (in shares) | 49,305,000 | ||
Number of stock awards forfeited (in shares) | 0 | ||
Restricted Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 453,811 | 453,811 | 282,424 |
Number of stock awards granted (in shares) | 272,261,000 | ||
Number of stock awards vested (in shares) | 62,494,000 | ||
Number of stock awards forfeited (in shares) | 38,380,000 | ||
Deferred Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 3,081,201 | 3,081,201 | 2,805,144 |
Number of stock awards granted (in shares) | 463,213,000 | ||
Number of stock awards vested (in shares) | 1,437,464 | 1,206,125 | |
Number of stock awards forfeited (in shares) | 31,161,000 | ||
Stock units distributed (in shares) | 155,995,000 | ||
Performance Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 955,710 | 955,710 | 978,735 |
Share-based compensation, vesting period (in years) | 3 years | ||
Adjustment for future amortization expense | $ 1,000 | ||
Redwood Incentive Plan | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Common stock available for grant (in shares) | 7,443,250 | 7,443,250 | 7,957,891 |
Redwood Incentive Plan | Restricted Stock Awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | $ 291 | $ 291 | $ 564 |
Redwood Incentive Plan | Restricted Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | 4,548 | 4,548 | 3,540 |
Redwood Incentive Plan | Deferred Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | 16,728 | 16,728 | 17,766 |
Redwood Incentive Plan | Performance Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | $ 5,511 | $ 5,511 | $ 5,794 |
Equity Compensation Plans - Unr
Equity Compensation Plans - Unrecognized Compensation Cost (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | $ 27,664 |
Equity grants | 5,770 |
Performance-based valuation adjustment | 1,072 |
Equity grant forfeitures | (1,162) |
Equity compensation expense | (6,137) |
Unrecognized Compensation Cost at End of Period | 27,207 |
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 | 564 |
Equity grants | 0 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (2) |
Equity compensation expense | (271) |
Unrecognized Compensation Cost at End of Period | 291 |
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 | 3,540 |
Equity grants | 2,370 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (610) |
Equity compensation expense | (752) |
Unrecognized Compensation Cost at End of Period | 4,548 |
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 | 17,766 |
Equity grants | 3,141 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (550) |
Equity compensation expense | (3,629) |
Unrecognized Compensation Cost at End of Period | 16,728 |
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 | 5,794 |
Equity grants | 0 |
Performance-based valuation adjustment | 1,072 |
Equity grant forfeitures | 0 |
Equity compensation expense | (1,355) |
Unrecognized Compensation Cost at End of Period | 5,511 |
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 | 259 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | 0 |
Equity compensation expense | (130) |
Unrecognized Compensation Cost at End of Period | $ 129 |
Mortgage Banking Activities, _3
Mortgage Banking Activities, Net - Components of Mortgage Banking Activities (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Other income, net | $ 2,126 | $ 1,165 | $ 5,969 | $ 4,093 |
Mortgage banking activities, net | 54,419 | (5,982) | 137,026 | (34,884) |
Residential Mortgage Banking Activities, Net | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Other income, net | 1,193 | (6,612) | 2,216 | (6,354) |
Mortgage banking activities, net | 21,265 | (8,005) | 82,700 | (31,086) |
Residential Mortgage Banking Activities, Net | Residential loans, at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | 76,907 | (1,393) | 47,634 | 6,562 |
