Cover Page
Cover Page - shares | 9 Months Ended | |
Sep. 30, 2022 | Nov. 02, 2022 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2022 | |
Document Transition Report | false | |
Entity File Number | 1-13759 | |
Entity Registrant Name | REDWOOD TRUST, INC. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 68-0329422 | |
Entity Address Address Line One | One Belvedere Place, | |
Entity Address, Address Line Two | 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 $0.01 per share | |
Trading Symbol | RWT | |
Security Exchange Name | NYSE | |
Entity Common Stock, Shares Outstanding | 113,349,651 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q3 | |
Entity Central Index Key | 0000930236 | |
Current Fiscal Year End Date | --12-31 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
ASSETS | |||
Real estate securities, at fair value | [1] | $ 259,212 | $ 377,411 |
Home equity investments | [1] | 340,437 | 192,740 |
Other investments | [1] | 412,762 | 449,229 |
Cash and cash equivalents | [1] | 297,092 | 450,485 |
Restricted cash | [1] | 71,996 | 80,999 |
Goodwill | [1] | 23,373 | 0 |
Intangible assets | [1] | 44,130 | 41,561 |
Derivative assets | [1] | 65,213 | 26,467 |
Other assets | [1] | 194,500 | 231,117 |
Total Assets | [1] | 13,145,947 | 14,706,944 |
Liabilities | |||
Short-term debt, net | [1] | 2,110,279 | 2,177,362 |
Derivative liabilities | [1] | 6,782 | 3,317 |
Accrued expenses and other liabilities | [1] | 201,125 | 245,788 |
Asset-backed securities issued (includes $7,564,312 and $8,843,147 at fair value), net | [1] | 8,139,293 | 9,253,557 |
Long-term debt, net | [1] | 1,534,226 | 1,640,833 |
Total liabilities | [1] | 11,991,705 | 13,320,857 |
Commitments and Contingencies (see Note 17) | [1] | ||
Equity | |||
Common stock, par value $0.01 per share, 395,000,000 shares authorized; 113,343,014 and 114,892,309 issued and outstanding | [1] | 1,133 | 1,149 |
Additional paid-in capital | [1] | 2,345,152 | 2,316,799 |
Accumulated other comprehensive loss | [1] | (64,935) | (8,927) |
Cumulative earnings | [1] | 1,197,428 | 1,316,890 |
Cumulative distributions to stockholders | [1] | (2,324,536) | (2,239,824) |
Total equity | [1] | 1,154,242 | 1,386,087 |
Total Liabilities and Equity | [1] | 13,145,947 | 14,706,944 |
Residential loans, held-for-sale, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 834,262 | 1,845,282 |
Residential loans, held-for-investment, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 4,918,294 | 5,747,150 |
Business purpose loans, held-for-sale, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 337,238 | 358,309 |
Business purpose loans, held-for-investment, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 4,919,980 | 4,432,680 |
Consolidated Agency multifamily loans, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | $ 427,458 | $ 473,514 |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
CONSOLIDATED BALANCE SHEETS (PA
CONSOLIDATED BALANCE SHEETS (PARENTHETICAL) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
ABS issued, net, At fair value | $ 7,564,312 | $ 8,843,147 | |
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 | |
Common stock, authorized (in shares) | 395,000,000 | 395,000,000 | |
Common stock, issued (in shares) | 113,343,014 | 114,892,309 | |
Common stock, outstanding (in shares) | 113,343,014 | 114,892,309 | |
Assets | [1] | $ 13,145,947 | $ 14,706,944 |
Liabilities | [1] | 11,991,705 | 13,320,857 |
Restricted cash | [1] | 71,996 | 80,999 |
Variable Interest Entity, Primary Beneficiary | |||
Assets | 9,449,163 | 10,661,081 | |
Liabilities | $ 8,448,479 | $ 9,619,347 | |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Interest Income | ||||
Residential loans | $ 61,002 | $ 53,993 | $ 191,252 | $ 146,081 |
Business purpose loans | 95,197 | 67,129 | 270,430 | 201,640 |
Consolidated Agency multifamily loans | 4,762 | 4,846 | 14,247 | 14,492 |
Real estate securities | 6,989 | 14,242 | 30,772 | 33,184 |
Other interest income | 9,712 | 5,512 | 27,816 | 17,325 |
Total interest income | 177,662 | 145,722 | 534,517 | 412,722 |
Interest Expense | ||||
Short-term debt | (23,944) | (11,826) | (49,093) | (30,794) |
Asset-backed securities issued | (90,910) | (73,732) | (285,464) | (222,712) |
Long-term debt | (27,873) | (18,196) | (71,435) | (60,865) |
Total interest expense | (142,727) | (103,754) | (405,992) | (314,371) |
Net Interest Income | 34,935 | 41,968 | 128,525 | 98,351 |
Non-interest (Loss) Income | ||||
Mortgage banking activities, net | 16,535 | 63,163 | 2,833 | 200,189 |
Investment fair value changes, net | (57,697) | 26,077 | (151,789) | 120,644 |
Other income, net | 4,027 | 2,388 | 17,016 | 8,357 |
Realized gains, net | 0 | 6,703 | 2,581 | 17,803 |
Total non-interest (loss) income, net | (37,135) | 98,331 | (129,359) | 346,993 |
General and administrative expenses | (40,107) | (47,692) | (106,927) | (131,837) |
Loan acquisition costs | (2,426) | (4,621) | (10,371) | (11,928) |
Other expenses | (4,261) | (4,023) | (11,814) | (12,104) |
Net (Loss) Income before Benefit from (Provision for) Income Taxes | (48,994) | 83,963 | (129,946) | 289,475 |
(Provision for) benefit from income taxes | (1,417) | 4,323 | 10,484 | (13,907) |
Net (Loss) Income | $ (50,411) | $ 88,286 | $ (119,462) | $ 275,568 |
Basic (loss) earnings per common share (in dollars per share) | $ (0.44) | $ 0.75 | $ (1.04) | $ 2.36 |
Diluted (loss) earnings per common share (in dollars per share) | $ (0.44) | $ 0.65 | $ (1.04) | $ 2.03 |
Basic weighted average shares outstanding (in shares) | 116,087,890 | 112,995,847 | 118,530,172 | 112,754,691 |
Diluted weighted average shares outstanding (in shares) | 116,087,890 | 141,855,471 | 118,530,172 | 141,575,385 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Statement of Comprehensive Income [Abstract] | ||||
Net (Loss) Income | $ (50,411) | $ 88,286 | $ (119,462) | $ 275,568 |
Other comprehensive (loss) income: | ||||
Net unrealized (loss) gain on available-for-sale securities | (8,731) | (2,658) | (60,013) | 19,552 |
Reclassification of unrealized loss (gain) on available-for-sale securities to net (loss) income | 544 | (6,200) | 918 | (16,495) |
Reclassification of unrealized loss on interest rate agreements to net (loss) income | 1,040 | 1,041 | 3,087 | 3,087 |
Total other comprehensive (loss) income | (7,147) | (7,817) | (56,008) | 6,144 |
Total Comprehensive (Loss) Income | $ (57,558) | $ 80,469 | $ (175,470) | $ 281,712 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive (Loss) Income | Cumulative Earnings | Cumulative Distributions to Stockholders |
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 (Loss) Income | 275,568 | 275,568 | ||||
Other comprehensive income (loss) | 6,144 | 6,144 | ||||
Issuance of common stock (in shares) | 2,391,777 | |||||
Issuance of common stock | 33,200 | $ 24 | 33,176 | |||
Employee stock purchase and incentive plans (in shares) | 179,979 | |||||
Employee stock purchase and incentive plans | (534) | $ 2 | (536) | |||
Non-cash equity award compensation | 14,758 | 14,758 | ||||
Common dividends declared | (64,212) | (64,212) | ||||
Ending balance (in shares) at Sep. 30, 2021 | 114,661,762 | |||||
Balance at End of Period at Sep. 30, 2021 | 1,375,823 | $ 1,147 | 2,312,272 | 1,923 | 1,272,845 | (2,212,364) |
Beginning balance (in shares) at Jun. 30, 2021 | 113,052,780 | |||||
Balance at beginning of period at Jun. 30, 2021 | 1,295,142 | $ 1,131 | 2,287,412 | 9,740 | 1,184,559 | (2,187,700) |
Increase (Decrease) in Stockholders' Equity | ||||||
Net (Loss) Income | 88,286 | 88,286 | ||||
Other comprehensive income (loss) | (7,817) | (7,817) | ||||
Issuance of common stock (in shares) | 1,585,709 | |||||
Issuance of common stock | 19,826 | $ 16 | 19,810 | |||
Direct stock purchase and dividend reinvestment plan | 153 | 153 | ||||
Employee stock purchase and incentive plans (in shares) | 23,273 | |||||
Employee stock purchase and incentive plans | 0 | |||||
Non-cash equity award compensation | 4,897 | 4,897 | ||||
Common dividends declared | (24,664) | (24,664) | ||||
Ending balance (in shares) at Sep. 30, 2021 | 114,661,762 | |||||
Balance at End of Period at Sep. 30, 2021 | 1,375,823 | $ 1,147 | 2,312,272 | 1,923 | 1,272,845 | (2,212,364) |
Beginning balance (in shares) at Dec. 31, 2021 | 114,892,309 | |||||
Balance at beginning of period at Dec. 31, 2021 | 1,386,087 | $ 1,149 | 2,316,799 | (8,927) | 1,316,890 | (2,239,824) |
Increase (Decrease) in Stockholders' Equity | ||||||
Net (Loss) Income | (119,462) | (119,462) | ||||
Other comprehensive income (loss) | (56,008) | (56,008) | ||||
Issuance of common stock (in shares) | 5,232,869 | |||||
Issuance of common stock | 67,476 | $ 52 | 67,424 | |||
Employee stock purchase and incentive plans (in shares) | 346,727 | |||||
Employee stock purchase and incentive plans | (1,148) | $ 3 | (1,151) | |||
Non-cash equity award compensation | 18,505 | 18,505 | ||||
Share repurchases (in shares) | (7,128,891) | |||||
Share repurchases | (56,496) | $ (71) | (56,425) | |||
Common dividends declared | (84,712) | (84,712) | ||||
Ending balance (in shares) at Sep. 30, 2022 | 113,343,014 | |||||
Balance at End of Period at Sep. 30, 2022 | 1,154,242 | $ 1,133 | 2,345,152 | (64,935) | 1,197,428 | (2,324,536) |
Beginning balance (in shares) at Jun. 30, 2022 | 116,753,174 | |||||
Balance at beginning of period at Jun. 30, 2022 | 1,258,091 | $ 1,168 | 2,363,709 | (57,788) | 1,247,839 | (2,296,837) |
Increase (Decrease) in Stockholders' Equity | ||||||
Net (Loss) Income | (50,411) | (50,411) | ||||
Other comprehensive income (loss) | (7,147) | (7,147) | ||||
Employee stock purchase and incentive plans (in shares) | 38,698 | |||||
Employee stock purchase and incentive plans | 34 | 34 | ||||
Non-cash equity award compensation | 5,068 | 5,068 | ||||
Share repurchases (in shares) | (3,448,858) | |||||
Share repurchases | (23,694) | $ (35) | (23,659) | |||
Common dividends declared | (27,699) | (27,699) | ||||
Ending balance (in shares) at Sep. 30, 2022 | 113,343,014 | |||||
Balance at End of Period at Sep. 30, 2022 | $ 1,154,242 | $ 1,133 | $ 2,345,152 | $ (64,935) | $ 1,197,428 | $ (2,324,536) |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Statement of Stockholders' Equity [Abstract] | ||||
Common dividends declared (in dollars per share) | $ 0.23 | $ 0.21 | $ 0.69 | $ 0.55 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | ||
Cash Flows From Operating Activities: | |||
Net (Loss) Income | $ (119,462) | $ 275,568 | |
Adjustments to reconcile net (loss) income to net cash used in operating activities: | |||
Amortization of premiums, discounts, and securities issuance costs, net | 2,041 | 300 | |
Depreciation and amortization of non-financial assets | 12,115 | 12,674 | |
Originations of held-for-sale loans | (913,477) | (960,419) | |
Purchases of held-for-sale loans | (3,734,972) | (9,902,028) | |
Proceeds from sales of held-for-sale loans | 4,110,949 | 6,948,264 | |
Principal payments on held-for-sale loans | 160,985 | 49,619 | |
Net settlements of derivatives | 158,868 | 27,412 | |
Non-cash equity award compensation expense | 18,505 | 14,758 | |
Market valuation adjustments | 183,487 | (292,056) | |
Realized gains, net | (2,581) | (17,803) | |
Net change in: | |||
Accrued interest receivable and other assets | 56,156 | (9,680) | |
Accrued interest payable and accrued expenses and other liabilities | (62,046) | 73,120 | |
Net cash used in operating activities | (129,432) | (3,780,271) | |
Cash Flows From Investing Activities: | |||
Originations of loan investments | (1,377,714) | (557,327) | |
Purchases of loan investments | (22,006) | (35,713) | |
Proceeds from sales of loan investments | 0 | 9,484 | |
Principal payments on loan investments | 1,666,514 | 1,950,151 | |
Purchases of real estate securities | (15,006) | (29,342) | |
Sales of securities held in consolidated securitization trusts | 0 | 8,197 | |
Proceeds from sales of real estate securities | 27,471 | 37,500 | |
Principal payments on real estate securities | 26,584 | 46,904 | |
Principal repayments from servicer advance investments, net | 65,772 | 58,248 | |
Acquisition of Riverbend, net of cash acquired | (40,636) | 0 | |
Purchases of HEIs | (176,439) | (109,174) | |
Principal payments on HEIs | 35,187 | 0 | |
Other investing activities, net | (20,768) | (15,915) | |
Net cash provided by investing activities | 168,959 | 1,363,013 | |
Cash Flows From Financing Activities: | |||
Proceeds from borrowings on short-term debt | 4,149,726 | 9,847,178 | |
Repayments on short-term debt | (5,192,165) | (8,443,664) | |
Proceeds from issuance of asset-backed securities | 1,420,289 | 2,822,785 | |
Repayments on asset-backed securities issued | (1,288,294) | (1,549,766) | |
Proceeds from borrowings on long-term debt | 1,678,805 | 948,674 | |
Deferred long-term debt issuance costs paid | (17,925) | 0 | |
Repayments on long-term debt | (873,820) | (1,055,475) | |
Payments on repurchase of common stock | (56,496) | 0 | |
Taxes paid on equity award distributions | (1,571) | (957) | |
Net proceeds from issuance of common stock | 67,899 | 20,248 | |
Dividends paid | (84,712) | (64,212) | |
Other financing activities, net | (3,659) | (6,297) | |
Net cash (used in) provided by financing activities | (201,923) | 2,518,514 | |
Net (decrease) increase in cash, cash equivalents and restricted cash | (162,396) | 101,256 | |
Cash, cash equivalents and restricted cash at beginning of period | [1] | 531,484 | 544,450 |
Cash, cash equivalents, and restricted cash at end of period | [1] | 369,088 | 645,706 |
Cash paid during the period for: | |||
Interest | 378,691 | 298,507 | |
Taxes paid | 3,894 | 28,092 | |
Supplemental Noncash Information: | |||
Real estate securities retained from loan securitizations | 0 | 9,375 | |
Retention of mortgage servicing rights from loan securitizations and sales | 4,543 | 7,065 | |
Transfers from loans held-for-sale to loans held-for-investment | 2,643,027 | 3,005,041 | |
Transfers from loans held-for-investment to loans held-for-sale | 0 | 44,922 | |
Transfers from residential loans to real estate owned | 4,033 | 21,655 | |
Transfers from long-term debt to short-term debt | 908,627 | 93,150 | |
Right-of-use asset obtained in exchange for operating lease liability | 0 | 1,135 | |
Issuance of common stock for 5 Arches acquisition | $ 0 | $ 13,375 | |
[1]Cash, cash equivalents, and restricted cash includes cash and cash equivalents of $297 million and restricted cash of $72 million at September 30, 2022, and includes cash and cash equivalents of $450 million and restricted cash of $81 million at December 31, 2021. |
CONSOLIDATED STATEMENTS OF CA_2
CONSOLIDATED STATEMENTS OF CASH FLOWS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Statement of Cash Flows [Abstract] | |||
Cash and cash equivalents | [1] | $ 297,092 | $ 450,485 |
Restricted cash | [1] | $ 71,996 | $ 80,999 |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Organization
Organization | 9 Months Ended |
Sep. 30, 2022 | |
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, with a mission to help make quality housing, whether rented or owned, accessible to all American households. 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 well 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 securities. Our aggregation, origination and investment activities have evolved to incorporate a diverse mix of residential, business purpose and multifamily assets. 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 Mortgage Banking, Business Purpose Mortgage Banking, and Investment Portfolio. 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 generally not subject to subsidiary-level corporate income tax as “the REIT” or “our REIT.” We generally refer to subsidiaries of Redwood Trust, Inc. that are subject to subsidiary-level corporate income tax as “our taxable REIT subsidiaries” or “TRS.” Redwood Trust, Inc. was incorporated in the State of Maryland on April 11, 1994, and commenced operations on August 19, 1994. References herein to “Redwood,” the “company,” “we,” “us,” and “our” include Redwood Trust, Inc. and its consolidated subsidiaries, unless the context otherwise requires. |
Basis of Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at September 30, 2022 and December 31, 2021, and for the three and nine months ended September 30, 2022 and 2021. 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, 2021. In the opinion of management, all normal and recurring adjustments have been made to present fairly the financial condition of the Company at September 30, 2022 and results of operations for all periods presented. The results of operations for the three and nine months ended September 30, 2022 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 during and after 2012 in connection with the securitization of Redwood Select prime loans and Redwood Choice expanded-prime loans ("Sequoia"), entities formed in connection with the securitization of CoreVest single-family rental and bridge loans ("CAFL") and an entity formed in connection with the securitization of home equity investment contracts ("HEIs"). 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 certain entities we are exposed to financial risks associated with our role as a sponsor or co-sponsor, servicing administrator, collateral 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 Legacy Sequoia, 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 Consolidated Agency multifamily loans, at fair value, the underlying single-family rental and bridge loans at the consolidated CAFL entities are shown under Business purpose loans held-for-investment, at fair value, and the underlying HEIs at the consolidated HEI securitization entity are shown under Home equity investments, 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, we record interest income on the loans owned at these entities and interest expense on the ABS issued by these entities as well as fair value changes, other income and expenses associated with these entities' activities. See Note 15 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 Riverbend Funding, LLC On July 1, 2022, we acquired Riverbend Funding LLC ("Riverbend"), a private mortgage lender for residential transitional and commercial real estate investors. Aggregate consideration for this acquisition included an initial cash payment of approximately $44 million (with a remaining estimated provisional purchase consideration payable subject to reconciliation and final settlement), and a potential earnout component to be paid contingent on Riverbend generating specified revenues over a threshold amount during the two-year period ending July 1, 2024, up to a maximum potential amount payable of $25.3 million. Based on the terms of the merger agreement, we determined that the earnout component should be accounted for as contingent purchase consideration, which was valued at zero at the acquisition. We accounted for the acquisition of Riverbend under the acquisition method of accounting pursuant to ASC 805. We performed the purchase price allocation and recorded underlying assets acquired and liabilities assumed based on their estimated fair values using the information available as of each acquisition date, with the excess of the purchase price allocated to intangible assets and goodwill. Through September 30, 2022, there were no significant changes to our purchase price allocations, which are summarized in the following table. Table 2.1 - Purchase Price Allocation (In Thousands) Riverbend Acquisition Date July 1, 2022 Purchase price: Cash $ 44,126 Provisional consideration payable 477 Contingent consideration, at fair value — Total consideration $ 44,603 Allocated to: Business purpose loans, at fair value $ 59,748 Other investments 2,443 Cash and cash equivalents 3,490 Other assets 13,306 Goodwill 23,373 Intangible assets 13,300 Total assets acquired 115,660 Short-term debt, net 67,423 Accrued expenses and other liabilities 3,634 Total liabilities assumed 71,057 Total net assets acquired $ 44,603 We recognized $1 million of acquisition costs related to our acquisition of Riverbend during the nine months ended September 30, 2022. These costs primarily related to accounting, consulting, and legal expenses and are included in our General and administrative expenses on our consolidated statements of income (loss). 5 Arches and CoreVest Refer to Note 2 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2021, for 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. Intangible Assets and Goodwill In connection with the acquisition of Riverbend on July 1, 2022, and 5 Arches and CoreVest in 2019, we identified and recorded finite-lived intangible assets totaling $13 million, $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 September 30, 2022. Table 2.2 – Intangible Assets – Activity Intangible Assets at Acquisition Accumulated Amortization at September 30, 2022 Carrying Value at September 30, 2022 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 56,300 $ (19,537) $ 36,763 7 Broker network 18,100 (12,972) 5,128 5 Non-compete agreements 11,400 (9,567) 1,833 3 Tradenames 4,400 (3,994) 406 3 Developed technology 1,800 (1,800) — 2 Loan administration fees on existing loan assets 2,600 (2,600) — 1 Total $ 94,600 $ (50,470) $ 44,130 6 All of our intangible assets are amortized on a straight-line basis. For the three and nine months ended September 30, 2022, we recorded intangible asset amortization expense of $4 million and $11 million, respectively. For the three and nine months ended September 30, 2021, we recorded intangible asset amortization expense of $4 million and $12 million, respectively. Estimated future amortization expense is summarized in the table below. Table 2.3 – Intangible Asset Amortization Expense by Year (In Thousands) September 30, 2022 2022 (3 months) $ 3,238 2023 12,430 2024 9,413 2025 8,426 2026 6,695 2027 and thereafter 3,928 Total Future Intangible Asset Amortization $ 44,130 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 September 30, 2022. We recorded total goodwill of $23 million during the three months ended September 30, 2022 as a result of the total consideration exceeding the fair value of the net assets acquired from Riverbend. The goodwill was attributed to the expected business synergies and expansion into new business purpose loan markets, as well as access to the knowledgeable and experienced workforce continuing to provide complementary sourcing of assets for the business. We expect $23 million of this goodwill to be deductible for tax purposes. For reporting purposes, we included the intangible assets and goodwill from these acquisitions within our Business Purpose Mortgage Banking segment. Table 2.4 – Goodwill - Activity (In Thousands) Riverbend Beginning Balance $ — Goodwill recognized from acquisition 23,373 Impairment — Ending Balance $ 23,373 The potential liability resulting from the contingent consideration arrangement with Riverbend was recorded at its acquisition-date fair value of zero as part of the total consideration for the acquisition of Riverbend. At September 30, 2022, the estimated fair value of this contingent liability was zero on our consolidated balance sheets. Our contingent consideration liability is recorded at fair value and periodic changes in the estimated fair value are recorded through Other expenses on our consolidated statements of income (loss). During the period ended September 30, 2022, we did not record any contingent consideration income or expense related to our acquisition of Riverbend. See Note 17 for additional information on our contingent consideration liability. The following unaudited pro forma financial information presents Net interest income, Non-interest income, and Net income of Redwood, as if the acquisition of Riverbend occurred as of January 1, 2021. These pro forma amounts have been adjusted to include the amortization of intangible assets for all periods. The unaudited pro forma financial information is not intended to represent or be indicative of the consolidated financial results of operations that would have been reported if the acquisition had been completed as of January 1, 2021 and should not be taken as indicative of our future consolidated results of operations. During the period from July 1, 2022 to September 30, 2022, Riverbend had net interest income of $1 million, non-interest income of $0.5 million, and a net loss of $1 million, which included intangible asset amortization expense of 0.6 million. Table 2.5 – Unaudited Pro Forma Financial Information Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Supplementary pro forma information: Net interest income $ 34,935 $ 43,174 $ 132,475 $ 100,570 Non-interest (loss) income (37,135) 102,436 (121,614) 355,456 Net (loss) income (50,411) 89,923 (117,090) 278,134 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2022 | |
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, 2021 is a summary of our significant accounting policies. Recent Accounting Pronouncements Newly Adopted Accounting Standards Updates ("ASUs") 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 was effective for fiscal years beginning after December 31, 2021. We adopted this guidance in the first quarter of 2022, which did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In June 2022, the FASB issued ASU 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions.” ASU 2022-03 was issued to (1) to clarify the guidance in Topic 820, Fair Value Measurement, when measuring the fair value of an equity security subject to contractual restrictions that prohibit the sale of an equity security, (2) to amend a related illustrative example, and (3) to introduce new disclosure requirements for equity securities subject to contractual sale restrictions that are measured at fair value in accordance with Topic 820. The amendments in this update are effective for fiscal years beginning after December 15, 2023, including interim periods within those fiscal years. Early adoption is permitted. We are evaluating the accounting and disclosure requirements of ASU 2022-03 and we plan to adopt this new guidance by the required date. We do not anticipate that this update will have a material impact on our financial statements. In March 2022, the FASB issued ASU 2022-02, "Financial Instruments-Credit Losses (Topic 326), Troubled Debt Restructurings and Vintage Disclosures." ASU 2022-02 addresses areas identified by the FASB as part of its post-implementation review of the credit losses standard (ASU 2016-13) that introduced the current expected credit loss ("CECL") model. The amendments eliminate the accounting guidance for troubled debt restructurings by creditors that have adopted the CECL model and enhance the disclosure requirements for loan refinancings and restructurings made with borrowers experiencing financial difficulty. In addition, the amendments require a public business entity to disclose current-period gross writeoffs for financing receivables and net investment in leases by year of origination in the vintage disclosures. This guidance is effective for fiscal years beginning after December 15, 2022, including interim periods within those fiscal years. 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 2022, the FASB issued ASU 2022-01, "Derivatives and Hedging (Topic 815), Fair Value Hedging - Portfolio Layer Method," which will expand companies' abilities to hedge the benchmark interest rate risk of portfolios of financial assets (or beneficial interests) in a fair value hedge. The ASU expands the use of the portfolio layer method (previously referred to as the last-of-layer method) to allow multiple hedges of a single closed portfolio of assets using spot starting, forward starting, and amortizing-notional swaps. The ASU also permits both prepayable and non-prepayable financial assets to be included in the closed portfolio of assets hedged in a portfolio layer hedge. The ASU further requires that basis adjustments not be allocated to individual assets for active portfolio layer method hedges, but rather be maintained on the closed portfolio of assets as a whole. This guidance is effective for public business entities for fiscal years beginning after December 15, 2022, including interim periods within those fiscal years. 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 September 30, 2022, we have not elected to apply the optional expedients and exceptions to any of our existing contracts, hedging relationships, or other transactions. We have an established cross-functional group that has evaluated our exposure to LIBOR, reviewed relevant contracts and has monitored regulatory updates to assess the potential impact to our business, processes and technology from the ultimate full cessation of LIBOR in 2023, and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates. We continue to remain on track with our LIBOR transition plan, which requires different solutions depending on the underlying asset or liability with LIBOR exposure. At September 30, 2022, our primary LIBOR exposure included the following: $689 million of repo or warehouse debt, $37 million of interest rate swaps, $757 million of bridge loans, and $140 million of trust preferred securities and subordinated notes debt. Since December 31, 2021, c ertain of our contracts, such as interest rate swaps, have experienced an orderly market transition and we have transitioned a substantial portion of our derivative positions off of LIBOR-benchmarks. Other contracts, such as warehouse debt agreements, require bilateral amendments, many of which we have amended or are currently in the process of amending. We anticipate most of these facilities will be amended in 2022 , with sufficient time remaining to resolve the remainder, which also have fallback provisions for benchmark replacement. In early 2022 , we began benchmarking all newly originated bridge loans to the Secured Overnight Financing Rate (“SOFR”), and our existing portfolio of bridge loans are short-dated and we expect the vast majority to mature before the LIBOR cessation date in 2023. Additionally, as a result of legislation that was passed in the state of New York, our trust preferred securities and subordinated notes are expected to convert to SOFR upon the cessation of LIBOR. 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 following table 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 September 30, 2022 and December 31, 2021. 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 September 30, 2022 (In Thousands) Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 24,626 $ — $ 24,626 $ (23) $ (7,638) $ 16,965 TBAs 13,568 — 13,568 (529) (12,077) 962 Futures 26,275 — 26,275 (2) (10,675) 15,598 Total Assets $ 64,469 $ — $ 64,469 $ (554) $ (30,390) $ 33,525 Liabilities (2) Interest rate agreements $ (23) $ — $ (23) $ 23 $ — $ — TBAs (6,545) — (6,545) 529 1,280 (4,736) Futures (2) — (2) 2 — — Loan warehouse debt (224,370) — (224,370) 224,370 — — Total Liabilities $ (230,940) $ — $ (230,940) $ 224,924 $ 1,280 $ (4,736) 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, 2021 (In Thousands) Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 18,929 $ — $ 18,929 $ (1,251) $ (16,046) $ 1,632 TBAs 2,880 — 2,880 (633) (704) 1,543 Futures 25 — 25 (25) — — Total Assets $ 21,834 $ — $ 21,834 $ (1,909) $ (16,750) $ 3,175 Liabilities (2) Interest rate agreements $ (1,251) $ — $ (1,251) $ 1,251 $ — $ — TBAs $ (658) $ — $ (658) $ 633 $ 15 $ (10) Futures (905) — (905) 25 880 — Loan warehouse debt (572,720) — (572,720) 572,720 — — Total Liabilities $ (575,534) $ — $ (575,534) $ 574,629 $ 895 $ (10) (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, we have pledged excess cash collateral or financial assets to a counterparty (which, in certain circumstances, may 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, these excess amounts are excluded from the table; they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. (2) Interest rate agreements and TBAs are components of derivative instruments on our consolidated balance sheets. Loan warehouse debt, which is secured by certain residential and business purpose loans, is a component of Short-term debt and Long-term debt on our consolidated balance sheets. |
Principles of Consolidation
Principles of Consolidation | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Principles of Consolidation | Principles of Consolidation GAAP requires us to consider whether securitizations we sponsor and other transfers of financial assets should be treated as sales or financings, as well as whether any VIEs that we hold variable interests in – for example, certain legal entities often used in securitization and other structured finance transactions – should be included in our consolidated financial statements. The GAAP principles we apply require us to reassess our requirement to consolidate VIEs each quarter and therefore our determination may change based upon new facts and circumstances pertaining to each VIE. This could result in a material impact to our consolidated financial statements during subsequent reporting periods. Analysis of Consolidated VIEs At September 30, 2022, we consolidated Legacy Sequoia, Sequoia, CAFL, Freddie Mac SLST, Freddie Mac K-Series, and HEI 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 certain securitizations, we are exposed to financial risks associated with our role as a sponsor, servicing administrator, collateral administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. 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 September 30, 2022, we held an 80% ownership interest in, and were responsible for the management of, each entity. See Note 11 for a further description of these entities and the investments they hold and Note 13 for additional information on the minority partner’s non-controlling 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 14 for additional information on the servicer advance financing. During 2021, we consolidated a HEI securitization entity formed to invest in HEIs that we determined was a VIE and for which we determined we were the primary beneficiary. At September 30, 2022 and December 31, 2021, we owned a portion of the subordinate certificates issued by the entity and had certain decision making rights for the entity. See Note 10 for a further description of this entity and the investments it holds and Note 13 for additional information on non-controlling interests in the entity. We consolidate the HEI 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. For certain of our consolidated VIEs, we have elected to account for the assets and liabilities of these entities as collateralized financing entities ("CFE"). A CFE is a variable interest entity that holds financial assets and issues beneficial interests in those assets, and these beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allows companies to elect to measure both the financial assets and financial liabilities of a CFE using the more observable of the fair value of the financial assets or fair value of the financial liabilities. The net equity in an entity accounted for under the CFE election effectively represents the fair value of the beneficial interests we own in the entity. In addition to our consolidated VIEs for which we made the CFE election, we consolidate certain VIEs for which we did not make the CFE election, and elected to account for the ABS issued by these entities at amortized cost. These include our CAFL Bridge securitizations, Freddie Mac SLST re-securitization, and Servicing Investment entities. The following table presents a summary of the assets and liabilities of our consolidated VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs September 30, 2022 Legacy Sequoia CAFL (1) Freddie Mac SLST (1) Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Residential loans, held-for-investment $ 198,161 $ 3,237,170 $ — $ 1,482,964 $ — $ — $ — $ 4,918,295 Business purpose loans, held-for-investment — — 3,531,229 — — — — 3,531,229 Consolidated Agency multifamily loans — — — — 427,458 — — 427,458 Home equity investments 139,728 139,728 Other investments — — — — — 307,723 — 307,723 Cash and cash equivalents — — — — — 15,923 — 15,923 Restricted cash 92 78 15,889 — — 18,569 3,540 38,168 Accrued interest receivable 226 11,295 17,497 5,247 1,299 720 — 36,284 Other assets 407 — 24,084 2,544 — 7,270 50 34,355 Total Assets $ 198,886 $ 3,248,543 $ 3,588,699 $ 1,490,755 $ 428,757 $ 350,205 $ 143,318 $ 9,449,163 Short-term debt $ — $ — $ — $ — $ — $ 233,104 $ — $ 233,104 Accrued interest payable 224 9,003 11,202 3,630 1,173 348 — 25,580 Accrued expenses and other liabilities (58) 80 1,903 — — 24,223 24,354 50,502 Asset-backed securities issued 197,354 3,013,249 3,179,487 1,249,041 395,411 — 104,751 8,139,293 Total Liabilities $ 197,520 $ 3,022,332 $ 3,192,592 $ 1,252,671 $ 396,584 $ 257,675 $ 129,105 $ 8,448,479 Value of our investments in VIEs (1) $ 1,214 $ 223,920 $ 393,015 $ 236,467 $ 32,047 $ 92,530 $ 14,213 $ 993,406 Number of VIEs 20 17 19 3 1 3 1 64 December 31, 2021 Legacy Sequoia CAFL (1) Freddie Mac SLST (1) Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Residential loans, held-for-investment $ 230,455 $ 3,628,465 $ — $ 1,888,230 $ — $ — $ — $ 5,747,150 Business purpose loans, held-for-investment — — 3,766,316 — — — — 3,766,316 Consolidated Agency multifamily loans — — — — 473,514 — — 473,514 Other investments — — — — — 384,754 159,553 544,307 Cash and cash equivalents — — — — — 6,481 — 6,481 Restricted cash 148 5 15,221 — — 25,420 5,292 46,086 Accrued interest receivable 210 10,885 15,737 5,792 1,315 1,462 — 35,401 Other assets 61 — 32,510 2,028 — 7,177 50 41,826 Total Assets $ 230,874 $ 3,639,355 $ 3,829,784 $ 1,896,050 $ 474,829 $ 425,294 $ 164,895 $ 10,661,081 Short-term debt $ — $ — $ — $ — $ — $ 294,447 $ — $ 294,447 Accrued interest payable 99 8,452 11,030 4,055 1,190 192 — 25,018 Accrued expenses and other liabilities — 5 1,171 — — 28,115 17,034 46,325 Asset-backed securities issued 227,881 3,383,048 3,474,898 1,588,463 441,857 — 137,410 9,253,557 Total Liabilities $ 227,980 $ 3,391,505 $ 3,487,099 $ 1,592,518 $ 443,047 $ 322,754 $ 154,444 $ 9,619,347 Value of our investments in VIEs (1) $ 2,634 $ 245,417 $ 339,419 $ 301,795 $ 31,657 $ 102,540 $ 10,451 $ 1,033,913 Number of VIEs 20 16 16 3 1 3 1 60 (1) Value of our investments in VIEs, as presented in this table, represent the fair value of our economic interests in the VIEs only for consolidated VIEs we account for under the CFE election. CAFL includes SFR loan securitizations we account for under the CFE election and two bridge loan securitizations for which we did not make the CFE election. As of September 30, 2022 and December 31, 2021, the fair value of our interests in the CAFL SFR securitizations were $314 million and $302 million, respectively, and the remaining values were associated with our interests in the CAFL Bridge securitizations, for which the ABS issued is carried at amortized historical cost. Freddie Mac SLST includes securitizations we account for under the CFE election and also includes ABS issued in relation to a resecuritization of the securities we own in the consolidated Freddie Mac SLST VIEs, that we account for at amortized historical cost. As of September 30, 2022 and December 31, 2021, the fair value of our interests in the Freddie Mac SLST securitizations accounted for under the CFE election were $335 million and $445 million, respectively, with the difference from the tables above representing ABS issued and carried at amortized historical cost. The following table presents income (loss) from these VIEs for the three and nine months ended September 30, 2022 and 2021. Table 4.2 – Income (Loss) from Consolidated VIEs Three Months Ended September 30, 2022 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 1,475 $ 31,587 $ 61,439 $ 16,098 $ 4,762 $ 7,800 $ — $ 123,161 Interest expense (1,486) (27,541) (44,804) (12,829) (4,377) (2,606) — (93,643) Net interest income (11) 4,046 16,635 3,269 385 5,194 — 29,518 Non-interest income Investment fair value changes, net (328) (10,936) (4,527) (41,892) 316 (3,286) (584) (61,237) Other income — — 286 — — — — 286 Total non-interest income, net (328) (10,936) (4,241) (41,892) 316 (3,286) (584) (60,951) General and administrative expenses — — — — — (55) — (55) Other expenses — — — — — (372) — (372) Income (loss) from Consolidated VIEs $ (339) $ (6,890) $ 12,394 $ (38,623) $ 701 $ 1,481 $ (584) $ (31,860) Nine Months Ended September 30, 2022 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 3,595 $ 95,608 $ 195,381 $ 49,851 $ 14,247 $ 23,287 $ — $ 381,969 Interest expense (3,154) (84,041) (145,207) (40,286) (13,099) (6,110) — (291,897) Net interest income 441 11,567 50,174 9,565 1,148 17,177 — 90,072 Non-interest income Investment fair value changes, net (1,378) (20,644) (23,972) (74,796) 390 (11,259) 4,028 (127,631) Other income — — 631 — — — — 631 Total non-interest income, net (1,378) (20,644) (23,341) (74,796) 390 (11,259) 4,028 (127,000) General and administrative expenses — — — — — (130) — (130) Other expenses — — — — — (1,158) — (1,158) Income (loss) from Consolidated VIEs $ (937) $ (9,077) $ 26,833 $ (65,231) $ 1,538 $ 4,630 $ 4,028 $ (38,216) Three Months Ended September 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 1,042 $ 18,867 $ 48,937 $ 18,707 $ 4,846 $ 3,905 $ — $ 96,304 Interest expense (641) (15,368) (37,489) (15,774) (4,460) (1,018) — (74,750) Net interest income 401 3,499 11,448 2,933 386 2,887 — 21,554 Non-interest income Investment fair value changes, net (247) 3,314 2,943 13,849 554 (2,080) 47 18,380 Other income — — 10 — — — — 10 Total non-interest income, net (247) 3,314 2,953 13,849 554 (2,080) 47 18,390 General and administrative expenses — — — — — (60) — (60) Other expenses — — — — — (149) — (149) Income (loss) from Consolidated VIEs $ 154 $ 6,813 $ 14,401 $ 16,782 $ 940 $ 598 $ 47 $ 39,735 Nine Months Ended September 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 3,559 $ 48,842 $ 152,659 $ 58,372 $ 14,492 $ 12,168 $ — $ 290,092 Interest expense (2,271) (38,848) (118,543) (49,756) (13,294) (3,414) — (226,126) Net interest income 1,288 9,994 34,116 8,616 1,198 8,754 — 63,966 Non-interest income Investment fair value changes, net (1,162) 13,118 6,354 54,282 11,330 (5,646) 47 78,323 Other income — — 10 — — — — 10 Total non-interest income, net (1,162) 13,118 6,364 54,282 11,330 (5,646) 47 78,333 General and administrative expenses — — — — — (150) — (150) Other expenses — — — — — (591) — (591) Income (loss) from Consolidated VIEs $ 126 $ 23,112 $ 40,480 $ 62,898 $ 12,528 $ 2,367 $ 47 $ 141,558 We consolidate the assets and liabilities of certain Sequoia, CAFL and HEI 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, CAFL and HEI securitization 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, including rights to direct loss mitigation activities; 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, CAFL and HEI securitization entities in accordance with GAAP. We consolidate the assets and liabilities of certain Freddie Mac K-Series and SLST securitization trusts resulting from our investment in subordinate securities issued by these trusts, and in the case of certain CAFL securitizations, resulting from securities acquired through our acquisition of CoreVest. Additionally, we consolidate the assets and liabilities of Servicing Investment entities from our investment in servicer advance investments and excess MSRs. In each case, we maintain certain discretionary rights associated with the ownership of these investments that we determined reflected a controlling financial interest, as we have both the power to direct the activities that most significantly impact the economic performance of the VIEs and the right to receive benefits of and the obligation to absorb losses from the VIEs that could potentially be significant to the VIEs. Analysis of Unconsolidated VIEs with Continuing Involvement Since 2012, we have transferred residential loans to 46 Sequoia securitization entities sponsored by us that are still outstanding as of September 30, 2022, 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 September 30, 2022, we did not call any of our unconsolidated Sequoia entities. During the nine months ended September 30, 2022, we called three of our unconsolidated Sequoia entities, and purchased $102 million (unpaid principal balance) of loans from the securitization trusts. In association with these calls, we realized a $0.3 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 September 30, 2022, we held $158 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 nine months ended September 30, 2022 and 2021. Table 4.3 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Principal balance of loans transferred $ — $ — $ — $ 1,231,803 Trading securities retained, at fair value — — — 7,774 AFS securities retained, at fair value — — — 1,600 The following table summarizes the cash flows during the three and nine months ended September 30, 2022 and 2021 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 September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Proceeds from new transfers $ — $ — $ — $ 1,266,063 MSR fees received 737 1,095 2,365 4,038 Funding of compensating interest, net (11) 54 (41) (116) Cash flows received on retained securities 3,096 16,724 20,380 42,117 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 nine months ended September 30, 2022 and 2021. Table 4.5 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates N/A N/A N/A N/A Discount rates N/A N/A N/A N/A Credit loss assumptions N/A N/A N/A N/A Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates N/A N/A 11 11 % Discount rates N/A N/A 15 % 6 % Credit loss assumptions N/A N/A 0.23 % 0.23 % The following table presents additional information