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 | (1,095) | 0 | (374) | 0 |
Residential Mortgage Banking Activities, Net | Risk management derivatives | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Risk management derivatives | (55,740) | 0 | 33,224 | (31,294) |
Business Purpose Mortgage Banking Activities, Net: | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | 2,225 | (1,260) | 3,269 | (5,194) |
Other income, net | 7,467 | 2,073 | 13,489 | 9,916 |
Mortgage banking activities, net | 33,154 | 2,023 | 54,326 | (3,798) |
Business Purpose Mortgage Banking Activities, Net: | Risk management derivatives | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Risk management derivatives | (2,504) | 0 | 1,354 | (21,538) |
Business Purpose Mortgage Banking Activities, Net: | Single-family rental loans, at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | $ 25,966 | $ 1,210 | $ 36,214 | $ 13,018 |
Other Income (Details)
Other Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Other Income and Expenses [Abstract] | ||||
MSR (loss) income, net | $ (43) | $ (1,424) | $ 654 | $ (3,233) |
Risk share income | 861 | 1,181 | 1,743 | 1,946 |
FHLBC capital stock dividend | 25 | 538 | 50 | 1,085 |
Bridge loan fees | 911 | 626 | 1,604 | 1,804 |
Other | 372 | 244 | 1,918 | 2,491 |
Other income, net | $ 2,126 | $ 1,165 | $ 5,969 | $ 4,093 |
General and Administrative Ex_3
General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses - Components of General and Administrative Expenses and Other Expenses (Details) - USD ($) $ in Thousands | Oct. 15, 2019 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 |
Business Acquisition [Line Items] | |||||
Fixed compensation expense | $ 11,269 | $ 11,818 | $ 23,074 | $ 26,502 | |
Annual variable compensation | 12,508 | 3,278 | 31,177 | 3,289 | |
Long-term incentive award expense | 5,682 | 3,262 | 9,851 | 5,257 | |
Acquisition-related equity compensation expense | 1,212 | 1,212 | 2,424 | 2,424 | |
Systems and consulting | 3,272 | 2,395 | 6,249 | 5,607 | |
Office costs | 2,024 | 1,887 | 3,832 | 3,995 | |
Accounting and legal | 1,221 | 2,788 | 1,935 | 5,004 | |
Corporate costs | 873 | 626 | 1,564 | 1,297 | |
Other | 2,533 | 1,254 | 4,039 | 3,827 | |
Total General and Administrative Expenses | 40,594 | 28,520 | 84,145 | 57,202 | |
Commissions | 1,661 | 360 | 2,924 | 2,148 | |
Underwriting costs | 1,836 | 856 | 3,521 | 2,518 | |
Transfer and holding costs | 251 | 356 | 862 | 892 | |
Total Loan Acquisition Costs | 3,748 | 1,572 | 7,307 | 5,558 | |
Goodwill impairment expense | 0 | 0 | 0 | 88,675 | |
Amortization of purchase-related intangible assets | 3,873 | 3,873 | 7,746 | 8,182 | |
Other | 112 | 1,210 | 335 | (359) | |
Total Other Expenses | 3,985 | 5,083 | 8,081 | 96,498 | |
Total General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses | 48,327 | $ 35,175 | 99,533 | $ 159,258 | |
Settlement in Common Stock | |||||
Business Acquisition [Line Items] | |||||
Long-term incentive award expense | 4,000 | 7,000 | |||
Settlement in Cash | |||||
Business Acquisition [Line Items] | |||||
Long-term incentive award expense | $ 1,000 | $ 3,000 | |||
CoreVest | |||||
Business Acquisition [Line Items] | |||||
Restricted stock awards (in shares) | 588,260 | ||||
Restricted stock awards | $ 10,000 | ||||
Contingent consideration performance term | 2 years |
Taxes - Additional Information
Taxes - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Income Tax Disclosure [Abstract] | ||||
Provision from (benefit for) income taxes | $ 6,687 | $ 37 | $ 18,230 | $ (22,192) |
Taxes - Reconciliation of Statu
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Details) | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | |
Income Tax Disclosure [Abstract] | ||
Federal statutory rate | 21.00% | 21.00% |
State statutory rate, net of Federal tax effect | 8.60% | 8.60% |