at September 30, 2022 and December 31, 2021, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.6 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) September 30, 2022 December 31, 2021 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 28,511 $ 18,214 Subordinate securities, classified as AFS 78,065 127,542 Mortgage servicing rights 11,915 6,450 Maximum loss exposure (1) $ 118,491 $ 152,206 Assets transferred: Principal balance of loans outstanding $ 4,146,817 $ 4,959,234 Principal balance of loans 30+ days delinquent 21,803 30,594 (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 September 30, 2022 and December 31, 2021. Table 4.7 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood September 30, 2022 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at September 30, 2022 $ 11,915 $ 28,511 $ 78,065 Expected life (in years) (2) 7 7 16 Prepayment speed assumption (annual CPR) (2) 8 % 11 % 8 % Decrease in fair value from: 10% adverse change $ 334 $ 942 $ 570 25% adverse change 810 2,291 1,132 Discount rate assumption (2) 11 % 12 % 8 % Decrease in fair value from: 100 basis point increase $ 441 $ 1,001 $ 7,714 200 basis point increase 852 1,889 14,345 Credit loss assumption (2) N/A 0.04 % 0.04 % Decrease in fair value from: 10% higher losses N/A N/A $ 190 25% higher losses N/A N/A 254 December 31, 2021 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2021 $ 6,450 $ 18,214 $ 127,542 Expected life (in years) (2) 3 4 5 Prepayment speed assumption (annual CPR) (2) 29 % 23 % 32 % Decrease in fair value from: 10% adverse change $ 447 $ 1,130 $ 531 25% adverse change 1,020 2,596 1,440 Discount rate assumption (2) 12 % 16 % 5 % Decrease in fair value from: 100 basis point increase $ 152 $ 426 $ 4,801 200 basis point increase 297 829 9,139 Credit loss assumption (2) N/A 0.35 % 0.35 % Decrease in fair value from: 10% higher losses N/A N/A $ 1,528 25% higher losses N/A N/A 3,819 (1) Senior securities included $29 million and $18 million of interest-only securities at September 30, 2022 and December 31, 2021, 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 September 30, 2022 and December 31, 2021, grouped by asset type. Table 4.8 – Third-Party Sponsored VIE Summary (In Thousands) September 30, 2022 December 31, 2021 Mortgage-Backed Securities Senior $ 348 $ 3,572 Subordinate 152,288 228,083 Total Mortgage-Backed Securities 152,636 231,655 Excess MSR 7,662 10,400 Total Investments in Third-Party Sponsored VIEs $ 160,298 $ 242,055 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 | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities September 30, 2022 December 31, 2021 Carrying Fair Carrying Fair (In Thousands) Assets Residential loans, held-for-sale, at fair value $ 834,262 $ 834,262 $ 1,845,248 $ 1,845,248 Residential loans, held-for-investment, at fair value 4,918,294 4,918,294 5,747,150 5,747,150 Business purpose loans, held-for-sale, at fair value 337,238 337,238 358,309 358,309 Business purpose loans, held-for-investment, at fair value 4,919,980 4,919,980 4,432,680 4,432,680 Consolidated Agency multifamily loans, at fair value 427,458 427,458 473,514 473,514 Real estate securities, at fair value 259,212 259,212 377,411 377,411 Servicer advance investments (1) 274,934 274,934 350,923 350,923 MSRs (1) 24,796 24,796 12,438 12,438 Excess MSRs (1) 40,452 40,452 44,231 44,231 HEIs (1) 340,437 340,437 192,740 192,740 Other investments (1) 11,174 11,174 12,663 12,663 Cash and cash equivalents 297,092 297,092 450,485 450,485 Restricted cash 71,996 71,996 80,999 80,999 Derivative assets 65,213 65,213 26,467 26,467 REO (2) 3,683 4,105 36,126 39,272 Margin receivable (2) 6,683 6,683 7,269 7,269 Liabilities Short-term debt (3) $ 1,912,694 $ 1,912,694 $ 2,177,362 $ 2,177,362 Margin payable (4) 30,389 30,389 24,368 24,368 Guarantee obligations (4) 6,532 5,237 7,459 7,133 HEI securitization non-controlling interest 24,355 24,355 17,035 17,035 Derivative liabilities 6,782 6,782 3,317 3,317 ABS issued, net At fair value 7,564,312 7,564,312 8,843,147 8,843,147 At amortized cost 574,981 541,773 410,410 410,471 Other long-term debt, net (5) 868,851 858,810 988,483 989,570 Convertible notes, net (5) 724,205 651,888 513,629 537,300 Trust preferred securities and subordinated notes, net (5) 138,755 76,725 138,721 97,650 (1) These investments are included in Other investments on our consolidated balance sheets. (2) These assets are included in Other assets on our consolidated balance sheets. (3) Short-term debt excludes short-term convertible notes, which are included below under "Convertible notes, net." (4) These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets. (5) These liabilities are primarily included in Long-term debt, net on our consolidated balance sheets. Convertible notes, net also includes convertible notes classified as Short-term debt. See Note 14 for more information on Short-term debt. During the three and nine months ended September 30, 2022, we elected the fair value option for zero and $5 million of securities, respectively, $0.34 billion and $3.60 billion of residential loans (principal balance), respectively, and $630 million and $2.47 billion of business purpose loans (principal balance), respectively. Additionally, during the three and nine months ended September 30, 2022, we elected the fair value option for $80 million and $176 million of HEIs, respectively, and zero and $8 million of Other Investments, respectively. We anticipate electing the fair value option for all future purchases of residential and business purpose loans that we intend to sell to third parties or transfer to securitizations, as well as for certain securities we purchase, including IO securities, fixed-rate securities rated investment grade or higher and HEIs. The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at September 30, 2022 and December 31, 2021, as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis September 30, 2022 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 5,752,524 $ — $ — $ 5,752,524 Business purpose loans 5,257,218 — — 5,257,218 Consolidated Agency multifamily loans 427,458 — — 427,458 Real estate securities 259,212 — — 259,212 Servicer advance investments 274,934 — — 274,934 MSRs 24,796 — — 24,796 Excess MSRs 40,452 — — 40,452 HEIs 340,437 — — 340,437 Other investments 11,174 — — 11,174 Derivative assets 65,213 39,843 24,626 744 Liabilities HEI securitization non-controlling interest $ 24,355 $ — $ — $ 24,355 Derivative liabilities 6,782 6,547 23 212 ABS issued 7,564,312 — — 7,564,312 December 31, 2021 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 7,592,398 $ — $ — $ 7,592,398 Business purpose loans 4,790,989 — — 4,790,989 Consolidated Agency multifamily loans 473,514 — — 473,514 Real estate securities 377,411 — — 377,411 Servicer advance investments 350,923 — — 350,923 MSRs 12,438 — — 12,438 Excess MSRs 44,231 — — 44,231 HEIs 192,740 — — 192,740 Other investments 17,574 — — 17,574 Derivative assets 26,467 2,906 18,928 4,633 FHLBC stock 10 — 10 — Liabilities HEI securitization non-controlling interest $ 17,035 $ — $ — $ 17,035 Derivative liabilities 3,317 1,563 1,251 503 ABS issued 8,843,147 — — 8,843,147 The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2022. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Purpose Consolidated Agency Multifamily Loans Trading Securities AFS Servicer Advance Investments Excess MSRs HEIs MSRs and Other Investments (In Thousands) Beginning balance - $ 7,592,398 $ 4,790,989 $ 473,514 $ 170,619 $ 206,792 $ 350,923 $ 44,231 $ 192,740 $ 25,101 Acquisitions 3,585,882 181,814 — 5,006 10,000 — — 176,439 8,293 Originations — 2,291,192 — — — — — — — Sales (3,702,359) (414,998) — (27,471) — — — — (3,044) Principal paydowns (734,577) (1,086,983) (5,936) (1,202) (25,381) (65,772) — (35,187) (137) Gains (losses) in net income (loss), net (985,958) (503,832) (40,120) (30,019) 12,560 (10,217) (3,779) 6,445 9,336 Unrealized losses in OCI, net — — — — (61,692) — — — — Other settlements, net (1) (2,862) (964) — — — — — — (3,579) Ending balance - $ 5,752,524 $ 5,257,218 $ 427,458 $ 116,933 $ 142,279 $ 274,934 $ 40,452 $ 340,437 $ 35,970 Liabilities Derivatives (2) HEI Securitization Non-Controlling Interest ABS (In Thousands) Beginning balance - December 31, 2021 $ 4,130 $ 17,035 $ 8,843,147 Acquisitions — — 1,205,289 Principal paydowns — — (1,242,859) Gains (losses) in net income (loss), net (53,962) 7,320 (1,241,265) Other settlements, net (1) 50,364 — — Ending balance - September 30, 2022 $ 532 $ 24,355 $ 7,564,312 (1) Other settlements, net, for residential and business purpose loans, represents the transfer of loans to REO, for derivatives, represents the transfer of the fair value of loan purchase and interest rate lock commitments at the time loans are acquired to the basis of residential and single-family rental business purpose loans, and for MSRs and other investments, primarily represents an investment that was exchanged into a new instrument that is no longer measured at fair value on a recurring basis. (2) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments and interest rate lock commitments, are presented on a net basis. The following table presents the portion of fair value gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at September 30, 2022 and 2021. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and nine months ended September 30, 2022 and 2021 are not included in this presentation. Table 5.4 – Portion of Net Fair Value Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at September 30, 2022 and 2021 Included in Net Income (Loss) Included in Net Income (Loss) Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Assets Residential loans at Redwood $ (28,762) $ 6,553 $ (42,952) $ 9,371 Business purpose loans (10,967) 18,810 (39,019) 19,829 Net investments in consolidated Sequoia entities (1) (11,264) 2,885 (22,467) 11,779 Net investments in consolidated Freddie Mac SLST entities (1) (41,969) 13,781 (75,043) 54,006 Net investments in consolidated Freddie Mac K-Series entities (1) 316 555 390 11,330 Net investments in consolidated CAFL SFR entities (1) (6,585) 2,943 (24,365) 5,500 Net investment in consolidated HEI securitization entity (1) (1,652) 47 11,348 129 Trading securities (12,668) 1,547 (34,104) 3,824 Servicer advance investments (3,905) (2,079) (10,218) (3,179) MSRs 1,653 (235) 9,118 (49) Excess MSRs (351) (803) (3,779) (5,233) HEIs at Redwood (4,903) (41) (2,272) 21 Loan purchase and interest rate lock commitments 723 9,021 744 9,261 Liabilities HEI securitization non-controlling interest $ 1,068 $ (83) $ (7,320) $ (83) Loan purchase commitments (212) (2,570) (212) (2,550) (1) Represents the portion of net fair value gains or losses included in our consolidated statements of income (loss) related to securitized loans, securitized HEIs, and the associated ABS issued at our consolidated securitization entities held at September 30, 2022 and 2021, which, netted together, represent the change in value of our investments at the consolidated VIEs accounted for under CFE election, excluding REO. The following table presents information on assets recorded at fair value on a non-recurring basis at September 30, 2022. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at September 30, 2022. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at September 30, 2022 Gain (Loss) for September 30, 2022 Carrying Fair Value Measurements Using Three Months Ended Nine Months Ended (In Thousands) Level 1 Level 2 Level 3 September 30, 2022 September 30, 2022 Assets Strategic investments 17,350 — — 17,350 (25) 10,000 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 nine months ended September 30, 2022 and 2021. Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ (20,060) $ 9,045 $ (71,776) $ 57,145 Residential loan purchase commitments (2,716) 18,817 (53,236) 18,351 Single-family rental loans held-for-sale, at fair value (19,325) 19,205 (83,827) 54,675 Single-family rental loan interest rate lock commitments 19 (744) (666) — Bridge loans (9) 3,433 2,242 6,702 Trading securities (1) 148 32 4,249 (342) Risk management derivatives, net 48,363 3,539 164,137 38,117 Total mortgage banking activities, net (2) $ 6,420 $ 53,327 $ (38,877) $ 174,648 Investment Fair Value Changes, Net Residential loans held-for-sale, at fair value (called Sequoia loans) $ (6,614) $ 816 $ (18,876) $ 2,423 Bridge loans held-for-investment 2,482 900 (9,220) 4,142 Trading securities (12,668) 1,546 (34,268) 25,067 Servicer advance investments (3,905) (2,079) (10,217) (3,179) Excess MSRs (351) (803) (3,779) (5,233) Net investments in Legacy Sequoia entities (3) (328) (247) (1,378) (1,162) Net investments in Sequoia entities (3) (10,936) 3,314 (20,644) 13,118 Net investments in Freddie Mac SLST entities (3) (41,892) 13,849 (74,796) 54,282 Net investment in Freddie Mac K-Series entity (3) 316 554 390 11,330 Net investments in CAFL SFR entities (3) (6,585) 2,943 (24,365) 6,354 Net investment in HEI securitization entity (3) (584) 47 4,028 47 HEIs at Redwood (4,774) 5,622 (1,986) 13,017 Other investments 1,445 (385) 12,028 50 Risk management derivatives, net 27,241 — 33,609 — Credit (losses) recoveries on AFS securities (544) — (2,315) 388 Total investment fair value changes, net $ (57,697) $ 26,077 $ (151,789) $ 120,644 Other Income MSRs $ 1,236 $ (989) $ 8,031 $ (3,236) Other (852) — (852) — Total other income (4) $ 384 $ (989) $ 7,179 $ (3,236) Total Market Valuation Gains (Losses), Net $ (50,893) $ 78,415 $ (183,487) $ 292,056 (1) Represents fair value changes on trading securities that are being used along with risk management derivatives to manage the market risks associated with our residential mortgage banking operations. (2) Mortgage banking activities, net presented above does not include fee income from loan originations or acquisitions, provisions for repurchases, and other expenses that are components of Mortgage banking activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes. (3) Includes changes in fair value of the residential loans held-for-investment, securitized HEIs, REO and the ABS issued at the entities, which, netted together, represent the change in value of our investments at the consolidated VIEs accounted for under the CFE election. (4) Other income presented above does not include net MSR fee income or provisions for repurchases of MSRs, as these amounts do not represent market valuation adjustments. At September 30, 2022, 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, 2021. 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 September 30, 2022 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 $ 718,347 Whole loan spread to swap rate 201 - 400 bps 202 bps Called loan dollar price $ 92 - $ 92 $ 92 Jumbo loans committed to sell 115,883 Whole loan committed sales price $ 96 - $ 102 $ 98 Loans held by Legacy Sequoia (2) 198,160 Liability price N/A N/A Loans held by Sequoia (2) 3,237,170 Liability price N/A N/A Loans held by Freddie Mac SLST (2) 1,482,964 Liability price N/A N/A Business purpose loans: Single-family rental loans 281,105 Senior credit spread 210 - 210 bps 210 bps Subordinate credit spread 275 - 1,025 bps 458 bps Senior credit support 36 - 36 % 36 % IO discount rate 8 - 9 % 8 % Prepayment rate (annual CPR) 3 - 3 % 3 % Whole loan dollar price $ 84 - $ 99 $ 86 Single-family rental loans held by CAFL (2) 3,018,994 Liability price N/A N/A Bridge loans 1,957,119 Whole loan discount rate 5 - 15 % 9 % Senior credit spread 285 - 285 bps 285 bps Subordinate credit spread 345 - 1,200 % 680 % Senior credit support 43 - 43 % 43 % Prepayment rate (annual CPR) — - — % — % Multifamily loans held by Freddie Mac K-Series (2) 427,458 Liability price N/A N/A Trading and AFS securities 259,212 Discount rate 5 - 18 % 10 % Prepayment rate (annual CPR) 6 - 65 % 12 % Default rate — - 12 % 0.4 % Loss severity — - 50 % 25 % CRT dollar price $ 73 - $ 93 $ 85 Servicer advance investments 274,934 Discount rate 2 - 5 % 4 % Prepayment rate (annual CPR) 14 - 30 % 14 % Expected remaining life (3) 5 - 5 yrs 5 yrs Mortgage servicing income — - 18 bps 7 bps MSRs 24,796 Discount rate 11 - 69 % 11 % Prepayment rate (annual CPR) 4 - 28 % 8 % Per loan annual cost to service $ 93 - $ 93 $ 93 Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) September 30, 2022 Fair Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (1) Assets (continued) Excess MSRs 40,452 Discount rate 13 - 19 % 18 % Prepayment rate (annual CPR) 10 - 100 % 18 % Excess mortgage servicing income 8 - 19 bps 11 bps HEIs 200,709 Discount rate 10 - 10 % 10 % Prepayment rate (annual CPR) 1 - 23 % 16 % Home price appreciation (7) - 4 % 3 % HEIs held by HEI securitization entity 139,728 Liability price N/A N/A N/A Residential loan purchase commitments, net 531 Whole loan spread to swap rate 201 - 201 bps 201 bps Pull-through rate 26 - 100 % 78 % Committed sales price $ 99 - $ 102 $ 100 Liabilities ABS issued (2) : At consolidated Sequoia entities 3,210,603 Discount rate 4 - 18 % 6 % Prepayment rate (annual CPR) 5 - 24 % 13 % Default rate — - 33 % 1 % Loss severity 25 - 50 % 32 % At consolidated CAFL SFR entities (4) 2,703,223 Discount rate 0.3 - 16 % 6 % Prepayment rate (annual CPR) — - 3 % 0.2 % Default rate 4 - 21 % 6 % Loss severity 30 - 40 % 30 % At consolidated Freddie Mac SLST entities 1,150,323 Discount rate 5 - 8 % 6 % Prepayment rate (annual CPR) 6 - 8 % 6 % Default rate 13 - 14 % 14 % Loss severity 35 - 35 % 35 % At consolidated Freddie Mac K-Series entities (4) 395,411 Discount rate 3 - 9 % 5 % At consolidated HEI securitization entity (4) 104,751 Discount rate 9 - 15 % 10 % Prepayment rate (annual CPR) 20 - 20 % 20 % Home price appreciation (7) - 4 % 3 % (1) The weighted average input values for all loan types are based on unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value. (2) The fair value of the loans and HEIs held by consolidated entities is based on the fair value of the ABS issued by these entities and the securities and other investments we own in those entities, which we determined were more readily observable in accordance with accounting guidance for collateralized financing entities. At September 30, 2022, the fair value of securities we owned at the consolidated Sequoia, CAFL SFR, Freddie Mac SLST, Freddie Mac K-Series, and HEI securitization entities was $224 million, $314 million, $335 million, $32 million, and $14 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 in isolation — such as anticipated credit losses, prepayment rates, interest rates, or other valuation assumptions — 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, 2021 is a more detailed description of our financial instruments measured at fair value and their significant inputs, as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy. Certain of our Other investments (inclusive of strategic investments in early-stage start-up companies) are Level 3 financial instruments that we account for under the fair value option. These investments generally take the form of equity or debt with conversion features and do not have readily determinable fair values. We initially record these investments at cost and adjust their fair value based on observable price changes, such as follow-on capital raises or secondary sales, and will also evaluate impacts to valuation from changing market conditions and underlying business performance. As of September 30, 2022, the carrying value of these investments was $10 million. |
Residential Loans
Residential Loans | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 6.1 – Classifications and Carrying Values of Residential Loans September 30, 2022 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 834,262 $ — $ — $ — $ 834,262 Held-for-investment at fair value — 198,160 3,237,170 1,482,964 4,918,294 Total Residential Loans $ 834,262 $ 198,160 $ 3,237,170 $ 1,482,964 $ 5,752,556 December 31, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,845,282 $ — $ — $ — $ 1,845,282 Held-for-investment at fair value — 230,455 3,628,465 1,888,230 5,747,150 Total Residential Loans $ 1,845,282 $ 230,455 $ 3,628,465 $ 1,888,230 $ 7,592,432 At September 30, 2022, we owned mortgage servicing rights associated with $853 million (principal balance) of residential loans owned at Redwood that were purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2022 and December 31, 2021. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) September 30, 2022 December 31, 2021 Number of loans 1,054 2,196 Unpaid principal balance $ 874,412 $ 1,813,865 Fair value of loans $ 834,262 $ 1,845,282 Market value of loans pledged as collateral under short-term borrowing agreements $ 828,192 $ 1,838,797 Weighted average coupon 4.99 % 3.27 % Delinquency information Number of loans with 90+ day delinquencies 1 3 Unpaid principal balance of loans with 90+ day delinquencies $ 209 $ 2,923 Fair value of loans with 90+ day delinquencies $ 170 $ 2,304 Number of loans in foreclosure — — The following table provides the activity of residential loans held-for-sale during the three and nine months ended September 30, 2022 and 2021. Table 6.3 – Activity of Residential Loans Held-for-Sale Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Principal balance of loans acquired (1) $ 336,698 $ 3,167,186 $ 3,597,339 $ 9,747,867 Principal balance of loans sold 662,302 2,360,862 3,727,993 6,787,490 Principal balance of loans transferred to HFI — 448,878 687,192 1,623,000 Net market valuation gains (losses) recorded (2) (26,674) 9,861 (90,652) 59,568 (1) For the three and nine months ended September 30, 2022, includes zero and $102 million of loans acquired through calls of zero and three seasoned Sequoia securitizations, respectively. (2) 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 September 30, 2022 and December 31, 2021. Table 6.4 – Characteristics of Residential Loans Held-for-Investment September 30, 2022 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,372 4,666 11,054 Unpaid principal balance $ 218,298 $ 3,902,938 $ 1,753,301 Fair value of loans $ 198,160 $ 3,237,170 $ 1,482,964 Weighted average coupon 3.23 % 3.25 % 4.50 % Delinquency information Number of loans with 90+ day delinquencies (1) 33 13 1,295 Unpaid principal balance of loans with 90+ day delinquencies $ 5,532 $ 11,404 $ 223,260 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 16 6 332 Unpaid principal balance of loans in foreclosure $ 1,852 $ 5,928 $ 56,755 December 31, 2021 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,583 4,300 11,986 Unpaid principal balance $ 264,057 $ 3,605,469 $ 1,932,241 Fair value of loans $ 230,455 $ 3,628,465 $ 1,888,230 Weighted average coupon 1.87 % 3.39 % 4.51 % Delinquency information Number of loans with 90+ day delinquencies (1) 32 18 1,208 Unpaid principal balance of loans with 90+ day delinquencies $ 7,482 $ 15,124 $ 212,961 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 10 2 241 Unpaid principal balance of loans in foreclosure $ 2,188 $ 1,624 $ 43,637 (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. 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, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded in Investment fair value changes, net on our consolidated statements of income (loss). The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2. Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 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 $ — N/A N/A $ 464,189 N/A Net market valuation gains (losses) recorded 5,182 (202,825) (104,040) (2,580) (11,663) (13,836) Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 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 $ 684,491 N/A N/A $ 1,669,683 N/A Net market valuation gains (losses) recorded 12,286 (685,042) (224,543) 9,896 (27,076) 5,177 (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. REO See Note 13 for detail on residential loans transferred to REO during 2022. 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 September 30, 2022 and December 31, 2021. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans September 30, 2022 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 281,105 — $ 56,133 $ — $ 337,238 Held-for-investment at fair value — 3,018,994 1,388,750 512,236 4,919,980 Total Business Purpose Loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 $ 5,257,218 December 31, 2021 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 358,309 $ — $ — $ — $ 358,309 Held-for-investment at fair value — 3,488,074 666,364 278,242 4,432,680 Total Business Purpose Loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 $ 4,790,989 Nearly all of the outstanding SFR loans at September 30, 2022 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years, with 2% having original maturities of 30 years. The outstanding bridge loans held-for-investment at September 30, 2022 were first-lien, interest-only loans with original maturities of six At September 30, 2022, we had commitments to fund bridge loans of $990 million. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2022 and 2021. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 99,281 $ 470,425 $ 392,620 $ 208,938 Principal balance of loans acquired (1) — 59,977 2,463 35,713 Principal balance of loans sold to third parties 37,202 48,279 — 253 Fair value of loans transferred (2) 266,181 77,362 332,670 276,354 Mortgage banking activities income (loss) recorded (4) (19,325) (110) 19,205 3,691 Investment fair value changes recorded (5) — (679) — 900 Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 865,253 $ 1,424,604 $ 957,935 $ 557,327 Principal balance of loans acquired (1) 100,349 81,983 2,463 35,713 Principal balance of loans sold to third parties 368,704 48,279 — 9,484 Fair value of loans transferred (2) 561,218 465,966 799,375 276,354 Fair value of loans transferred from HFI to HFS (3) — — 44,922 N/A Mortgage banking activities income (loss) recorded (4) (83,827) 1,129 54,675 5,212 Investment fair value changes recorded (5) — (6,747) — 4,142 (1) Bridge at Redwood for the three and nine months ended September 30, 2022, includes $60 million of loans acquired as part of the Riverbend acquisition. (2) For SFR at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL SFR securitizations. For Bridge at Redwood, represents the transfer of bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their securitization. (3) 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. (4) 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 nine months ended September 30, 2022, we recorded loan origination fee income of $10 million and $36 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (5) Represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. Business Purpose 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 and bridge loans owned by these entities. 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, and are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2 . The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2022 and 2021. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (108,980) $ 1,906 $ (34,803) $ — Nine Months Ended Nine Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (419,182) $ 50 $ (96,934) $ — REO See Note 13 for detail on business purpose loans transferred to REO during 2022. Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2022 and December 31, 2021. Table 7.4 – Characteristics of Business Purpose Loans September 30, 2022 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 202 1,142 1,585 1,994 Unpaid principal balance $ 317,556 $ 3,316,706 $ 1,452,180 $ 510,839 Fair value of loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 Weighted average coupon 5.14 % 5.22 % 8.06 % 8.04 % Weighted average remaining loan term (years) 15 6 2 1 Market value of loans pledged as collateral under short-term debt facilities $ 279,846 N/A $ 702,899 N/A Market value of loans pledged as collateral under long-term debt facilities $ — N/A $ 699,704 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 1 15 51 47 Unpaid principal balance of loans with 90+ day delinquencies $ 536 $ 31,296 $ 33,822 $ 7,063 Fair value of loans with 90+ day delinquencies (2) $ 528 N/A $ 31,140 $ 7,144 Number of loans in foreclosure (3) 1 7 49 — Unpaid principal balance of loans in foreclosure $ 536 $ 10,335 $ 33,471 $ — Fair value of loans in foreclosure (3) $ 528 N/A $ 30,789 $ — December 31, 2021 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 245 1,173 1,134 1,640 Unpaid principal balance $ 348,232 $ 3,340,949 $ 670,392 $ 274,617 Fair value of loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 Weighted average coupon 4.73 % 5.17 % 6.91 % 7.05 % Weighted average remaining loan term (years) 12 6 1 1 Market value of loans pledged as collateral under short-term debt facilities $ 75,873 N/A $ 91,814 N/A Market value of loans pledged as collateral under long-term debt facilities $ 244,703 N/A $ 554,597 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 6 18 31 — Unpaid principal balance of loans with 90+ day delinquencies $ 5,384 $ 41,998 $ 18,032 $ — Fair value of loans with 90+ day delinquencies (2) $ 4,238 N/A $ 14,218 $ — Number of loans in foreclosure (3) 7 9 28 — Unpaid principal balance of loans in foreclosure $ 5,473 $ 12,648 $ 18,043 $ — Fair value of loans in foreclosure (3) $ 4,305 N/A $ 14,257 $ — Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL 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. (2) The number of loans 90-or-more days delinquent includes loans in foreclosure. (3) May include loans that are less than 90 days delinquent. 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 our consolidated Agency multifamily loans at September 30, 2022 and December 31, 2021. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans (Dollars in Thousands) September 30, 2022 December 31, 2021 Number of loans 28 28 Unpaid principal balance $ 449,232 $ 455,168 Fair value of loans $ 427,458 $ 473,514 Weighted average coupon 4.25 % 4.25 % Weighted average remaining loan term (years) 3 4 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at September 30, 2022 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 nine months ended September 30, 2022 and 2021. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Net market valuation gains (losses) recorded (1) $ (13,691) $ (487) $ (40,120) $ (3,745) (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 | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 6.1 – Classifications and Carrying Values of Residential Loans September 30, 2022 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 834,262 $ — $ — $ — $ 834,262 Held-for-investment at fair value — 198,160 3,237,170 1,482,964 4,918,294 Total Residential Loans $ 834,262 $ 198,160 $ 3,237,170 $ 1,482,964 $ 5,752,556 December 31, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,845,282 $ — $ — $ — $ 1,845,282 Held-for-investment at fair value — 230,455 3,628,465 1,888,230 5,747,150 Total Residential Loans $ 1,845,282 $ 230,455 $ 3,628,465 $ 1,888,230 $ 7,592,432 At September 30, 2022, we owned mortgage servicing rights associated with $853 million (principal balance) of residential loans owned at Redwood that were purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2022 and December 31, 2021. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) September 30, 2022 December 31, 2021 Number of loans 1,054 2,196 Unpaid principal balance $ 874,412 $ 1,813,865 Fair value of loans $ 834,262 $ 1,845,282 Market value of loans pledged as collateral under short-term borrowing agreements $ 828,192 $ 1,838,797 Weighted average coupon 4.99 % 3.27 % Delinquency information Number of loans with 90+ day delinquencies 1 3 Unpaid principal balance of loans with 90+ day delinquencies $ 209 $ 2,923 Fair value of loans with 90+ day delinquencies $ 170 $ 2,304 Number of loans in foreclosure — — The following table provides the activity of residential loans held-for-sale during the three and nine months ended September 30, 2022 and 2021. Table 6.3 – Activity of Residential Loans Held-for-Sale Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Principal balance of loans acquired (1) $ 336,698 $ 3,167,186 $ 3,597,339 $ 9,747,867 Principal balance of loans sold 662,302 2,360,862 3,727,993 6,787,490 Principal balance of loans transferred to HFI — 448,878 687,192 1,623,000 Net market valuation gains (losses) recorded (2) (26,674) 9,861 (90,652) 59,568 (1) For the three and nine months ended September 30, 2022, includes zero and $102 million of loans acquired through calls of zero and three seasoned Sequoia securitizations, respectively. (2) 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 September 30, 2022 and December 31, 2021. Table 6.4 – Characteristics of Residential Loans Held-for-Investment September 30, 2022 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,372 4,666 11,054 Unpaid principal balance $ 218,298 $ 3,902,938 $ 1,753,301 Fair value of loans $ 198,160 $ 3,237,170 $ 1,482,964 Weighted average coupon 3.23 % 3.25 % 4.50 % Delinquency information Number of loans with 90+ day delinquencies (1) 33 13 1,295 Unpaid principal balance of loans with 90+ day delinquencies $ 5,532 $ 11,404 $ 223,260 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 16 6 332 Unpaid principal balance of loans in foreclosure $ 1,852 $ 5,928 $ 56,755 December 31, 2021 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,583 4,300 11,986 Unpaid principal balance $ 264,057 $ 3,605,469 $ 1,932,241 Fair value of loans $ 230,455 $ 3,628,465 $ 1,888,230 Weighted average coupon 1.87 % 3.39 % 4.51 % Delinquency information Number of loans with 90+ day delinquencies (1) 32 18 1,208 Unpaid principal balance of loans with 90+ day delinquencies $ 7,482 $ 15,124 $ 212,961 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 10 2 241 Unpaid principal balance of loans in foreclosure $ 2,188 $ 1,624 $ 43,637 (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. 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, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded in Investment fair value changes, net on our consolidated statements of income (loss). The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2. Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 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 $ — N/A N/A $ 464,189 N/A Net market valuation gains (losses) recorded 5,182 (202,825) (104,040) (2,580) (11,663) (13,836) Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 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 $ 684,491 N/A N/A $ 1,669,683 N/A Net market valuation gains (losses) recorded 12,286 (685,042) (224,543) 9,896 (27,076) 5,177 (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. REO See Note 13 for detail on residential loans transferred to REO during 2022. 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 September 30, 2022 and December 31, 2021. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans September 30, 2022 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 281,105 — $ 56,133 $ — $ 337,238 Held-for-investment at fair value — 3,018,994 1,388,750 512,236 4,919,980 Total Business Purpose Loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 $ 5,257,218 December 31, 2021 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 358,309 $ — $ — $ — $ 358,309 Held-for-investment at fair value — 3,488,074 666,364 278,242 4,432,680 Total Business Purpose Loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 $ 4,790,989 Nearly all of the outstanding SFR loans at September 30, 2022 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years, with 2% having original maturities of 30 years. The outstanding bridge loans held-for-investment at September 30, 2022 were first-lien, interest-only loans with original maturities of six At September 30, 2022, we had commitments to fund bridge loans of $990 million. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2022 and 2021. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 99,281 $ 470,425 $ 392,620 $ 208,938 Principal balance of loans acquired (1) — 59,977 2,463 35,713 Principal balance of loans sold to third parties 37,202 48,279 — 253 Fair value of loans transferred (2) 266,181 77,362 332,670 276,354 Mortgage banking activities income (loss) recorded (4) (19,325) (110) 19,205 3,691 Investment fair value changes recorded (5) — (679) — 900 Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 865,253 $ 1,424,604 $ 957,935 $ 557,327 Principal balance of loans acquired (1) 100,349 81,983 2,463 35,713 Principal balance of loans sold to third parties 368,704 48,279 — 9,484 Fair value of loans transferred (2) 561,218 465,966 799,375 276,354 Fair value of loans transferred from HFI to HFS (3) — — 44,922 N/A Mortgage banking activities income (loss) recorded (4) (83,827) 1,129 54,675 5,212 Investment fair value changes recorded (5) — (6,747) — 4,142 (1) Bridge at Redwood for the three and nine months ended September 30, 2022, includes $60 million of loans acquired as part of the Riverbend acquisition. (2) For SFR at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL SFR securitizations. For Bridge at Redwood, represents the transfer of bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their securitization. (3) 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. (4) 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 nine months ended September 30, 2022, we recorded loan origination fee income of $10 million and $36 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (5) Represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. Business Purpose 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 and bridge loans owned by these entities. 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, and are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2 . The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2022 and 2021. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (108,980) $ 1,906 $ (34,803) $ — Nine Months Ended Nine Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (419,182) $ 50 $ (96,934) $ — REO See Note 13 for detail on business purpose loans transferred to REO during 2022. Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2022 and December 31, 2021. Table 7.4 – Characteristics of Business Purpose Loans September 30, 2022 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 202 1,142 1,585 1,994 Unpaid principal balance $ 317,556 $ 3,316,706 $ 1,452,180 $ 510,839 Fair value of loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 Weighted average coupon 5.14 % 5.22 % 8.06 % 8.04 % Weighted average remaining loan term (years) 15 6 2 1 Market value of loans pledged as collateral under short-term debt facilities $ 279,846 N/A $ 702,899 N/A Market value of loans pledged as collateral under long-term debt facilities $ — N/A $ 699,704 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 1 15 51 47 Unpaid principal balance of loans with 90+ day delinquencies $ 536 $ 31,296 $ 33,822 $ 7,063 Fair value of loans with 90+ day delinquencies (2) $ 528 N/A $ 31,140 $ 7,144 Number of loans in foreclosure (3) 1 7 49 — Unpaid principal balance of loans in foreclosure $ 536 $ 10,335 $ 33,471 $ — Fair value of loans in foreclosure (3) $ 528 N/A $ 30,789 $ — December 31, 2021 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 245 1,173 1,134 1,640 Unpaid principal balance $ 348,232 $ 3,340,949 $ 670,392 $ 274,617 Fair value of loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 Weighted average coupon 4.73 % 5.17 % 6.91 % 7.05 % Weighted average remaining loan term (years) 12 6 1 1 Market value of loans pledged as collateral under short-term debt facilities $ 75,873 N/A $ 91,814 N/A Market value of loans pledged as collateral under long-term debt facilities $ 244,703 N/A $ 554,597 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 6 18 31 — Unpaid principal balance of loans with 90+ day delinquencies $ 5,384 $ 41,998 $ 18,032 $ — Fair value of loans with 90+ day delinquencies (2) $ 4,238 N/A $ 14,218 $ — Number of loans in foreclosure (3) 7 9 28 — Unpaid principal balance of loans in foreclosure $ 5,473 $ 12,648 $ 18,043 $ — Fair value of loans in foreclosure (3) $ 4,305 N/A $ 14,257 $ — Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL 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. (2) The number of loans 90-or-more days delinquent includes loans in foreclosure. (3) May include loans that are less than 90 days delinquent. 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 our consolidated Agency multifamily loans at September 30, 2022 and December 31, 2021. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans (Dollars in Thousands) September 30, 2022 December 31, 2021 Number of loans 28 28 Unpaid principal balance $ 449,232 $ 455,168 Fair value of loans $ 427,458 $ 473,514 Weighted average coupon 4.25 % 4.25 % Weighted average remaining loan term (years) 3 4 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at September 30, 2022 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 nine months ended September 30, 2022 and 2021. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Net market valuation gains (losses) recorded (1) $ (13,691) $ (487) $ (40,120) $ (3,745) (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 . |
Consolidated Agency Multifamily
Consolidated Agency Multifamily Loans | 9 Months Ended |
Sep. 30, 2022 | |
Receivables [Abstract] | |
Consolidated Agency 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 September 30, 2022 and December 31, 2021. Table 6.1 – Classifications and Carrying Values of Residential Loans September 30, 2022 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 834,262 $ — $ — $ — $ 834,262 Held-for-investment at fair value — 198,160 3,237,170 1,482,964 4,918,294 Total Residential Loans $ 834,262 $ 198,160 $ 3,237,170 $ 1,482,964 $ 5,752,556 December 31, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,845,282 $ — $ — $ — $ 1,845,282 Held-for-investment at fair value — 230,455 3,628,465 1,888,230 5,747,150 Total Residential Loans $ 1,845,282 $ 230,455 $ 3,628,465 $ 1,888,230 $ 7,592,432 At September 30, 2022, we owned mortgage servicing rights associated with $853 million (principal balance) of residential loans owned at Redwood that were purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2022 and December 31, 2021. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) September 30, 2022 December 31, 2021 Number of loans 1,054 2,196 Unpaid principal balance $ 874,412 $ 1,813,865 Fair value of loans $ 834,262 $ 1,845,282 Market value of loans pledged as collateral under short-term borrowing agreements $ 828,192 $ 1,838,797 Weighted average coupon 4.99 % 3.27 % Delinquency information Number of loans with 90+ day delinquencies 1 3 Unpaid principal balance of loans with 90+ day delinquencies $ 209 $ 2,923 Fair value of loans with 90+ day delinquencies $ 170 $ 2,304 Number of loans in foreclosure — — The following table provides the activity of residential loans held-for-sale during the three and nine months ended September 30, 2022 and 2021. Table 6.3 – Activity of Residential Loans Held-for-Sale Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Principal balance of loans acquired (1) $ 336,698 $ 3,167,186 $ 3,597,339 $ 9,747,867 Principal balance of loans sold 662,302 2,360,862 3,727,993 6,787,490 Principal balance of loans transferred to HFI — 448,878 687,192 1,623,000 Net market valuation gains (losses) recorded (2) (26,674) 9,861 (90,652) 59,568 (1) For the three and nine months ended September 30, 2022, includes zero and $102 million of loans acquired through calls of zero and three seasoned Sequoia securitizations, respectively. (2) 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 September 30, 2022 and December 31, 2021. Table 6.4 – Characteristics of Residential Loans Held-for-Investment September 30, 2022 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,372 4,666 11,054 Unpaid principal balance $ 218,298 $ 3,902,938 $ 1,753,301 Fair value of loans $ 198,160 $ 3,237,170 $ 1,482,964 Weighted average coupon 3.23 % 3.25 % 4.50 % Delinquency information Number of loans with 90+ day delinquencies (1) 33 13 1,295 Unpaid principal balance of loans with 90+ day delinquencies $ 5,532 $ 11,404 $ 223,260 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 16 6 332 Unpaid principal balance of loans in foreclosure $ 1,852 $ 5,928 $ 56,755 December 31, 2021 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,583 4,300 11,986 Unpaid principal balance $ 264,057 $ 3,605,469 $ 1,932,241 Fair value of loans $ 230,455 $ 3,628,465 $ 1,888,230 Weighted average coupon 1.87 % 3.39 % 4.51 % Delinquency information Number of loans with 90+ day delinquencies (1) 32 18 1,208 Unpaid principal balance of loans with 90+ day delinquencies $ 7,482 $ 15,124 $ 212,961 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 10 2 241 Unpaid principal balance of loans in foreclosure $ 2,188 $ 1,624 $ 43,637 (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. 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, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded in Investment fair value changes, net on our consolidated statements of income (loss). The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2. Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 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 $ — N/A N/A $ 464,189 N/A Net market valuation gains (losses) recorded 5,182 (202,825) (104,040) (2,580) (11,663) (13,836) Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 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 $ 684,491 N/A N/A $ 1,669,683 N/A Net market valuation gains (losses) recorded 12,286 (685,042) (224,543) 9,896 (27,076) 5,177 (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. REO See Note 13 for detail on residential loans transferred to REO during 2022. 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 September 30, 2022 and December 31, 2021. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans September 30, 2022 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 281,105 — $ 56,133 $ — $ 337,238 Held-for-investment at fair value — 3,018,994 1,388,750 512,236 4,919,980 Total Business Purpose Loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 $ 5,257,218 December 31, 2021 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 358,309 $ — $ — $ — $ 358,309 Held-for-investment at fair value — 3,488,074 666,364 278,242 4,432,680 Total Business Purpose Loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 $ 4,790,989 Nearly all of the outstanding SFR loans at September 30, 2022 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years, with 2% having original maturities of 30 years. The outstanding bridge loans held-for-investment at September 30, 2022 were first-lien, interest-only loans with original maturities of six At September 30, 2022, we had commitments to fund bridge loans of $990 million. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2022 and 2021. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 99,281 $ 470,425 $ 392,620 $ 208,938 Principal balance of loans acquired (1) — 59,977 2,463 35,713 Principal balance of loans sold to third parties 37,202 48,279 — 253 Fair value of loans transferred (2) 266,181 77,362 332,670 276,354 Mortgage banking activities income (loss) recorded (4) (19,325) (110) 19,205 3,691 Investment fair value changes recorded (5) — (679) — 900 Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 865,253 $ 1,424,604 $ 957,935 $ 557,327 Principal balance of loans acquired (1) 100,349 81,983 2,463 35,713 Principal balance of loans sold to third parties 368,704 48,279 — 9,484 Fair value of loans transferred (2) 561,218 465,966 799,375 276,354 Fair value of loans transferred from HFI to HFS (3) — — 44,922 N/A Mortgage banking activities income (loss) recorded (4) (83,827) 1,129 54,675 5,212 Investment fair value changes recorded (5) — (6,747) — 4,142 (1) Bridge at Redwood for the three and nine months ended September 30, 2022, includes $60 million of loans acquired as part of the Riverbend acquisition. (2) For SFR at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL SFR securitizations. For Bridge at Redwood, represents the transfer of bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their securitization. (3) 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. (4) 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 nine months ended September 30, 2022, we recorded loan origination fee income of $10 million and $36 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (5) Represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. Business Purpose 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 and bridge loans owned by these entities. 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, and are recorded through Investment fair value changes, net on our consolidated statements of income (loss). The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2 . The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2022 and 2021. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (108,980) $ 1,906 $ (34,803) $ — Nine Months Ended Nine Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (419,182) $ 50 $ (96,934) $ — REO See Note 13 for detail on business purpose loans transferred to REO during 2022. Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2022 and December 31, 2021. Table 7.4 – Characteristics of Business Purpose Loans September 30, 2022 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 202 1,142 1,585 1,994 Unpaid principal balance $ 317,556 $ 3,316,706 $ 1,452,180 $ 510,839 Fair value of loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 Weighted average coupon 5.14 % 5.22 % 8.06 % 8.04 % Weighted average remaining loan term (years) 15 6 2 1 Market value of loans pledged as collateral under short-term debt facilities $ 279,846 N/A $ 702,899 N/A Market value of loans pledged as collateral under long-term debt facilities $ — N/A $ 699,704 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 1 15 51 47 Unpaid principal balance of loans with 90+ day delinquencies $ 536 $ 31,296 $ 33,822 $ 7,063 Fair value of loans with 90+ day delinquencies (2) $ 528 N/A $ 31,140 $ 7,144 Number of loans in foreclosure (3) 1 7 49 — Unpaid principal balance of loans in foreclosure $ 536 $ 10,335 $ 33,471 $ — Fair value of loans in foreclosure (3) $ 528 N/A $ 30,789 $ — December 31, 2021 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 245 1,173 1,134 1,640 Unpaid principal balance $ 348,232 $ 3,340,949 $ 670,392 $ 274,617 Fair value of loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 Weighted average coupon 4.73 % 5.17 % 6.91 % 7.05 % Weighted average remaining loan term (years) 12 6 1 1 Market value of loans pledged as collateral under short-term debt facilities $ 75,873 N/A $ 91,814 N/A Market value of loans pledged as collateral under long-term debt facilities $ 244,703 N/A $ 554,597 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 6 18 31 — Unpaid principal balance of loans with 90+ day delinquencies $ 5,384 $ 41,998 $ 18,032 $ — Fair value of loans with 90+ day delinquencies (2) $ 4,238 N/A $ 14,218 $ — Number of loans in foreclosure (3) 7 9 28 — Unpaid principal balance of loans in foreclosure $ 5,473 $ 12,648 $ 18,043 $ — Fair value of loans in foreclosure (3) $ 4,305 N/A $ 14,257 $ — Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL 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. (2) The number of loans 90-or-more days delinquent includes loans in foreclosure. (3) May include loans that are less than 90 days delinquent. 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 our consolidated Agency multifamily loans at September 30, 2022 and December 31, 2021. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans (Dollars in Thousands) September 30, 2022 December 31, 2021 Number of loans 28 28 Unpaid principal balance $ 449,232 $ 455,168 Fair value of loans $ 427,458 $ 473,514 Weighted average coupon 4.25 % 4.25 % Weighted average remaining loan term (years) 3 4 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at September 30, 2022 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 nine months ended September 30, 2022 and 2021. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Net market valuation gains (losses) recorded (1) $ (13,691) $ (487) $ (40,120) $ (3,745) (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 | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) September 30, 2022 December 31, 2021 Trading $ 116,933 $ 170,619 Available-for-sale 142,279 206,792 Total Real Estate Securities $ 259,212 $ 377,411 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 September 30, 2022 and December 31, 2021. Table 9.2 – Fair Value of Trading Securities by Position (In Thousands) September 30, 2022 December 31, 2021 Senior Interest-only securities (1) $ 28,860 $ 21,787 Total Senior 28,860 21,787 Subordinate RPL securities 31,963 65,140 Multifamily securities 8,021 10,549 Other third-party residential securities 48,089 73,143 Total Subordinate 88,073 148,832 Total Trading Securities $ 116,933 $ 170,619 (1) Includes $25 million and $15 million of Sequoia certificated mortgage servicing rights at September 30, 2022 and December 31, 2021, respectively. The following table presents the unpaid principal balance of trading securities by position and collateral type at September 30, 2022 and December 31, 2021. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position (In Thousands) September 30, 2022 December 31, 2021 Senior (1) $ — $ — Subordinate 220,888 235,306 Total Trading Securities $ 220,888 $ 235,306 (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 nine months ended September 30, 2022 and 2021. Table 9.4 – Trading Securities Activity Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Principal balance of securities acquired (1) $ — $ 10,750 $ — $ 28,380 Principal balance of securities sold (1) — 750 12,716 53,561 Net market valuation gains (losses) recorded (2) (12,521) 1,578 (30,019) 24,725 (1) For the three and nine months ended September 30, 2021, excludes $1 million and $3 million of securities bought and sold during the same quarter, respectively. (2) 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 ("AFS") securities by position and collateral type at September 30, 2022 and December 31, 2021. Table 9.5 – Fair Value of Available-for-Sale Securities by Position (In Thousands) September 30, 2022 December 31, 2021 Subordinate Sequoia securities $ 78,065 $ 127,542 Multifamily securities 13,211 22,166 Other third-party residential securities 51,003 57,084 Total Subordinate 142,279 206,792 Total AFS Securities $ 142,279 $ 206,792 The following table provides the activity of available-for-sale securities during the three and nine months ended September 30, 2022 and 2021. Table 9.6 – Available-for-Sale Securities Activity Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Fair value of securities acquired $ — $ — $ 10,000 $ 1,600 Fair value of securities sold — — — 4,785 Principal balance of securities called — 11,565 14,486 25,970 Net unrealized (losses) gains on AFS securities (1) (8,731) (2,658) (60,013) 19,552 (1) Net unrealized (losses) gains on AFS securities are recorded on our consolidated balance sheets through Accumulated other comprehensive 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 September 30, 2022, we had $10 million of AFS securities with contractual maturities less than five years, $1 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 September 30, 2022 and December 31, 2021. Table 9.7 – Carrying Value of AFS Securities September 30, 2022 (In Thousands) Total Principal balance $ 227,715 Credit reserve (30,247) Unamortized discount, net (61,015) Amortized cost 136,453 Gross unrealized gains 19,017 Gross unrealized losses (10,876) CECL allowance (2,315) Carrying Value $ 142,279 December 31, 2021 (In Thousands) Total Principal balance $ 242,852 Credit reserve (27,555) Unamortized discount, net (76,023) Amortized cost 139,274 Gross unrealized gains 67,815 Gross unrealized losses (297) CECL allowance — Carrying Value $ 206,792 The following table presents the changes for the three and nine months ended September 30, 2022, 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 Nine Months Ended Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 30,619 $ 61,303 $ 27,555 $ 76,023 Amortization of net discount — (830) — (10,647) Realized credit recoveries (losses), net 170 — 244 — Acquisitions — — — — Sales, calls, other — — (343) (1,570) Transfers to (release of) credit reserves, net (542) 542 2,791 (2,791) Ending Balance $ 30,247 $ 61,015 $ 30,247 $ 61,015 AFS Securities with Unrealized Losses The following table presents the total carrying value (fair value) and unrealized losses of residential AFS securities that were in a gross unrealized loss position at September 30, 2022 and December 31, 2021. Table 9.9 – AFS Securities in Gross Unrealized Loss Position by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Fair Unrealized Fair Unrealized (In Thousands) September 30, 2022 $ 65,585 $ (10,685) $ 1,409 $ (191) December 31, 2021 6,827 (251) 1,554 (46) At September 30, 2022, after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 81 AFS securities, of which 35 were in an unrealized loss position and one was in a continuous unrealized loss position for 12 consecutive months or longer. At December 31, 2021, our consolidated balance sheet included 85 AFS securities, of which four were in an unrealized loss position and one was in a continuous unrealized loss position for 12 consecutive months or longer. Evaluating AFS Securities for Credit Losses Gross unrealized losses on our AFS securities were $11 million at September 30, 2022. 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 September 30, 2022, 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 c ash flows for such securities, which considers recent security performance and expected future performance of the underlying collateral. At September 30, 2022, our current expected credit loss ("CECL") allowance related to our AFS securities was $2.3 million. AFS securities for which an allowance is recognized have experienced, or are expected to experience, 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 September 30, 2022. Table 9.10 – Significant Credit Quality Indicators September 30, 2022 Subordinate Securities Default rate 0.8% Loss severity 20% The following table details the activity related to the allowance for credit losses for AFS securities for the three and nine months ended September 30, 2022. Table 9.11 – Rollforward of Allowance for Credit Losses Three Months Ended September 30, 2022 Nine Months Ended September 30, 2022 (In Thousands) Beginning balance allowance for credit losses $ 1,771 $ — Additions to allowance for credit losses on securities for which credit losses were not previously recorded 30 1,520 Additional increases (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period 514 795 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 $ 2,315 $ 2,315 Gains and losses from the sale of AFS securities are recorded as Realized gains, net, in our consolidated statements of income. The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and nine months ended September 30, 2022 and 2021. Table 9.12 – Gross Realized Gains and Losses on AFS Securities Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Gross realized gains - sales $ — $ — $ — $ 1,507 Gross realized gains - calls — 6,389 1,914 15,484 Gross realized losses - sales — — — — Total Realized Gains on Sales and Calls of AFS Securities, net $ — $ 6,389 $ 1,914 $ 16,991 During the nine months ended September 30, 2022, we called three of our unconsolidated Sequoia entities and purchased $102 million (unpaid principal balance) of loans from the securitization trusts. In association with these calls, we realized a $0.3 million gain on the securities we owned from these securitizations. The remaining realized gains were from third-party securities we owned that were called during the nine months ended September 30, 2022. |
Home Equity Investments (HEI)
Home Equity Investments (HEI) | 9 Months Ended |
Sep. 30, 2022 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Home Equity Investments (HEI) | Home Equity Investments (HEI) Home equity investments at September 30, 2022 and December 31, 2021 are summarized in the following table. Table 10.1 – Home Equity Investments (In Thousands) September 30, 2022 December 31, 2021 HEIs at Redwood $ 200,709 $ 33,187 HEIs held at consolidated HEI securitization entity 139,728 159,553 Total Home Equity Investments $ 340,437 $ 192,740 We purchase home equity investment contracts from third party originators under flow purchase agreements. Each HEI provides the owner of such HEI the right to purchase a percentage ownership interest in an associated residential property, and the homeowner's obligations under the HEI are secured by a lien (primarily second liens) on the property created by a deed of trust or a mortgage. Our investments in HEIs allow us to share in both home price appreciation and depreciation of the associated property. At September 30, 2022, we had flow purchase agreements with HEI originators with $149 million of cumulative purchase commitments outstanding. See Note 17 for additional information on these commitments. As of September 30, 2022 , we owned $201 million of HEIs at Redwood and consolidated $140 million of HEIs through the HEI securitization entity. We account for these investments under the fair value option and during the three and nine months ended September 30, 2022, we recorded net market valuation losses of $5 million and losses of $2 million, respectively, related to HEIs owned at Redwood through Investment fair value changes, net on our consolidated statements of income (loss). We consolidate the HEI securitization in accordance with GAAP and have elected to account for it under the CFE election. During the three and nine months ended September 30, 2022, we recorded net market valuation losses of $1 million and gains of $4 million (including $1 million and $3 million of interest expense), respectively, related to our net investment in the HEI securitization entity through Investment fair value changes, net on our consolidated statements of income (loss). |
Other Investments
Other Investments | 9 Months Ended |
Sep. 30, 2022 | |
Investments, All Other Investments [Abstract] | |
Other Investments | Other Investments Other investments at September 30, 2022 and December 31, 2021 are summarized in the following table. Table 11.1 – Components of Other Investments (In Thousands) September 30, 2022 December 31, 2021 Servicer advance investments $ 274,934 $ 350,923 Strategic investments 71,607 35,702 Excess MSRs 40,452 44,231 Mortgage servicing rights 24,796 12,438 Other 973 5,935 Total Other Investments $ 412,762 $ 449,229 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 Note 10 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2021 for additional information regarding the transactions. At both September 30, 2022 and December 31, 2021, we had cumulatively funded $148 million of total capital to the SA Buyers. See Note 17 for additional detail on these commitments. At September 30, 2022, our servicer advance investments had a carrying value of $275 million and were associated with a portfolio of residential mortgage loans with an unpaid principal balance of $11.68 billion. The outstanding servicer advance receivables associated with this investment were $245 million at September 30, 2022, which were financed with short-term non-recourse securitization debt. See Note 14 for additional detail on this debt. The servicer advance receivables were comprised of the following types of advances at September 30, 2022 and December 31, 2021. Table 11.2 – Components of Servicer Advance Receivables (In Thousands) September 30, 2022 December 31, 2021 Principal and interest advances $ 89,816 $ 94,148 Escrow advances (taxes and insurance advances) 117,971 172,847 Corporate advances 37,394 43,958 Total Servicer Advance Receivables $ 245,181 $ 310,953 We account for our servicer advance investments at fair value and during the three and nine months ended September 30, 2022, we recorded $5 million and $15 million of interest income, respectively, through Other interest income, and recorded a net market valuation loss of $4 million and loss of $10 million, respectively, through Investment fair value changes, net in our consolidated statements of income (loss). Strategic Investments Strategic investments represent investments we made in companies either through our RWT Horizons venture investment platform or separately at a corporate level. At September 30, 2022, we had made a total of 27 investments in companies through RWT Horizons with a total carrying value of $24 million, as well as six corporate-level investments. During the three and nine months ended September 30, 2022, we recognized a net mark-to-market valuation gain of $1 million and $11 million, respectively, on our strategic investments, which was recorded in Investment fair value changes, net on our consolidated statements of income (loss). During the three and nine months ended September 30, 2022, we recorded losses of $0.3 million and $0.4 million, respectively, in Other income, net from our strategic investments. 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 nine months ended September 30, 2022, we recognized $4 million and $12 million of interest income, respectively, through Other interest income, and recorded net market valuation losses of $0.4 million and $4 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 the three and nine months ended September 30, 2022, we retained zero and $5 million, respectively, of MSRs from sales of residential loans to third parties. We hold our MSR investments at our taxable REIT subsidiaries. At September 30, 2022 and December 31, 2021, our MSRs had a fair value of $25 million and $12 million, respectively, and were associated with loans with an aggregate principal balance of $2.22 billion and $2.12 billion, respectively. During the three and nine months ended September 30, 2022, including net market valuation gains and losses on our MSRs, we recorded net income of $3 million and $13 million, respectively, through Other income on our consolidated statements of income (loss) related to our MSRs. |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 12.1 – Fair Value and Notional Amount of Derivative Financial Instruments September 30, 2022 December 31, 2021 Fair Notional Fair Notional (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 24,626 $ 459,000 $ 611 $ 161,500 TBAs 13,568 565,000 2,880 2,440,000 Interest rate futures 26,275 681,500 25 9,000 Swaptions — — 18,318 1,660,000 Assets - Other Derivatives Loan purchase and interest rate lock commitments 744 87,157 4,633 971,631 Total Assets $ 65,213 $ 1,792,657 $ 26,467 $ 5,242,131 Liabilities - Risk Management Derivatives Interest rate swaps $ (23) $ 10,000 $ (1,251) $ 283,100 TBAs (6,545) 255,000 (658) 870,000 Interest rate futures (2) 300 (905) 62,500 Liabilities - Other Derivatives Loan purchase and interest rate lock commitments (212) 58,544 (503) 404,190 Total Liabilities $ (6,782) $ 323,844 $ (3,317) $ 1,619,790 Total Derivative Financial Instruments, Net $ 58,431 $ 2,116,501 $ 23,150 $ 6,861,921 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 September 30, 2022, we were party to swaps and swaptions with an aggregate notional amount of $469 million, TBA agreements with an aggregate notional amount of $820 million, and interest rate futures contracts with an aggregate notional amount of $682 million. At December 31, 2021, we were party to swaps and swaptions with an aggregate notional amount of $2.10 billion, futures with an aggregate notional amount of $72 million and TBA agreements with an aggregate notional amount of $3.31 billion. For the three and nine months ended September 30, 2022, risk management derivatives had net market valuation gains of $76 million and gains of $198 million, respectively. For the three and nine months ended September 30, 2021, risk management derivatives had net market valuation gains of $4 million and gains of $38 million, respectively. 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 Loan purchase commitments ("LPCs") and interest rate lock commitments ("IRLCs") that qualify as derivatives are recorded at their estimated fair values. For the three and nine months ended September 30, 2022, LPCs and IRLCs had net market valuation losses of $3 million and losses of $54 million, respectively, that were recorded in Mortgage banking activities, net on our consolidated statements of income (loss). For both the three and nine months ended September 30, 2021, LPCs and IRLCs had net market valuation gains of $18 million, that were recorded in Mortgage banking activities, net on our consolidated statements of income (loss). Derivatives Designated as Cash Flow Hedges For interest rate agreements previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $73 million and $76 million at September 30, 2022 and December 31, 2021, respectively. We are amortizing this loss into interest expense over the remaining term of the debt they were originally hedging. As of September 30, 2022, we expect to amortize $4 million of realized losses related to terminated cash flow hedges into interest expense over the next twelve months. The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three and nine months ended September 30, 2022 and 2021. Table 12.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Net interest expense on cash flows hedges $ — $ — $ — $ — Realized net losses reclassified from other comprehensive income (1,040) (1,041) (3,086) (3,086) Total Interest Expense $ (1,040) $ (1,041) $ (3,086) $ (3,086) Derivative Counterparty Credit Risk As discussed in our Annual Report on Form 10-K for the year ended December 31, 2021, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At September 30, 2022, we assessed this risk as remote and did not record an associated specific valuation adjustment. At September 30, 2022, we were in compliance with our derivative counterparty ISDA agreements. |
Other Assets and Liabilities
Other Assets and Liabilities | 9 Months Ended |
Sep. 30, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Liabilities | Other Assets and Liabilities Other assets at September 30, 2022 and December 31, 2021 are summarized in the following table. Table 13.1 – Components of Other Assets (In Thousands) September 30, 2022 December 31, 2021 Accrued interest receivable $ 54,944 $ 47,515 Investment receivable 50,149 82,781 Deferred tax asset 20,867 20,867 Operating lease right-of-use assets 17,126 18,772 Income tax receivables 13,959 22 Fixed assets and leasehold improvements (1) 12,411 9,019 Margin receivable 6,683 7,269 REO 3,683 36,126 Other 14,678 8,746 Total Other Assets $ 194,500 $ 231,117 (1) Fixed assets and leasehold improvements had a basis of $22 million and accumulated depreciation of $9 million at September 30, 2022. Accrued expenses and other liabilities at September 30, 2022 and December 31, 2021 are summarized in the following table. Table 13.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) September 30, 2022 December 31, 2021 Payable to non-controlling interests $ 47,487 $ 42,670 Accrued interest payable 46,938 39,297 Margin payable 30,389 24,368 Accrued compensation 23,488 74,636 Operating lease liabilities 19,533 20,960 Guarantee obligations 6,532 7,459 Residential loan and MSR repurchase reserve 5,754 9,306 Accrued operating expenses 4,956 4,377 Current accounts payable 4,722 8,273 Bridge loan holdbacks 3,930 3,109 Other 7,396 11,333 Total Accrued Expenses and Other Liabilities $ 201,125 $ 245,788 Refer to Note 12 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2021 for additional descriptions of our other assets and liabilities. Margin Receivable and Payable Margin receivable and payable resulted from margin calls between us and our counterparties under derivatives, master repurchase agreements, and warehouse facilities, whereby we or the counterparty posted collateral. Through September 30, 2022, we had met all margin calls due. 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 SFR entities during the nine months ended September 30, 2022. Table 13.3 – REO Activity Nine Months Ended September 30, 2022 (In Thousands) Bridge Legacy Sequoia Freddie Mac SLST SFR at CAFL Total Balance at beginning of period $ 13,067 $ 61 $ 2,028 $ 20,970 $ 36,126 Transfers to REO 963 407 2,664 — 4,034 Liquidations (1) (14,271) (505) (2,395) (20,970) (38,141) Changes in fair value, net 974 443 247 — 1,664 Balance at End of Period $ 733 $ 406 $ 2,544 $ — $ 3,683 (1) For the nine months ended September 30, 2022, REO liquidations resulted in $2 million of realized gains, which were recorded in Investment fair value changes, net on our consolidated statements of income (loss). |
Short-Term Debt
Short-Term Debt | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Short-Term Debt | Short-Term Debt We enter into repurchase agreements ("repo"), loan warehouse agreements, and other forms of collateralized (and partially uncommitted) short-term borrowings with several banks and major investment banking firms. At September 30, 2022, 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 September 30, 2022 and December 31, 2021. Table 14.1 – Short-Term Debt September 30, 2022 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate (1) Maturity (2) Weighted Average Days Until Maturity Facilities Residential loan warehouse 9 $ 748,962 $ 2,850,000 4.83 % 12/2022 - 9/2023 150 Business purpose loan warehouse 4 775,491 1,750,000 5.67 % 3/2023 - 9/2023 289 Real estate securities repo 7 124,435 — 3.50 % 10/2022 - 12/2022 32 Total Short-Term Debt Facilities 20 1,648,888 Servicer advance financing 1 233,104 290,000 4.94 % 11/2023 397 Promissory notes N/A 30,702 N/A 6.58 % N/A N/A Convertible notes, net N/A 197,585 N/A 4.75 % 8/2023 319 Total Short-Term Debt $ 2,110,279 December 31, 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 7 $ 1,669,344 $ 2,900,000 1.87 % 1/2022-12/2022 153 Business purpose loan warehouse 2 138,746 350,000 3.34 % 3/2022-7/2022 105 Real estate securities repo 4 74,825 — 1.13 % 1/2022-3/2022 33 Total Short-Term Debt Facilities 13 1,882,915 Servicer advance financing 1 294,447 350,000 1.90 % 11/2022 306 Convertible notes, net N/A — Total Short-Term Debt $ 2,177,362 (1) Borrowings under our facilities generally are uncommitted and charged interest based on a specified margin over 1-month SOFR or 1- or 3-month LIBOR. (2) Promissory notes payable on demand to lender with 90-day notice. Assumed maturity date at September 30, 2022 is December 30, 2022 for this presentation. The following table below presents the value of loans, securities, and other assets pledged as collateral under our short-term debt at September 30, 2022 and December 31, 2021. Table 14.2 – Collateral for Short-Term Debt (In Thousands) September 30, 2022 December 31, 2021 Collateral Type Held-for-sale residential loans $ 828,192 $ 1,838,797 Business purpose loans 982,745 167,687 Real estate securities On balance sheet 60,457 5,823 Sequoia securitizations (1) 77,470 61,525 Freddie Mac K-Series securitization (1) 32,047 31,657 Total real estate securities owned 169,974 99,005 Restricted cash and other assets 4,116 1,962 Total Collateral for Short-Term Debt Facilities 1,985,027 2,107,451 Cash 15,891 6,480 Restricted cash 18,569 25,420 Servicer advances 274,934 310,953 Total Collateral for Servicer Advance Financing 309,394 342,853 Total Collateral for Short-Term Debt $ 2,294,421 $ 2,450,304 (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 nine months ended September 30, 2022, the average balance of our short-term debt facilities was $1.64 billion and $1.65 billion, respectively. At September 30, 2022 and December 31, 2021, accrued interest payable on our short-term debt facilities was $5 million and $2 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 September 30, 2022, the accrued interest payable balance on this financing was $0.3 million and the unamortized capitalized commitment costs were $0.1 million. In connection with our acquisition of Riverbend, we assumed $43 million of promissory notes which are payable on demand with a 90-day notice from the lender or which may be repaid by us with a 90-day notice. These unsecured, non-marginable, recourse notes were issued in three separate series with fixed interest rates between 6% and 8%. During the three months ended September 30, 2022, we repaid $12 million of principal of these notes. 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 $1 million at September 30, 2022. At both September 30, 2022 and December 31, 2021, we had no outstanding borrowings on this facility. During the three and nine months ended September 30, 2022, business purpose loan warehouse facilities with a borrowing limits of $450 million and $900 million, respectively, were reclassified to short-term debt from long-term debt as the maturity of these facilities became less than one year. During the three months ended September 30, 2022, $199 million principal amount of 4.75% convertible debt and $1 million of unamortized deferred issuance costs were reclassified from long-term debt to short-term debt as the maturity of the notes was less than one year as of August 2022. 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 September 30, 2022. Table 14.3 – Short-Term Debt by Collateral Type and Remaining Maturities September 30, 2022 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ 262,804 $ 486,158 $ 748,962 Business purpose loans — — 775,491 775,491 Real estate securities 72,233 52,202 — 124,435 Total Secured Short-Term Debt 72,233 315,006 1,261,649 1,648,888 Servicer advance financing — — 233,104 233,104 Promissory notes — 30,702 — 30,702 Convertible notes, net — — 197,585 197,585 Total Short-Term Debt $ 72,233 $ 345,708 $ 1,692,338 $ 2,110,279 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | Asset-Backed Securities Issued ABS issued represents securities issued by non-recourse securitization entities we consolidate under GAAP. The majority of our ABS issued is carried at fair value under the CFE election (see Note 4 for additional detail) with the remainder carried at amortized cost. The carrying values of ABS issued by our consolidated securitization entities at September 30, 2022 and December 31, 2021, along with other selected information, are summarized in the following table. Table 15.1 – Asset-Backed Securities Issued September 30, 2022 Legacy Sequoia CAFL (1) Freddie Mac SLST (2) Freddie Mac HEI Total (Dollars in Thousands) Certificates with principal balance $ 213,786 $ 3,650,411 $ 3,375,688 $ 1,344,521 $ 412,764 $ 112,380 $ 9,109,550 Interest-only certificates 170 62,311 134,348 13,930 8,075 — 218,834 Market valuation adjustments (16,602) (699,473) (330,549) (109,410) (25,428) (7,629) (1,189,091) ABS Issued, Net $ 197,354 $ 3,013,249 $ 3,179,487 $ 1,249,041 $ 395,411 $ 104,751 $ 8,139,293 Range of weighted average interest rates, by series (3) 2.52% to 3.90% 2.56% to 4.99% 2.34% to 5.93% 3.50% to 4.75% 3.41 % 3.76 % Stated maturities (3) 2024 - 2036 2047-2052 2027-2032 2028-2059 2025 2052 Number of series 20 17 19 3 1 1 December 31, 2021 Legacy Sequoia CAFL (1) Freddie Mac SLST (2) Freddie Mac K-Series HEI Total (Dollars in Thousands) Certificates with principal balance $ 259,505 $ 3,353,073 $ 3,264,766 $ 1,535,638 $ 418,700 $ 138,792 $ 8,970,474 Interest-only certificates 619 32,749 193,725 11,714 10,184 — 248,991 Market valuation adjustments (32,243) (2,774) 16,407 41,111 12,973 (1,382) 34,092 ABS Issued, Net $ 227,881 $ 3,383,048 $ 3,474,898 $ 1,588,463 $ 441,857 $ 137,410 $ 9,253,557 Range of weighted average interest rates, by series (3) 0.23% to 1.44% 2.40% to 5.03% 2.64% to 5.24% 3.50% to 4.75% 3.41 % 3.31 % Stated maturities (3) 2024 - 2036 2047-2052 2027-2031 2028-2059 2025 2052 Number of series 20 16 16 3 1 1 (1) Includes $485 million and $270 million (principal balance) of ABS issued by two CAFL bridge securitization trusts sponsored by Redwood and accounted for at amortized cost at September 30, 2022 and December 31, 2021, respectively. (2) Includes $100 million and $145 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at September 30, 2022 and December 31, 2021, respectively. (3) Certain ABS issued by CAFL, Freddie Mac SLST, and HEI securitization entities are subject to early redemption and interest rate step-ups as described below. During the second quarter of 2022, we consolidated the assets and liabilities of a securitization entity formed in connection with the securitization of CoreVest bridge loans (presented within CAFL in Table 15.1 above), which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $215 million (principal balance) of ABS issued to third parties and retained the remaining beneficial ownership interest in the trust. The ABS were issued at a discount and we have elected to account for the ABS issued at amortized cost. At September 30, 2022, the principal balance of the ABS issued was $215 million, and the unamortized debt discount and deferred issuance costs were $7 million in total, for a net carrying value of $208 million. The weighted average stated coupon of the ABS issued was 4.32% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in May 2024, and beginning in June 2025, the interest rate on the ABS issued increases by 2% through final maturity in May 2029. The ABS issued by this securitization were collateralized by $229 million of bridge loans and $19 million of restricted cash and other assets at September 30, 2022. The securitization is structured with $250 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 24 months of the transaction (through May 2024), unless an amortization event occurs prior to the expiration of the 24-month reinvestment period. Amortization trigger events include, among other events, delinquency rates or default rates exceeding specified thresholds for three consecutive periods, or the effective advance rate exceeding a specified threshold. During the third quarter of 2021, we consolidated the assets and liabilities of a securitization entity formed in connection with the securitization of CoreVest bridge loans (presented within CAFL in table 15.1 above), which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $270 million (principal balance) of ABS issued to third parties and retained the remaining beneficial ownership interest in the trust. The ABS were issued at a discount and we have elected to account for the ABS issued at amortized cost. At September 30, 2022, the principal balance of the ABS issued was $270 million, and the unamortized debt discount and deferred issuance costs were $2 million, for a net carrying value of $268 million. The weighted average stated coupon of the ABS issued was 2.34% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in March 2024, and beginning in March 2025 the interest rate on the ABS issued increases by 2% through final maturity in March 2029. The ABS issued by this securitization were collateralized by $283 million of bridge loans and $24 million of restricted cash and other assets at September 30, 2022. The securitization is structured with $300 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 30 months of the transaction (through March 2024), unless an amortization event occurs prior to the expiration of the 30-month reinvestment period. Amortization trigger events include, among other events, delinquency rates or default rates exceeding specified thresholds for three consecutive periods, or the effective advance rate exceeding a specified threshold. During the third quarter of 2021, we consolidated the assets and liabilities of the HEI securitization entity formed in connection with the securitization of HEIs, which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $146 million (principal balance) of ABS issued to third parties and retained a portion of the remaining beneficial ownership interest in the trust. We elected to account for the entity under the CFE election and account for the ABS issued at fair value, with the entire change in fair value of the ABS issued (including accrued interest) recorded through Investment fair value changes, net on our consolidated statements of income. The ABS issued by the HEI securitization entity are subject to an optional redemption in September 2023, and beginning in September 2024 the interest rate on the ABS issued increases by 2% through final maturity in 2052. 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 September 30, 2022, the principal balance of the ABS issued was $100 million, and the debt discount and deferred issuance costs totaled $1 million, for a net carrying value of $99 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 are subject to an optional redemption in July 2022 and in July 2023 the ABS interest rate steps up to 7.75%. 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 the stated maturity. At September 30, 2022, 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 September 30, 2022 and December 31, 2021. Interest due on consolidated ABS issued is payable monthly. Table 15.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) September 30, 2022 December 31, 2021 Legacy Sequoia $ 223 $ 99 Sequoia 9,003 8,452 CAFL 11,202 11,030 Freddie Mac SLST (1) 4,026 4,630 Freddie Mac K-Series 1,173 1,190 Total Accrued Interest Payable on ABS Issued $ 25,627 $ 25,401 (1) Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood. |
Long-Term Debt