Differences in taxable (loss) income from GAAP income | (14.10%) | (23.60%) |
Change in valuation allowance | (3.30%) | (3.20%) |
Dividends paid deduction | (3.30%) | 0.00% |
Effective Tax Rate | 8.90% | 2.80% |
Segment Information - Additiona
Segment Information - Additional Information (Details) | 6 Months Ended |
Jun. 30, 2021segment | |
Segment Reporting [Abstract] | |
Number of operating segments | 3 |
Segment Information - Financial
Segment Information - Financial Information by Segment (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Segment Reporting Information [Line Items] | ||||
Interest income | $ 138,695 | $ 129,946 | $ 267,000 | $ 328,027 |
Interest expense | (108,065) | (102,666) | (210,617) | (249,337) |
Net Interest Income | 30,630 | 27,280 | 56,383 | 78,690 |
Non-interest Income (Loss) | ||||
Mortgage banking activities, net | 54,419 | (5,982) | 137,026 | (34,884) |
Investment fair value changes, net | 49,480 | 152,228 | 94,567 | (718,604) |
Other income, net | 2,126 | 1,165 | 5,969 | 4,093 |
Realized gains, net | 8,384 | 25,965 | 11,100 | 29,817 |
Total non-interest income (loss), net | 114,409 | 173,376 | 248,662 | (719,578) |
General and administrative expenses | (40,594) | (28,520) | (84,145) | (57,202) |
Loan acquisition costs | (3,748) | (1,572) | (7,307) | (5,558) |
Other expenses | (3,985) | (5,083) | (8,081) | (96,498) |
Provision for income taxes | (6,687) | (37) | (18,230) | 22,192 |
Net Income (Loss) | 90,025 | 165,444 | 187,282 | (777,954) |
Non-cash amortization (expense) income, net | (6,015) | (8,963) | (12,245) | (13,044) |
Other significant non-cash expense: goodwill impairment | 0 | 0 | 0 | (88,675) |
Operating Segments | Residential Lending | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 33,033 | 36,653 | 60,581 | 97,284 |
Interest expense | (21,056) | (28,762) | (40,093) | (66,324) |
Net Interest Income | 11,977 | 7,891 | 20,488 | 30,960 |
Non-interest Income (Loss) | ||||
Mortgage banking activities, net | 21,265 | (8,005) | 82,700 | (31,086) |
Investment fair value changes, net | 3,927 | 35,085 | 6,673 | (161,550) |
Other income, net | 839 | 230 | 3,692 | (267) |
Realized gains, net | 6,687 | 205 | 9,095 | 2,001 |
Total non-interest income (loss), net | 32,718 | 27,515 | 102,160 | (190,902) |
General and administrative expenses | (7,793) | (3,700) | (21,550) | (8,299) |
Loan acquisition costs | (1,887) | (175) | (3,303) | (1,208) |
Other expenses | 0 | 0 | (6) | 0 |
Provision for income taxes | (4,171) | 3,323 | (14,150) | 8,653 |
Net Income (Loss) | 30,844 | 34,854 | 83,639 | (160,796) |
Non-cash amortization (expense) income, net | 1,339 | (1,265) | 3,005 | (1,053) |
Other significant non-cash expense: goodwill impairment | 0 | |||
Operating Segments | Business Purpose Lending | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 70,515 | 53,742 | 134,920 | 106,802 |
Interest expense | (54,442) | (36,631) | (104,517) | (68,984) |
Net Interest Income | 16,073 | 17,111 | 30,403 | 37,818 |
Non-interest Income (Loss) | ||||
Mortgage banking activities, net | 33,154 | 2,023 | 54,326 | (3,798) |
Investment fair value changes, net | 3,782 | 40,401 | 7,081 | (101,729) |
Other income, net | 1,017 | 686 | 1,860 | 2,870 |
Realized gains, net | 390 | 0 | 498 | 0 |
Total non-interest income (loss), net | 38,343 | 43,110 | 63,765 | (102,657) |
General and administrative expenses | (13,688) | (9,016) | (24,847) | (20,656) |
Loan acquisition costs | (1,861) | (1,277) | (3,913) | (3,970) |
Other expenses | (3,873) | (3,884) | (7,650) | (96,869) |
Provision for income taxes | (2,182) | 2,439 | (3,503) | 9,021 |
Net Income (Loss) | 32,812 | 48,483 | 54,255 | (177,313) |
Non-cash amortization (expense) income, net | (5,584) | (6,391) | (11,441) | (11,316) |
Other significant non-cash expense: goodwill impairment | (88,675) | |||