Long-Term Debt | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Long-Term Debt The tables below summarize 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 September 30, 2022 and December 31, 2021. Table 16.1 – Long-Term Debt September 30, 2022 (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 Facility A $ 131,316 $ — $ 131,316 N/A 4.21 % 9/2024 CAFL Facility B 102,006 (126) 101,880 N/A 4.21 % 2/2025 Facility C 71,792 (189) 71,603 N/A 4.75 % 6/2026 Non-Recourse BPL Financing Facility D 565,028 (976) 564,052 $ 750,000 L + 2.51% N/A Recourse BPL Financing Facility G — — — 500,000 SOFR + 2.25% - 2.50% 9/2024 Total Long-Term Debt Facilities 870,142 (1,291) 868,851 Convertible notes 5.625% convertible senior notes 150,200 (1,484) 148,716 N/A 5.625 % 7/2024 5.75% exchangeable senior notes 172,092 (2,769) 169,323 N/A 5.75 % 10/2025 7.75% convertible senior notes 215,000 (6,419) 208,581 N/A 7.75 % 6/2027 Trust preferred securities and subordinated notes 139,500 (745) 138,755 N/A L + 2.25% 7/2037 Total Long-Term Debt $ 1,546,934 $ (12,708) $ 1,534,226 December 31, 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 Facility A $ 144,385 $ (313) $ 144,072 N/A 4.21 % 9/2024 CAFL Facility B 102,351 (353) 101,998 N/A 4.21 % 2/2025 Facility C 91,707 (376) 91,331 N/A 4.75 % 6/2026 Non-Recourse BPL Financing Facility D 307,215 (507) 306,708 $ 400,000 L + 2.75% N/A Recourse BPL Financing Facility E 234,349 (123) 234,226 450,000 L + 2.21% 9/2023 Facility F 110,148 — 110,148 450,000 L + 3.35% 6/2023 Total Long-Term Debt Facilities 990,155 (1,672) 988,483 Convertible notes 4.75% convertible senior notes 198,629 (1,836) 196,793 N/A 4.75 % 8/2023 5.625% convertible senior notes 150,200 (2,072) 148,128 N/A 5.625 % 7/2024 5.75% exchangeable senior notes 172,092 (3,384) 168,708 N/A 5.75 % 10/2025 Trust preferred securities and subordinated notes 139,500 (779) 138,721 N/A L + 2.25% 7/2037 Total Long-Term Debt $ 1,650,576 $ (9,743) $ 1,640,833 (1) Variable rate borrowings are based on 1- or 3-month LIBOR ("L" in the table above) or 1-month SOFR plus an applicable spread. Refer to Note 15 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2021, for a full description of our long-term debt. Non-Recourse BPL Financing Facility During the three months ended March 31, 2022, we amended facility D (see Table 16.1 above) to increase the borrowing limit from $400 million to $600 million. During the three months ended September 30, 2022, we amended facility D to increase the borrowing limit from $600 million to $750 million. Recourse BPL Financing Facilities During the three months ended September 30, 2022, a subsidiary of Redwood entered into a repurchase agreement providing non-marginable financing for business purpose bridge loan and single-family rental loans (Facility G in Table 16.1 above). At September 30, 2022, there were no borrowings under this facility. During the three months ended September 30, 2022, Facility E was reclassified to short-term debt as the maturity of this facility was less than one year. During the three months ended June 30, 2022, Facility F was reclassified to short-term debt as the maturity of this facility was less than one year. During the three months ended March 31, 2022, we amended the interest rate for Facilities E and F (see Table 16.1 above) to be indexed to a spread over one-month SOFR compared to a LIBOR-indexed spread. Convertible Notes In June 2022, we issued $215 million principal amount of 7.75% convertible senior notes due 2027. These notes require semi-annual interest payments at a fixed annual coupon rate of 7.75% until maturity or conversion, which will be no later than June 15, 2027. After deducting the underwriting discount and offering costs, we received $208 million of net proceeds. Including amortization of deferred debt issuance costs, the effective interest expense yield on these notes was approximately 8.50% per annum. We may elect to settle conversions either entirely in cash or in a combination of cash and shares of common stock. Upon conversion, the conversion value will be paid in cash up to at least the principal amount of the notes being converted. The initial conversion rate of the notes is 95.6823 common shares per $1,000 principal amount of notes (equivalent to a conversion price of $10.45 per common share). During the three months ended September 30, 2022, $199 million principal amount of 4.75% convertible debt and $1 million of unamortized deferred issuance costs were reclassified from long-term debt to short-term debt as the maturity of the notes was less than one year as of August 2022. The following table below presents the value of loans, securities, and other assets pledged as collateral under our long-term debt at September 30, 2022 and December 31, 2021. Table 16.2 – Collateral for Long-Term Debt (In Thousands) September 30, 2022 December 31, 2021 Collateral Type Bridge loans $ 699,704 $ 554,597 Single-family rental loans — 244,703 Real estate securities Sequoia securitizations (1) 184,363 247,227 CAFL securitizations (1) 240,683 260,405 Total Collateral for Long-Term Debt $ 1,124,750 $ 1,306,932 (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 September 30, 2022 and December 31, 2021. Table 16.3 – Accrued Interest Payable on Long-Term Debt (In Thousands) September 30, 2022 December 31, 2021 Long-term debt facilities $ 2,685 $ 815 Convertible notes 4.75% convertible senior notes — 3,564 5.625% convertible senior notes 1,784 3,896 5.75% exchangeable senior notes 4,947 2,474 7.75% convertible senior notes 5,184 — Trust preferred securities and subordinated notes 1,228 581 Total Accrued Interest Payable on Long-Term Debt $ 15,828 $ 11,330 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At September 30, 2022, we were obligated under ten non-cancelable operating leases with expiration dates through 2031 for $22 million of cumulative lease payments. For the nine-month periods ended September 30, 2022 and 2021 our operating lease expense was $4 million and $3 million, respectively. The following table presents our future lease commitments at September 30, 2022. Table 17.1 – Future Lease Commitments by Year (In Thousands) September 30, 2022 2022 (3 months) $ 1,216 2023 4,956 2024 4,601 2025 3,580 2026 3,420 2027 and thereafter 4,553 Total Lease Commitments 22,326 Less: Imputed interest (2,793) Operating Lease Liabilities $ 19,533 During the nine months ended September 30, 2022, we did not enter into any new office leases. During the three months ended September 30, 2022, we assumed three operating office leases as a result of our acquisition of Riverbend on July 1, 2022. At September 30, 2022, our operating lease liabilities were $20 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 September 30, 2022, the weighted-average remaining lease term and weighted-average discount rate for our leases was 5 years and 5.2%, respectively. Commitment to Fund Bridge Loans As of September 30, 2022, we had commitments to fund up to $990 million of additional advances on existing bridge loans. These commitments are generally subject to loan agreements with covenants regarding the financial performance of the borrower and other terms regarding advances that must be met before we fund the commitment. At September 30, 2022, we carried a $3 million contingent liability related to these commitments to fund construction advances. During the three and nine months ended September 30, 2022, we recorded a net market valuation gain of $1 million and a net market valuation loss of $2 million, respectively, related to this liability through Mortgage banking activities, net and Investment fair value changes, net on our consolidated statements of income (loss). During the three and nine months ended September 30, 2021, we recorded a net market valuation loss of $0.3 million and a net market valuation gain of $1 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 11 for additional detail on these investments. 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. Commitment to Acquire HEIs At September 30, 2022, we had outstanding flow purchase agreements with multiple third parties, with an aggregate commitment to purchase $350 million of HEIs, $149 million of which commitments remained outstanding. These purchase agreements specify monthly minimum and maximum amounts of HEIs subject to such purchase commitments. We may terminate the purchase agreement and associated purchase commitment relating to $85 million of remaining commitments upon 90 days prior notice. We account for these investments under the fair value option. Se e Note 10 for additional detail on these investments. Commitments to Fund Strategic Investments In the first quarter of 2022, we entered into a $25 million commitment to an investment fund with the mission of providing quality workforce housing opportunities in several California urban communities, including the San Francisco Bay Area. At September 30, 2022, we had funded $15 million of this commitment. This investment is included in Other investments on our consolidated balance sheets. In 2021, we entered into a commitment to fund a $5 million RWT Horizons investment. At September 30, 2022, we had funded $1 million of this commitment. This investment is included in Other investments on our consolidated balance sheets. Riverbend Contingent Consideration As part of the consideration for our acquisition of Riverbend, we may make earnout payments payable in cash, based on generating specified revenues over a threshold amount during the two-year period ending July 1, 2024, up to a maximum potential amount payable of $25.3 million. These contingent earnout payments are classified as a contingent consideration liability on our consolidated balance sheets and carried at fair value. At September 30, 2022, our estimated fair value of this contingent liability was zero. 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 September 30, 2022, 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 September 30, 2022, we had incurred less than $100 thousand of cumulative losses under these arrangements. For the three and nine months ended September 30, 2022, other income related to these arrangements was $0.3 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 September 30, 2022, the loans had an unpaid principal balance of $454 million, a weighted average FICO score of 756 (at origination), and LTV ratio of 74% (at origination). At September 30, 2022, $10 million of the loans were 90 or more days delinquent, of which four of these loans with an unpaid principal balance of $1 million were in foreclosure. At September 30, 2022, the carrying value of our guarantee obligation was $7 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 us. At both September 30, 2022 and December 31, 2021, assets of such SPEs totaled $30 million, and liabilities of such SPEs totaled $7 million. Loss Contingencies — Residential Repurchase Reserve We maintain a repurchase reserve for potential obligations arising from representation and warranty violations related to residential loans we have sold to securitization trusts or third parties and for conforming residential loans associated with MSRs that we have purchased from third parties. We do not originate residential loans and we believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, for example, where loans were acquired from companies that have since become insolvent, repurchase claims may result in our being liable for a repurchase obligation. At September 30, 2022 and December 31, 2021, our repurchase reserve associated with our residential loans and MSRs was $6 million and $9 million, respectively, and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. During the nine months ended September 30, 2022 and 2021, we received seven and eight repurchase requests, respectively, and repurchased one and one loan(s), respectively. During the three and nine months ended September 30, 2022, we recorded a repurchase provision expense of $0.1 million and a reversal of repurchase provision expense of $4 million, respectively, which were recorded in Mortgage banking activities, net on our consolidated statements of income (loss). During the three and nine months ended September 30, 2021, we recorded repurchase provision expense of $0.3 million and $0.6 million, respectively, which were recorded in Mortgage banking activities, 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 |
Equity
Equity | 9 Months Ended |
Sep. 30, 2022 | |
Equity [Abstract] | |
Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income (loss) by component for the three and nine months ended September 30, 2022 and 2021. Table 18.1 – Changes in Accumulated Other Comprehensive Income (Loss) by Component Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 (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 $ 16,595 $ (74,383) $ 88,251 $ (78,511) Other comprehensive (loss) income (8,731) — (2,658) — Amounts reclassified from other 544 1,040 (6,200) 1,041 Net current-period other comprehensive (loss) income (8,187) 1,040 (8,858) 1,041 Balance at End of Period $ 8,408 $ (73,343) $ 79,393 $ (77,470) Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 (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 $ 67,503 $ (76,430) $ 76,336 $ (80,557) Other comprehensive (loss) income (60,013) — 19,552 — Amounts reclassified from other 918 3,087 (16,495) 3,087 Net current-period other comprehensive (loss) income (59,095) 3,087 3,057 3,087 Balance at End of Period $ 8,408 $ (73,343) $ 79,393 $ (77,470) The following table provides a summary of reclassifications out of accumulated other comprehensive income (loss) for the three and nine months ended September 30, 2022 and 2021. Table 18.2 – Reclassifications Out of Accumulated Other Comprehensive Income (Loss) Amount Reclassified From Affected Line Item in the Three Months Ended September 30, (In Thousands) Income Statement 2022 2021 Net Realized (Gain) Loss on AFS Securities Increase (decrease) in allowance for credit losses on AFS securities Investment fair value changes, net $ 544 $ — Gain on sale of AFS securities Realized gains, net — (6,200) $ 544 $ (6,200) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 1,040 $ 1,041 $ 1,040 $ 1,041 Amount Reclassified From Affected Line Item in the Nine Months Ended September 30, (In Thousands) Income Statement 2022 2021 Net Realized (Gain) Loss on AFS Securities Increase (decrease) in allowance for credit losses on AFS securities Investment fair value changes, net $ 2,315 $ (388) Gain on sale of AFS securities Realized gains, net (1,397) (16,107) $ 918 $ (16,495) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 3,087 $ 3,087 $ 3,087 $ 3,087 Issuance of Common Stock We have an established program to sell common stock from time to time in at-the-market ("ATM") offerings. During the nine months ended September 30, 2022, we issued 5.2 million common shares for net proceeds of $67 million under this program. During the three months ended March 31, 2022, we increased the capacity of this program to $175 million, all of which remained outstanding for future offerings under this program as of September 30, 2022. Direct Stock Purchase and Dividend Reinvestment Plan During the nine months ended September 30, 2022, we did not issue any shares of common stock through our Direct Stock Purchase and Dividend Reinvestment Plan. At September 30, 2022, approximately 6 million shares remained outstanding for future offerings under this plan. Earnings per Common Share The following table provides the basic and diluted (loss) earnings per common share computations for the three and nine months ended September 30, 2022 and 2021. Table 18.3 – Basic and Diluted Earnings per Common Share Three Months Ended September 30, Nine Months Ended September 30, (In Thousands, except Share Data) 2022 2021 2022 2021 Basic Earnings per Common Share: Net (loss) income attributable to Redwood $ (50,411) $ 88,286 $ (119,462) $ 275,568 Less: Dividends and undistributed earnings allocated to participating securities (1,158) (2,984) (3,445) (8,979) Net (loss) income allocated to common shareholders $ (51,569) $ 85,302 $ (122,907) $ 266,589 Basic weighted average common shares outstanding 116,087,890 112,995,847 118,530,172 112,754,691 Basic (Loss) Earnings per Common Share $ (0.44) $ 0.75 $ (1.04) $ 2.36 Diluted Earnings per Common Share: Net (loss) income attributable to Redwood $ (50,411) $ 88,286 $ (119,462) $ 275,568 Less: Dividends and undistributed earnings allocated to participating securities (1,158) (2,747) (3,445) (8,151) Add back: Interest expense on convertible notes for the period, net of tax — 6,870 — 20,585 Net (loss) income allocated to common shareholders $ (51,569) $ 92,409 $ (122,907) $ 288,002 Weighted average common shares outstanding 116,087,890 112,995,847 118,530,172 112,754,691 Net effect of dilutive equity awards — 292,749 — 253,819 Net effect of assumed convertible notes conversion to common shares — 28,566,875 — 28,566,875 Diluted weighted average common shares outstanding 116,087,890 141,855,471 118,530,172 141,575,385 Diluted (Loss) Earnings per Common Share $ (0.44) $ 0.65 $ (1.04) $ 2.03 We included participating securities, which are certain equity awards that have non-forfeitable dividend participation rights, in the calculations of basic and diluted earnings per common share as we determined that the two-class method was more dilutive than the alternative treasury stock method for these shares. Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances. During the three and nine months ended September 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 three and nine months ended September 30, 2022, 49,137,808 and 37,307,705 of common shares, respectively, 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 nine months ended September 30, 2022, the number of outstanding equity awards that were antidilutive totaled 249,178 and 268,737, respectively. For the three and nine months ended September 30, 2021, the number of outstanding equity awards that were antidilutive totaled 22,102 and 18,736, respectively. |
Equity Compensation Plans
Equity Compensation Plans | 9 Months Ended |
Sep. 30, 2022 | |
Share-Based Payment Arrangement [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans At September 30, 2022 and December 31, 2021, 5,258,817 and 5,958,390 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 $35 million at September 30, 2022, as shown in the following table. Table 19.1 – Activities of Equity Compensation Costs by Award Type Nine Months Ended September 30, 2022 (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 $ 84 $ 3,589 $ 26,473 $ 12,237 $ — $ 42,383 Equity grants — 2,513 7,960 — 323 10,796 Performance-based valuation adjustment — — — (3,205) — (3,205) Equity grant forfeitures (5) (448) (101) — — (554) Equity compensation expense (79) (1,567) (10,412) (2,524) (242) (14,824) Unrecognized Compensation Cost at End of Period $ — $ 4,087 $ 23,920 $ 6,508 $ 81 $ 34,596 At September 30, 2022, the weighted average amortization period remaining for all of our equity awards was less than two years. Restricted Stock Awards ("RSAs") At September 30, 2022 and December 31, 2021, there were 1,551 and 28,141 shares of RSAs outstanding, respectively. Restrictions on these shares lapse during 2022. During the nine months ended September 30, 2022, there were no RSAs granted, restrictions on 26 RSAs lapsed and those shares were distributed, and 341 RSAs were forfeited. Restricted Stock Units ("RSUs") At September 30, 2022 and December 31, 2021, there were 476,893 and 431,072 RSUs outstanding, respectively. During the nine months ended September 30, 2022, there were 208,717 RSUs granted, 123,869 RSUs distributed, and 39,027 RSUs forfeited. Unvested RSUs at September 30, 2022 vest through 2026. Deferred Stock Units (“DSUs”) At September 30, 2022 and December 31, 2021, there were 4,911,777 and 4,022,088 DSUs outstanding, respectively, of which 2,217,327 and 1,469,903, respectively, had vested. During the nine months ended September 30, 2022, there were 1,214,533 DSUs granted, 316,546 DSUs distributed, and 8,298 DSUs forfeited. Unvested DSUs at September 30, 2022 vest through 2026. Performance Stock Units (“PSUs”) At September 30, 2022 and December 31, 2021, the target number of PSUs that were unvested was 1,267,849 and 1,473,883, respectively. Vesting for PSUs generally occurs three years from their respective grant dates based on various total shareholder return performance calculations, as discussed in Note 18 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2021. During the nine months ended September 30, 2022, for PSUs granted in 2020 and 2021, we decreased the book value total shareholder return estimate for the 2022 performance period, reducing the future equity compensation expense related to these awards by $3 million. For 206,034 target PSU awards that were granted in December 2018, the performance vesting period ended on January 1, 2022. These 2018 PSU awards failed to reach a threshold level under their performance-based vesting criteria and resulted in the vesting of no shares of our common stock underlying these PSUs. 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 September 30, 2022 and December 31, 2021, 505,496 and 569,728 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at September 30, 2022. |
Mortgage Banking Activities, Ne
Mortgage Banking Activities, Net | 9 Months Ended |
Sep. 30, 2022 | |
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 for the three and nine months ended September 30, 2022 and 2021. Table 20.1 – Mortgage Banking Activities Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Residential Mortgage Banking Activities, Net Changes in fair value of: Residential loans, at fair value (1) $ (22,776) $ 27,862 $ (125,012) $ 75,496 Trading securities (2) 148 32 4,249 (342) Risk management derivatives (3) 24,319 3,963 107,573 37,187 Other income (expense), net (4) 467 1,089 5,496 3,305 Total residential mortgage banking activities, net 2,158 32,946 (7,694) 115,646 Business Purpose Mortgage Banking Activities, Net: Changes in fair value of: Single-family rental loans, at fair value (1) (19,306) 18,461 (84,493) 54,675 Risk management derivatives (3) 24,044 (424) 56,564 930 Bridge loans, at fair value (9) 3,433 2,242 6,702 Other income, net (5) 9,648 8,747 36,214 22,236 Total business purpose mortgage banking activities, net 14,377 30,217 10,527 84,543 Mortgage Banking Activities, Net $ 16,535 $ 63,163 $ 2,833 $ 200,189 (1) For residential loans, includes changes in fair value for associated loan purchase 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 repurchases, presented net. (5) Amounts in this line item include other fee income from loan originations. |
Other Income, Net
Other Income, Net | 9 Months Ended |
Sep. 30, 2022 | |
Other Income and Expenses [Abstract] | |
Other Income, Net | Other Income, Net The following table presents the components of Other income recorded in our consolidated statements of income for the three and nine months ended September 30, 2022 and 2021. Table 21.1 – Other Income, Net Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 MSR income, net (1) $ 2,890 $ 295 $ 12,569 $ 949 Bridge loan fees 1,489 1,131 3,952 2,735 Risk share income 279 575 1,062 2,318 Other (631) 387 (567) 2,355 Other Income, Net $ 4,027 $ 2,388 $ 17,016 $ 8,357 (1) Includes servicing fees and fair value changes for MSRs, net. |
General and Administrative Expe
General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses | 9 Months Ended |
Sep. 30, 2022 | |
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 nine months ended September 30, 2022 and 2021 are presented in the following table. Table 22.1 – Components of General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 General and Administrative Expenses Fixed compensation expense (1) $ 18,626 $ 11,285 $ 45,364 $ 34,359 Annual variable compensation expense 3,521 19,844 8,689 51,021 Long-term incentive award expense (2) 4,998 4,915 16,190 14,766 Acquisition-related equity compensation expense (3) — 1,189 — 3,613 Systems and consulting 3,909 2,975 10,796 9,224 Office costs 2,381 2,197 6,489 6,029 Accounting and legal 1,775 1,197 5,026 3,132 Corporate costs 928 964 2,792 2,528 Other 3,969 3,126 11,581 7,165 Total General and Administrative Expenses 40,107 47,692 106,927 131,837 Loan Acquisition Costs Commissions 1,549 1,906 6,279 4,830 Underwriting costs 545 2,351 3,013 5,872 Transfer and holding costs 332 364 1,079 1,226 Total Loan Acquisition Costs 2,426 4,621 10,371 11,928 Other Expenses Amortization of purchase-related intangible assets 3,891 3,873 10,731 11,619 Other 370 150 1,083 485 Total Other Expenses 4,261 4,023 11,814 12,104 Total General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses $ 46,794 $ 56,336 $ 129,112 $ 155,869 (1) Includes $3 million of severance and transition-related expenses for the three and nine months ended September 30, 2022. (2) For the three months ended September 30, 2022 and 2021, long-term incentive award expense included $5 million and $3 million of expense for awards settleable in shares of our common stock, and $0.1 million and $1 million of expense for awards settleable in cash, respectively. For the nine months ended September 30, 2022 and 2021, long-term incentive award expense included $15 million and $10 million of expense for awards settleable in shares of our common stock, and $1 million and $4 million of expense for awards settleable in cash, respectively. (3) 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 in 2019. The grant date fair value of these restricted stock awards was $10 million, which was recognized as compensation expense over the two-year vesting period on a straight-line basis in accordance with GAAP. Long-Term Cash-Based Awards and Cash Settled Deferred Stock Units During the nine months ended September 30, 2022, $2 million of long-term cash-based retention awards were granted to employees that will vest and be paid over a three-year period, subject to continued employment through the vesting periods from 2022 through 2025. At both September 30, 2022 and December 31, 2021, the unamortized compensation cost of long-term cash-based awards was $4 million. During the nine months ended September 30, 2022, there were no cash-settled deferred stock units granted to employees. Cash-settled deferred stock units that were granted in 2020 and 2021 vest over four years through 2025. At September 30, 2022 and December 31, 2021, the unamortized compensation cost of cash-settled deferred stock units was $2 million and $7 million, respectively. The unamortized compensation cost is adjusted for changes in the value of our common stock at the end of each reporting period. Refer to Note 21 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2021, for additional information regarding long-term cash-based awards and cash-settled deferred stock units. |
Taxes
Taxes | 9 Months Ended |
Sep. 30, 2022 | |
Income Tax Disclosure [Abstract] | |
Taxes | Taxes We believe that we have met all requirements for qualification as a REIT for federal income tax purposes. To qualify as a REIT, the Company must distribute at least 90% of its annual REIT taxable income and meet certain other requirements that relate to, among other things, the assets it holds, the income it generates, and the composition of its stockholders. For the nine months ended September 30, 2022 and 2021, we recognized a benefit from income taxes of $10 million and a provision for income taxes of $14 million, respectively. The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at September 30, 2022 and 2021. Table 23.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate September 30, 2022 September 30, 2021 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 (29.6) % (13.1) % Change in valuation allowance (2.4) % (6.8) % Dividends paid deduction 10.5 % (4.9) % Effective Tax Rate 8.1 % 4.8 % |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 2022 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information Redwood operates in three segments: Residential Mortgage Banking, Business Purpose Mortgage Banking and Investment Portfolio. The accounting policies of the reportable segments are the same as those described in Note 3 — Summary of Significant Accounting Policies. For a full description of our segments, see Part I, Item 1—Business in our Annual Report on Form 10-K for the year ended December 31, 2021. 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 nine months ended September 30, 2022 and 2021. Table 24.1 – Business Segment Financial Information Three Months Ended September 30, 2022 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 9,882 $ 9,082 $ 156,882 $ 1,816 $ 177,662 Interest expense (8,083) (5,971) (111,876) (16,797) (142,727) Net interest income 1,799 3,111 45,006 (14,981) 34,935 Non-interest (loss) income Mortgage banking activities, net 2,158 14,377 — — 16,535 Investment fair value changes, net — — (61,780) 4,083 (57,697) Other income, net — 399 3,906 (278) 4,027 Realized gains, net — — — — — Total non-interest income (loss), net 2,158 14,776 (57,874) 3,805 (37,135) General and administrative expenses (5,735) (18,535) (3,502) (12,335) (40,107) Loan acquisition costs (550) (1,876) — — (2,426) Other expenses — (3,891) (370) — (4,261) Benefit from (provision for) income taxes 1,688 2,559 (5,664) — (1,417) Segment Contribution $ (640) $ (3,856) $ (22,404) $ (23,511) Net (Loss) $ (50,411) Non-cash amortization (expense) income, net $ (185) $ (3,609) $ (3,658) $ (2,843) $ (10,295) Nine Months Ended September 30, 2022 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 36,048 $ 22,509 $ 471,932 $ 4,028 $ 534,517 Interest expense (23,316) (12,797) (331,047) (38,832) (405,992) Net interest income 12,732 9,712 140,885 (34,804) 128,525 Non-interest (loss) income Mortgage banking activities, net (7,694) 10,527 — — 2,833 Investment fair value changes, net — — (165,297) 13,508 (151,789) Other income, net — 2,028 15,423 (435) 17,016 Realized gains, net — — 2,581 — 2,581 Total non-interest (loss) income, net (7,694) 12,555 (147,293) 13,073 (129,359) General and administrative expenses (17,918) (40,076) (9,676) (39,257) (106,927) Loan acquisition costs (2,848) (7,523) — — (10,371) Other expenses 74 (10,731) (1,157) — (11,814) Benefit from (provision for) income taxes 8,283 9,009 (6,808) — 10,484 Segment Contribution $ (7,371) $ (27,054) $ (24,049) $ (60,988) Net (Loss) $ (119,462) Non-cash amortization (expense) income, net $ (699) $ (11,563) $ 4,385 $ (6,428) $ (14,305) Three Months Ended September 30, 2021 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 14,712 $ 3,967 $ 125,994 $ 1,049 $ 145,722 Interest expense (7,537) (2,013) (84,049) (10,155) (103,754) Net interest income 7,175 1,954 41,945 (9,106) 41,968 Non-interest income Mortgage banking activities, net 32,946 30,217 — — 63,163 Investment fair value changes, net — — 26,324 (247) 26,077 Other income, net — 216 1,842 330 2,388 Realized gains, net — — 6,703 — 6,703 Total non-interest income, net 32,946 30,433 34,869 83 98,331 General and administrative expenses (7,891) (12,017) (4,483) (23,301) (47,692) Loan acquisition costs (2,395) (2,175) (51) — (4,621) Other expenses — (3,873) (150) — (4,023) (Provision for) benefit from income taxes (10,429) (3,485) (1,045) 19,282 4,323 Segment Contribution $ 19,406 $ 10,837 $ 71,085 $ (13,042) Net Income $ 88,286 Non-cash amortization (expense) income, net $ (33) $ (4,224) $ 5,682 $ (1,995) $ (570) Nine Months Ended September 30, 2021 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 35,536 $ 9,849 $ 363,751 $ 3,586 $ 412,722 Interest expense (19,903) (5,134) (258,685) (30,649) (314,371) Net interest income 15,633 4,715 105,066 (27,063) 98,351 Non-interest income Mortgage banking activities, net 115,646 84,543 — — 200,189 Investment fair value changes, net — — 121,812 (1,168) 120,644 Other income, net — 494 7,121 742 8,357 Realized gains, net — — 17,803 — 17,803 Total non-interest income (loss), net 115,646 85,037 146,736 (426) 346,993 General and administrative expenses (27,478) (34,567) (10,804) (58,988) (131,837) Loan acquisition costs (5,686) (5,528) (710) (4) (11,928) Other expenses (6) (11,523) (592) 17 (12,104) Provision for income taxes (23,640) (6,988) (2,561) 19,282 (13,907) Segment Contribution $ 74,469 $ 31,146 $ 237,135 $ (67,182) Net Income $ 275,568 Non-cash amortization income (expense), net $ 8,867 $ (16,154) $ 317 $ (5,845) $ (12,815) The following table presents the components of Corporate/Other for the three and nine months ended September 30, 2022 and 2021. Table 24.2 – Components of Corporate/Other Three Months Ended September 30, 2022 2021 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 1,473 $ 343 $ 1,816 $ 1,042 $ 7 $ 1,049 Interest expense (1,486) (15,311) (16,797) (641) (9,514) (10,155) Net interest income (13) (14,968) (14,981) 401 (9,507) (9,106) Non-interest income Investment fair value changes, net (329) 4,412 4,083 (247) — (247) Other income — (278) (278) — 330 330 Total non-interest income, net (329) 4,134 3,805 (247) 330 83 General and administrative expenses — (12,335) (12,335) — (23,301) (23,301) Loan acquisition costs — — — — — — Other expenses — — — — — — Provision for income taxes — — — — 19,282 19,282 Total $ (342) $ (23,169) $ (23,511) $ 154 $ (13,196) $ (13,042) Nine Months Ended September 30, 2022 2021 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 3,593 $ 435 $ 4,028 $ 3,559 $ 27 $ 3,586 Interest expense (3,154) (35,678) (38,832) (2,271) (28,378) (30,649) Net interest income 439 (35,243) (34,804) 1,288 (28,351) (27,063) Non-interest income Investment fair value changes, net (1,379) 14,887 13,508 (1,162) (6) (1,168) Other income — (435) (435) — 742 742 Total non-interest income, net (1,379) 14,452 13,073 (1,162) 736 (426) General and administrative expenses — (39,257) (39,257) — (58,988) (58,988) Loan acquisition costs — — — — (4) (4) Other expenses — — — — 17 17 Provision for income taxes — — — — 19,282 19,282 Total $ (940) $ (60,048) $ (60,988) $ 126 $ (67,308) $ (67,182) (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 September 30, 2022 and December 31, 2021. Table 24.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total September 30, 2022 Residential loans $ 676,458 $ — $ 4,877,938 $ 198,160 $ 5,752,556 Business purpose loans — 337,238 4,919,980 — 5,257,218 Consolidated Agency multifamily loans — — 427,458 — 427,458 Real estate securities — — 259,212 — 259,212 Home equity investments — — 340,437 — 340,437 Other investments — — 341,155 71,607 412,762 Goodwill — 23,373 — — 23,373 Intangible assets — 44,130 — — 44,130 Total assets 738,301 473,748 11,301,836 632,062 13,145,947 December 31, 2021 Residential loans $ 1,673,235 $ — $ 5,688,742 $ 230,455 $ 7,592,432 Business purpose loans — 347,860 4,443,129 — 4,790,989 Consolidated Agency multifamily loans — — 473,514 — 473,514 Real estate securities 4,927 — 372,484 — 377,411 Home equity investments — — 192,740 — 192,740 Other investments — — 413,527 35,702 449,229 Intangible assets — 41,561 — — 41,561 Total assets 1,716,285 464,967 11,770,486 755,206 14,706,944 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2022 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of PresentationThe consolidated financial statements presented herein are at September 30, 2022 and December 31, 2021, and for the three and nine months ended September 30, 2022 and 2021. 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, 2021. In the opinion of management, all normal and recurring adjustments have been made to present fairly the financial condition of the Company at September 30, 2022 and results of operations for all periods presented. The results of operations for the three and nine months ended September 30, 2022 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 during and after 2012 in connection with the securitization of Redwood Select prime loans and Redwood Choice expanded-prime loans ("Sequoia"), entities formed in connection with the securitization of CoreVest single-family rental and bridge loans ("CAFL") and an entity formed in connection with the securitization of home equity investment contracts ("HEIs"). 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 certain entities we are exposed to financial risks associated with our role as a sponsor or co-sponsor, servicing administrator, collateral 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 Legacy Sequoia, 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 Consolidated Agency multifamily loans, at fair value, the underlying single-family rental and bridge loans at the consolidated CAFL entities are shown under Business purpose loans held-for-investment, at fair value, and the underlying HEIs at the consolidated HEI securitization entity are shown under Home equity investments, 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, we record interest income on the loans owned at these entities and interest expense on the ABS issued by these entities as well as fair value changes, other income and expenses associated with these entities' activities. See Note 15 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. |
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 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 was effective for fiscal years beginning after December 31, 2021. We adopted this guidance in the first quarter of 2022, which did not have a material impact on our consolidated financial statements. Other Recent Accounting Pronouncements In June 2022, the FASB issued ASU 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions.” ASU 2022-03 was issued to (1) to clarify the guidance in Topic 820, Fair Value Measurement, when measuring the fair value of an equity security subject to contractual restrictions that prohibit the sale of an equity security, (2) to amend a related illustrative example, and (3) to introduce new disclosure requirements for equity securities subject to contractual sale restrictions that are measured at fair value in accordance with Topic 820. The amendments in this update are effective for fiscal years beginning after December 15, 2023, including interim periods within those fiscal years. Early adoption is permitted. We are evaluating the accounting and disclosure requirements of ASU 2022-03 and we plan to adopt this new guidance by the required date. We do not anticipate that this update will have a material impact on our financial statements. In March 2022, the FASB issued ASU 2022-02, "Financial Instruments-Credit Losses (Topic 326), Troubled Debt Restructurings and Vintage Disclosures." ASU 2022-02 addresses areas identified by the FASB as part of its post-implementation review of the credit losses standard (ASU 2016-13) that introduced the current expected credit loss ("CECL") model. The amendments eliminate the accounting guidance for troubled debt restructurings by creditors that have adopted the CECL model and enhance the disclosure requirements for loan refinancings and restructurings made with borrowers experiencing financial difficulty. In addition, the amendments require a public business entity to disclose current-period gross writeoffs for financing receivables and net investment in leases by year of origination in the vintage disclosures. This guidance is effective for fiscal years beginning after December 15, 2022, including interim periods within those fiscal years. 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 2022, the FASB issued ASU 2022-01, "Derivatives and Hedging (Topic 815), Fair Value Hedging - Portfolio Layer Method," which will expand companies' abilities to hedge the benchmark interest rate risk of portfolios of financial assets (or beneficial interests) in a fair value hedge. The ASU expands the use of the portfolio layer method (previously referred to as the last-of-layer method) to allow multiple hedges of a single closed portfolio of assets using spot starting, forward starting, and amortizing-notional swaps. The ASU also permits both prepayable and non-prepayable financial assets to be included in the closed portfolio of assets hedged in a portfolio layer hedge. The ASU further requires that basis adjustments not be allocated to individual assets for active portfolio layer method hedges, but rather be maintained on the closed portfolio of assets as a whole. This guidance is effective for public business entities for fiscal years beginning after December 15, 2022, including interim periods within those fiscal years. 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 September 30, 2022, we have not elected to apply the optional expedients and exceptions to any of our existing contracts, hedging relationships, or other transactions. We have an established cross-functional group that has evaluated our exposure to LIBOR, reviewed relevant contracts and has monitored regulatory updates to assess the potential impact to our business, processes and technology from the ultimate full cessation of LIBOR in 2023, and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates. We continue to remain on track with our LIBOR transition plan, which requires different solutions depending on the underlying asset or liability with LIBOR exposure. At September 30, 2022, our primary LIBOR exposure included the following: $689 million of repo or warehouse debt, $37 million of interest rate swaps, $757 million of bridge loans, and $140 million of trust preferred securities and subordinated notes debt. Since December 31, 2021, c ertain of our contracts, such as interest rate swaps, have experienced an orderly market transition and we have transitioned a substantial portion of our derivative positions off of LIBOR-benchmarks. Other contracts, such as warehouse debt agreements, require bilateral amendments, many of which we have amended or are currently in the process of amending. We anticipate most of these facilities will be amended in 2022 , with sufficient time remaining to resolve the remainder, which also have fallback provisions for benchmark replacement. In early 2022 , we began benchmarking all newly originated bridge loans to the Secured Overnight Financing Rate (“SOFR”), and our existing portfolio of bridge loans are short-dated and we expect the vast majority to mature before the LIBOR cessation date in 2023. Additionally, as a result of legislation that was passed in the state of New York, our trust preferred securities and subordinated notes are expected to convert to SOFR upon the cessation of LIBOR. |
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. |
Basis of Presentation (Tables)
Basis of Presentation (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Assets Acquired and Liabilities Assumed | Through September 30, 2022, there were no significant changes to our purchase price allocations, which are summarized in the following table. Table 2.1 - Purchase Price Allocation (In Thousands) Riverbend Acquisition Date July 1, 2022 Purchase price: Cash $ 44,126 Provisional consideration payable 477 Contingent consideration, at fair value — Total consideration $ 44,603 Allocated to: Business purpose loans, at fair value $ 59,748 Other investments 2,443 Cash and cash equivalents 3,490 Other assets 13,306 Goodwill 23,373 Intangible assets 13,300 Total assets acquired 115,660 Short-term debt, net 67,423 Accrued expenses and other liabilities 3,634 Total liabilities assumed 71,057 Total net assets acquired $ 44,603 |
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 September 30, 2022. Table 2.2 – Intangible Assets – Activity Intangible Assets at Acquisition Accumulated Amortization at September 30, 2022 Carrying Value at September 30, 2022 Weighted Average Amortization Period (in years) (Dollars in Thousands) Borrower network $ 56,300 $ (19,537) $ 36,763 7 Broker network 18,100 (12,972) 5,128 5 Non-compete agreements 11,400 (9,567) 1,833 3 Tradenames 4,400 (3,994) 406 3 Developed technology 1,800 (1,800) — 2 Loan administration fees on existing loan assets 2,600 (2,600) — 1 Total $ 94,600 $ (50,470) $ 44,130 6 |
Finite-lived Intangible Assets Amortization Expense | Estimated future amortization expense is summarized in the table below. Table 2.3 – Intangible Asset Amortization Expense by Year (In Thousands) September 30, 2022 2022 (3 months) $ 3,238 2023 12,430 2024 9,413 2025 8,426 2026 6,695 2027 and thereafter 3,928 Total Future Intangible Asset Amortization $ 44,130 |
Schedule of Goodwill | Table 2.4 – Goodwill - Activity (In Thousands) Riverbend Beginning Balance $ — Goodwill recognized from acquisition 23,373 Impairment — Ending Balance $ 23,373 |
Pro Forma Information | The following unaudited pro forma financial information presents Net interest income, Non-interest income, and Net income of Redwood, as if the acquisition of Riverbend occurred as of January 1, 2021. These pro forma amounts have been adjusted to include the amortization of intangible assets for all periods. The unaudited pro forma financial information is not intended to represent or be indicative of the consolidated financial results of operations that would have been reported if the acquisition had been completed as of January 1, 2021 and should not be taken as indicative of our future consolidated results of operations. During the period from July 1, 2022 to September 30, 2022, Riverbend had net interest income of $1 million, non-interest income of $0.5 million, and a net loss of $1 million, which included intangible asset amortization expense of 0.6 million. Table 2.5 – Unaudited Pro Forma Financial Information Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Supplementary pro forma information: Net interest income $ 34,935 $ 43,174 $ 132,475 $ 100,570 Non-interest (loss) income (37,135) 102,436 (121,614) 355,456 Net (loss) income (50,411) 89,923 (117,090) 278,134 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Accounting Policies [Abstract] | |
Offsetting of Financial Assets, Liabilities, and Collateral | The following table 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 September 30, 2022 and December 31, 2021. 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 September 30, 2022 (In Thousands) Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 24,626 $ — $ 24,626 $ (23) $ (7,638) $ 16,965 TBAs 13,568 — 13,568 (529) (12,077) 962 Futures 26,275 — 26,275 (2) (10,675) 15,598 Total Assets $ 64,469 $ — $ 64,469 $ (554) $ (30,390) $ 33,525 Liabilities (2) Interest rate agreements $ (23) $ — $ (23) $ 23 $ — $ — TBAs (6,545) — (6,545) 529 1,280 (4,736) Futures (2) — (2) 2 — — Loan warehouse debt (224,370) — (224,370) 224,370 — — Total Liabilities $ (230,940) $ — $ (230,940) $ 224,924 $ 1,280 $ (4,736) 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, 2021 (In Thousands) Financial Instruments Cash Collateral (Received) Pledged Assets (2) Interest rate agreements $ 18,929 $ — $ 18,929 $ (1,251) $ (16,046) $ 1,632 TBAs 2,880 — 2,880 (633) (704) 1,543 Futures 25 — 25 (25) — — Total Assets $ 21,834 $ — $ 21,834 $ (1,909) $ (16,750) $ 3,175 Liabilities (2) Interest rate agreements $ (1,251) $ — $ (1,251) $ 1,251 $ — $ — TBAs $ (658) $ — $ (658) $ 633 $ 15 $ (10) Futures (905) — (905) 25 880 — Loan warehouse debt (572,720) — (572,720) 572,720 — — Total Liabilities $ (575,534) $ — $ (575,534) $ 574,629 $ 895 $ (10) (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, we have pledged excess cash collateral or financial assets to a counterparty (which, in certain circumstances, may 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, these excess amounts are excluded from the table; they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. |
Principles of Consolidation (Ta
Principles of Consolidation (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated VIEs | The following table presents a summary of the assets and liabilities of our consolidated VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs September 30, 2022 Legacy Sequoia CAFL (1) Freddie Mac SLST (1) Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Residential loans, held-for-investment $ 198,161 $ 3,237,170 $ — $ 1,482,964 $ — $ — $ — $ 4,918,295 Business purpose loans, held-for-investment — — 3,531,229 — — — — 3,531,229 Consolidated Agency multifamily loans — — — — 427,458 — — 427,458 Home equity investments 139,728 139,728 Other investments — — — — — 307,723 — 307,723 Cash and cash equivalents — — — — — 15,923 — 15,923 Restricted cash 92 78 15,889 — — 18,569 3,540 38,168 Accrued interest receivable 226 11,295 17,497 5,247 1,299 720 — 36,284 Other assets 407 — 24,084 2,544 — 7,270 50 34,355 Total Assets $ 198,886 $ 3,248,543 $ 3,588,699 $ 1,490,755 $ 428,757 $ 350,205 $ 143,318 $ 9,449,163 Short-term debt $ — $ — $ — $ — $ — $ 233,104 $ — $ 233,104 Accrued interest payable 224 9,003 11,202 3,630 1,173 348 — 25,580 Accrued expenses and other liabilities (58) 80 1,903 — — 24,223 24,354 50,502 Asset-backed securities issued 197,354 3,013,249 3,179,487 1,249,041 395,411 — 104,751 8,139,293 Total Liabilities $ 197,520 $ 3,022,332 $ 3,192,592 $ 1,252,671 $ 396,584 $ 257,675 $ 129,105 $ 8,448,479 Value of our investments in VIEs (1) $ 1,214 $ 223,920 $ 393,015 $ 236,467 $ 32,047 $ 92,530 $ 14,213 $ 993,406 Number of VIEs 20 17 19 3 1 3 1 64 December 31, 2021 Legacy Sequoia CAFL (1) Freddie Mac SLST (1) Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Residential loans, held-for-investment $ 230,455 $ 3,628,465 $ — $ 1,888,230 $ — $ — $ — $ 5,747,150 Business purpose loans, held-for-investment — — 3,766,316 — — — — 3,766,316 Consolidated Agency multifamily loans — — — — 473,514 — — 473,514 Other investments — — — — — 384,754 159,553 544,307 Cash and cash equivalents — — — — — 6,481 — 6,481 Restricted cash 148 5 15,221 — — 25,420 5,292 46,086 Accrued interest receivable 210 10,885 15,737 5,792 1,315 1,462 — 35,401 Other assets 61 — 32,510 2,028 — 7,177 50 41,826 Total Assets $ 230,874 $ 3,639,355 $ 3,829,784 $ 1,896,050 $ 474,829 $ 425,294 $ 164,895 $ 10,661,081 Short-term debt $ — $ — $ — $ — $ — $ 294,447 $ — $ 294,447 Accrued interest payable 99 8,452 11,030 4,055 1,190 192 — 25,018 Accrued expenses and other liabilities — 5 1,171 — — 28,115 17,034 46,325 Asset-backed securities issued 227,881 3,383,048 3,474,898 1,588,463 441,857 — 137,410 9,253,557 Total Liabilities $ 227,980 $ 3,391,505 $ 3,487,099 $ 1,592,518 $ 443,047 $ 322,754 $ 154,444 $ 9,619,347 Value of our investments in VIEs (1) $ 2,634 $ 245,417 $ 339,419 $ 301,795 $ 31,657 $ 102,540 $ 10,451 $ 1,033,913 Number of VIEs 20 16 16 3 1 3 1 60 (1) Value of our investments in VIEs, as presented in this table, represent the fair value of our economic interests in the VIEs only for consolidated VIEs we account for under the CFE election. CAFL includes SFR loan securitizations we account for under the CFE election and two bridge loan securitizations for which we did not make the CFE election. As of September 30, 2022 and December 31, 2021, the fair value of our interests in the CAFL SFR securitizations were $314 million and $302 million, respectively, and the remaining values were associated with our interests in the CAFL Bridge securitizations, for which the ABS issued is carried at amortized historical cost. Freddie Mac SLST includes securitizations we account for under the CFE election and also includes ABS issued in relation to a resecuritization of the securities we own in the consolidated Freddie Mac SLST VIEs, that we account for at amortized historical cost. As of September 30, 2022 and December 31, 2021, the fair value of our interests in the Freddie Mac SLST securitizations accounted for under the CFE election were $335 million and $445 million, respectively, with the difference from the tables above representing ABS issued and carried at amortized historical cost. The following table presents income (loss) from these VIEs for the three and nine months ended September 30, 2022 and 2021. Table 4.2 – Income (Loss) from Consolidated VIEs Three Months Ended September 30, 2022 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 1,475 $ 31,587 $ 61,439 $ 16,098 $ 4,762 $ 7,800 $ — $ 123,161 Interest expense (1,486) (27,541) (44,804) (12,829) (4,377) (2,606) — (93,643) Net interest income (11) 4,046 16,635 3,269 385 5,194 — 29,518 Non-interest income Investment fair value changes, net (328) (10,936) (4,527) (41,892) 316 (3,286) (584) (61,237) Other income — — 286 — — — — 286 Total non-interest income, net (328) (10,936) (4,241) (41,892) 316 (3,286) (584) (60,951) General and administrative expenses — — — — — (55) — (55) Other expenses — — — — — (372) — (372) Income (loss) from Consolidated VIEs $ (339) $ (6,890) $ 12,394 $ (38,623) $ 701 $ 1,481 $ (584) $ (31,860) Nine Months Ended September 30, 2022 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 3,595 $ 95,608 $ 195,381 $ 49,851 $ 14,247 $ 23,287 $ — $ 381,969 Interest expense (3,154) (84,041) (145,207) (40,286) (13,099) (6,110) — (291,897) Net interest income 441 11,567 50,174 9,565 1,148 17,177 — 90,072 Non-interest income Investment fair value changes, net (1,378) (20,644) (23,972) (74,796) 390 (11,259) 4,028 (127,631) Other income — — 631 — — — — 631 Total non-interest income, net (1,378) (20,644) (23,341) (74,796) 390 (11,259) 4,028 (127,000) General and administrative expenses — — — — — (130) — (130) Other expenses — — — — — (1,158) — (1,158) Income (loss) from Consolidated VIEs $ (937) $ (9,077) $ 26,833 $ (65,231) $ 1,538 $ 4,630 $ 4,028 $ (38,216) Three Months Ended September 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 1,042 $ 18,867 $ 48,937 $ 18,707 $ 4,846 $ 3,905 $ — $ 96,304 Interest expense (641) (15,368) (37,489) (15,774) (4,460) (1,018) — (74,750) Net interest income 401 3,499 11,448 2,933 386 2,887 — 21,554 Non-interest income Investment fair value changes, net (247) 3,314 2,943 13,849 554 (2,080) 47 18,380 Other income — — 10 — — — — 10 Total non-interest income, net (247) 3,314 2,953 13,849 554 (2,080) 47 18,390 General and administrative expenses — — — — — (60) — (60) Other expenses — — — — — (149) — (149) Income (loss) from Consolidated VIEs $ 154 $ 6,813 $ 14,401 $ 16,782 $ 940 $ 598 $ 47 $ 39,735 Nine Months Ended September 30, 2021 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 3,559 $ 48,842 $ 152,659 $ 58,372 $ 14,492 $ 12,168 $ — $ 290,092 Interest expense (2,271) (38,848) (118,543) (49,756) (13,294) (3,414) — (226,126) Net interest income 1,288 9,994 34,116 8,616 1,198 8,754 — 63,966 Non-interest income Investment fair value changes, net (1,162) 13,118 6,354 54,282 11,330 (5,646) 47 78,323 Other income — — 10 — — — — 10 Total non-interest income, net (1,162) 13,118 6,364 54,282 11,330 (5,646) 47 78,333 General and administrative expenses — — — — — (150) — (150) Other expenses — — — — — (591) — (591) Income (loss) from Consolidated VIEs $ 126 $ 23,112 $ 40,480 $ 62,898 $ 12,528 $ 2,367 $ 47 $ 141,558 |
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 nine months ended September 30, 2022 and 2021. Table 4.3 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Principal balance of loans transferred $ — $ — $ — $ 1,231,803 Trading securities retained, at fair value — — — 7,774 AFS securities retained, at fair value — — — 1,600 |
Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three and nine months ended September 30, 2022 and 2021 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 September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Proceeds from new transfers $ — $ — $ — $ 1,266,063 MSR fees received 737 1,095 2,365 4,038 Funding of compensating interest, net (11) 54 (41) (116) Cash flows received on retained securities 3,096 16,724 20,380 42,117 |
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 nine months ended September 30, 2022 and 2021. Table 4.5 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates N/A N/A N/A N/A Discount rates N/A N/A N/A N/A Credit loss assumptions N/A N/A N/A N/A Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 At Date of Securitization Senior IO Securities Subordinate Securities Senior IO Securities Subordinate Securities Prepayment rates N/A N/A 11 11 % Discount rates N/A N/A 15 % 6 % Credit loss assumptions N/A N/A 0.23 % 0.23 % |
Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents additional information at September 30, 2022 and December 31, 2021, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.6 – Unconsolidated VIEs Sponsored by Redwood (In Thousands) September 30, 2022 December 31, 2021 On-balance sheet assets, at fair value: Interest-only, senior and subordinate securities, classified as trading $ 28,511 $ 18,214 Subordinate securities, classified as AFS 78,065 127,542 Mortgage servicing rights 11,915 6,450 Maximum loss exposure (1) $ 118,491 $ 152,206 Assets transferred: Principal balance of loans outstanding $ 4,146,817 $ 4,959,234 Principal balance of loans 30+ days delinquent 21,803 30,594 (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 September 30, 2022 and December 31, 2021. Table 4.7 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood September 30, 2022 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at September 30, 2022 $ 11,915 $ 28,511 $ 78,065 Expected life (in years) (2) 7 7 16 Prepayment speed assumption (annual CPR) (2) 8 % 11 % 8 % Decrease in fair value from: 10% adverse change $ 334 $ 942 $ 570 25% adverse change 810 2,291 1,132 Discount rate assumption (2) 11 % 12 % 8 % Decrease in fair value from: 100 basis point increase $ 441 $ 1,001 $ 7,714 200 basis point increase 852 1,889 14,345 Credit loss assumption (2) N/A 0.04 % 0.04 % Decrease in fair value from: 10% higher losses N/A N/A $ 190 25% higher losses N/A N/A 254 December 31, 2021 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2021 $ 6,450 $ 18,214 $ 127,542 Expected life (in years) (2) 3 4 5 Prepayment speed assumption (annual CPR) (2) 29 % 23 % 32 % Decrease in fair value from: 10% adverse change $ 447 $ 1,130 $ 531 25% adverse change 1,020 2,596 1,440 Discount rate assumption (2) 12 % 16 % 5 % Decrease in fair value from: 100 basis point increase $ 152 $ 426 $ 4,801 200 basis point increase 297 829 9,139 Credit loss assumption (2) N/A 0.35 % 0.35 % Decrease in fair value from: 10% higher losses N/A N/A $ 1,528 25% higher losses N/A N/A 3,819 (1) Senior securities included $29 million and $18 million of interest-only securities at September 30, 2022 and December 31, 2021, 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 September 30, 2022 and December 31, 2021, grouped by asset type. Table 4.8 – Third-Party Sponsored VIE Summary (In Thousands) September 30, 2022 December 31, 2021 Mortgage-Backed Securities Senior $ 348 $ 3,572 Subordinate 152,288 228,083 Total Mortgage-Backed Securities 152,636 231,655 Excess MSR 7,662 10,400 Total Investments in Third-Party Sponsored VIEs $ 160,298 $ 242,055 |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities September 30, 2022 December 31, 2021 Carrying Fair Carrying Fair (In Thousands) Assets Residential loans, held-for-sale, at fair value $ 834,262 $ 834,262 $ 1,845,248 $ 1,845,248 Residential loans, held-for-investment, at fair value 4,918,294 4,918,294 5,747,150 5,747,150 Business purpose loans, held-for-sale, at fair value 337,238 337,238 358,309 358,309 Business purpose loans, held-for-investment, at fair value 4,919,980 4,919,980 4,432,680 4,432,680 Consolidated Agency multifamily loans, at fair value 427,458 427,458 473,514 473,514 Real estate securities, at fair value 259,212 259,212 377,411 377,411 Servicer advance investments (1) 274,934 274,934 350,923 350,923 MSRs (1) 24,796 24,796 12,438 12,438 Excess MSRs (1) 40,452 40,452 44,231 44,231 HEIs (1) 340,437 340,437 192,740 192,740 Other investments (1) 11,174 11,174 12,663 12,663 Cash and cash equivalents 297,092 297,092 450,485 450,485 Restricted cash 71,996 71,996 80,999 80,999 Derivative assets 65,213 65,213 26,467 26,467 REO (2) 3,683 4,105 36,126 39,272 Margin receivable (2) 6,683 6,683 7,269 7,269 Liabilities Short-term debt (3) $ 1,912,694 $ 1,912,694 $ 2,177,362 $ 2,177,362 Margin payable (4) 30,389 30,389 24,368 24,368 Guarantee obligations (4) 6,532 5,237 7,459 7,133 HEI securitization non-controlling interest 24,355 24,355 17,035 17,035 Derivative liabilities 6,782 6,782 3,317 3,317 ABS issued, net At fair value 7,564,312 7,564,312 8,843,147 8,843,147 At amortized cost 574,981 541,773 410,410 410,471 Other long-term debt, net (5) 868,851 858,810 988,483 989,570 Convertible notes, net (5) 724,205 651,888 513,629 537,300 Trust preferred securities and subordinated notes, net (5) 138,755 76,725 138,721 97,650 (1) These investments are included in Other investments on our consolidated balance sheets. (2) These assets are included in Other assets on our consolidated balance sheets. (3) Short-term debt excludes short-term convertible notes, which are included below under "Convertible notes, net." (4) These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets. (5) These liabilities are primarily included in Long-term debt, net on our consolidated balance sheets. Convertible notes, net also includes convertible notes classified as Short-term debt. See Note 14 for more information on Short-term debt. |
Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at September 30, 2022 and December 31, 2021, as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis September 30, 2022 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 5,752,524 $ — $ — $ 5,752,524 Business purpose loans 5,257,218 — — 5,257,218 Consolidated Agency multifamily loans 427,458 — — 427,458 Real estate securities 259,212 — — 259,212 Servicer advance investments 274,934 — — 274,934 MSRs 24,796 — — 24,796 Excess MSRs 40,452 — — 40,452 HEIs 340,437 — — 340,437 Other investments 11,174 — — 11,174 Derivative assets 65,213 39,843 24,626 744 Liabilities HEI securitization non-controlling interest $ 24,355 $ — $ — $ 24,355 Derivative liabilities 6,782 6,547 23 212 ABS issued 7,564,312 — — 7,564,312 December 31, 2021 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 7,592,398 $ — $ — $ 7,592,398 Business purpose loans 4,790,989 — — 4,790,989 Consolidated Agency multifamily loans 473,514 — — 473,514 Real estate securities 377,411 — — 377,411 Servicer advance investments 350,923 — — 350,923 MSRs 12,438 — — 12,438 Excess MSRs 44,231 — — 44,231 HEIs 192,740 — — 192,740 Other investments 17,574 — — 17,574 Derivative assets 26,467 2,906 18,928 4,633 FHLBC stock 10 — 10 — Liabilities HEI securitization non-controlling interest $ 17,035 $ — $ — $ 17,035 Derivative liabilities 3,317 1,563 1,251 503 ABS issued 8,843,147 — — 8,843,147 |
Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2022. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Purpose Consolidated Agency Multifamily Loans Trading Securities AFS Servicer Advance Investments Excess MSRs HEIs MSRs and Other Investments (In Thousands) Beginning balance - $ 7,592,398 $ 4,790,989 $ 473,514 $ 170,619 $ 206,792 $ 350,923 $ 44,231 $ 192,740 $ 25,101 Acquisitions 3,585,882 181,814 — 5,006 10,000 — — 176,439 8,293 Originations — 2,291,192 — — — — — — — Sales (3,702,359) (414,998) — (27,471) — — — — (3,044) Principal paydowns (734,577) (1,086,983) (5,936) (1,202) (25,381) (65,772) — (35,187) (137) Gains (losses) in net income (loss), net (985,958) (503,832) (40,120) (30,019) 12,560 (10,217) (3,779) 6,445 9,336 Unrealized losses in OCI, net — — — — (61,692) — — — — Other settlements, net (1) (2,862) (964) — — — — — — (3,579) Ending balance - $ 5,752,524 $ 5,257,218 $ 427,458 $ 116,933 $ 142,279 $ 274,934 $ 40,452 $ 340,437 $ 35,970 Liabilities Derivatives (2) HEI Securitization Non-Controlling Interest ABS (In Thousands) Beginning balance - December 31, 2021 $ 4,130 $ 17,035 $ 8,843,147 Acquisitions — — 1,205,289 Principal paydowns — — (1,242,859) Gains (losses) in net income (loss), net (53,962) 7,320 (1,241,265) Other settlements, net (1) 50,364 — — Ending balance - September 30, 2022 $ 532 $ 24,355 $ 7,564,312 (1) Other settlements, net, for residential and business purpose loans, represents the transfer of loans to REO, for derivatives, represents the transfer of the fair value of loan purchase and interest rate lock commitments at the time loans are acquired to the basis of residential and single-family rental business purpose loans, and for MSRs and other investments, primarily represents an investment that was exchanged into a new instrument that is no longer measured at fair value on a recurring basis. (2) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments and interest rate lock commitments, are presented on a net basis. |
Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of fair value gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at September 30, 2022 and 2021. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and nine months ended September 30, 2022 and 2021 are not included in this presentation. Table 5.4 – Portion of Net Fair Value Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at September 30, 2022 and 2021 Included in Net Income (Loss) Included in Net Income (Loss) Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Assets Residential loans at Redwood $ (28,762) $ 6,553 $ (42,952) $ 9,371 Business purpose loans (10,967) 18,810 (39,019) 19,829 Net investments in consolidated Sequoia entities (1) (11,264) 2,885 (22,467) 11,779 Net investments in consolidated Freddie Mac SLST entities (1) (41,969) 13,781 (75,043) 54,006 Net investments in consolidated Freddie Mac K-Series entities (1) 316 555 390 11,330 Net investments in consolidated CAFL SFR entities (1) (6,585) 2,943 (24,365) 5,500 Net investment in consolidated HEI securitization entity (1) (1,652) 47 11,348 129 Trading securities (12,668) 1,547 (34,104) 3,824 Servicer advance investments (3,905) (2,079) (10,218) (3,179) MSRs 1,653 (235) 9,118 (49) Excess MSRs (351) (803) (3,779) (5,233) HEIs at Redwood (4,903) (41) (2,272) 21 Loan purchase and interest rate lock commitments 723 9,021 744 9,261 Liabilities HEI securitization non-controlling interest $ 1,068 $ (83) $ (7,320) $ (83) Loan purchase commitments (212) (2,570) (212) (2,550) (1) Represents the portion of net fair value gains or losses included in our consolidated statements of income (loss) related to securitized loans, securitized HEIs, and the associated ABS issued at our consolidated securitization entities held at September 30, 2022 and 2021, which, netted together, represent the change in value of our investments at the consolidated VIEs accounted for under CFE election, excluding REO. |
Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at September 30, 2022. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at September 30, 2022. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at September 30, 2022 Gain (Loss) for September 30, 2022 Carrying Fair Value Measurements Using Three Months Ended Nine Months Ended (In Thousands) Level 1 Level 2 Level 3 September 30, 2022 September 30, 2022 Assets Strategic investments 17,350 — — 17,350 (25) 10,000 |
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 nine months ended September 30, 2022 and 2021. Table 5.6 – Market Valuation Gains and Losses, Net Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Mortgage Banking Activities, Net Residential loans held-for-sale, at fair value $ (20,060) $ 9,045 $ (71,776) $ 57,145 Residential loan purchase commitments (2,716) 18,817 (53,236) 18,351 Single-family rental loans held-for-sale, at fair value (19,325) 19,205 (83,827) 54,675 Single-family rental loan interest rate lock commitments 19 (744) (666) — Bridge loans (9) 3,433 2,242 6,702 Trading securities (1) 148 32 4,249 (342) Risk management derivatives, net 48,363 3,539 164,137 38,117 Total mortgage banking activities, net (2) $ 6,420 $ 53,327 $ (38,877) $ 174,648 Investment Fair Value Changes, Net Residential loans held-for-sale, at fair value (called Sequoia loans) $ (6,614) $ 816 $ (18,876) $ 2,423 Bridge loans held-for-investment 2,482 900 (9,220) 4,142 Trading securities (12,668) 1,546 (34,268) 25,067 Servicer advance investments (3,905) (2,079) (10,217) (3,179) Excess MSRs (351) (803) (3,779) (5,233) Net investments in Legacy Sequoia entities (3) (328) (247) (1,378) (1,162) Net investments in Sequoia entities (3) (10,936) 3,314 (20,644) 13,118 Net investments in Freddie Mac SLST entities (3) (41,892) 13,849 (74,796) 54,282 Net investment in Freddie Mac K-Series entity (3) 316 554 390 11,330 Net investments in CAFL SFR entities (3) (6,585) 2,943 (24,365) 6,354 Net investment in HEI securitization entity (3) (584) 47 4,028 47 HEIs at Redwood (4,774) 5,622 (1,986) 13,017 Other investments 1,445 (385) 12,028 50 Risk management derivatives, net 27,241 — 33,609 — Credit (losses) recoveries on AFS securities (544) — (2,315) 388 Total investment fair value changes, net $ (57,697) $ 26,077 $ (151,789) $ 120,644 Other Income MSRs $ 1,236 $ (989) $ 8,031 $ (3,236) Other (852) — (852) — Total other income (4) $ 384 $ (989) $ 7,179 $ (3,236) Total Market Valuation Gains (Losses), Net $ (50,893) $ 78,415 $ (183,487) $ 292,056 (1) Represents fair value changes on trading securities that are being used along with risk management derivatives to manage the market risks associated with our residential mortgage banking operations. (2) Mortgage banking activities, net presented above does not include fee income from loan originations or acquisitions, provisions for repurchases, and other expenses that are components of Mortgage banking activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes. (3) Includes changes in fair value of the residential loans held-for-investment, securitized HEIs, REO and the ABS issued at the entities, which, netted together, represent the change in value of our investments at the consolidated VIEs accounted for under the CFE election. |
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 September 30, 2022 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 $ 718,347 Whole loan spread to swap rate 201 - 400 bps 202 bps Called loan dollar price $ 92 - $ 92 $ 92 Jumbo loans committed to sell 115,883 Whole loan committed sales price $ 96 - $ 102 $ 98 Loans held by Legacy Sequoia (2) 198,160 Liability price N/A N/A Loans held by Sequoia (2) 3,237,170 Liability price N/A N/A Loans held by Freddie Mac SLST (2) 1,482,964 Liability price N/A N/A Business purpose loans: Single-family rental loans 281,105 Senior credit spread 210 - 210 bps 210 bps Subordinate credit spread 275 - 1,025 bps 458 bps Senior credit support 36 - 36 % 36 % IO discount rate 8 - 9 % 8 % Prepayment rate (annual CPR) 3 - 3 % 3 % Whole loan dollar price $ 84 - $ 99 $ 86 Single-family rental loans held by CAFL (2) 3,018,994 Liability price N/A N/A Bridge loans 1,957,119 Whole loan discount rate 5 - 15 % 9 % Senior credit spread 285 - 285 bps 285 bps Subordinate credit spread 345 - 1,200 % 680 % Senior credit support 43 - 43 % 43 % Prepayment rate (annual CPR) — - — % — % Multifamily loans held by Freddie Mac K-Series (2) 427,458 Liability price N/A N/A Trading and AFS securities 259,212 Discount rate 5 - 18 % 10 % Prepayment rate (annual CPR) 6 - 65 % 12 % Default rate — - 12 % 0.4 % Loss severity — - 50 % 25 % CRT dollar price $ 73 - $ 93 $ 85 Servicer advance investments 274,934 Discount rate 2 - 5 % 4 % Prepayment rate (annual CPR) 14 - 30 % 14 % Expected remaining life (3) 5 - 5 yrs 5 yrs Mortgage servicing income — - 18 bps 7 bps MSRs 24,796 Discount rate 11 - 69 % 11 % Prepayment rate (annual CPR) 4 - 28 % 8 % Per loan annual cost to service $ 93 - $ 93 $ 93 Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) September 30, 2022 Fair Input Values (Dollars in Thousands, except Input Values) Unobservable Input Range Weighted Average (1) Assets (continued) Excess MSRs 40,452 Discount rate 13 - 19 % 18 % Prepayment rate (annual CPR) 10 - 100 % 18 % Excess mortgage servicing income 8 - 19 bps 11 bps HEIs 200,709 Discount rate 10 - 10 % 10 % Prepayment rate (annual CPR) 1 - 23 % 16 % Home price appreciation (7) - 4 % 3 % HEIs held by HEI securitization entity 139,728 Liability price N/A N/A N/A Residential loan purchase commitments, net 531 Whole loan spread to swap rate 201 - 201 bps 201 bps Pull-through rate 26 - 100 % 78 % Committed sales price $ 99 - $ 102 $ 100 Liabilities ABS issued (2) : At consolidated Sequoia entities 3,210,603 Discount rate 4 - 18 % 6 % Prepayment rate (annual CPR) 5 - 24 % 13 % Default rate — - 33 % 1 % Loss severity 25 - 50 % 32 % At consolidated CAFL SFR entities (4) 2,703,223 Discount rate 0.3 - 16 % 6 % Prepayment rate (annual CPR) — - 3 % 0.2 % Default rate 4 - 21 % 6 % Loss severity 30 - 40 % 30 % At consolidated Freddie Mac SLST entities 1,150,323 Discount rate 5 - 8 % 6 % Prepayment rate (annual CPR) 6 - 8 % 6 % Default rate 13 - 14 % 14 % Loss severity 35 - 35 % 35 % At consolidated Freddie Mac K-Series entities (4) 395,411 Discount rate 3 - 9 % 5 % At consolidated HEI securitization entity (4) 104,751 Discount rate 9 - 15 % 10 % Prepayment rate (annual CPR) 20 - 20 % 20 % Home price appreciation (7) - 4 % 3 % (1) The weighted average input values for all loan types are based on unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value. (2) The fair value of the loans and HEIs held by consolidated entities is based on the fair value of the ABS issued by these entities and the securities and other investments we own in those entities, which we determined were more readily observable in accordance with accounting guidance for collateralized financing entities. At September 30, 2022, the fair value of securities we owned at the consolidated Sequoia, CAFL SFR, Freddie Mac SLST, Freddie Mac K-Series, and HEI securitization entities was $224 million, $314 million, $335 million, $32 million, and $14 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) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 6.1 – Classifications and Carrying Values of Residential Loans September 30, 2022 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 834,262 $ — $ — $ — $ 834,262 Held-for-investment at fair value — 198,160 3,237,170 1,482,964 4,918,294 Total Residential Loans $ 834,262 $ 198,160 $ 3,237,170 $ 1,482,964 $ 5,752,556 December 31, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,845,282 $ — $ — $ — $ 1,845,282 Held-for-investment at fair value — 230,455 3,628,465 1,888,230 5,747,150 Total Residential Loans $ 1,845,282 $ 230,455 $ 3,628,465 $ 1,888,230 $ 7,592,432 Table 7.1 – Classifications and Carrying Values of Business Purpose Loans September 30, 2022 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 281,105 — $ 56,133 $ — $ 337,238 Held-for-investment at fair value — 3,018,994 1,388,750 512,236 4,919,980 Total Business Purpose Loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 $ 5,257,218 December 31, 2021 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 358,309 $ — $ — $ — $ 358,309 Held-for-investment at fair value — 3,488,074 666,364 278,242 4,432,680 Total Business Purpose Loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 $ 4,790,989 Nearly all of the outstanding SFR loans at September 30, 2022 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years, with 2% having original maturities of 30 years. The outstanding bridge loans held-for-investment at September 30, 2022 were first-lien, interest-only loans with original maturities of six At September 30, 2022, we had commitments to fund bridge loans of $990 million. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2022 and 2021. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 99,281 $ 470,425 $ 392,620 $ 208,938 Principal balance of loans acquired (1) — 59,977 2,463 35,713 Principal balance of loans sold to third parties 37,202 48,279 — 253 Fair value of loans transferred (2) 266,181 77,362 332,670 276,354 Mortgage banking activities income (loss) recorded (4) (19,325) (110) 19,205 3,691 Investment fair value changes recorded (5) — (679) — 900 Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 865,253 $ 1,424,604 $ 957,935 $ 557,327 Principal balance of loans acquired (1) 100,349 81,983 2,463 35,713 Principal balance of loans sold to third parties 368,704 48,279 — 9,484 Fair value of loans transferred (2) 561,218 465,966 799,375 276,354 Fair value of loans transferred from HFI to HFS (3) — — 44,922 N/A Mortgage banking activities income (loss) recorded (4) (83,827) 1,129 54,675 5,212 Investment fair value changes recorded (5) — (6,747) — 4,142 (1) Bridge at Redwood for the three and nine months ended September 30, 2022, includes $60 million of loans acquired as part of the Riverbend acquisition. (2) For SFR at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL SFR securitizations. For Bridge at Redwood, represents the transfer of bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their securitization. (3) 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. (4) 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 nine months ended September 30, 2022, we recorded loan origination fee income of $10 million and $36 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (5) Represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (108,980) $ 1,906 $ (34,803) $ — Nine Months Ended Nine Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (419,182) $ 50 $ (96,934) $ — The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2022 and December 31, 2021. Table 7.4 – Characteristics of Business Purpose Loans September 30, 2022 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 202 1,142 1,585 1,994 Unpaid principal balance $ 317,556 $ 3,316,706 $ 1,452,180 $ 510,839 Fair value of loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 Weighted average coupon 5.14 % 5.22 % 8.06 % 8.04 % Weighted average remaining loan term (years) 15 6 2 1 Market value of loans pledged as collateral under short-term debt facilities $ 279,846 N/A $ 702,899 N/A Market value of loans pledged as collateral under long-term debt facilities $ — N/A $ 699,704 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 1 15 51 47 Unpaid principal balance of loans with 90+ day delinquencies $ 536 $ 31,296 $ 33,822 $ 7,063 Fair value of loans with 90+ day delinquencies (2) $ 528 N/A $ 31,140 $ 7,144 Number of loans in foreclosure (3) 1 7 49 — Unpaid principal balance of loans in foreclosure $ 536 $ 10,335 $ 33,471 $ — Fair value of loans in foreclosure (3) $ 528 N/A $ 30,789 $ — December 31, 2021 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 245 1,173 1,134 1,640 Unpaid principal balance $ 348,232 $ 3,340,949 $ 670,392 $ 274,617 Fair value of loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 Weighted average coupon 4.73 % 5.17 % 6.91 % 7.05 % Weighted average remaining loan term (years) 12 6 1 1 Market value of loans pledged as collateral under short-term debt facilities $ 75,873 N/A $ 91,814 N/A Market value of loans pledged as collateral under long-term debt facilities $ 244,703 N/A $ 554,597 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 6 18 31 — Unpaid principal balance of loans with 90+ day delinquencies $ 5,384 $ 41,998 $ 18,032 $ — Fair value of loans with 90+ day delinquencies (2) $ 4,238 N/A $ 14,218 $ — Number of loans in foreclosure (3) 7 9 28 — Unpaid principal balance of loans in foreclosure $ 5,473 $ 12,648 $ 18,043 $ — Fair value of loans in foreclosure (3) $ 4,305 N/A $ 14,257 $ — Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL 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. (2) The number of loans 90-or-more days delinquent includes loans in foreclosure. (3) May include loans that are less than 90 days delinquent. |
Characteristics of Residential Loans Held-For-Sale | The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2022 and December 31, 2021. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (Dollars in Thousands) September 30, 2022 December 31, 2021 Number of loans 1,054 2,196 Unpaid principal balance $ 874,412 $ 1,813,865 Fair value of loans $ 834,262 $ 1,845,282 Market value of loans pledged as collateral under short-term borrowing agreements $ 828,192 $ 1,838,797 Weighted average coupon 4.99 % 3.27 % Delinquency information Number of loans with 90+ day delinquencies 1 3 Unpaid principal balance of loans with 90+ day delinquencies $ 209 $ 2,923 Fair value of loans with 90+ day delinquencies $ 170 $ 2,304 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 nine months ended September 30, 2022 and 2021. Table 6.3 – Activity of Residential Loans Held-for-Sale Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Principal balance of loans acquired (1) $ 336,698 $ 3,167,186 $ 3,597,339 $ 9,747,867 Principal balance of loans sold 662,302 2,360,862 3,727,993 6,787,490 Principal balance of loans transferred to HFI — 448,878 687,192 1,623,000 Net market valuation gains (losses) recorded (2) (26,674) 9,861 (90,652) 59,568 (1) For the three and nine months ended September 30, 2022, includes zero and $102 million of loans acquired through calls of zero and three seasoned Sequoia securitizations, respectively. (2) 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 September 30, 2022 and December 31, 2021. Table 6.4 – Characteristics of Residential Loans Held-for-Investment September 30, 2022 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,372 4,666 11,054 Unpaid principal balance $ 218,298 $ 3,902,938 $ 1,753,301 Fair value of loans $ 198,160 $ 3,237,170 $ 1,482,964 Weighted average coupon 3.23 % 3.25 % 4.50 % Delinquency information Number of loans with 90+ day delinquencies (1) 33 13 1,295 Unpaid principal balance of loans with 90+ day delinquencies $ 5,532 $ 11,404 $ 223,260 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 16 6 332 Unpaid principal balance of loans in foreclosure $ 1,852 $ 5,928 $ 56,755 December 31, 2021 Legacy Freddie Mac (Dollars in Thousands) Sequoia Sequoia SLST Number of loans 1,583 4,300 11,986 Unpaid principal balance $ 264,057 $ 3,605,469 $ 1,932,241 Fair value of loans $ 230,455 $ 3,628,465 $ 1,888,230 Weighted average coupon 1.87 % 3.39 % 4.51 % Delinquency information Number of loans with 90+ day delinquencies (1) 32 18 1,208 Unpaid principal balance of loans with 90+ day delinquencies $ 7,482 $ 15,124 $ 212,961 Fair value of loans with 90+ day delinquencies (2) N/A N/A N/A Number of loans in foreclosure 10 2 241 Unpaid principal balance of loans in foreclosure $ 2,188 $ 1,624 $ 43,637 (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 | Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 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 $ — N/A N/A $ 464,189 N/A Net market valuation gains (losses) recorded 5,182 (202,825) (104,040) (2,580) (11,663) (13,836) Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 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 $ 684,491 N/A N/A $ 1,669,683 N/A Net market valuation gains (losses) recorded 12,286 (685,042) (224,543) 9,896 (27,076) 5,177 (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. |
Business Purpose Loans (Tables)
Business Purpose Loans (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 6.1 – Classifications and Carrying Values of Residential Loans September 30, 2022 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 834,262 $ — $ — $ — $ 834,262 Held-for-investment at fair value — 198,160 3,237,170 1,482,964 4,918,294 Total Residential Loans $ 834,262 $ 198,160 $ 3,237,170 $ 1,482,964 $ 5,752,556 December 31, 2021 Legacy Freddie Mac (In Thousands) Redwood Sequoia Sequoia SLST Total Held-for-sale at fair value $ 1,845,282 $ — $ — $ — $ 1,845,282 Held-for-investment at fair value — 230,455 3,628,465 1,888,230 5,747,150 Total Residential Loans $ 1,845,282 $ 230,455 $ 3,628,465 $ 1,888,230 $ 7,592,432 Table 7.1 – Classifications and Carrying Values of Business Purpose Loans September 30, 2022 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 281,105 — $ 56,133 $ — $ 337,238 Held-for-investment at fair value — 3,018,994 1,388,750 512,236 4,919,980 Total Business Purpose Loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 $ 5,257,218 December 31, 2021 Single-Family Rental Bridge (In Thousands) Redwood CAFL Redwood CAFL Total Held-for-sale at fair value $ 358,309 $ — $ — $ — $ 358,309 Held-for-investment at fair value — 3,488,074 666,364 278,242 4,432,680 Total Business Purpose Loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 $ 4,790,989 Nearly all of the outstanding SFR loans at September 30, 2022 were first-lien, fixed-rate loans with original maturities of five, seven, or ten years, with 2% having original maturities of 30 years. The outstanding bridge loans held-for-investment at September 30, 2022 were first-lien, interest-only loans with original maturities of six At September 30, 2022, we had commitments to fund bridge loans of $990 million. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2022 and 2021. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 99,281 $ 470,425 $ 392,620 $ 208,938 Principal balance of loans acquired (1) — 59,977 2,463 35,713 Principal balance of loans sold to third parties 37,202 48,279 — 253 Fair value of loans transferred (2) 266,181 77,362 332,670 276,354 Mortgage banking activities income (loss) recorded (4) (19,325) (110) 19,205 3,691 Investment fair value changes recorded (5) — (679) — 900 Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 (In Thousands) SFR at Redwood Bridge at Redwood SFR at Redwood Bridge at Redwood Principal balance of loans originated $ 865,253 $ 1,424,604 $ 957,935 $ 557,327 Principal balance of loans acquired (1) 100,349 81,983 2,463 35,713 Principal balance of loans sold to third parties 368,704 48,279 — 9,484 Fair value of loans transferred (2) 561,218 465,966 799,375 276,354 Fair value of loans transferred from HFI to HFS (3) — — 44,922 N/A Mortgage banking activities income (loss) recorded (4) (83,827) 1,129 54,675 5,212 Investment fair value changes recorded (5) — (6,747) — 4,142 (1) Bridge at Redwood for the three and nine months ended September 30, 2022, includes $60 million of loans acquired as part of the Riverbend acquisition. (2) For SFR at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL SFR securitizations. For Bridge at Redwood, represents the transfer of bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their securitization. (3) 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. (4) 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 nine months ended September 30, 2022, we recorded loan origination fee income of $10 million and $36 million, respectively, through Mortgage banking activities, net on our consolidated statements of income (loss). (5) Represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (108,980) $ 1,906 $ (34,803) $ — Nine Months Ended Nine Months Ended (In Thousands) SFR at Bridge at CAFL SFR at Bridge at CAFL Net market valuation gains (losses) recorded $ (419,182) $ 50 $ (96,934) $ — The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2022 and December 31, 2021. Table 7.4 – Characteristics of Business Purpose Loans September 30, 2022 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 202 1,142 1,585 1,994 Unpaid principal balance $ 317,556 $ 3,316,706 $ 1,452,180 $ 510,839 Fair value of loans $ 281,105 $ 3,018,994 $ 1,444,883 $ 512,236 Weighted average coupon 5.14 % 5.22 % 8.06 % 8.04 % Weighted average remaining loan term (years) 15 6 2 1 Market value of loans pledged as collateral under short-term debt facilities $ 279,846 N/A $ 702,899 N/A Market value of loans pledged as collateral under long-term debt facilities $ — N/A $ 699,704 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 1 15 51 47 Unpaid principal balance of loans with 90+ day delinquencies $ 536 $ 31,296 $ 33,822 $ 7,063 Fair value of loans with 90+ day delinquencies (2) $ 528 N/A $ 31,140 $ 7,144 Number of loans in foreclosure (3) 1 7 49 — Unpaid principal balance of loans in foreclosure $ 536 $ 10,335 $ 33,471 $ — Fair value of loans in foreclosure (3) $ 528 N/A $ 30,789 $ — December 31, 2021 SFR at Redwood SFR at CAFL (1) Bridge at Redwood Bridge at CAFL (Dollars in Thousands) Number of loans 245 1,173 1,134 1,640 Unpaid principal balance $ 348,232 $ 3,340,949 $ 670,392 $ 274,617 Fair value of loans $ 358,309 $ 3,488,074 $ 666,364 $ 278,242 Weighted average coupon 4.73 % 5.17 % 6.91 % 7.05 % Weighted average remaining loan term (years) 12 6 1 1 Market value of loans pledged as collateral under short-term debt facilities $ 75,873 N/A $ 91,814 N/A Market value of loans pledged as collateral under long-term debt facilities $ 244,703 N/A $ 554,597 N/A Delinquency information Number of loans with 90+ day delinquencies (2) 6 18 31 — Unpaid principal balance of loans with 90+ day delinquencies $ 5,384 $ 41,998 $ 18,032 $ — Fair value of loans with 90+ day delinquencies (2) $ 4,238 N/A $ 14,218 $ — Number of loans in foreclosure (3) 7 9 28 — Unpaid principal balance of loans in foreclosure $ 5,473 $ 12,648 $ 18,043 $ — Fair value of loans in foreclosure (3) $ 4,305 N/A $ 14,257 $ — Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL 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. (2) The number of loans 90-or-more days delinquent includes loans in foreclosure. (3) May include loans that are less than 90 days delinquent. |
Consolidated Agency Multifami_2
Consolidated Agency Multifamily Loans (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Receivables [Abstract] | |
Schedule of Multifamily Loans | The following table summarizes the characteristics of our consolidated Agency multifamily loans at September 30, 2022 and December 31, 2021. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans (Dollars in Thousands) September 30, 2022 December 31, 2021 Number of loans 28 28 Unpaid principal balance $ 449,232 $ 455,168 Fair value of loans $ 427,458 $ 473,514 Weighted average coupon 4.25 % 4.25 % Weighted average remaining loan term (years) 3 4 Delinquency information Number of loans with 90+ day delinquencies — — Number of loans in foreclosure — — The outstanding consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at September 30, 2022 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 nine months ended September 30, 2022 and 2021. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Net market valuation gains (losses) recorded (1) $ (13,691) $ (487) $ (40,120) $ (3,745) (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) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) September 30, 2022 December 31, 2021 Trading $ 116,933 $ 170,619 Available-for-sale 142,279 206,792 Total Real Estate Securities $ 259,212 $ 377,411 |
Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at September 30, 2022 and December 31, 2021. Table 9.2 – Fair Value of Trading Securities by Position (In Thousands) September 30, 2022 December 31, 2021 Senior Interest-only securities (1) $ 28,860 $ 21,787 Total Senior 28,860 21,787 Subordinate RPL securities 31,963 65,140 Multifamily securities 8,021 10,549 Other third-party residential securities 48,089 73,143 Total Subordinate 88,073 148,832 Total Trading Securities $ 116,933 $ 170,619 (1) Includes $25 million and $15 million of Sequoia certificated mortgage servicing rights at September 30, 2022 and December 31, 2021, respectively. The following table presents the unpaid principal balance of trading securities by position and collateral type at September 30, 2022 and December 31, 2021. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position (In Thousands) September 30, 2022 December 31, 2021 Senior (1) $ — $ — Subordinate 220,888 235,306 Total Trading Securities $ 220,888 $ 235,306 (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 nine months ended September 30, 2022 and 2021. Table 9.4 – Trading Securities Activity Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Principal balance of securities acquired (1) $ — $ 10,750 $ — $ 28,380 Principal balance of securities sold (1) — 750 12,716 53,561 Net market valuation gains (losses) recorded (2) (12,521) 1,578 (30,019) 24,725 (1) For the three and nine months ended September 30, 2021, excludes $1 million and $3 million of securities bought and sold during the same quarter, respectively. (2) 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 ("AFS") securities by position and collateral type at September 30, 2022 and December 31, 2021. Table 9.5 – Fair Value of Available-for-Sale Securities by Position (In Thousands) September 30, 2022 December 31, 2021 Subordinate Sequoia securities $ 78,065 $ 127,542 Multifamily securities 13,211 22,166 Other third-party residential securities 51,003 57,084 Total Subordinate 142,279 206,792 Total AFS Securities $ 142,279 $ 206,792 The following table provides the activity of available-for-sale securities during the three and nine months ended September 30, 2022 and 2021. Table 9.6 – Available-for-Sale Securities Activity Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Fair value of securities acquired $ — $ — $ 10,000 $ 1,600 Fair value of securities sold — — — 4,785 Principal balance of securities called — 11,565 14,486 25,970 Net unrealized (losses) gains on AFS securities (1) (8,731) (2,658) (60,013) 19,552 (1) Net unrealized (losses) gains on AFS securities are recorded on our consolidated balance sheets through Accumulated other comprehensive loss. |
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 September 30, 2022 and December 31, 2021. Table 9.7 – Carrying Value of AFS Securities September 30, 2022 (In Thousands) Total Principal balance $ 227,715 Credit reserve (30,247) Unamortized discount, net (61,015) Amortized cost 136,453 Gross unrealized gains 19,017 Gross unrealized losses (10,876) CECL allowance (2,315) Carrying Value $ 142,279 December 31, 2021 (In Thousands) Total Principal balance $ 242,852 Credit reserve (27,555) Unamortized discount, net (76,023) Amortized cost 139,274 Gross unrealized gains 67,815 Gross unrealized losses (297) CECL allowance — Carrying Value $ 206,792 |
Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | The following table presents the changes for the three and nine months ended September 30, 2022, 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 Nine Months Ended Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 30,619 $ 61,303 $ 27,555 $ 76,023 Amortization of net discount — (830) — (10,647) Realized credit recoveries (losses), net 170 — 244 — Acquisitions — — — — Sales, calls, other — — (343) (1,570) Transfers to (release of) credit reserves, net (542) 542 2,791 (2,791) Ending Balance $ 30,247 $ 61,015 $ 30,247 $ 61,015 |
Components of Fair Value of Available for Sale Securities by Holding Periods | The following table presents the total carrying value (fair value) and unrealized losses of residential AFS securities that were in a gross unrealized loss position at September 30, 2022 and December 31, 2021. Table 9.9 – AFS Securities in Gross Unrealized Loss Position by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Fair Unrealized Fair Unrealized (In Thousands) September 30, 2022 $ 65,585 $ (10,685) $ 1,409 $ (191) December 31, 2021 6,827 (251) 1,554 (46) |
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 September 30, 2022. Table 9.10 – Significant Credit Quality Indicators September 30, 2022 Subordinate Securities Default rate 0.8% Loss severity 20% |
Activity of Allowance for Credit Losses for Available-for-sale Securities | The following table details the activity related to the allowance for credit losses for AFS securities for the three and nine months ended September 30, 2022. Table 9.11 – Rollforward of Allowance for Credit Losses Three Months Ended September 30, 2022 Nine Months Ended September 30, 2022 (In Thousands) Beginning balance allowance for credit losses $ 1,771 $ — Additions to allowance for credit losses on securities for which credit losses were not previously recorded 30 1,520 Additional increases (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period 514 795 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 $ 2,315 $ 2,315 |
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 nine months ended September 30, 2022 and 2021. Table 9.12 – Gross Realized Gains and Losses on AFS Securities Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Gross realized gains - sales $ — $ — $ — $ 1,507 Gross realized gains - calls — 6,389 1,914 15,484 Gross realized losses - sales — — — — Total Realized Gains on Sales and Calls of AFS Securities, net $ — $ 6,389 $ 1,914 $ 16,991 |
Home Equity Investments (HEI) (
Home Equity Investments (HEI) (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule Of Home Equity Investments | Home equity investments at September 30, 2022 and December 31, 2021 are summarized in the following table. Table 10.1 – Home Equity Investments (In Thousands) September 30, 2022 December 31, 2021 HEIs at Redwood $ 200,709 $ 33,187 HEIs held at consolidated HEI securitization entity 139,728 159,553 Total Home Equity Investments $ 340,437 $ 192,740 |
Other Investments (Tables)
Other Investments (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Investments, All Other Investments [Abstract] | |
Summary of Other Investments | Other investments at September 30, 2022 and December 31, 2021 are summarized in the following table. Table 11.1 – Components of Other Investments (In Thousands) September 30, 2022 December 31, 2021 Servicer advance investments $ 274,934 $ 350,923 Strategic investments 71,607 35,702 Excess MSRs 40,452 44,231 Mortgage servicing rights 24,796 12,438 Other 973 5,935 Total Other Investments $ 412,762 $ 449,229 |