Operating Segments | Third-Party Investments | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 33,972 | 36,811 | 68,962 | 118,007 |
Interest expense | (22,334) | (24,927) | (45,513) | (87,428) |
Net Interest Income | 11,638 | 11,884 | 23,449 | 30,579 |
Non-interest Income (Loss) | ||||
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | 42,018 | 76,972 | 81,734 | (454,586) |
Other income, net | 5 | (509) | 5 | 732 |
Realized gains, net | 1,307 | 578 | 1,507 | 2,634 |
Total non-interest income (loss), net | 43,330 | 77,041 | 83,246 | (451,220) |
General and administrative expenses | (930) | (1,986) | (2,061) | (3,521) |
Loan acquisition costs | 0 | (120) | (87) | (373) |
Other expenses | (112) | (1,065) | (442) | 817 |
Provision for income taxes | (334) | (5,799) | (577) | 4,518 |
Net Income (Loss) | 53,592 | 79,955 | 103,528 | (419,200) |
Non-cash amortization (expense) income, net | 185 | 312 | 41 | 1,053 |
Other significant non-cash expense: goodwill impairment | 0 | |||
Corporate/ Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 1,175 | 2,740 | 2,537 | 5,934 |
Interest expense | (10,233) | (12,346) | (20,494) | (26,601) |
Net Interest Income | (9,058) | (9,606) | (17,957) | (20,667) |
Non-interest Income (Loss) | ||||
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | (247) | (230) | (921) | (739) |
Other income, net | 265 | 758 | 412 | 758 |
Realized gains, net | 0 | 25,182 | 0 | 25,182 |
Total non-interest income (loss), net | 18 | 25,710 | (509) | 25,201 |
General and administrative expenses | (18,183) | (13,818) | (35,687) | (24,726) |
Loan acquisition costs | 0 | 0 | (4) | (7) |
Other expenses | 0 | (134) | 17 | (446) |
Provision for income taxes | 0 | 0 | 0 | 0 |
Net Income (Loss) | (27,223) | 2,152 | (54,140) | (20,645) |
Non-cash amortization (expense) income, net | $ (1,955) | $ (1,619) | $ (3,850) | (1,728) |
Other significant non-cash expense: goodwill impairment | $ 0 |
Segment Information - Component
Segment Information - Components of Corporate/Other (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Segment Reporting Information [Line Items] | ||||
Interest income | $ 138,695 | $ 129,946 | $ 267,000 | $ 328,027 |
Interest expense | (108,065) | (102,666) | (210,617) | (249,337) |
Net Interest Income | 30,630 | 27,280 | 56,383 | 78,690 |
Investment fair value changes, net | 49,480 | 152,228 | 94,567 | (718,604) |
Other | 372 | 244 | 1,918 | 2,491 |
Realized gains, net | 8,384 | 25,965 | 11,100 | 29,817 |
Total non-interest income (loss), net | 114,409 | 173,376 | 248,662 | (719,578) |
General and administrative expenses | (40,594) | (28,520) | (84,145) | (57,202) |
Loan acquisition costs | (3,748) | (1,572) | (7,307) | (5,558) |
Other expenses | (3,985) | (5,083) | (8,081) | (96,498) |
Net Income (Loss) | 90,025 | 165,444 | 187,282 | (777,954) |
Corporate/ Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 1,175 | 2,740 | 2,537 | 5,934 |
Interest expense | (10,233) | (12,346) | (20,494) | (26,601) |
Net Interest Income | (9,058) | (9,606) | (17,957) | (20,667) |
Investment fair value changes, net | (247) | (230) | (921) | (739) |
Other | 265 | 758 | 412 | 758 |
Realized gains, net | 0 | 25,182 | 0 | 25,182 |
Total non-interest income (loss), net | 18 | 25,710 | (509) | 25,201 |
General and administrative expenses | (18,183) | (13,818) | (35,687) | (24,726) |
Loan acquisition costs | 0 | 0 | (4) | (7) |
Other expenses | 0 | (134) | 17 | (446) |
Net Income (Loss) | (27,223) | 2,152 | (54,140) | (20,645) |
Corporate/ Other | Legacy Consolidated VIEs | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 1,169 | 2,685 | 2,517 | 5,879 |
Interest expense | (755) | (1,518) | (1,630) | (4,040) |
Net Interest Income | 414 | 1,167 | 887 | 1,839 |
Investment fair value changes, net | (216) | (230) | (915) | (621) |