Components of Servicer Advance Investments | The servicer advance receivables were comprised of the following types of advances at September 30, 2022 and December 31, 2021. Table 11.2 – Components of Servicer Advance Receivables (In Thousands) September 30, 2022 December 31, 2021 Principal and interest advances $ 89,816 $ 94,148 Escrow advances (taxes and insurance advances) 117,971 172,847 Corporate advances 37,394 43,958 Total Servicer Advance Receivables $ 245,181 $ 310,953 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 12.1 – Fair Value and Notional Amount of Derivative Financial Instruments September 30, 2022 December 31, 2021 Fair Notional Fair Notional (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 24,626 $ 459,000 $ 611 $ 161,500 TBAs 13,568 565,000 2,880 2,440,000 Interest rate futures 26,275 681,500 25 9,000 Swaptions — — 18,318 1,660,000 Assets - Other Derivatives Loan purchase and interest rate lock commitments 744 87,157 4,633 971,631 Total Assets $ 65,213 $ 1,792,657 $ 26,467 $ 5,242,131 Liabilities - Risk Management Derivatives Interest rate swaps $ (23) $ 10,000 $ (1,251) $ 283,100 TBAs (6,545) 255,000 (658) 870,000 Interest rate futures (2) 300 (905) 62,500 Liabilities - Other Derivatives Loan purchase and interest rate lock commitments (212) 58,544 (503) 404,190 Total Liabilities $ (6,782) $ 323,844 $ (3,317) $ 1,619,790 Total Derivative Financial Instruments, Net $ 58,431 $ 2,116,501 $ 23,150 $ 6,861,921 |
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 nine months ended September 30, 2022 and 2021. Table 12.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Net interest expense on cash flows hedges $ — $ — $ — $ — Realized net losses reclassified from other comprehensive income (1,040) (1,041) (3,086) (3,086) Total Interest Expense $ (1,040) $ (1,041) $ (3,086) $ (3,086) |
Other Assets and Liabilities (T
Other Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Components of Other Assets | Other assets at September 30, 2022 and December 31, 2021 are summarized in the following table. Table 13.1 – Components of Other Assets (In Thousands) September 30, 2022 December 31, 2021 Accrued interest receivable $ 54,944 $ 47,515 Investment receivable 50,149 82,781 Deferred tax asset 20,867 20,867 Operating lease right-of-use assets 17,126 18,772 Income tax receivables 13,959 22 Fixed assets and leasehold improvements (1) 12,411 9,019 Margin receivable 6,683 7,269 REO 3,683 36,126 Other 14,678 8,746 Total Other Assets $ 194,500 $ 231,117 |
Components of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at September 30, 2022 and December 31, 2021 are summarized in the following table. Table 13.2 – Components of Accrued Expenses and Other Liabilities (In Thousands) September 30, 2022 December 31, 2021 Payable to non-controlling interests $ 47,487 $ 42,670 Accrued interest payable 46,938 39,297 Margin payable 30,389 24,368 Accrued compensation 23,488 74,636 Operating lease liabilities 19,533 20,960 Guarantee obligations 6,532 7,459 Residential loan and MSR repurchase reserve 5,754 9,306 Accrued operating expenses 4,956 4,377 Current accounts payable 4,722 8,273 Bridge loan holdbacks 3,930 3,109 Other 7,396 11,333 Total Accrued Expenses and Other Liabilities $ 201,125 $ 245,788 |
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 SFR entities during the nine months ended September 30, 2022. Table 13.3 – REO Activity Nine Months Ended September 30, 2022 (In Thousands) Bridge Legacy Sequoia Freddie Mac SLST SFR at CAFL Total Balance at beginning of period $ 13,067 $ 61 $ 2,028 $ 20,970 $ 36,126 Transfers to REO 963 407 2,664 — 4,034 Liquidations (1) (14,271) (505) (2,395) (20,970) (38,141) Changes in fair value, net 974 443 247 — 1,664 Balance at End of Period $ 733 $ 406 $ 2,544 $ — $ 3,683 (1) For the nine months ended September 30, 2022, REO liquidations resulted in $2 million of realized gains, which were recorded in Investment fair value changes, net on our consolidated statements of income (loss). |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and December 31, 2021. Table 14.1 – Short-Term Debt September 30, 2022 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate (1) Maturity (2) Weighted Average Days Until Maturity Facilities Residential loan warehouse 9 $ 748,962 $ 2,850,000 4.83 % 12/2022 - 9/2023 150 Business purpose loan warehouse 4 775,491 1,750,000 5.67 % 3/2023 - 9/2023 289 Real estate securities repo 7 124,435 — 3.50 % 10/2022 - 12/2022 32 Total Short-Term Debt Facilities 20 1,648,888 Servicer advance financing 1 233,104 290,000 4.94 % 11/2023 397 Promissory notes N/A 30,702 N/A 6.58 % N/A N/A Convertible notes, net N/A 197,585 N/A 4.75 % 8/2023 319 Total Short-Term Debt $ 2,110,279 December 31, 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 7 $ 1,669,344 $ 2,900,000 1.87 % 1/2022-12/2022 153 Business purpose loan warehouse 2 138,746 350,000 3.34 % 3/2022-7/2022 105 Real estate securities repo 4 74,825 — 1.13 % 1/2022-3/2022 33 Total Short-Term Debt Facilities 13 1,882,915 Servicer advance financing 1 294,447 350,000 1.90 % 11/2022 306 Convertible notes, net N/A — Total Short-Term Debt $ 2,177,362 (1) Borrowings under our facilities generally are uncommitted and charged interest based on a specified margin over 1-month SOFR or 1- or 3-month LIBOR. |
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 September 30, 2022 and December 31, 2021. Table 14.2 – Collateral for Short-Term Debt (In Thousands) September 30, 2022 December 31, 2021 Collateral Type Held-for-sale residential loans $ 828,192 $ 1,838,797 Business purpose loans 982,745 167,687 Real estate securities On balance sheet 60,457 5,823 Sequoia securitizations (1) 77,470 61,525 Freddie Mac K-Series securitization (1) 32,047 31,657 Total real estate securities owned 169,974 99,005 Restricted cash and other assets 4,116 1,962 Total Collateral for Short-Term Debt Facilities 1,985,027 2,107,451 Cash 15,891 6,480 Restricted cash 18,569 25,420 Servicer advances 274,934 310,953 Total Collateral for Servicer Advance Financing 309,394 342,853 Total Collateral for Short-Term Debt $ 2,294,421 $ 2,450,304 |
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 September 30, 2022. Table 14.3 – Short-Term Debt by Collateral Type and Remaining Maturities September 30, 2022 (In Thousands) Within 30 days 31 to 90 days Over 90 days Total Collateral Type Held-for-sale residential loans $ — $ 262,804 $ 486,158 $ 748,962 Business purpose loans — — 775,491 775,491 Real estate securities 72,233 52,202 — 124,435 Total Secured Short-Term Debt 72,233 315,006 1,261,649 1,648,888 Servicer advance financing — — 233,104 233,104 Promissory notes — 30,702 — 30,702 Convertible notes, net — — 197,585 197,585 Total Short-Term Debt $ 72,233 $ 345,708 $ 1,692,338 $ 2,110,279 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | The carrying values of ABS issued by our consolidated securitization entities at September 30, 2022 and December 31, 2021, along with other selected information, are summarized in the following table. Table 15.1 – Asset-Backed Securities Issued September 30, 2022 Legacy Sequoia CAFL (1) Freddie Mac SLST (2) Freddie Mac HEI Total (Dollars in Thousands) Certificates with principal balance $ 213,786 $ 3,650,411 $ 3,375,688 $ 1,344,521 $ 412,764 $ 112,380 $ 9,109,550 Interest-only certificates 170 62,311 134,348 13,930 8,075 — 218,834 Market valuation adjustments (16,602) (699,473) (330,549) (109,410) (25,428) (7,629) (1,189,091) ABS Issued, Net $ 197,354 $ 3,013,249 $ 3,179,487 $ 1,249,041 $ 395,411 $ 104,751 $ 8,139,293 Range of weighted average interest rates, by series (3) 2.52% to 3.90% 2.56% to 4.99% 2.34% to 5.93% 3.50% to 4.75% 3.41 % 3.76 % Stated maturities (3) 2024 - 2036 2047-2052 2027-2032 2028-2059 2025 2052 Number of series 20 17 19 3 1 1 December 31, 2021 Legacy Sequoia CAFL (1) Freddie Mac SLST (2) Freddie Mac K-Series HEI Total (Dollars in Thousands) Certificates with principal balance $ 259,505 $ 3,353,073 $ 3,264,766 $ 1,535,638 $ 418,700 $ 138,792 $ 8,970,474 Interest-only certificates 619 32,749 193,725 11,714 10,184 — 248,991 Market valuation adjustments (32,243) (2,774) 16,407 41,111 12,973 (1,382) 34,092 ABS Issued, Net $ 227,881 $ 3,383,048 $ 3,474,898 $ 1,588,463 $ 441,857 $ 137,410 $ 9,253,557 Range of weighted average interest rates, by series (3) 0.23% to 1.44% 2.40% to 5.03% 2.64% to 5.24% 3.50% to 4.75% 3.41 % 3.31 % Stated maturities (3) 2024 - 2036 2047-2052 2027-2031 2028-2059 2025 2052 Number of series 20 16 16 3 1 1 (1) Includes $485 million and $270 million (principal balance) of ABS issued by two CAFL bridge securitization trusts sponsored by Redwood and accounted for at amortized cost at September 30, 2022 and December 31, 2021, respectively. (2) Includes $100 million and $145 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at September 30, 2022 and December 31, 2021, respectively. (3) Certain ABS issued by CAFL, Freddie Mac SLST, and HEI securitization entities are subject to early redemption and interest rate step-ups as described below. |
Accrued Interest Payable on Asset-Backed Securities Issued | The following table summarizes the accrued interest payable on ABS issued at September 30, 2022 and December 31, 2021. Interest due on consolidated ABS issued is payable monthly. Table 15.2 – Accrued Interest Payable on Asset-Backed Securities Issued (In Thousands) September 30, 2022 December 31, 2021 Legacy Sequoia $ 223 $ 99 Sequoia 9,003 8,452 CAFL 11,202 11,030 Freddie Mac SLST (1) 4,026 4,630 Freddie Mac K-Series 1,173 1,190 Total Accrued Interest Payable on ABS Issued $ 25,627 $ 25,401 (1) Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood. |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Long-term Debt Instruments | The tables below summarize 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 September 30, 2022 and December 31, 2021. Table 16.1 – Long-Term Debt September 30, 2022 (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 Facility A $ 131,316 $ — $ 131,316 N/A 4.21 % 9/2024 CAFL Facility B 102,006 (126) 101,880 N/A 4.21 % 2/2025 Facility C 71,792 (189) 71,603 N/A 4.75 % 6/2026 Non-Recourse BPL Financing Facility D 565,028 (976) 564,052 $ 750,000 L + 2.51% N/A Recourse BPL Financing Facility G — — — 500,000 SOFR + 2.25% - 2.50% 9/2024 Total Long-Term Debt Facilities 870,142 (1,291) 868,851 Convertible notes 5.625% convertible senior notes 150,200 (1,484) 148,716 N/A 5.625 % 7/2024 5.75% exchangeable senior notes 172,092 (2,769) 169,323 N/A 5.75 % 10/2025 7.75% convertible senior notes 215,000 (6,419) 208,581 N/A 7.75 % 6/2027 Trust preferred securities and subordinated notes 139,500 (745) 138,755 N/A L + 2.25% 7/2037 Total Long-Term Debt $ 1,546,934 $ (12,708) $ 1,534,226 December 31, 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 Facility A $ 144,385 $ (313) $ 144,072 N/A 4.21 % 9/2024 CAFL Facility B 102,351 (353) 101,998 N/A 4.21 % 2/2025 Facility C 91,707 (376) 91,331 N/A 4.75 % 6/2026 Non-Recourse BPL Financing Facility D 307,215 (507) 306,708 $ 400,000 L + 2.75% N/A Recourse BPL Financing Facility E 234,349 (123) 234,226 450,000 L + 2.21% 9/2023 Facility F 110,148 — 110,148 450,000 L + 3.35% 6/2023 Total Long-Term Debt Facilities 990,155 (1,672) 988,483 Convertible notes 4.75% convertible senior notes 198,629 (1,836) 196,793 N/A 4.75 % 8/2023 5.625% convertible senior notes 150,200 (2,072) 148,128 N/A 5.625 % 7/2024 5.75% exchangeable senior notes 172,092 (3,384) 168,708 N/A 5.75 % 10/2025 Trust preferred securities and subordinated notes 139,500 (779) 138,721 N/A L + 2.25% 7/2037 Total Long-Term Debt $ 1,650,576 $ (9,743) $ 1,640,833 (1) Variable rate borrowings are based on 1- or 3-month LIBOR ("L" in the table above) or 1-month SOFR plus an applicable spread. The following table summarizes the accrued interest payable on long-term debt at September 30, 2022 and December 31, 2021. Table 16.3 – Accrued Interest Payable on Long-Term Debt (In Thousands) September 30, 2022 December 31, 2021 Long-term debt facilities $ 2,685 $ 815 Convertible notes 4.75% convertible senior notes — 3,564 5.625% convertible senior notes 1,784 3,896 5.75% exchangeable senior notes 4,947 2,474 7.75% convertible senior notes 5,184 — Trust preferred securities and subordinated notes 1,228 581 Total Accrued Interest Payable on Long-Term Debt $ 15,828 $ 11,330 |
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 September 30, 2022 and December 31, 2021. Table 16.2 – Collateral for Long-Term Debt (In Thousands) September 30, 2022 December 31, 2021 Collateral Type Bridge loans $ 699,704 $ 554,597 Single-family rental loans — 244,703 Real estate securities Sequoia securitizations (1) 184,363 247,227 CAFL securitizations (1) 240,683 260,405 Total Collateral for Long-Term Debt $ 1,124,750 $ 1,306,932 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Future Lease Commitments by Year | The following table presents our future lease commitments at September 30, 2022. Table 17.1 – Future Lease Commitments by Year (In Thousands) September 30, 2022 2022 (3 months) $ 1,216 2023 4,956 2024 4,601 2025 3,580 2026 3,420 2027 and thereafter 4,553 Total Lease Commitments 22,326 Less: Imputed interest (2,793) Operating Lease Liabilities $ 19,533 |
Equity (Tables)
Equity (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Equity [Abstract] | |
Changes to Accumulated Other Comprehensive Income by Component | The following table provides a summary of changes to accumulated other comprehensive income (loss) by component for the three and nine months ended September 30, 2022 and 2021. Table 18.1 – Changes in Accumulated Other Comprehensive Income (Loss) by Component Three Months Ended September 30, 2022 Three Months Ended September 30, 2021 (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 $ 16,595 $ (74,383) $ 88,251 $ (78,511) Other comprehensive (loss) income (8,731) — (2,658) — Amounts reclassified from other 544 1,040 (6,200) 1,041 Net current-period other comprehensive (loss) income (8,187) 1,040 (8,858) 1,041 Balance at End of Period $ 8,408 $ (73,343) $ 79,393 $ (77,470) Nine Months Ended September 30, 2022 Nine Months Ended September 30, 2021 (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 $ 67,503 $ (76,430) $ 76,336 $ (80,557) Other comprehensive (loss) income (60,013) — 19,552 — Amounts reclassified from other 918 3,087 (16,495) 3,087 Net current-period other comprehensive (loss) income (59,095) 3,087 3,057 3,087 Balance at End of Period $ 8,408 $ (73,343) $ 79,393 $ (77,470) |
Reclassifications out of Accumulated Other Comprehensive Income | The following table provides a summary of reclassifications out of accumulated other comprehensive income (loss) for the three and nine months ended September 30, 2022 and 2021. Table 18.2 – Reclassifications Out of Accumulated Other Comprehensive Income (Loss) Amount Reclassified From Affected Line Item in the Three Months Ended September 30, (In Thousands) Income Statement 2022 2021 Net Realized (Gain) Loss on AFS Securities Increase (decrease) in allowance for credit losses on AFS securities Investment fair value changes, net $ 544 $ — Gain on sale of AFS securities Realized gains, net — (6,200) $ 544 $ (6,200) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 1,040 $ 1,041 $ 1,040 $ 1,041 Amount Reclassified From Affected Line Item in the Nine Months Ended September 30, (In Thousands) Income Statement 2022 2021 Net Realized (Gain) Loss on AFS Securities Increase (decrease) in allowance for credit losses on AFS securities Investment fair value changes, net $ 2,315 $ (388) Gain on sale of AFS securities Realized gains, net (1,397) (16,107) $ 918 $ (16,495) Net Realized Loss on Interest Rate Amortization of deferred loss Interest expense $ 3,087 $ 3,087 $ 3,087 $ 3,087 |
Basic and Diluted Earnings Per Common Share | The following table provides the basic and diluted (loss) earnings per common share computations for the three and nine months ended September 30, 2022 and 2021. Table 18.3 – Basic and Diluted Earnings per Common Share Three Months Ended September 30, Nine Months Ended September 30, (In Thousands, except Share Data) 2022 2021 2022 2021 Basic Earnings per Common Share: Net (loss) income attributable to Redwood $ (50,411) $ 88,286 $ (119,462) $ 275,568 Less: Dividends and undistributed earnings allocated to participating securities (1,158) (2,984) (3,445) (8,979) Net (loss) income allocated to common shareholders $ (51,569) $ 85,302 $ (122,907) $ 266,589 Basic weighted average common shares outstanding 116,087,890 112,995,847 118,530,172 112,754,691 Basic (Loss) Earnings per Common Share $ (0.44) $ 0.75 $ (1.04) $ 2.36 Diluted Earnings per Common Share: Net (loss) income attributable to Redwood $ (50,411) $ 88,286 $ (119,462) $ 275,568 Less: Dividends and undistributed earnings allocated to participating securities (1,158) (2,747) (3,445) (8,151) Add back: Interest expense on convertible notes for the period, net of tax — 6,870 — 20,585 Net (loss) income allocated to common shareholders $ (51,569) $ 92,409 $ (122,907) $ 288,002 Weighted average common shares outstanding 116,087,890 112,995,847 118,530,172 112,754,691 Net effect of dilutive equity awards — 292,749 — 253,819 Net effect of assumed convertible notes conversion to common shares — 28,566,875 — 28,566,875 Diluted weighted average common shares outstanding 116,087,890 141,855,471 118,530,172 141,575,385 Diluted (Loss) Earnings per Common Share $ (0.44) $ 0.65 $ (1.04) $ 2.03 |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 $35 million at September 30, 2022, as shown in the following table. Table 19.1 – Activities of Equity Compensation Costs by Award Type Nine Months Ended September 30, 2022 (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 $ 84 $ 3,589 $ 26,473 $ 12,237 $ — $ 42,383 Equity grants — 2,513 7,960 — 323 10,796 Performance-based valuation adjustment — — — (3,205) — (3,205) Equity grant forfeitures (5) (448) (101) — — (554) Equity compensation expense (79) (1,567) (10,412) (2,524) (242) (14,824) Unrecognized Compensation Cost at End of Period $ — $ 4,087 $ 23,920 $ 6,508 $ 81 $ 34,596 |
Mortgage Banking Activities, _2
Mortgage Banking Activities, Net (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Mortgage Banking [Abstract] | |
Mortgage Banking Activities | The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the three and nine months ended September 30, 2022 and 2021. Table 20.1 – Mortgage Banking Activities Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 Residential Mortgage Banking Activities, Net Changes in fair value of: Residential loans, at fair value (1) $ (22,776) $ 27,862 $ (125,012) $ 75,496 Trading securities (2) 148 32 4,249 (342) Risk management derivatives (3) 24,319 3,963 107,573 37,187 Other income (expense), net (4) 467 1,089 5,496 3,305 Total residential mortgage banking activities, net 2,158 32,946 (7,694) 115,646 Business Purpose Mortgage Banking Activities, Net: Changes in fair value of: Single-family rental loans, at fair value (1) (19,306) 18,461 (84,493) 54,675 Risk management derivatives (3) 24,044 (424) 56,564 930 Bridge loans, at fair value (9) 3,433 2,242 6,702 Other income, net (5) 9,648 8,747 36,214 22,236 Total business purpose mortgage banking activities, net 14,377 30,217 10,527 84,543 Mortgage Banking Activities, Net $ 16,535 $ 63,163 $ 2,833 $ 200,189 (1) For residential loans, includes changes in fair value for associated loan purchase 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 repurchases, presented net. (5) Amounts in this line item include other fee income from loan originations. |
Other Income, Net (Tables)
Other Income, Net (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Other Income and Expenses [Abstract] | |
Schedule of Other Income, Net | The following table presents the components of Other income recorded in our consolidated statements of income for the three and nine months ended September 30, 2022 and 2021. Table 21.1 – Other Income, Net Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 MSR income, net (1) $ 2,890 $ 295 $ 12,569 $ 949 Bridge loan fees 1,489 1,131 3,952 2,735 Risk share income 279 575 1,062 2,318 Other (631) 387 (567) 2,355 Other Income, Net $ 4,027 $ 2,388 $ 17,016 $ 8,357 (1) Includes servicing fees and fair value changes for MSRs, net. |
General and Administrative Ex_2
General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 nine months ended September 30, 2022 and 2021 are presented in the following table. Table 22.1 – Components of General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses Three Months Ended September 30, Nine Months Ended September 30, (In Thousands) 2022 2021 2022 2021 General and Administrative Expenses Fixed compensation expense (1) $ 18,626 $ 11,285 $ 45,364 $ 34,359 Annual variable compensation expense 3,521 19,844 8,689 51,021 Long-term incentive award expense (2) 4,998 4,915 16,190 14,766 Acquisition-related equity compensation expense (3) — 1,189 — 3,613 Systems and consulting 3,909 2,975 10,796 9,224 Office costs 2,381 2,197 6,489 6,029 Accounting and legal 1,775 1,197 5,026 3,132 Corporate costs 928 964 2,792 2,528 Other 3,969 3,126 11,581 7,165 Total General and Administrative Expenses 40,107 47,692 106,927 131,837 Loan Acquisition Costs Commissions 1,549 1,906 6,279 4,830 Underwriting costs 545 2,351 3,013 5,872 Transfer and holding costs 332 364 1,079 1,226 Total Loan Acquisition Costs 2,426 4,621 10,371 11,928 Other Expenses Amortization of purchase-related intangible assets 3,891 3,873 10,731 11,619 Other 370 150 1,083 485 Total Other Expenses 4,261 4,023 11,814 12,104 Total General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses $ 46,794 $ 56,336 $ 129,112 $ 155,869 (1) Includes $3 million of severance and transition-related expenses for the three and nine months ended September 30, 2022. (2) For the three months ended September 30, 2022 and 2021, long-term incentive award expense included $5 million and $3 million of expense for awards settleable in shares of our common stock, and $0.1 million and $1 million of expense for awards settleable in cash, respectively. For the nine months ended September 30, 2022 and 2021, long-term incentive award expense included $15 million and $10 million of expense for awards settleable in shares of our common stock, and $1 million and $4 million of expense for awards settleable in cash, respectively. (3) 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 in 2019. The grant date fair value of these restricted stock awards was $10 million, which was recognized as compensation expense over the two-year vesting period on a straight-line basis in accordance with GAAP. |
Taxes (Tables)
Taxes (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 and 2021. Table 23.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate September 30, 2022 September 30, 2021 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 (29.6) % (13.1) % Change in valuation allowance (2.4) % (6.8) % Dividends paid deduction 10.5 % (4.9) % Effective Tax Rate 8.1 % 4.8 % |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Segment Reporting [Abstract] | |
Business Segment Financial Information | The following tables present financial information by segment for the three and nine months ended September 30, 2022 and 2021. Table 24.1 – Business Segment Financial Information Three Months Ended September 30, 2022 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 9,882 $ 9,082 $ 156,882 $ 1,816 $ 177,662 Interest expense (8,083) (5,971) (111,876) (16,797) (142,727) Net interest income 1,799 3,111 45,006 (14,981) 34,935 Non-interest (loss) income Mortgage banking activities, net 2,158 14,377 — — 16,535 Investment fair value changes, net — — (61,780) 4,083 (57,697) Other income, net — 399 3,906 (278) 4,027 Realized gains, net — — — — — Total non-interest income (loss), net 2,158 14,776 (57,874) 3,805 (37,135) General and administrative expenses (5,735) (18,535) (3,502) (12,335) (40,107) Loan acquisition costs (550) (1,876) — — (2,426) Other expenses — (3,891) (370) — (4,261) Benefit from (provision for) income taxes 1,688 2,559 (5,664) — (1,417) Segment Contribution $ (640) $ (3,856) $ (22,404) $ (23,511) Net (Loss) $ (50,411) Non-cash amortization (expense) income, net $ (185) $ (3,609) $ (3,658) $ (2,843) $ (10,295) Nine Months Ended September 30, 2022 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 36,048 $ 22,509 $ 471,932 $ 4,028 $ 534,517 Interest expense (23,316) (12,797) (331,047) (38,832) (405,992) Net interest income 12,732 9,712 140,885 (34,804) 128,525 Non-interest (loss) income Mortgage banking activities, net (7,694) 10,527 — — 2,833 Investment fair value changes, net — — (165,297) 13,508 (151,789) Other income, net — 2,028 15,423 (435) 17,016 Realized gains, net — — 2,581 — 2,581 Total non-interest (loss) income, net (7,694) 12,555 (147,293) 13,073 (129,359) General and administrative expenses (17,918) (40,076) (9,676) (39,257) (106,927) Loan acquisition costs (2,848) (7,523) — — (10,371) Other expenses 74 (10,731) (1,157) — (11,814) Benefit from (provision for) income taxes 8,283 9,009 (6,808) — 10,484 Segment Contribution $ (7,371) $ (27,054) $ (24,049) $ (60,988) Net (Loss) $ (119,462) Non-cash amortization (expense) income, net $ (699) $ (11,563) $ 4,385 $ (6,428) $ (14,305) Three Months Ended September 30, 2021 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 14,712 $ 3,967 $ 125,994 $ 1,049 $ 145,722 Interest expense (7,537) (2,013) (84,049) (10,155) (103,754) Net interest income 7,175 1,954 41,945 (9,106) 41,968 Non-interest income Mortgage banking activities, net 32,946 30,217 — — 63,163 Investment fair value changes, net — — 26,324 (247) 26,077 Other income, net — 216 1,842 330 2,388 Realized gains, net — — 6,703 — 6,703 Total non-interest income, net 32,946 30,433 34,869 83 98,331 General and administrative expenses (7,891) (12,017) (4,483) (23,301) (47,692) Loan acquisition costs (2,395) (2,175) (51) — (4,621) Other expenses — (3,873) (150) — (4,023) (Provision for) benefit from income taxes (10,429) (3,485) (1,045) 19,282 4,323 Segment Contribution $ 19,406 $ 10,837 $ 71,085 $ (13,042) Net Income $ 88,286 Non-cash amortization (expense) income, net $ (33) $ (4,224) $ 5,682 $ (1,995) $ (570) Nine Months Ended September 30, 2021 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 35,536 $ 9,849 $ 363,751 $ 3,586 $ 412,722 Interest expense (19,903) (5,134) (258,685) (30,649) (314,371) Net interest income 15,633 4,715 105,066 (27,063) 98,351 Non-interest income Mortgage banking activities, net 115,646 84,543 — — 200,189 Investment fair value changes, net — — 121,812 (1,168) 120,644 Other income, net — 494 7,121 742 8,357 Realized gains, net — — 17,803 — 17,803 Total non-interest income (loss), net 115,646 85,037 146,736 (426) 346,993 General and administrative expenses (27,478) (34,567) (10,804) (58,988) (131,837) Loan acquisition costs (5,686) (5,528) (710) (4) (11,928) Other expenses (6) (11,523) (592) 17 (12,104) Provision for income taxes (23,640) (6,988) (2,561) 19,282 (13,907) Segment Contribution $ 74,469 $ 31,146 $ 237,135 $ (67,182) Net Income $ 275,568 Non-cash amortization income (expense), net $ 8,867 $ (16,154) $ 317 $ (5,845) $ (12,815) |
Components of Corporate and Other | The following table presents the components of Corporate/Other for the three and nine months ended September 30, 2022 and 2021. Table 24.2 – Components of Corporate/Other Three Months Ended September 30, 2022 2021 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 1,473 $ 343 $ 1,816 $ 1,042 $ 7 $ 1,049 Interest expense (1,486) (15,311) (16,797) (641) (9,514) (10,155) Net interest income (13) (14,968) (14,981) 401 (9,507) (9,106) Non-interest income Investment fair value changes, net (329) 4,412 4,083 (247) — (247) Other income — (278) (278) — 330 330 Total non-interest income, net (329) 4,134 3,805 (247) 330 83 General and administrative expenses — (12,335) (12,335) — (23,301) (23,301) Loan acquisition costs — — — — — — Other expenses — — — — — — Provision for income taxes — — — — 19,282 19,282 Total $ (342) $ (23,169) $ (23,511) $ 154 $ (13,196) $ (13,042) Nine Months Ended September 30, 2022 2021 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 3,593 $ 435 $ 4,028 $ 3,559 $ 27 $ 3,586 Interest expense (3,154) (35,678) (38,832) (2,271) (28,378) (30,649) Net interest income 439 (35,243) (34,804) 1,288 (28,351) (27,063) Non-interest income Investment fair value changes, net (1,379) 14,887 13,508 (1,162) (6) (1,168) Other income — (435) (435) — 742 742 Total non-interest income, net (1,379) 14,452 13,073 (1,162) 736 (426) General and administrative expenses — (39,257) (39,257) — (58,988) (58,988) Loan acquisition costs — — — — (4) (4) Other expenses — — — — 17 17 Provision for income taxes — — — — 19,282 19,282 Total $ (940) $ (60,048) $ (60,988) $ 126 $ (67,308) $ (67,182) (1) Legacy consolidated VIEs represent Legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 |
Supplemental Information by Segment | The following table presents supplemental information by segment at September 30, 2022 and December 31, 2021. Table 24.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total September 30, 2022 Residential loans $ 676,458 $ — $ 4,877,938 $ 198,160 $ 5,752,556 Business purpose loans — 337,238 4,919,980 — 5,257,218 Consolidated Agency multifamily loans — — 427,458 — 427,458 Real estate securities — — 259,212 — 259,212 Home equity investments — — 340,437 — 340,437 Other investments — — 341,155 71,607 412,762 Goodwill — 23,373 — — 23,373 Intangible assets — 44,130 — — 44,130 Total assets 738,301 473,748 11,301,836 632,062 13,145,947 December 31, 2021 Residential loans $ 1,673,235 $ — $ 5,688,742 $ 230,455 $ 7,592,432 Business purpose loans — 347,860 4,443,129 — 4,790,989 Consolidated Agency multifamily loans — — 473,514 — 473,514 Real estate securities 4,927 — 372,484 — 377,411 Home equity investments — — 192,740 — 192,740 Other investments — — 413,527 35,702 449,229 Intangible assets — 41,561 — — 41,561 Total assets 1,716,285 464,967 11,770,486 755,206 14,706,944 |
Organization (Details)
Organization (Details) | 9 Months Ended |
Sep. 30, 2022 segment | |
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 | 9 Months Ended | ||||
Jul. 01, 2022 USD ($) | Sep. 30, 2022 USD ($) | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) partnership | Sep. 30, 2021 USD ($) | Dec. 31, 2019 USD ($) | |
Variable Interest Entity [Line Items] | ||||||
Number of partnerships consolidated | partnership | 2 | |||||
Amortization of intangible assets | $ 4,000 | $ 4,000 | $ 11,000 | $ 12,000 | ||
Interest income | 34,935 | 41,968 | 128,525 | 98,351 | ||
Total non-interest (loss) income, net | (37,135) | 98,331 | (129,359) | 346,993 | ||
Net (Loss) Income | 50,411 | (88,286) | 119,462 | (275,568) | ||
Riverbend Funding, LLC | ||||||
Variable Interest Entity [Line Items] | ||||||
Cash | $ 44,126 | |||||
Earn out period | 2 years | |||||
Potential future payments on loans | $ 25,300 | |||||
Contingent consideration, at fair value | 0 | |||||
Acquisition related costs | 1,000 | |||||
Intangible assets | $ 13,000 | |||||
Amortization of intangible assets | (600) | |||||
Goodwill recognized from acquisition | 23,373 | |||||
Goodwill deductible for tax purposes | 23,000 | 23,000 | ||||
Net interest income | 34,935 | 43,174 | 132,475 | 100,570 | ||
Non-interest (loss) income | (37,135) | 102,436 | (121,614) | 355,456 | ||
Net (loss) income | (50,411) | 89,923 | $ (117,090) | 278,134 | ||
Interest income | 1,000 | |||||
Total non-interest (loss) income, net | 500 | |||||
Net (Loss) Income | (1,000) | |||||
5 Arches | ||||||
Variable Interest Entity [Line Items] | ||||||
Intangible assets | $ 25,000 | |||||
CAFL | ||||||
Variable Interest Entity [Line Items] | ||||||
Intangible assets | $ 57,000 | |||||
Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of partnerships consolidated | partnership | 2 | |||||
VIE, ownership interest rate (as a percent) | 80% | |||||
Interest income | 29,518 | 21,554 | $ 90,072 | 63,966 | ||
Total non-interest (loss) income, net | (60,951) | 18,390 | (127,000) | 78,333 | ||
Net (Loss) Income | $ 31,860 | $ (39,735) | $ 38,216 | $ (141,558) |
Basis of Presentation - Schedul
Basis of Presentation - Schedule of Assets Acquired and Liabilities Assumed (Details) - USD ($) $ in Thousands | Jul. 01, 2022 | Sep. 30, 2022 | Dec. 31, 2021 | |
Allocated to: | ||||
Goodwill | [1] | $ 23,373 | $ 0 | |
Riverbend Funding, LLC | ||||
Purchase price: | ||||
Cash | $ 44,126 | |||
Provisional consideration payable | 477 | |||
Contingent consideration, at fair value | 0 | |||
Total consideration | 44,603 | |||
Allocated to: | ||||
Business purpose loans, at fair value | 59,748 | |||
Other investments | 2,443 | |||
Cash and cash equivalents | 3,490 | |||
Other assets | 13,306 | |||
Goodwill | 23,373 | $ 23,373 | $ 0 | |
Intangible assets | 13,300 | |||
Total assets acquired | 115,660 | |||
Short-term debt, net | 67,423 | |||
Accrued expenses and other liabilities | 3,634 | |||
Total liabilities assumed | 71,057 | |||
Total net assets acquired | $ 44,603 | |||
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Basis of Presentation - Intangi
Basis of Presentation - Intangible Assets – Activity (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2022 USD ($) | |
Finite-Lived Intangible Assets [Line Items] | |
Carrying value | $ 44,130 |
5 Arches LLC and CoreVest | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible Assets at Acquisition | 94,600 |
Accumulated amortization | (50,470) |
Carrying value | $ 44,130 |
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 | $ 56,300 |
Accumulated amortization | (19,537) |
Carrying value | $ 36,763 |
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 | $ 18,100 |
Accumulated amortization | (12,972) |
Carrying value | $ 5,128 |
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 | $ 11,400 |
Accumulated amortization | (9,567) |
Carrying value | $ 1,833 |
Weighted Average Amortization Period (in years) | 3 years |
5 Arches LLC and CoreVest | Tradenames | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible Assets at Acquisition | $ 4,400 |
Accumulated amortization | (3,994) |
Carrying value | $ 406 |
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 | $ 1,800 |
Accumulated amortization | (1,800) |
Carrying value | $ 0 |
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 | $ 2,600 |
Accumulated amortization | (2,600) |
Carrying value | $ 0 |
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 | Sep. 30, 2022 USD ($) |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
2022 (3 months) | $ 3,238 |
2023 | 12,430 |
2024 | 9,413 |
2025 | 8,426 |
2026 | 6,695 |
2027 and thereafter | 3,928 |
Total Future Intangible Asset Amortization | $ 44,130 |
Basis of Presentation - Goodwil
Basis of Presentation - Goodwill – Activity (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 USD ($) | ||
Goodwill [Roll Forward] | ||
Beginning balance | $ 0 | [1] |
Ending Balance | 23,373 | [1] |
Riverbend Funding, LLC | ||
Goodwill [Roll Forward] | ||
Beginning balance | 0 | |
Goodwill recognized from acquisition | 23,373 | |
Impairment | 0 | |
Ending Balance | $ 23,373 | |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Basis of Presentation - Pro For
Basis of Presentation - Pro Forma Information (Details) - Riverbend Funding, LLC - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Business Acquisition [Line Items] | ||||
Net interest income | $ 34,935 | $ 43,174 | $ 132,475 | $ 100,570 |
Non-interest (loss) income | (37,135) | 102,436 | (121,614) | 355,456 |
Net (loss) income | $ (50,411) | $ 89,923 | $ (117,090) | $ 278,134 |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies - Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Borrowings | $ 1,546,934 | $ 1,650,576 |
Notional Amount | 2,116,501 | 6,861,921 |
Interest rate contract | ||
Debt Instrument [Line Items] | ||
Notional Amount | 37,000 | $ 2,100,000 |
Repo or Warehouse Debt | ||
Debt Instrument [Line Items] | ||
Borrowings | 689,000 | |
Bridge Loan | ||
Debt Instrument [Line Items] | ||
Borrowings | 757,000 | |
Trust Preferred Securities and Subordinated Notes | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 140,000 |
Summary of Significant Accoun_5
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Assets | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | $ 65,213 | $ 26,467 |
Liabilities | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | (6,782) | (3,317) |
Total Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (230,940) | (575,534) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (230,940) | (575,534) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 224,924 | 574,629 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 1,280 | 895 | |
Net Amount | (4,736) | (10) | |
Interest rate agreements | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 24,626 | 18,929 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 24,626 | 18,929 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (23) | (1,251) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (7,638) | (16,046) | |
Net Amount | 16,965 | 1,632 | |
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (23) | (1,251) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (23) | (1,251) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 23 | 1,251 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | 0 | |
Net Amount | 0 | 0 | |
TBAs | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 13,568 | 2,880 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 13,568 | 2,880 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (529) | (633) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (12,077) | (704) | |
Net Amount | 962 | 1,543 | |
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (6,545) | (658) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (6,545) | (658) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 529 | 633 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 1,280 | 15 | |
Net Amount | (4,736) | (10) | |
Futures | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 26,275 | 25 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 26,275 | 25 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (2) | (25) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (10,675) | 0 | |
Net Amount | 15,598 | 0 | |
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (2) | (905) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (2) | (905) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 2 | 25 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | 880 | |
Net Amount | 0 | 0 | |
Interest Rate Agreement, TBAs, and Futures | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 64,469 | 21,834 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 64,469 | 21,834 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (554) | (1,909) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (30,390) | (16,750) | |
Net Amount | 33,525 | 3,175 | |
Loan warehouse debt | |||
Loan warehouse debt and Security repurchase agreement | |||
Gross Amounts of Recognized Assets (Liabilities) | (224,370) | (572,720) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (224,370) | (572,720) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 224,370 | 572,720 | |
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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Principles of Consolidation - A
Principles of Consolidation - Additional Information (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2022 USD ($) entity partnership | |
Variable Interest Entity [Line Items] | |
Number of partnerships consolidated | partnership | 2 |
Loans for sale at fair value that were acquired | $ | $ 158 |
Variable Interest Entity, Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Number of partnerships consolidated | partnership | 2 |
VIE, ownership interest rate (as a percent) | 80% |
Variable Interest Entity, Not Primary Beneficiary | |
Variable Interest Entity [Line Items] | |
Number of securitization entities to which asset transferred (in entities) | entity | 46 |
Number of entities called | entity | 3 |
Unpaid principal balance of loans purchased | $ | $ 102 |
Principles of Consolidation -_2
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entities Accounted for as Collateralized Financing Entities (Details) $ in Thousands | Sep. 30, 2022 USD ($) investment | Dec. 31, 2021 USD ($) investment | |
Variable Interest Entity [Line Items] | |||
Home equity investments | $ 340,437 | $ 192,740 | |
Other investments | [1] | 412,762 | 449,229 |
Cash and cash equivalents | [1] | 297,092 | 450,485 |
Restricted cash | [1] | 71,996 | 80,999 |
Accrued interest receivable | 54,944 | 47,515 | |
Other assets | [1] | 194,500 | 231,117 |
Total Assets | [1] | 13,145,947 | 14,706,944 |
Short-term debt | [1] | 2,110,279 | 2,177,362 |
Accrued interest payable | 46,938 | 39,297 | |
Accrued expenses and other liabilities | [1] | 201,125 | 245,788 |
Asset-backed securities issued | [1] | 8,139,293 | 9,253,557 |
Total liabilities | [1] | 11,991,705 | 13,320,857 |
CAFL | |||
Variable Interest Entity [Line Items] | |||
Fair value of securities owned | 314,000 | 302,000 | |
Freddie Mac SLST | |||
Variable Interest Entity [Line Items] | |||
Fair value of securities owned | 335,000 | 445,000 | |
Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Total Assets | 9,449,163 | 10,661,081 | |
Total liabilities | 8,448,479 | 9,619,347 | |
Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Home equity investments | 139,728 | ||
Other investments | 307,723 | 544,307 | |
Cash and cash equivalents | 15,923 | 6,481 | |
Restricted cash | 38,168 | 46,086 | |
Accrued interest receivable | 36,284 | 35,401 | |
Other assets | 34,355 | 41,826 | |
Total Assets | 9,449,163 | 10,661,081 | |
Short-term debt | 233,104 | 294,447 | |
Accrued interest payable | 25,580 | 25,018 | |
Accrued expenses and other liabilities | 50,502 | 46,325 | |
Asset-backed securities issued | 8,139,293 | 9,253,557 | |
Total liabilities | 8,448,479 | 9,619,347 | |
Value of our investments in VIEs | $ 993,406 | $ 1,033,913 | |
Number of VIEs | investment | 64 | 60 | |
Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 4,918,295 | $ 5,747,150 | |
Business purpose loans, held-for-investment | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | [1] | 4,919,980 | 4,432,680 |
Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 3,531,229 | 3,766,316 | |
Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 427,458 | 473,514 | |
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 92 | 148 | |
Accrued interest receivable | 226 | 210 | |
Other assets | 407 | 61 | |
Total Assets | 198,886 | 230,874 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 224 | 99 | |
Accrued expenses and other liabilities | (58) | 0 | |
Asset-backed securities issued | 197,354 | 227,881 | |
Total liabilities | 197,520 | 227,980 | |
Value of our investments in VIEs | $ 1,214 | $ 2,634 | |
Number of VIEs | investment | 20 | 20 | |
Legacy Sequoia | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 198,161 | $ 230,455 | |
Legacy Sequoia | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Legacy Sequoia | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Sequoia | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 78 | 5 | |
Accrued interest receivable | 11,295 | 10,885 | |
Other assets | 0 | 0 | |
Total Assets | 3,248,543 | 3,639,355 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 9,003 | 8,452 | |
Accrued expenses and other liabilities | 80 | 5 | |
Asset-backed securities issued | 3,013,249 | 3,383,048 | |
Total liabilities | 3,022,332 | 3,391,505 | |
Value of our investments in VIEs | $ 223,920 | $ 245,417 | |
Number of VIEs | investment | 17 | 16 | |
Sequoia | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 3,237,170 | $ 3,628,465 | |
Sequoia | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Sequoia | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
CAFL | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 15,889 | 15,221 | |
Accrued interest receivable | 17,497 | 15,737 | |
Other assets | 24,084 | 32,510 | |
Total Assets | 3,588,699 | 3,829,784 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 11,202 | 11,030 | |
Accrued expenses and other liabilities | 1,903 | 1,171 | |
Asset-backed securities issued | 3,179,487 | 3,474,898 | |
Total liabilities | 3,192,592 | 3,487,099 | |
Value of our investments in VIEs | $ 393,015 | $ 339,419 | |
Number of VIEs | investment | 19 | 16 | |
CAFL | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 0 | $ 0 | |
CAFL | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 3,531,229 | 3,766,316 | |
CAFL | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 0 | 0 | |
Accrued interest receivable | 5,247 | 5,792 | |
Other assets | 2,544 | 2,028 | |
Total Assets | 1,490,755 | 1,896,050 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 3,630 | 4,055 | |
Accrued expenses and other liabilities | 0 | 0 | |
Asset-backed securities issued | 1,249,041 | 1,588,463 | |
Total liabilities | 1,252,671 | 1,592,518 | |
Value of our investments in VIEs | $ 236,467 | $ 301,795 | |
Number of VIEs | investment | 3 | 3 | |
Freddie Mac SLST | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 1,482,964 | $ 1,888,230 | |
Freddie Mac SLST | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Freddie Mac SLST | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Other investments | 0 | 0 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 0 | 0 | |
Accrued interest receivable | 1,299 | 1,315 | |
Other assets | 0 | 0 | |
Total Assets | 428,757 | 474,829 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 1,173 | 1,190 | |
Accrued expenses and other liabilities | 0 | 0 | |
Asset-backed securities issued | 395,411 | 441,857 | |
Total liabilities | 396,584 | 443,047 | |
Value of our investments in VIEs | $ 32,047 | $ 31,657 | |
Number of VIEs | investment | 1 | 1 | |
Freddie Mac K-Series | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
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 | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Freddie Mac K-Series | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 427,458 | 473,514 | |
Servicing Investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Other investments | 307,723 | 384,754 | |
Cash and cash equivalents | 15,923 | 6,481 | |
Restricted cash | 18,569 | 25,420 | |
Accrued interest receivable | 720 | 1,462 | |
Other assets | 7,270 | 7,177 | |
Total Assets | 350,205 | 425,294 | |
Short-term debt | 233,104 | 294,447 | |
Accrued interest payable | 348 | 192 | |
Accrued expenses and other liabilities | 24,223 | 28,115 | |
Asset-backed securities issued | 0 | 0 | |
Total liabilities | 257,675 | 322,754 | |
Value of our investments in VIEs | $ 92,530 | $ 102,540 | |
Number of VIEs | investment | 3 | 3 | |
Servicing Investment | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | $ 0 | $ 0 | |
Servicing Investment | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
Servicing Investment | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
HEI | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Home equity investments | 139,728 | ||
Other investments | 0 | 159,553 | |
Cash and cash equivalents | 0 | 0 | |
Restricted cash | 3,540 | 5,292 | |
Accrued interest receivable | 0 | 0 | |
Other assets | 50 | 50 | |
Total Assets | 143,318 | 164,895 | |
Short-term debt | 0 | 0 | |
Accrued interest payable | 0 | 0 | |
Accrued expenses and other liabilities | 24,354 | 17,034 | |
Asset-backed securities issued | 104,751 | 137,410 | |
Total liabilities | 129,105 | 154,444 | |
Value of our investments in VIEs | $ 14,213 | $ 10,451 | |
Number of VIEs | investment | 1 | 1 | |
Fair value of securities owned | $ 14,000 | ||
HEI | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | $ 0 | |
HEI | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
Variable Interest Entity [Line Items] | |||
Fair value of loans | 0 | 0 | |
HEI | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | |||
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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Principles of Consolidation - I
Principles of Consolidation - Income (Loss) from Consolidated VIEs Accounted for as Collateralized Financing Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Variable Interest Entity [Line Items] | ||||
Interest income | $ 177,662 | $ 145,722 | $ 534,517 | $ 412,722 |
Interest expense | (142,727) | (103,754) | (405,992) | (314,371) |
Net Interest Income | 34,935 | 41,968 | 128,525 | 98,351 |
Investment fair value changes, net | (57,697) | 26,077 | (151,789) | 120,644 |
Total non-interest (loss) income, net | (37,135) | 98,331 | (129,359) | 346,993 |
General and administrative expenses | (40,107) | (47,692) | (106,927) | (131,837) |
Net (Loss) Income | (50,411) | 88,286 | (119,462) | 275,568 |
Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 123,161 | 96,304 | 381,969 | 290,092 |
Interest expense | (93,643) | (74,750) | (291,897) | (226,126) |
Net Interest Income | 29,518 | 21,554 | 90,072 | 63,966 |
Investment fair value changes, net | (61,237) | 18,380 | (127,631) | 78,323 |
Other income | 286 | 10 | 631 | 10 |
Total non-interest (loss) income, net | (60,951) | 18,390 | (127,000) | 78,333 |
General and administrative expenses | (55) | (60) | (130) | (150) |
Other expenses | (372) | (149) | (1,158) | (591) |
Net (Loss) Income | (31,860) | 39,735 | (38,216) | 141,558 |
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 1,475 | 1,042 | 3,595 | 3,559 |
Interest expense | (1,486) | (641) | (3,154) | (2,271) |
Net Interest Income | (11) | 401 | 441 | 1,288 |
Investment fair value changes, net | (328) | (247) | (1,378) | (1,162) |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (328) | (247) | (1,378) | (1,162) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net (Loss) Income | (339) | 154 | (937) | 126 |
Sequoia | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 31,587 | 18,867 | 95,608 | 48,842 |
Interest expense | (27,541) | (15,368) | (84,041) | (38,848) |
Net Interest Income | 4,046 | 3,499 | 11,567 | 9,994 |
Investment fair value changes, net | (10,936) | 3,314 | (20,644) | 13,118 |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (10,936) | 3,314 | (20,644) | 13,118 |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net (Loss) Income | (6,890) | 6,813 | (9,077) | 23,112 |
CAFL | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 61,439 | 48,937 | 195,381 | 152,659 |
Interest expense | (44,804) | (37,489) | (145,207) | (118,543) |
Net Interest Income | 16,635 | 11,448 | 50,174 | 34,116 |
Investment fair value changes, net | (4,527) | 2,943 | (23,972) | 6,354 |
Other income | 286 | 10 | 631 | 10 |
Total non-interest (loss) income, net | (4,241) | 2,953 | (23,341) | 6,364 |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net (Loss) Income | 12,394 | 14,401 | 26,833 | 40,480 |
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 16,098 | 18,707 | 49,851 | 58,372 |
Interest expense | (12,829) | (15,774) | (40,286) | (49,756) |
Net Interest Income | 3,269 | 2,933 | 9,565 | 8,616 |
Investment fair value changes, net | (41,892) | 13,849 | (74,796) | 54,282 |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (41,892) | 13,849 | (74,796) | 54,282 |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net (Loss) Income | (38,623) | 16,782 | (65,231) | 62,898 |
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 4,762 | 4,846 | 14,247 | 14,492 |
Interest expense | (4,377) | (4,460) | (13,099) | (13,294) |
Net Interest Income | 385 | 386 | 1,148 | 1,198 |
Investment fair value changes, net | 316 | 554 | 390 | 11,330 |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | 316 | 554 | 390 | 11,330 |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net (Loss) Income | 701 | 940 | 1,538 | 12,528 |
Servicing Investment | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 7,800 | 3,905 | 23,287 | 12,168 |
Interest expense | (2,606) | (1,018) | (6,110) | (3,414) |
Net Interest Income | 5,194 | 2,887 | 17,177 | 8,754 |
Investment fair value changes, net | (3,286) | (2,080) | (11,259) | (5,646) |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (3,286) | (2,080) | (11,259) | (5,646) |
General and administrative expenses | (55) | (60) | (130) | (150) |
Other expenses | (372) | (149) | (1,158) | (591) |
Net (Loss) Income | 1,481 | 598 | 4,630 | 2,367 |
HEI | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | 0 |
Net Interest Income | 0 | 0 | 0 | 0 |
Investment fair value changes, net | (584) | 47 | 4,028 | 47 |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (584) | 47 | 4,028 | 47 |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net (Loss) Income | $ (584) | $ 47 | $ 4,028 | $ 47 |
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 | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Variable Interest Entity [Line Items] | ||||
Principal balance of loans transferred | $ 0 | $ 0 | $ 0 | $ 1,231,803 |
Trading securities retained, at fair value | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | 0 | 0 | 0 | 7,774 |
AFS securities retained, at fair value | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | $ 0 | $ 0 | $ 0 | $ 1,600 |
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 | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Variable Interest Entity [Line Items] | ||||
Proceeds from new transfers | $ 0 | $ 0 | $ 0 | $ 1,266,063 |
MSR fees received | 737 | 1,095 | 2,365 | 4,038 |
Funding of compensating interest, net | (11) | 54 | (41) | (116) |
Cash flows received on retained securities | $ 3,096 | $ 16,724 | $ 20,380 | $ 42,117 |
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 | 9 Months Ended |
Sep. 30, 2021 | |
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 | 11% |
Discount rates | 15% |
Credit loss assumptions | 0.23% |
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 | 11% |
Discount rates | 6% |
Credit loss assumptions | 0.23% |
Principles of Consolidation -_4
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
On-balance sheet assets, at fair value: | ||
Subordinate securities, classified as AFS | $ 142,279 | $ 206,792 |
Total Subordinate Investment Securities | ||
On-balance sheet assets, at fair value: | ||
Subordinate securities, classified as AFS | 142,279 | 206,792 |
Variable Interest Entity, Not Primary Beneficiary | ||
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | 118,491 | 152,206 |
Assets transferred: | ||
Principal balance of loans outstanding | 4,146,817 | 4,959,234 |
Principal balance of loans 30+ days delinquent | 21,803 | 30,594 |
Variable Interest Entity, Not Primary Beneficiary | Total Subordinate Investment Securities | ||
On-balance sheet assets, at fair value: | ||
Subordinate securities, classified as AFS | 78,065 | 127,542 |
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 | 28,511 | 18,214 |
Mortgage servicing rights | ||
On-balance sheet assets, at fair value: | ||
Mortgage servicing rights | 24,796 | 12,438 |
Mortgage servicing rights | Variable Interest Entity, Not Primary Beneficiary | ||
On-balance sheet assets, at fair value: | ||
Mortgage servicing rights | $ 11,915 | $ 6,450 |
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 | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
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 | $ 11,915 | $ 6,450 |
Expected life (in years) | 7 years | 3 years |
Prepayment speed assumption (annual CPR) (as a percent) | 8% | 29% |
Decrease in fair value from: | ||
10% adverse change | $ 334 | $ 447 |
25% adverse change | $ 810 | $ 1,020 |
Discount rate assumption | 11% | 12% |
Decrease in fair value from: | ||
100 basis point increase | $ 441 | $ 152 |
200 basis point increase | 852 | 297 |
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 | $ 28,511 | $ 18,214 |
Expected life (in years) | 7 years | 4 years |
Prepayment speed assumption (annual CPR) (as a percent) | 11% | 23% |
Decrease in fair value from: | ||
10% adverse change | $ 942 | $ 1,130 |
25% adverse change | $ 2,291 | $ 2,596 |
Discount rate assumption | 12% | 16% |
Decrease in fair value from: | ||
100 basis point increase | $ 1,001 | $ 426 |
200 basis point increase | $ 1,889 | $ 829 |
Credit loss assumption | 0.04% | 0.35% |
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 | $ 78,065 | $ 127,542 |
Expected life (in years) | 16 years | 5 years |
Prepayment speed assumption (annual CPR) (as a percent) | 8% | 32% |
Decrease in fair value from: | ||
10% adverse change | $ 570 | $ 531 |
25% adverse change | $ 1,132 | $ 1,440 |
Discount rate assumption | 8% | 5% |
Decrease in fair value from: | ||
100 basis point increase | $ 7,714 | $ 4,801 |
200 basis point increase | $ 14,345 | $ 9,139 |
Credit loss assumption | 0.04% | 0.35% |
Decrease in fair value from: | ||
10% higher losses | $ 190 | $ 1,528 |
25% higher losses | $ 254 | $ 3,819 |
Minimum | MSRs | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 10% | 10% |
Impact of increase in discount rate assumption | 1% | 1% |
Impact of adverse change in expected credit losses | 10% | 10% |
Minimum | Senior Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 10% | 10% |
Impact of increase in discount rate assumption | 1% | 1% |
Impact of adverse change in expected credit losses | 10% | 10% |
Minimum | Subordinate Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 10% | 10% |
Impact of increase in discount rate assumption | 1% | 1% |
Impact of adverse change in expected credit losses | 10% | 10% |
Maximum | MSRs | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25% | 25% |
Impact of increase in discount rate assumption | 2% | 2% |
Impact of adverse change in expected credit losses | 25% | 25% |
Maximum | Senior Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25% | 25% |
Impact of increase in discount rate assumption | 2% | 2% |
Impact of adverse change in expected credit losses | 25% | 25% |
Maximum | Subordinate Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25% | 25% |
Impact of increase in discount rate assumption | 2% | 2% |
Impact of adverse change in expected credit losses | 25% | 25% |
Principles of Consolidation -_5
Principles of Consolidation - Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Variable Interest Entity [Line Items] | |||
Real estate securities | [1] | $ 259,212 | $ 377,411 |
Other assets | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 160,298 | 242,055 | |
Other assets | Senior | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 348 | 3,572 | |
Other assets | Subordinate | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 152,288 | 228,083 | |
Other assets | Total Mortgage-Backed Securities | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 152,636 | 231,655 | |
Other assets | Excess MSR | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | $ 7,662 | $ 10,400 | |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Assets | |||
Real estate securities, at fair value | $ 116,933 | $ 170,619 | |
Shared home appreciation options | [1] | 340,437 | 192,740 |
Derivative assets | [1] | 65,213 | 26,467 |
Liabilities | |||
Derivative liabilities | [1] | 6,782 | 3,317 |
ABS issued, net, At fair value | 7,564,312 | 8,843,147 | |
Residential loans, held-for-sale, at fair value | |||
Assets | |||
Loans receivable, fair value | 828,192 | 1,838,797 | |
Servicer advance investments | |||
Assets | |||
MSRs | 274,934 | 350,923 | |
Carrying Value | |||
Assets | |||
Real estate securities, at fair value | 259,212 | 377,411 | |
Other financial instruments | 11,174 | 12,663 | |
Cash and cash equivalents | 297,092 | 450,485 | |
Restricted cash | 71,996 | 80,999 | |
Derivative assets | 65,213 | 26,467 | |
Margin receivable | 6,683 | 7,269 | |
Liabilities | |||
Margin payable | 30,389 | 24,368 | |
Guarantee obligation | 6,532 | 7,459 | |
Derivative liabilities | 6,782 | 3,317 | |
ABS issued, net, At fair value | 7,564,312 | 8,843,147 | |
ABS issued, net, At amortized cost | 574,981 | 410,410 | |
Other long-term debt, net | 868,851 | 988,483 | |
Convertible notes, net | 724,205 | 513,629 | |
Trust preferred securities and subordinated notes, net | 138,755 | 138,721 | |
Carrying Value | Servicer Advance Investments | |||
Assets | |||
MSRs | 274,934 | 350,923 | |
Carrying Value | MSRs | |||
Assets | |||
MSRs | 24,796 | 12,438 | |
Carrying Value | Excess MSRs | |||
Assets | |||
REO | 40,452 | 44,231 | |
Carrying Value | REO | |||
Assets | |||
REO | 3,683 | 36,126 | |
Carrying Value | Short-term debt (3) | |||
Liabilities | |||
Short-term debt | 1,912,694 | 2,177,362 | |
Carrying Value | Servicer advance investments | Residential loans, held-for-sale, at fair value | |||
Assets | |||
Loans, held-for-sale | 834,262 | 1,845,248 | |
Carrying Value | Servicer advance investments | Residential loans, held-for-investment, at fair value | |||
Assets | |||
Loans receivable, fair value | 4,918,294 | 5,747,150 | |
Carrying Value | Servicer advance investments | Business purpose loans, held-for-sale, at fair value | |||
Assets | |||
Loans, held-for-sale | 337,238 | 358,309 | |
Carrying Value | Servicer advance investments | Business purpose loans, held-for-investment, at fair value | |||
Assets | |||
Loans receivable, fair value | 4,919,980 | 4,432,680 | |
Carrying Value | Servicer advance investments | Consolidated Agency multifamily loans, at fair value | |||
Assets | |||
Loans receivable, fair value | 427,458 | 473,514 | |
Fair Value | |||
Assets | |||
Real estate securities, at fair value | 259,212 | 377,411 | |
Other financial instruments | 11,174 | 12,663 | |
Cash and cash equivalents | 297,092 | 450,485 | |
Restricted cash | 71,996 | 80,999 | |
Derivative assets | 65,213 | 26,467 | |
Margin receivable | 6,683 | 7,269 | |
Liabilities | |||
Margin payable | 30,389 | 24,368 | |
Guarantee obligation | 5,237 | 7,133 | |
Derivative liabilities | 6,782 | 3,317 | |
ABS issued, net, At fair value | 7,564,312 | 8,843,147 | |
ABS issued, net, At amortized cost | 541,773 | 410,471 | |
Other long-term debt, net | 858,810 | 989,570 | |
Convertible notes, net | 651,888 | 537,300 | |
Trust preferred securities and subordinated notes, net | 76,725 | 97,650 | |
Fair Value | Servicer Advance Investments | |||
Assets | |||
MSRs | 274,934 | 350,923 | |
Fair Value | MSRs | |||
Assets | |||
MSRs | 24,796 | 12,438 | |
Fair Value | Excess MSRs | |||
Assets | |||
REO | 40,452 | 44,231 | |
Fair Value | REO | |||
Assets | |||
REO | 4,105 | 39,272 | |
Fair Value | Short-term debt (3) | |||
Liabilities | |||
Short-term debt | 1,912,694 | 2,177,362 | |
Fair Value | Servicer advance investments | Residential loans, held-for-sale, at fair value | |||
Assets | |||
Loans, held-for-sale | 834,262 | 1,845,248 | |
Fair Value | Servicer advance investments | Residential loans, held-for-investment, at fair value | |||
Assets | |||
Loans receivable, fair value | 4,918,294 | 5,747,150 | |
Fair Value | Servicer advance investments | Business purpose loans, held-for-sale, at fair value | |||
Assets | |||
Loans, held-for-sale | 337,238 | 358,309 | |
Fair Value | Servicer advance investments | Business purpose loans, held-for-investment, at fair value | |||
Assets | |||
Loans receivable, fair value | 4,919,980 | 4,432,680 | |
Fair Value | Servicer advance investments | Consolidated Agency multifamily loans, at fair value | |||
Assets | |||
Loans receivable, fair value | 427,458 | 473,514 | |
Shared home appreciation options | Carrying Value | |||
Assets | |||
Shared home appreciation options | 340,437 | 192,740 | |
Liabilities | |||
HEI securitization non-controlling interest | 24,355 | 17,035 | |
Shared home appreciation options | Fair Value | |||
Assets | |||
Shared home appreciation options | 340,437 | 192,740 | |
Liabilities | |||
HEI securitization non-controlling interest | $ 24,355 | $ 17,035 | |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Additional Information (Details) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2022 USD ($) | Sep. 30, 2022 USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Investments | $ 10,000 | $ 10,000 |
Securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 0 | 5,000 |
Residential loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 340,000 | 3,600,000 |
Business purpose loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 630,000 | 2,470,000 |
Acquisitions | 181,814 | |
HEIs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Acquisitions | 80,000 | 176,000 |
MSRs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Acquisitions | $ 0 | $ 8,293 |
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 | Sep. 30, 2022 | Dec. 31, 2021 | |
Assets | |||
Real estate securities, at fair value | $ 116,933 | $ 170,619 | |
Other investments | [1] | 412,762 | 449,229 |
Derivative assets | [1] | 65,213 | 26,467 |
Liabilities | |||
Derivative liabilities | [1] | 6,782 | 3,317 |
ABS issued | 7,564,312 | 8,843,147 | |
Fair Value, Measurements, Recurring | |||
Assets | |||
Business purpose loans | 5,257,218 | 4,790,989 | |
Consolidated Agency multifamily loans | 427,458 | 473,514 | |
Real estate securities, at fair value | 259,212 | 377,411 | |
Servicer advance investments | 274,934 | 350,923 | |
MSRs | 24,796 | 12,438 | |
Excess MSRs | 40,452 | 44,231 | |
HEIs | 340,437 | 192,740 | |
Other investments | 11,174 | 17,574 | |
Derivative assets | 65,213 | 26,467 | |
FHLBC stock | 10 | ||
Liabilities | |||
HEI securitization non-controlling interest | 24,355 | 17,035 | |
Derivative liabilities | 6,782 | 3,317 | |
ABS issued | 7,564,312 | 8,843,147 | |
Fair Value, Measurements, Recurring | Residential Loans | |||
Assets | |||
Residential loans | 5,752,524 | 7,592,398 | |
Fair Value, Measurements, Recurring | Level 1 | |||
Assets | |||
Business purpose loans | 0 | 0 | |
Consolidated Agency multifamily loans | 0 | 0 | |
Real estate securities, at fair value | 0 | 0 | |
Servicer advance investments | 0 | 0 | |
MSRs | 0 | 0 | |
Excess MSRs | 0 | 0 | |
HEIs | 0 | 0 | |
Other investments | 0 | 0 | |
Derivative assets | 39,843 | 2,906 | |
FHLBC stock | 0 | ||
Liabilities | |||
HEI securitization non-controlling interest | 0 | 0 | |
Derivative liabilities | 6,547 | 1,563 | |
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 | |
Consolidated Agency multifamily loans | 0 | 0 | |
Real estate securities, at fair value | 0 | 0 | |
Servicer advance investments | 0 | 0 | |
MSRs | 0 | 0 | |
Excess MSRs | 0 | 0 | |
HEIs | 0 | 0 | |
Other investments | 0 | 0 | |
Derivative assets | 24,626 | 18,928 | |
FHLBC stock | 10 | ||
Liabilities | |||
HEI securitization non-controlling interest | 0 | 0 | |
Derivative liabilities | 23 | 1,251 | |
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 | 5,257,218 | 4,790,989 | |
Consolidated Agency multifamily loans | 427,458 | 473,514 | |
Real estate securities, at fair value | 259,212 | 377,411 | |
Servicer advance investments | 274,934 | 350,923 | |
MSRs | 24,796 | 12,438 | |
Excess MSRs | 40,452 | 44,231 | |
HEIs | 340,437 | 192,740 | |
Other investments | 11,174 | 17,574 | |
Derivative assets | 744 | 4,633 | |
FHLBC stock | 0 | ||
Liabilities | |||
HEI securitization non-controlling interest | 24,355 | 17,035 | |
Derivative liabilities | 212 | 503 | |
ABS issued | 7,564,312 | 8,843,147 | |
Fair Value, Measurements, Recurring | Level 3 | Residential Loans | |||
Assets | |||
Residential loans | $ 5,752,524 | $ 7,592,398 | |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2022 | Sep. 30, 2022 | |
Point Noncontrolling Interest | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | $ 17,035 | |
Acquisitions | 0 | |
Principal paydowns | 0 | |
Gains (losses) in net income (loss), net | 7,320 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2022 | $ 24,355 | 24,355 |
ABS Issued | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 8,843,147 | |
Acquisitions | 1,205,289 | |
Principal paydowns | (1,242,859) | |
Gains (losses) in net income (loss), net | (1,241,265) | |
Other settlements, net | 0 | |
Ending balance - September 30, 2022 | 7,564,312 | 7,564,312 |
Residential Loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 7,592,398 | |
Acquisitions | 3,585,882 | |
Originations | 0 | |
Sales | (3,702,359) | |
Principal paydowns | (734,577) | |
Gains (losses) in net income (loss), net | (985,958) | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | (2,862) | |
Ending balance - September 30, 2022 | 5,752,524 | 5,752,524 |
Business purpose loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 4,790,989 | |
Acquisitions | 181,814 | |
Originations | 2,291,192 | |
Sales | (414,998) | |
Principal paydowns | (1,086,983) | |
Gains (losses) in net income (loss), net | (503,832) | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | (964) | |
Ending balance - September 30, 2022 | 5,257,218 | 5,257,218 |
Consolidated Agency multifamily loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 473,514 | |
Acquisitions | 0 | |
Originations | 0 | |
Sales | 0 | |
Principal paydowns | (5,936) | |
Gains (losses) in net income (loss), net | (40,120) | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2022 | 427,458 | 427,458 |
Trading Securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 170,619 | |
Acquisitions | 5,006 | |
Originations | 0 | |
Sales | (27,471) | |
Principal paydowns | (1,202) | |
Gains (losses) in net income (loss), net | (30,019) | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2022 | 116,933 | 116,933 |
AFS Securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 206,792 | |
Acquisitions | 10,000 | |
Originations | 0 | |
Sales | 0 | |
Principal paydowns | (25,381) | |
Gains (losses) in net income (loss), net | 12,560 | |
Unrealized losses in OCI, net | (61,692) | |
Other settlements, net | 0 | |
Ending balance - September 30, 2022 | 142,279 | 142,279 |
Servicer Advance Investments | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 350,923 | |
Acquisitions | 0 | |
Originations | 0 | |
Sales | 0 | |
Principal paydowns | (65,772) | |
Gains (losses) in net income (loss), net | (10,217) | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2022 | 274,934 | 274,934 |
Excess MSRs | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 44,231 | |
Acquisitions | 0 | |
Originations | 0 | |
Sales | 0 | |
Principal paydowns | 0 | |
Gains (losses) in net income (loss), net | (3,779) | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2022 | 40,452 | 40,452 |
HEIs | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 192,740 | |
Acquisitions | 176,439 | |
Originations | 0 | |
Sales | 0 | |
Principal paydowns | (35,187) | |
Gains (losses) in net income (loss), net | 6,445 | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2022 | 340,437 | 340,437 |
MSRs | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 25,101 | |
Acquisitions | 0 | 8,293 |
Originations | 0 | |
Sales | (3,044) | |
Principal paydowns | (137) | |
Gains (losses) in net income (loss), net | 9,336 | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | (3,579) | |
Ending balance - September 30, 2022 | 35,970 | 35,970 |
Derivatives | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2021 | 4,130 | |
Acquisitions | 0 | |
Principal paydowns | 0 | |
Gains (losses) in net income (loss), net | (53,962) | |
Other settlements, net | (50,364) | |
Ending balance - September 30, 2022 | $ 532 | $ 532 |
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 | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
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 | $ (212) | $ (2,570) | $ (212) | $ (2,550) |
Point HEI Noncontrolling Interest | ||||
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 | 1,068 | (83) | (7,320) | (83) |
Point Entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (1,652) | 47 | 11,348 | 129 |
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 | (28,762) | 6,553 | (42,952) | 9,371 |
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 | (11,264) | 2,885 | (22,467) | 11,779 |
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 | (41,969) | 13,781 | (75,043) | 54,006 |
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 | (10,967) | 18,810 | (39,019) | 19,829 |
Consolidated Agency 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 | 316 | 555 | 390 | 11,330 |
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 | (6,585) | 2,943 | (24,365) | 5,500 |
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 | (12,668) | 1,547 | (34,104) | 3,824 |
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 | (3,905) | (2,079) | (10,218) | (3,179) |
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 | 1,653 | (235) | 9,118 | (49) |
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 | (351) | (803) | (3,779) | (5,233) |
HEIs 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 | (4,903) | (41) | (2,272) | 21 |
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 | $ 723 | $ 9,021 | $ 744 | $ 9,261 |
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 - Strategic investments $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2022 USD ($) | Sep. 30, 2022 USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Strategic investments | $ 17,350 | $ 17,350 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (25) | 10,000 |
Level 1 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Strategic investments | 0 | 0 |
Level 2 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Strategic investments | 0 | 0 |
Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Strategic investments | $ 17,350 | $ 17,350 |
Fair Value of Financial Instr_9
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other Income | $ 2,890 | $ 295 | $ 12,569 | $ 949 |
Total Market Valuation Gains (Losses), Net | (50,893) | 78,415 | (183,487) | 292,056 |
Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 6,420 | 53,327 | (38,877) | 174,648 |
Mortgage Banking Activities, Net | Residential 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 | (20,060) | 9,045 | (71,776) | 57,145 |
Mortgage Banking Activities, Net | Residential loan purchase commitments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | (2,716) | 18,817 | (53,236) | 18,351 |
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 | (19,325) | 19,205 | (83,827) | 54,675 |
Mortgage Banking Activities, Net | Single-family rental loan interest rate lock commitments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | 19 | (744) | (666) | 0 |
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 | (9) | 3,433 | 2,242 | 6,702 |
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 | 148 | 32 | 4,249 | (342) |
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 | 48,363 | 3,539 | 164,137 | 38,117 |
Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | (57,697) | 26,077 | (151,789) | 120,644 |
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 | (12,668) | 1,546 | (34,268) | 25,067 |
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 | 27,241 | 0 | 33,609 | 0 |
Investment Fair Value Changes, Net | Residential loans held-for-sale, at fair value (called Sequoia loans) | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | (6,614) | 816 | (18,876) | 2,423 |
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 | 2,482 | 900 | (9,220) | 4,142 |
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 | (3,905) | (2,079) | (10,217) | (3,179) |
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 | (351) | (803) | (3,779) | (5,233) |
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 | (328) | (247) | (1,378) | (1,162) |
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 | (10,936) | 3,314 | (20,644) | 13,118 |
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 | (41,892) | 13,849 | (74,796) | 54,282 |
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 | 316 | 554 | 390 | 11,330 |
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 | (6,585) | 2,943 | (24,365) | 6,354 |
Investment Fair Value Changes, Net | Point Entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | (584) | 47 | 4,028 | 47 |
Investment Fair Value Changes, Net | HEIs at Redwood | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | (4,774) | 5,622 | (1,986) | 13,017 |
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 | 1,445 | (385) | 12,028 | 50 |
Investment Fair Value Changes, Net | Credit (losses) recoveries on AFS securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Changes in fair value of assets | (544) | 0 | (2,315) | 388 |
Other Income | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other Income | 384 | (989) | 7,179 | (3,236) |
Other Income | MSRs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other Income | 1,236 | (989) | 8,031 | (3,236) |
Other Income | Other | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other Income | $ (852) | $ 0 | $ (852) | $ 0 |
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 | 9 Months Ended | |
Sep. 30, 2022 USD ($) $ / loan | Dec. 31, 2021 USD ($) | |
Assets | ||
ABS issued, net, At fair value | $ | $ 7,564,312 | $ 8,843,147 |
Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | HEI | ||
Liabilities | ||
Fair value of securities owned | $ | 14,000 | |
ABS Issued | ||
Liabilities | ||
ABS issued | $ | $ 3,210,603 | |
ABS Issued | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.05 | |
ABS Issued | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.24 | |
ABS Issued | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.13 | |
ABS Issued | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.04 | |
ABS Issued | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.18 | |
ABS Issued | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
ABS Issued | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
ABS Issued | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.33 | |
ABS Issued | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.01 | |
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 | |
CAFL | ||
Liabilities | ||
ABS issued | $ | $ 2,703,223 | |
CAFL | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
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 | 0.002 | |
CAFL | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.003 | |
CAFL | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.16 | |
CAFL | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
CAFL | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.04 | |
CAFL | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.21 | |
CAFL | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
CAFL | Loss severity | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.30 | |
CAFL | Loss severity | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.40 | |
CAFL | Loss severity | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.30 | |
Freddie Mac SLST | ||
Liabilities | ||
ABS issued | $ | $ 1,150,323 | |
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 | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.05 | |
Freddie Mac SLST | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.08 | |
Freddie Mac SLST | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Freddie Mac SLST | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.13 | |
Freddie Mac SLST | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.14 | |
Freddie Mac SLST | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.14 | |
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 | $ | $ 395,411 | |
Freddie Mac K-Series | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
Freddie Mac K-Series | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.09 | |
Freddie Mac K-Series | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.05 | |
Consolidated Point Entities | ||
Liabilities | ||
ABS issued | $ | $ 104,751 | |
Consolidated Point Entities | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.20 | |
Consolidated Point Entities | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.20 | |
Consolidated Point Entities | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.20 | |
Consolidated Point Entities | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.09 | |
Consolidated Point Entities | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.15 | |
Consolidated Point Entities | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.10 | |
Consolidated Point Entities | Home price appreciation | Minimum | ||
Liabilities | ||
ABS issued, measurement input | (0.07) | |
Consolidated Point Entities | Home price appreciation | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.04 | |
Consolidated Point Entities | Home price appreciation | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
Jumbo fixed-rate loans | ||
Assets | ||
ABS issued, net, At fair value | $ | $ 718,347 | |
Jumbo fixed-rate loans | Whole loan spread to swap rate | Minimum | ||
Assets | ||
Loans held-for-sale, measurement input | 0.0201 | |
Jumbo fixed-rate loans | Whole loan spread to swap rate | Maximum | ||
Assets | ||
Loans held-for-sale, measurement input | 0.0400 | |
Jumbo fixed-rate loans | Whole loan spread to swap rate | Weighted Average | ||
Assets | ||
Loans held-for-sale, measurement input | 0.0202 | |
Jumbo fixed-rate loans | CRT dollar price | Minimum | ||
Assets | ||
Loans held-for-sale, measurement input | 92 | |
Jumbo fixed-rate loans | CRT dollar price | Maximum | ||
Assets | ||
Loans held-for-sale, measurement input | 92 | |
Jumbo fixed-rate loans | CRT dollar price | Weighted Average | ||
Assets | ||
Loans held-for-sale, measurement input | 92 | |
Jumbo loans committed to sell | ||
Assets | ||
Loans receivable, fair value | $ | $ 115,883 | |
Jumbo loans committed to sell | Whole loan committed sales price | Minimum | ||
Assets | ||
Loans held-for-sale, measurement input | 96 | |
Jumbo loans committed to sell | Whole loan committed sales price | Maximum | ||
Assets | ||
Loans held-for-sale, measurement input | 102 | |
Jumbo loans committed to sell | Whole loan committed sales price | Weighted Average | ||
Assets | ||
Loans held-for-sale, measurement input | 98 | |
Legacy Sequoia | ||
Assets | ||
Loans receivable, fair value | $ | $ 198,160 | |
Sequoia | ||
Assets | ||
Loans receivable, fair value | $ | 3,237,170 | |
Liabilities | ||
Fair value of securities owned | $ | 224,000 | |
Freddie Mac SLST | ||
Assets | ||
Loans receivable, fair value | $ | 1,482,964 | |
Liabilities | ||
Fair value of securities owned | $ | 335,000 | 445,000 |
Single-family rental loans | ||
Assets | ||
Loans receivable, fair value | $ | $ 281,105 | |
Single-family rental loans | Senior credit spread | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.0210 | |
Single-family rental loans | Senior credit spread | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.0210 | |
Single-family rental loans | Senior credit spread | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.0210 | |
Single-family rental loans | Subordinate credit spread | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.0275 | |
Single-family rental loans | Subordinate credit spread | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.1025 | |
Single-family rental loans | Subordinate credit spread | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.0458 | |
Single-family rental loans | Senior credit support | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.36 | |
Single-family rental loans | Senior credit support | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.36 | |
Single-family rental loans | Senior credit support | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.36 | |
Single-family rental loans | IO discount rate | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.08 | |
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 | 0.08 | |
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 | Whole loan dollar price | Minimum | ||
Assets | ||
Loans receivable, measurement input | 84 | |
Single-family rental loans | Whole loan dollar price | Maximum | ||
Assets | ||
Loans receivable, measurement input | 99 | |
Single-family rental loans | Whole loan dollar price | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 86 | |
CAFL | ||
Assets | ||
Loans receivable, fair value | $ | $ 3,018,994 | |
Liabilities | ||
Fair value of securities owned | $ | 314,000 | $ 302,000 |
Bridge loans | ||
Assets | ||
Loans receivable, fair value | $ | $ 1,957,119 | |
Bridge loans | Senior credit spread | Minimum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.0285 | |
Bridge loans | Senior credit spread | Maximum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.0285 | |
Bridge loans | Senior credit spread | Weighted Average | ||
Assets | ||
Loans held-for-investment, measurement input | 0.0285 | |
Bridge loans | Subordinate credit spread | Minimum | ||
Assets | ||
Loans held-for-investment, measurement input | 3.45 | |
Bridge loans | Subordinate credit spread | Maximum | ||
Assets | ||
Loans held-for-investment, measurement input | 12 | |
Bridge loans | Subordinate credit spread | Weighted Average | ||
Assets | ||
Loans held-for-investment, measurement input | 6.80 | |
Bridge loans | Senior credit support | Minimum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.43 | |
Bridge loans | Senior credit support | Maximum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.43 | |
Bridge loans | Senior credit support | Weighted Average | ||
Assets | ||
Loans held-for-investment, measurement input | 0.43 | |
Bridge loans | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Loans held-for-investment, measurement input | 0 | |
Bridge loans | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Loans held-for-investment, measurement input | 0 | |
Bridge loans | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Loans held-for-investment, measurement input | 0 | |
Bridge loans | Whole loan discount rate | Minimum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.05 | |
Bridge loans | Whole loan discount rate | Maximum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.15 | |
Bridge loans | Whole loan discount rate | Weighted Average | ||
Assets | ||
Loans held-for-investment, measurement input | 0.09 | |
Freddie Mac K-Series | ||
Assets | ||
Loans receivable, fair value | $ | $ 427,458 | |
Liabilities | ||
Fair value of securities owned | $ | 32,000 | |
Trading and AFS securities | ||
Assets | ||
Trading and AFS securities | $ | $ 259,212 | |
Trading and AFS securities | CRT dollar price | Minimum | ||
Assets | ||
Trading and AFS securities | 73 | |
Trading and AFS securities | CRT dollar price | Maximum | ||
Assets | ||
Trading and AFS securities | 93 | |
Trading and AFS securities | CRT dollar price | Weighted Average | ||
Assets | ||
Trading and AFS securities | 85 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Trading and AFS securities | 0.06 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Trading and AFS securities | 0.65 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.12 | |
Trading and AFS securities | Whole loan discount rate | Minimum | ||
Assets | ||
Trading and AFS securities | 0.05 | |
Trading and AFS securities | Whole loan discount rate | Maximum | ||
Assets | ||
Trading and AFS securities | 0.18 | |
Trading and AFS securities | Whole loan discount rate | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.10 | |
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 | 0.12 | |
Trading and AFS securities | Default rate | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.004 | |
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 | 0.25 | |
Servicer Advance Investments | ||
Assets | ||
Servicing asset | $ | $ 274,934 | |
Servicer Advance Investments | Minimum | ||
Assets | ||
Expected remaining life | 5 years | |
Servicer Advance Investments | Maximum | ||
Assets | ||
Expected remaining life | 5 years | |
Servicer Advance Investments | Weighted Average | ||
Assets | ||
Expected remaining life | 5 years | |
Servicer Advance Investments | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.14 | |
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 | 0.14 | |
Servicer Advance Investments | Whole loan discount rate | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.02 | |
Servicer Advance Investments | Whole loan discount rate | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.05 | |
Servicer Advance Investments | Whole loan discount rate | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.04 | |
Servicer Advance Investments | Mortgage servicing income | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0 | |
Servicer Advance Investments | Mortgage servicing income | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.0018 | |
Servicer Advance Investments | Mortgage servicing income | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.0007 | |
MSRs | ||
Assets | ||
Servicing asset | $ | $ 24,796 | |
MSRs | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.04 | |
MSRs | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.28 | |
MSRs | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.08 | |
MSRs | Whole loan discount rate | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.11 | |
MSRs | Whole loan discount rate | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.69 | |
MSRs | Whole loan discount rate | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.11 | |
MSRs | Per loan annual cost to service | Minimum | ||
Assets | ||
Servicing asset, measurement input | 93 | |
MSRs | Per loan annual cost to service | Maximum | ||
Assets | ||
Servicing asset, measurement input | 93 | |
MSRs | Per loan annual cost to service | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 93 | |
Excess MSRs | ||
Assets | ||
Servicing asset | $ | $ 40,452 | |
Excess MSRs | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.10 | |
Excess MSRs | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Servicing asset, measurement input | 1 | |
Excess MSRs | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.18 | |
Excess MSRs | Whole loan discount rate | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.13 | |
Excess MSRs | Whole loan discount rate | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.19 | |
Excess MSRs | Whole loan discount rate | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.18 | |
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 | 0.0019 | |
Excess MSRs | Excess mortgage servicing income | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.0011 | |
Home Appreciation Option | ||
Assets | ||
HEIs | $ | $ 200,709 | |
Home Appreciation Option | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
HEIs, Measurement input | 0.01 | |
Home Appreciation Option | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
HEIs, Measurement input | 0.23 | |
Home Appreciation Option | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
HEIs, Measurement input | 0.16 | |
Home Appreciation Option | Whole loan discount rate | Minimum | ||
Assets | ||
HEIs, Measurement input | 0.10 | |
Home Appreciation Option | Whole loan discount rate | Maximum | ||
Assets | ||
HEIs, Measurement input | 0.10 | |
Home Appreciation Option | Whole loan discount rate | Weighted Average | ||
Assets | ||
HEIs, Measurement input | 0.10 | |
Home Appreciation Option | Home price appreciation | Minimum | ||
Assets | ||
HEIs, Measurement input | (0.07) | |
Home Appreciation Option | Home price appreciation | Maximum | ||
Assets | ||
HEIs, Measurement input | 0.04 | |
Home Appreciation Option | Home price appreciation | Weighted Average | ||
Assets | ||
HEIs, Measurement input | 0.03 | |
HEIs held by Point HEI entity | ||
Assets | ||
HEIs | $ | $ 139,728 | |
Residential loan purchase commitments, net | ||
Assets | ||
Loan purchase commitments, net | $ | $ 531 | |
Residential loan purchase commitments, net | Whole loan spread to swap rate | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.0201 | |
Residential loan purchase commitments, net | Whole loan spread to swap rate | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.0201 | |
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 | Pull-through rate | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.26 | |
Residential loan purchase commitments, net | Pull-through rate | Maximum | ||
Assets | ||
Loans receivable, measurement input | 1 | |
Residential loan purchase commitments, net | Pull-through rate | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.78 | |
Residential loan purchase commitments, net | Committed sales price | Minimum | ||