Other | 0 | 0 | 0 | 0 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest income (loss), net | (216) | (230) | (915) | (621) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Loan acquisition costs | 0 | 0 | ||
Other expenses | 0 | 0 | 0 | 0 |
Net Income (Loss) | 198 | 937 | (28) | 1,218 |
Corporate/ Other | Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 6 | 55 | 20 | 55 |
Interest expense | (9,478) | (10,828) | (18,864) | (22,561) |
Net Interest Income | (9,472) | (10,773) | (18,844) | (22,506) |
Investment fair value changes, net | (31) | 0 | (6) | (118) |
Other | 265 | 758 | 412 | 758 |
Realized gains, net | 0 | 25,182 | 0 | 25,182 |
Total non-interest income (loss), net | 234 | 25,940 | 406 | 25,822 |
General and administrative expenses | (18,183) | (13,818) | (35,687) | (24,726) |
Loan acquisition costs | (4) | (7) | ||
Other expenses | 0 | (134) | 17 | (446) |
Net Income (Loss) | $ (27,421) | $ 1,215 | $ (54,112) | $ (21,863) |
Segment Information - Supplemen
Segment Information - Supplemental Information by Segment (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Segment Reporting Information [Line Items] | |||
Real estate securities | [1] | $ 354,886 | $ 344,125 |
Other investments | [1] | 308,732 | 348,175 |
Intangible assets | [1] | 49,119 | 56,865 |
Total Assets | [1] | 11,996,391 | 10,355,066 |
Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 5,742,600 | 4,249,051 | |
Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 4,408,889 | 4,136,353 | |
Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 485,157 | 492,221 | |
Operating Segments | Residential Lending | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 163,609 | 160,780 | |
Other investments | 8,721 | 8,815 | |
Intangible assets | 0 | 0 | |
Total Assets | 3,615,860 | 1,989,802 | |
Operating Segments | Residential Lending | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 3,383,101 | 1,741,963 | |
Operating Segments | Residential Lending | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Residential Lending | Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Business Purpose Lending | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 0 | 0 | |
Other investments | 13,168 | 21,627 | |
Intangible assets | 49,119 | 56,865 | |
Total Assets | 4,576,139 | 4,323,040 | |
Operating Segments | Business Purpose Lending | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Business Purpose Lending | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 4,408,889 | 4,136,353 | |
Operating Segments | Business Purpose Lending | Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Third-Party Investments | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 191,277 | 183,345 | |
Other investments | 267,851 | 317,282 | |
Intangible assets | 0 | 0 | |
Total Assets | 3,063,094 | 3,232,415 | |
Operating Segments | Third-Party Investments | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 2,098,624 | 2,221,153 | |
Operating Segments | Third-Party Investments | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Third-Party Investments | Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 485,157 | 492,221 | |
Corporate/ Other | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 0 | 0 | |
Other investments | 18,992 | 451 | |
Intangible assets | 0 | 0 | |
Total Assets | 741,298 | 809,809 | |
Corporate/ Other | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 260,875 | 285,935 | |
Corporate/ Other | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Corporate/ Other | Multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | $ 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 June 30, 2021 and December 31, 2020, assets of consolidated VIEs totaled $8,616,435 and $8,141,069, respectively. At June 30, 2021 and December 31, 2020, liabilities of consolidated VIEs totaled $7,562,367 and $7,148,414, respectively. See Note 4 for further discussion. |