Assets | ||
Loans receivable, measurement input | 99 | |
Residential loan purchase commitments, net | Committed sales price | Maximum | ||
Assets | ||
Loans receivable, measurement input | 102 | |
Residential loan purchase commitments, net | Committed sales price | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 100 |
Residential Loans - Summary of
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
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] | $ 834,262 | $ 1,845,282 |
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 | 198,160 | 230,455 | |
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 | 3,237,170 | 3,628,465 | |
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 | 1,482,964 | 1,888,230 | |
Servicer advance investments | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 5,752,556 | 7,592,432 | |
Servicer advance investments | Legacy Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 198,160 | 230,455 | |
Servicer advance investments | Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 3,237,170 | 3,628,465 | |
Servicer advance investments | Freddie Mac SLST | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 1,482,964 | 1,888,230 | |
Servicer advance investments | 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 | 834,262 | 1,845,282 | |
Servicer advance investments | 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 | |
Servicer advance investments | 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 | |
Servicer advance investments | 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 | |
Servicer advance investments | 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 | 4,918,294 | 5,747,150 | |
Servicer advance investments | 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 | 198,160 | 230,455 | |
Servicer advance investments | 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 | 3,237,170 | 3,628,465 | |
Servicer advance investments | 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 | 1,482,964 | 1,888,230 | |
Servicer advance investments | Redwood | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 834,262 | 1,845,282 | |
Servicer advance investments | 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 | 834,262 | 1,845,282 | |
Servicer advance investments | 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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Residential Loans - Additional
Residential Loans - Additional Information (Details) $ in Millions | Sep. 30, 2022 USD ($) |
MSRs | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Mortgage servicing rights, at amortized cost | $ 853 |
Residential Loans - Characteris
Residential Loans - Characteristics of Residential Loans Held-for-Sale (Details) - Residential Loans $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 USD ($) loan | Dec. 31, 2021 USD ($) loan | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 1,054,000 | 2,196 |
Unpaid principal balance | $ 874,412 | $ 1,813,865 |
Fair value of loans | 834,262 | 1,845,282 |
Market value of loans pledged as collateral under short-term borrowing agreements | $ 828,192 | $ 1,838,797 |
Weighted average coupon (as a percent) | 4.99% | 3.27% |
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] | ||
Number of loans with 90+ day delinquencies | loan | 1 | 3 |
Unpaid principal balance of loans with 90+ day delinquencies | $ 209 | $ 2,923 |
Fair value of loans with 90+ day delinquencies | $ 170 | $ 2,304 |
Residential Loans - Quarterly A
Residential Loans - Quarterly Activity of Residential Loans Held-for-Sale (Details) - Residential Loans $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 USD ($) securitization | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) securitization | Sep. 30, 2021 USD ($) | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance of loans acquired | $ 336,698 | $ 3,167,186 | $ 3,597,339 | $ 9,747,867 |
Principal balance of loans sold | 662,302 | 2,360,862 | 3,727,993 | 6,787,490 |
Principal balance of loans transferred to HFI | 0 | 448,878 | 687,192 | 1,623,000 |
Net market valuation gains (losses) recorded | (26,674) | $ 9,861 | (90,652) | $ 59,568 |
Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance of loans acquired | $ 0 | $ 102,000 | ||
Number of seasoned securities | securitization | 0 | 3 |
Residential Loans - Character_2
Residential Loans - Characteristics of Loans Held-for-Investment (Details) - Held-for-investment at fair value $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 USD ($) loan | Dec. 31, 2021 USD ($) loan | |
Legacy Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 1,372 | 1,583 |
Unpaid principal balance | $ 218,298 | $ 264,057 |
Fair value of loans | $ 198,160 | $ 230,455 |
Weighted average coupon (as a percent) | 3.23% | 1.87% |
Number of loans in foreclosure | loan | 16 | 10 |
Unpaid principal balance of loans in foreclosure | $ 1,852 | $ 2,188 |
Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 4,666 | 4,300 |
Unpaid principal balance | $ 3,902,938 | $ 3,605,469 |
Fair value of loans | $ 3,237,170 | $ 3,628,465 |
Weighted average coupon (as a percent) | 3.25% | 3.39% |
Number of loans in foreclosure | loan | 6 | 2 |
Unpaid principal balance of loans in foreclosure | $ 5,928 | $ 1,624 |
Freddie Mac SLST | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 11,054 | 11,986 |
Unpaid principal balance | $ 1,753,301 | $ 1,932,241 |
Fair value of loans | $ 1,482,964 | $ 1,888,230 |
Weighted average coupon (as a percent) | 4.50% | 4.51% |
Number of loans in foreclosure | loan | 332 | 241 |
Unpaid principal balance of loans in foreclosure | $ 56,755 | $ 43,637 |
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 | 33 | 32 |
Fair value of loans with 90+ day delinquencies | $ 5,532 | $ 7,482 |
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 | 13 | 18 |
Fair value of loans with 90+ day delinquencies | $ 11,404 | $ 15,124 |
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 | 1,295 | 1,208 |
Fair value of loans with 90+ day delinquencies | $ 223,260 | $ 212,961 |
Residential Loans - Quarterly_2
Residential Loans - Quarterly Activity of Residential Loans Held-for-Investment (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
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 | $ 2,643,027 | $ 3,005,041 | ||
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) | $ (202,825) | $ (11,663) | (685,042) | (27,076) |
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) | (104,040) | (13,836) | (224,543) | 5,177 |
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) | 5,182 | (2,580) | 12,286 | 9,896 |
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 | $ 0 | $ 464,189 | $ 684,491 | $ 1,669,683 |
Business Purpose Loans - Classi
Business Purpose Loans - Classifications and Carrying Values of Business Purpose Residential Loans (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 | Dec. 31, 2021 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Real estate amount, amount with original maturity of thirty years (as a percent) | 2% | |
LIBOR | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Real estate owned, rate (as a percent) | 39% | |
Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Real estate owned, rate (as a percent) | 48% | |
Fixed Rate | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Real estate owned, rate (as a percent) | 13% | |
Commitment To Fund Residential Bridge Loan | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commitment to fund loan | $ 990,000 | |
Bridge Loans | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Residential bridge loans held-for-investment, original maturities (in months) | 6 months | |
Bridge Loans | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Residential bridge loans held-for-investment, original maturities (in months) | 36 months | |
Held-for-sale at fair value, Total | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | $ 337,238 | $ 358,309 |
Held-for-investment at fair value, Total | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 4,919,980 | 4,432,680 |
Business Purpose Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 5,257,218 | 4,790,989 |
Redwood | Single-family rental loans, held-for-sale | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 281,105 | 358,309 |
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 | 281,105 | 358,309 |
Redwood | Residential Bridge, Held-for-sale at fair value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 56,133 | 0 |
Redwood | Bridge loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 1,388,750 | 666,364 |
Redwood | Residential bridge loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 1,444,883 | 666,364 |
CAFL | Single-family rental loans, held-for-sale | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 0 | 0 |
CAFL | Single Family Rental Loans Held For Investment At Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 3,018,994 | 3,488,074 |
CAFL | Single family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 3,018,994 | 3,488,074 |
CAFL | Bridge Loans, Held-For-Sale At Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 0 | 0 |
CAFL | Bridge Loans Held For Investment At Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 512,236 | 278,242 |
CAFL | Bridge Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | $ 512,236 | $ 278,242 |
Business Purpose Loans - Activi
Business Purpose Loans - Activity and Characteristics of Business Purpose Loans (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2022 USD ($) loan | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) loan | Sep. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) loan | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Purchases of held-for-sale loans | $ 3,734,972 | $ 9,902,028 | |||
Principal balance of loans sold to third parties | 26,584 | 46,904 | |||
Fair value of loans transferred | 2,643,027 | 3,005,041 | |||
Transfers from loans held-for-investment to loans held-for-sale | 0 | 44,922 | |||
Redwood | Riverbend Acquisition | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance of loans acquired | $ 60,000 | ||||
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 | 99,281 | $ 392,620 | 865,253 | 957,935 | |
Principal balance of loans acquired | 0 | 2,463 | 100,349 | 2,463 | |
Principal balance of loans sold to third parties | 37,202 | 0 | 368,704 | 0 | |
Fair value of loans transferred | 266,181 | 332,670 | 561,218 | 799,375 | |
Transfers from loans held-for-investment to loans held-for-sale | 0 | 44,922 | |||
Gain (loss) on investments | 0 | 0 | 0 | 0 | |
Fair value of loans | 281,105 | 281,105 | $ 358,309 | ||
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 | (19,325) | 19,205 | (83,827) | 54,675 | |
Bridge loans held-for-investment | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Purchases of held-for-sale loans | 470,425 | 208,938 | 1,424,604 | 557,327 | |
Principal balance of loans acquired | 59,977 | 35,713 | 81,983 | 35,713 | |
Principal balance of loans sold to third parties | 48,279 | 253 | 48,279 | 9,484 | |
Fair value of loans transferred | 77,362 | 276,354 | 465,966 | 276,354 | |
Transfers from loans held-for-investment to loans held-for-sale | 0 | ||||
Gain (loss) on investments | (679) | 900 | (6,747) | 4,142 | |
Fair value of loans | 1,388,750 | 1,388,750 | 666,364 | ||
Bridge loans held-for-investment | 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 | (110) | 3,691 | 1,129 | 5,212 | |
Business Purpose Loans | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fee income | 10,000 | 36,000 | |||
Fair value of loans | 5,257,218 | 5,257,218 | 4,790,989 | ||
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 | (108,980) | (34,803) | $ (419,182) | (96,934) | |
Number of loans | loan | 1,142 | 1,173 | |||
Unpaid principal balance | 3,316,706 | $ 3,316,706 | $ 3,340,949 | ||
Fair value of loans | $ 3,018,994 | $ 3,018,994 | $ 3,488,074 | ||
Weighted average coupon rate (as a percent) | 5.22% | 5.22% | 5.17% | ||
Weighted average remaining loan term (years) | 6 years | 6 years | |||
Fair value of loans with 90+ day delinquencies | $ 10,335 | $ 10,335 | $ 12,648 | ||
Number of loans in foreclosure | loan | 7 | 7 | 9 | ||
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 | 15 | 15 | 18 | ||
Fair value of loans with 90+ day delinquencies | $ 31,296 | $ 31,296 | $ 41,998 | ||
Bridge 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 | 1,906 | $ 0 | $ 50 | $ 0 | |
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 | 202 | 245 | |||
Unpaid principal balance | 317,556 | $ 317,556 | $ 348,232 | ||
Fair value of loans | $ 281,105 | $ 281,105 | $ 358,309 | ||
Weighted average coupon rate (as a percent) | 5.14% | 5.14% | 4.73% | ||
Weighted average remaining loan term (years) | 15 years | 12 years | |||
Fair value of loans with 90+ day delinquencies | $ 536 | $ 536 | $ 5,473 | ||
Number of loans in foreclosure | loan | 1 | 1 | 7 | ||
Unpaid principal balance of loans in foreclosure | $ 528 | $ 528 | $ 4,305 | ||
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 | 279,846 | 75,873 | |||
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 | 0 | 244,703 | |||
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 | $ 528 | $ 528 | $ 4,238 | ||
Number of loans with 90+ day delinquencies | loan | 1 | 1 | 6 | ||
Fair value of loans with 90+ day delinquencies | $ 536 | $ 536 | $ 5,384 | ||
Business Purpose Bridge Loans | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 1,585 | 1,134 | |||
Unpaid principal balance | 1,452,180 | $ 1,452,180 | $ 670,392 | ||
Fair value of loans | $ 1,444,883 | $ 1,444,883 | $ 666,364 | ||
Weighted average coupon rate (as a percent) | 8.06% | 8.06% | 6.91% | ||
Weighted average remaining loan term (years) | 2 years | 1 year | |||
Fair value of loans with 90+ day delinquencies | $ 33,471 | $ 33,471 | $ 18,043 | ||
Number of loans in foreclosure | loan | 49 | 49 | 28 | ||
Unpaid principal balance of loans in foreclosure | $ 30,789 | $ 30,789 | $ 14,257 | ||
Business Purpose Bridge Loans | 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 | 702,899 | 91,814 | |||
Business Purpose Bridge Loans | 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 | 699,704 | 554,597 | |||
Business Purpose Bridge Loans | 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 | $ 31,140 | $ 31,140 | $ 14,218 | ||
Number of loans with 90+ day delinquencies | loan | 51 | 51 | 31 | ||
Fair value of loans with 90+ day delinquencies | $ 33,822 | $ 33,822 | $ 18,032 | ||
Business Purpose Bridge Loans | CAFL | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 1,994 | 1,640 | |||
Unpaid principal balance | 510,839 | $ 510,839 | $ 274,617 | ||
Fair value of loans | $ 512,236 | $ 512,236 | $ 278,242 | ||
Weighted average coupon rate (as a percent) | 8.04% | 8.04% | 7.05% | ||
Weighted average remaining loan term (years) | 1 year | 1 year | |||
Fair value of loans with 90+ day delinquencies | $ 0 | $ 0 | $ 0 | ||
Number of loans in foreclosure | loan | 0 | 0 | 0 | ||
Unpaid principal balance of loans in foreclosure | $ 0 | $ 0 | $ 0 | ||
Business Purpose Bridge Loans | 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] | |||||
Fair value of loans | $ 7,144 | $ 7,144 | $ 0 | ||
Number of loans with 90+ day delinquencies | loan | 47 | 47 | 0 | ||
Fair value of loans with 90+ day delinquencies | $ 7,063 | $ 7,063 | $ 0 |
Consolidated Agency Multifami_3
Consolidated Agency Multifamily Loans (Details) - Consolidated Agency multifamily loans, at fair value $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2022 USD ($) loan | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) loan | Sep. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) loan | |
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) | $ | $ (13,691) | $ (487) | $ (40,120) | $ (3,745) | |
Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 28 | 28 | |||
Unpaid principal balance | $ | 449,232 | $ 449,232 | $ 455,168 | ||
Fair value of loans | $ | $ 427,458 | $ 427,458 | $ 473,514 | ||
Weighted average coupon rate (as a percent) | 4.25% | 4.25% | 4.25% | ||
Weighted average remaining loan term (years) | 3 years | 4 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 |
Real Estate Securities - Fair V
Real Estate Securities - Fair Values of Real Estate Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |||
Trading | $ 116,933 | $ 170,619 | |
Available-for-sale | 142,279 | 206,792 | |
Total Real Estate Securities | [1] | $ 259,212 | $ 377,411 |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Real Estate Securities - Tradin
Real Estate Securities - Trading Securities by Collateral Type (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Investment Holdings [Line Items] | |||||
Real estate securities, at fair value | $ 116,933 | $ 116,933 | $ 170,619 | ||
Unpaid principal balance | 220,888 | 220,888 | 235,306 | ||
Principal balance of securities acquired (1) | 0 | $ 10,750 | 0 | $ 28,380 | |
Principal balance of securities sold (1) | 0 | 750 | 12,716 | 53,561 | |
Net market valuation gains (losses) recorded | (12,521) | 1,578 | (30,019) | 24,725 | |
Securities bought and sold during the same quarter | $ 1,000 | $ 3,000 | |||
Senior IO Securities | |||||
Investment Holdings [Line Items] | |||||
Real estate securities, at fair value | 28,860 | 28,860 | 21,787 | ||
Unpaid principal balance | 0 | 0 | 0 | ||
Subordinate | |||||
Investment Holdings [Line Items] | |||||
Real estate securities, at fair value | 88,073 | 88,073 | 148,832 | ||
Unpaid principal balance | 220,888 | 220,888 | 235,306 | ||
Interest Only Senior Trading Securities | Senior IO Securities | |||||
Investment Holdings [Line Items] | |||||
Real estate securities, at fair value | 28,860 | 28,860 | 21,787 | ||
Interest Only Senior Trading Securities | Senior IO Securities | Sequoia | |||||
Investment Holdings [Line Items] | |||||
Real estate securities, at fair value | 25,000 | 25,000 | 15,000 | ||
RPL securities | Subordinate | |||||
Investment Holdings [Line Items] | |||||
Real estate securities, at fair value | 31,963 | 31,963 | 65,140 | ||
Consolidated Agency multifamily loans, at fair value | Subordinate | |||||
Investment Holdings [Line Items] | |||||
Real estate securities, at fair value | 8,021 | 8,021 | 10,549 | ||
Other third-party residential securities | Subordinate | |||||
Investment Holdings [Line Items] | |||||
Real estate securities, at fair value | $ 48,089 | $ 48,089 | $ 73,143 |
Real Estate Securities - Availa
Real Estate Securities - Available for Sale Securities by Collateral Type (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Investment Holdings [Line Items] | |||||
Available-for-sale | $ 142,279 | $ 142,279 | $ 206,792 | ||
Fair value of securities acquired | 0 | $ 0 | 10,000 | $ 1,600 | |
Fair value of securities sold | 0 | 0 | 0 | 4,785 | |
Principal balance of securities called | 0 | 11,565 | 14,486 | 25,970 | |
Net unrealized (loss) gain on available-for-sale securities | (8,731) | $ (2,658) | (60,013) | $ 19,552 | |
Sequoia securities | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | 78,065 | 78,065 | 127,542 | ||
Consolidated Agency multifamily loans, at fair value | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | 13,211 | 13,211 | 22,166 | ||
Other third-party residential securities | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | 51,003 | 51,003 | 57,084 | ||
Total Subordinate Investment Securities | |||||
Investment Holdings [Line Items] | |||||
Available-for-sale | $ 142,279 | $ 142,279 | $ 206,792 |
Real Estate Securities - Additi
Real Estate Securities - Additional Information (Details) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2022 USD ($) entity investment | Jun. 30, 2022 USD ($) | Dec. 31, 2021 USD ($) investment | |
Investment Holdings [Line Items] | |||
Number of AFS securities (in investments) | investment | 81 | 85 | |
Number of securities in unrealized loss position | investment | 35 | 4 | |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer (in investments) | investment | 1 | 1 | |
Gross unrealized losses | $ 10,876 | $ 297 | |
CECL credit allowance | $ 2,315 | $ 1,771 | 0 |
Variable Interest Entity, Not Primary Beneficiary | |||
Investment Holdings [Line Items] | |||
Number of entities called | entity | 3 | ||
Unpaid principal balance of loans purchased | $ 102,000 | ||
Realized gain on securities | 300 | ||
Residential | |||
Investment Holdings [Line Items] | |||
AFS securities, contractual maturities, less than five years | 10,000 | ||
Marketable securities, due from five to ten years | 1,000 | ||
CECL credit allowance | $ 30,247 | $ 30,619 | $ 27,555 |
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 | Sep. 30, 2022 | Jun. 30, 2022 | Dec. 31, 2021 |
Investments, Debt and Equity Securities [Abstract] | |||
Principal balance | $ 227,715 | $ 242,852 | |
Credit reserve | (30,247) | (27,555) | |
Unamortized discount, net | (61,015) | (76,023) | |
Amortized cost | 136,453 | 139,274 | |
Gross unrealized gains | 19,017 | 67,815 | |
Gross unrealized losses | (10,876) | (297) | |
CECL allowance | (2,315) | $ (1,771) | 0 |
Carrying Value | $ 142,279 | $ 206,792 |
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 | 9 Months Ended |
Sep. 30, 2022 | Sep. 30, 2022 | |
Credit Reserve | ||
Beginning balance | $ 1,771 | $ 0 |
Sales, calls, other | 0 | 0 |
Ending Balance | 2,315 | 2,315 |
Unamortized Discount, Net | ||
Beginning balance | 76,023 | |
Ending Balance | 61,015 | 61,015 |
Residential | ||
Credit Reserve | ||
Beginning balance | 30,619 | 27,555 |
Amortization of net discount | 0 | 0 |
Realized credit recoveries (losses), net | 170 | 244 |
Acquisitions | 0 | 0 |
Sales, calls, other | 0 | (343) |
Transfers to (release of) credit reserves, net | (542) | 2,791 |
Ending Balance | 30,247 | 30,247 |
Unamortized Discount, Net | ||
Beginning balance | 61,303 | 76,023 |
Amortization of net discount | (830) | (10,647) |
Realized credit recoveries (losses), net | 0 | 0 |
Acquisitions | 0 | 0 |
Sales, calls, other | 0 | (1,570) |
Transfers to (release of) credit reserves, net | 542 | (2,791) |
Ending Balance | $ 61,015 | $ 61,015 |
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 | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Consecutive Months, Fair Value | $ 65,585 | $ 6,827 |
Less Than 12 Consecutive Months, Unrealized Losses | (10,685) | (251) |
12 Consecutive Months or Longer, Fair Value | 1,409 | 1,554 |
12 Consecutive Months or Longer, Unrealized Losses | $ (191) | $ (46) |
Real Estate Securities - Summar
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities Credit Loss (Details) - Subordinate Securities | 9 Months Ended |
Sep. 30, 2022 | |
Debt Securities, Available-for-sale [Line Items] | |
Default rate | 0.80% |
Loss severity | 20% |
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 | 9 Months Ended |
Sep. 30, 2022 | Sep. 30, 2022 | |
Rollforward of Allowance for Credit Losses | ||
Beginning balance | $ 1,771 | $ 0 |
Additions to allowance for credit losses on securities for which credit losses were not previously recorded | 30 | 1,520 |
Additional increases (decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period | 514 | 795 |
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 | $ 2,315 | $ 2,315 |
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 | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ 0 | $ 6,389 | $ 1,914 | $ 16,991 |
Sales | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized gains | 0 | 0 | 0 | 1,507 |
Gross realized losses - sales | 0 | 0 | 0 | 0 |
Calls | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized gains | $ 0 | $ 6,389 | $ 1,914 | $ 15,484 |
Home Equity Investments (HEI) -
Home Equity Investments (HEI) - Schedule of Home Equity Investments (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Equity Method Investments [Line Items] | ||
Home equity investments | $ 340,437 | $ 192,740 |
HEIs at Redwood | Redwood | ||
Schedule of Equity Method Investments [Line Items] | ||
Home equity investments | 200,709 | 33,187 |
HEIs at Redwood | HEIs held at consolidated HEI securitization entity | ||
Schedule of Equity Method Investments [Line Items] | ||
Home equity investments | $ 139,728 | $ 159,553 |
Home Equity Investments (HEI)_2
Home Equity Investments (HEI) - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Schedule of Equity Method Investments [Line Items] | |||||
Home equity investments | $ 340,437 | $ 340,437 | $ 192,740 | ||
Investment fair value changes, net | (57,697) | $ 26,077 | (151,789) | $ 120,644 | |
Point HEI | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Interest expense | 1,000 | 3,000 | |||
Commitment To Acquire HEIs | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Cumulative commitment | 149,000 | 149,000 | |||
Commitment To Fund Investment | Point HEI | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Investment fair value changes, net | (5,000) | (2,000) | |||
Shared home appreciation options | Redwood | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Home equity investments | 200,709 | 200,709 | 33,187 | ||
Shared home appreciation options | Point HEI | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Home equity investments | 139,728 | 139,728 | $ 159,553 | ||
Investment Fair Value Changes, Net | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Investment fair value changes, net | $ (1,000) | ||||
Investment Fair Value Changes, Net | Point HEI | |||||
Schedule of Equity Method Investments [Line Items] | |||||
Investment fair value changes, net | $ 4,000 |
Other Investments - Summary of
Other Investments - Summary of Other Investments (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Net Investment Income [Line Items] | |||
Home equity investments | [1] | $ 340,437 | $ 192,740 |
Other Investments | [1] | 412,762 | 449,229 |
Mortgage servicing rights | |||
Net Investment Income [Line Items] | |||
Mortgage servicing rights | 24,796 | 12,438 | |
Other | |||
Net Investment Income [Line Items] | |||
Other | 973 | 5,935 | |
Servicer advance investments | |||
Net Investment Income [Line Items] | |||
Mortgage servicing rights | 274,934 | 350,923 | |
Strategic investments | |||
Net Investment Income [Line Items] | |||
Mortgage servicing rights | 71,607 | 35,702 | |
Excess MSRs | |||
Net Investment Income [Line Items] | |||
Mortgage servicing rights | $ 40,452 | $ 44,231 | |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Other Investments - Additional
Other Investments - Additional Information (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 USD ($) investment | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) investment partnership | Sep. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) | |
Net Investment Income [Line Items] | |||||
Number of partnerships consolidated | partnership | 2 | ||||
Commitment to fund partnership | $ 148,000 | $ 148,000 | $ 148,000 | ||
Collateral amounts | 1,124,750 | 1,124,750 | 1,306,932 | ||
Investment fair value changes, net | (57,697) | $ 26,077 | (151,789) | $ 120,644 | |
Investments | 10,000 | 10,000 | |||
Other income, net | 4,027 | 2,388 | 17,016 | 8,357 | |
Interest income | 177,662 | $ 145,722 | 534,517 | $ 412,722 | |
Servicer advance financing | |||||
Net Investment Income [Line Items] | |||||
Collateral amounts | 245,000 | 245,000 | |||
Equity investment income | 5,000 | 15,000 | |||
Investment fair value changes, net | (4,000) | (10,000) | |||
Held-for-sale residential loans | |||||
Net Investment Income [Line Items] | |||||
Mortgage servicing rights | 274,934 | 274,934 | 350,923 | ||
Servicing asset, unpaid principal balance on underlying loan | 11,680,000 | 11,680,000 | |||
Excess MSRs | |||||
Net Investment Income [Line Items] | |||||
Mortgage servicing rights | 40,452 | 40,452 | 44,231 | ||
Investment fair value changes, net | (400) | (4,000) | |||
Interest income | 4,000 | 12,000 | |||
Fair value option elected aggregate carrying amount, asset | 0 | 5,000 | |||
Strategic investments | |||||
Net Investment Income [Line Items] | |||||
Investment fair value changes, net | 1,000 | 11,000 | |||
Other income, net | $ 300 | $ 400 | |||
Strategic investments | RWT Horizons | |||||
Net Investment Income [Line Items] | |||||
Number of investments made | investment | 27 | 27 | |||
Investments | $ 24,000 | $ 24,000 | |||
Strategic investments | Churchill Finance | |||||
Net Investment Income [Line Items] | |||||
Number of investments made | investment | 6,000 | 6,000 | |||
MSRs | |||||
Net Investment Income [Line Items] | |||||
Mortgage servicing rights | $ 24,796 | $ 24,796 | 12,438 | ||
Aggregate principal balance | 2,220,000 | 2,220,000 | $ 2,120,000 | ||
MSR income (losses), net | $ 3,000 | $ 13,000 |
Other Investments - Servicing A
Other Investments - Servicing Advance Investments (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Investments [Line Items] | ||
Total Servicer Advance Receivables | $ 245,181 | $ 310,953 |
Servicer advance financing | ||
Schedule of Investments [Line Items] | ||
Principal and interest advances | 89,816 | 94,148 |
Escrow advances (taxes and insurance advances) | 117,971 | 172,847 |
Corporate advances | $ 37,394 | $ 43,958 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | ||
Fair Value | $ 58,431 | $ 23,150 |
Notional Amount | 2,116,501 | 6,861,921 |
TBAs | ||
Derivative [Line Items] | ||
Notional Amount | 820,000 | 3,310,000 |
Interest rate futures | ||
Derivative [Line Items] | ||
Notional Amount | 682,000 | 72,000 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (6,782) | (3,317) |
Notional Amount | 323,844 | 1,619,790 |
Derivative Liabilities | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | (23) | (1,251) |
Notional Amount | 10,000 | 283,100 |
Derivative Liabilities | TBAs | ||
Derivative [Line Items] | ||
Fair Value | (6,545) | (658) |
Notional Amount | 255,000 | 870,000 |
Derivative Liabilities | Interest rate futures | ||
Derivative [Line Items] | ||
Fair Value | (2) | (905) |
Notional Amount | 300 | 62,500 |
Derivative Liabilities | Residential loan purchase commitments, net | ||
Derivative [Line Items] | ||
Fair Value | (212) | (503) |
Notional Amount | 58,544 | 404,190 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 65,213 | 26,467 |
Notional Amount | 1,792,657 | 5,242,131 |
Derivative Assets | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | 24,626 | 611 |
Notional Amount | 459,000 | 161,500 |
Derivative Assets | TBAs | ||
Derivative [Line Items] | ||
Fair Value | 13,568 | 2,880 |
Notional Amount | 565,000 | 2,440,000 |
Derivative Assets | Interest rate futures | ||
Derivative [Line Items] | ||
Fair Value | 26,275 | 25 |
Notional Amount | 681,500 | 9,000 |
Derivative Assets | Swaptions | ||
Derivative [Line Items] | ||
Fair Value | 0 | 18,318 |
Notional Amount | 0 | 1,660,000 |
Derivative Assets | Residential loan purchase commitments, net | ||
Derivative [Line Items] | ||
Fair Value | 744 | 4,633 |
Notional Amount | $ 87,157 | $ 971,631 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Jun. 30, 2022 | Dec. 31, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | |
Derivative [Line Items] | ||||||||
Notional amount | $ 2,116,501 | $ 2,116,501 | $ 6,861,921 | |||||
Accumulated other comprehensive income (loss) | 1,154,242 | $ 1,375,823 | 1,154,242 | $ 1,375,823 | $ 1,258,091 | 1,386,087 | $ 1,295,142 | $ 1,110,899 |
Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||
Derivative [Line Items] | ||||||||
Accumulated other comprehensive income (loss) | (73,343) | (77,470) | (73,343) | (77,470) | $ (74,383) | (76,430) | $ (78,511) | $ (80,557) |
Cash Flow Hedging | Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||
Derivative [Line Items] | ||||||||
Accumulated other comprehensive income (loss) | (73,000) | (73,000) | (76,000) | |||||
Interest Expense | Cash Flow Hedging | ||||||||
Derivative [Line Items] | ||||||||
Cash flow hedge loss to be reclassified over the next 12 months | 4,000 | |||||||
Mortgage Banking Activities, Net | ||||||||
Derivative [Line Items] | ||||||||
Market valuations gains (losses), net | 6,420 | 53,327 | (38,877) | 174,648 | ||||
Loan purchase commitments and forward sales commitments | Mortgage Banking Activities, Net | ||||||||
Derivative [Line Items] | ||||||||
Market valuations gains (losses), net | (3,000) | 18,000 | (54,000) | 18,000 | ||||
Interest Rate Swap And Swaptions | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 469,000 | 469,000 | ||||||
TBAs | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 820,000 | 820,000 | 3,310,000 | |||||
Interest rate futures | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 682,000 | 682,000 | 72,000 | |||||
Interest rate contract | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 37,000 | 37,000 | $ 2,100,000 | |||||
Unsecuritized Residential and Commercial Loans | ||||||||
Derivative [Line Items] | ||||||||
Derivative gain (loss) | $ 76,000 | $ 4,000 | $ 198,000 | $ 38,000 |
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 | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Derivative [Line Items] | ||||
Total interest expense | $ (142,727) | $ (103,754) | $ (405,992) | $ (314,371) |
Cash Flow Hedging | Interest rate contract | ||||
Derivative [Line Items] | ||||
Net interest expense on cash flows hedges | 0 | 0 | 0 | 0 |
Realized net losses reclassified from other comprehensive income | (1,040) | (1,041) | (3,086) | (3,086) |
Total interest expense | $ (1,040) | $ (1,041) | $ (3,086) | $ (3,086) |
Other Assets and Liabilities -
Other Assets and Liabilities - Components of Other Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Accrued interest receivable | $ 54,944 | $ 47,515 | |
Investment receivable | 50,149 | 82,781 | |
Deferred tax asset | 20,867 | 20,867 | |
Operating lease right-of-use assets | 17,126 | 18,772 | |
Income tax receivables | 13,959 | 22 | |
Fixed assets and leasehold improvements | 12,411 | 9,019 | |
Margin receivable | 6,683 | 7,269 | |
REO | 3,683 | 36,126 | |
Other | 14,678 | 8,746 | |
Total Other Assets | [1] | 194,500 | $ 231,117 |
Fixed assets | 22,000 | ||
Accumulated depreciation | $ 9,000 | ||
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities _2
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Payable to non-controlling interests | $ 47,487 | $ 42,670 | |
Accrued interest payable | 46,938 | 39,297 | |
Margin payable | 30,389 | 24,368 | |
Accrued compensation | 23,488 | 74,636 | |
Operating lease liabilities | 19,533 | 20,960 | |
Guarantee obligations | 6,532 | 7,459 | |
Residential loan and MSR repurchase reserve | 5,754 | 9,306 | |
Accrued operating expenses | 4,956 | 4,377 | |
Current accounts payable | 4,722 | 8,273 | |
Bridge loan holdbacks | 3,930 | 3,109 | |
Other | 7,396 | 11,333 | |
Accrued expenses and other liabilities | [1] | $ 201,125 | $ 245,788 |
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities _3
Other Assets and Liabilities - REO Information (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2022 USD ($) | |
Other Real Estate [Roll Forward] | |
Balance at beginning of period | $ 36,126 |
Amount related to transfers into REO | 4,034 |
Liquidations | (38,141) |
Unrealized gain (loss) resulting from market valuation adjustments on REO | 1,664 |
Balance at End of Period | 3,683 |
Realized loss from liquidation | 2,000 |
Legacy Sequoia | |
Other Real Estate [Roll Forward] | |
Balance at beginning of period | 61 |
Amount related to transfers into REO | 407 |
Liquidations | (505) |
Unrealized gain (loss) resulting from market valuation adjustments on REO | 443 |
Balance at End of Period | 406 |
Freddie Mac SLST | |
Other Real Estate [Roll Forward] | |
Balance at beginning of period | 2,028 |
Amount related to transfers into REO | 2,664 |
Liquidations | (2,395) |
Unrealized gain (loss) resulting from market valuation adjustments on REO | 247 |
Balance at End of Period | 2,544 |
CAFL | |
Other Real Estate [Roll Forward] | |
Balance at beginning of period | 20,970 |
Amount related to transfers into REO | 0 |
Liquidations | (20,970) |
Unrealized gain (loss) resulting from market valuation adjustments on REO | 0 |
Balance at End of Period | 0 |
Bridge Loan | |
Other Real Estate [Roll Forward] | |
Balance at beginning of period | 13,067 |
Amount related to transfers into REO | 963 |
Liquidations | (14,271) |
Unrealized gain (loss) resulting from market valuation adjustments on REO | 974 |
Balance at End of Period | $ 733 |
Short-Term Debt - Outstanding B
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Details) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2022 USD ($) facility | Dec. 31, 2021 USD ($) facility | ||
Short-term Debt [Line Items] | |||
Outstanding Balance | [1] | $ 2,110,279,000 | $ 2,177,362,000 |
Facilities | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 20 | 13 | |
Outstanding Balance | $ 1,648,888,000 | $ 1,882,915,000 | |
Facilities | Residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 9 | 7 | |
Outstanding Balance | $ 748,962,000 | $ 1,669,344,000 | |
Limit | $ 2,850,000,000 | $ 2,900,000,000 | |
Weighted Average Interest Rate (as a percent) | 4.83% | 1.87% | |
Weighted Average Days Until Maturity | 150 days | 153 days | |
Facilities | Business purpose residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 4 | 2 | |
Outstanding Balance | $ 775,491,000 | $ 138,746,000 | |
Limit | $ 1,750,000,000 | $ 350,000,000 | |
Weighted Average Interest Rate (as a percent) | 5.67% | 3.34% | |
Weighted Average Days Until Maturity | 289 days | 105 days | |
Facilities | Real estate securities repo | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 7 | 4 | |
Outstanding Balance | $ 124,435,000 | $ 74,825,000 | |
Limit | $ 0 | $ 0 | |
Weighted Average Interest Rate (as a percent) | 3.50% | 1.13% | |
Weighted Average Days Until Maturity | 32 days | 33 days | |
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 1 | 1 | |
Outstanding Balance | $ 233,104,000 | $ 294,447,000 | |
Limit | $ 290,000,000 | $ 350,000,000 | |
Weighted Average Interest Rate (as a percent) | 4.94% | 1.90% | |
Weighted Average Days Until Maturity | 397 days | 306 days | |
Promissory notes | |||
Short-term Debt [Line Items] | |||
Outstanding Balance | $ 30,702,000 | ||
Weighted Average Interest Rate (as a percent) | 6.58% | ||
Convertible notes, net | |||
Short-term Debt [Line Items] | |||
Outstanding Balance | $ 197,585,000 | $ 0 | |
Weighted Average Interest Rate (as a percent) | 4.75% | ||
Weighted Average Days Until Maturity | 319 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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Short-Term Debt - Collateral fo
Short-Term Debt - Collateral for Short-Term Debt Facilities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Short-term Debt [Line Items] | ||
Total collateral for financing | $ 2,294,421 | $ 2,450,304 |
Facilities | ||
Short-term Debt [Line Items] | ||
Total real estate securities owned | 169,974 | 99,005 |
Other assets | 4,116 | 1,962 |
Total collateral for financing | 1,985,027 | 2,107,451 |
Servicer advance financing | ||
Short-term Debt [Line Items] | ||
Total collateral for financing | 309,394 | 342,853 |
Cash | 15,891 | 6,480 |
Restricted cash | 18,569 | 25,420 |
Servicer advances | 274,934 | 310,953 |
Held-for-sale residential loans | Facilities | ||
Short-term Debt [Line Items] | ||
Market value of loans pledged as collateral under short-term borrowing agreements | 828,192 | 1,838,797 |
Business purpose loans | Facilities | ||
Short-term Debt [Line Items] | ||
Market value of loans pledged as collateral under short-term borrowing agreements | 982,745 | 167,687 |
On balance sheet | Facilities | ||
Short-term Debt [Line Items] | ||
Available-for-sale securities pledged as collateral | 60,457 | 5,823 |
Sequoia | Sequoia securities | Short Term Borrowing Agreement | Facilities | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 77,470 | 61,525 |
Freddie Mac K-Series | Sequoia securities | Short Term Borrowing Agreement | Facilities | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | $ 32,047 | $ 31,657 |
Short-Term Debt - Additional In
Short-Term Debt - Additional Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2022 | Aug. 31, 2022 | Jul. 01, 2022 | Dec. 31, 2021 | |
Short-term Debt [Line Items] | |||||
Average balance of short-term debt | $ 1,640,000,000 | $ 1,650,000,000 | |||
Accrued interest payable on short-term debt | 5,000,000 | 5,000,000 | $ 2,000,000 | ||
Committed line of credit | 10,000,000 | 10,000,000 | |||
Fair market value of committed line of credit | 1,000,000 | 1,000,000 | |||
Amount outstanding under credit facilities | 0 | 0 | 0 | ||
Borrowings | 1,546,934,000 | 1,546,934,000 | 1,650,576,000 | ||
Debt instrument, unamortized deferred issuance costs | 12,708,000 | 12,708,000 | 9,743,000 | ||
Convertible notes | |||||
Short-term Debt [Line Items] | |||||
Debt instrument, unamortized deferred issuance costs | $ 1,000,000 | ||||
4.75% convertible senior notes | Convertible notes | |||||
Short-term Debt [Line Items] | |||||
Borrowings | $ 199,000,000 | $ 199,000,000 | $ 198,629,000 | ||
Debt Instrument interest rate (as a percent) | 4.75% | 4.75% | 4.75% | ||
Debt instrument, unamortized deferred issuance costs | $ 1,836,000 | ||||
Convertible notes | |||||
Short-term Debt [Line Items] | |||||
Debt instrument, unamortized deferred issuance costs | $ 1,000,000 | $ 1,000,000 | |||
Riverbend Funding, LLC | |||||
Short-term Debt [Line Items] | |||||
Promissory notes | $ 43,000,000 | ||||
Debt instrument, periodic payment, principal | 12,000,000 | ||||
Riverbend Funding, LLC | Minimum | |||||
Short-term Debt [Line Items] | |||||
Fixed interest rate (as a percentage) | 6% | ||||
Riverbend Funding, LLC | Maximum | |||||
Short-term Debt [Line Items] | |||||
Fixed interest rate (as a percentage) | 8% | ||||
Servicer advance financing | |||||
Short-term Debt [Line Items] | |||||
Accrued interest payable on short-term debt | 300,000 | 300,000 | |||
Unamortized capitalized commitment costs | 100,000 | 100,000 | |||
Business Purpose Loan Warehouse Facilities | |||||
Short-term Debt [Line Items] | |||||
increase in short term debt from reclassification | $ 450,000,000 | $ 900,000,000 |
Short-Term Debt - Remaining Mat
Short-Term Debt - Remaining Maturities of Short Term Debt (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Short-term Debt [Line Items] | |||
Short-term debt | [1] | $ 2,110,279 | $ 2,177,362 |
Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 72,233 | ||
31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 345,708 | ||
Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,692,338 | ||
Facilities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,648,888 | 1,882,915 | |
Facilities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 72,233 | ||
Facilities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 315,006 | ||
Facilities | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,261,649 | ||
Facilities | Held-for-sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 748,962 | 1,669,344 | |
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 | 262,804 | ||
Facilities | Held-for-sale residential loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 486,158 | ||
Facilities | Business purpose loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 775,491 | ||
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 | 775,491 | ||
Facilities | Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 124,435 | ||
Facilities | Real estate securities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 72,233 | ||
Facilities | Real estate securities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 52,202 | ||
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 | 233,104 | 294,447 | |
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 | 233,104 | ||
Promissory notes | |||
Short-term Debt [Line Items] | |||
Short-term debt | 30,702 | ||
Promissory notes | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Promissory notes | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 30,702 | ||
Promissory notes | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Convertible notes, net | |||
Short-term Debt [Line Items] | |||
Short-term debt | 197,585 | $ 0 | |
Convertible notes, net | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Convertible notes, net | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Convertible notes, net | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | $ 197,585 | ||
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issue_2
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Details) - Asset-backed securities issued $ in Thousands | Sep. 30, 2022 USD ($) series | Dec. 31, 2021 USD ($) series |
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 8,139,293 | $ 9,253,557 |
Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | (1,189,091) | 34,092 |
Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 9,109,550 | 8,970,474 |
Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 218,834 | 248,991 |
Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 197,354 | $ 227,881 |
Number of series | series | 20 | 20 |
Legacy Sequoia | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (16,602) | $ (32,243) |
Legacy Sequoia | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 2.52% | 0.23% |
Legacy Sequoia | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 3.90% | 1.44% |
Legacy Sequoia | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 213,786 | $ 259,505 |
Legacy Sequoia | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 170 | 619 |
Sequoia | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 3,013,249 | $ 3,383,048 |
Number of series | series | 17 | 16 |
Sequoia | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (699,473) | $ (2,774) |
Sequoia | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 2.56% | 2.40% |
Sequoia | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 4.99% | 5.03% |
Sequoia | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 3,650,411 | $ 3,353,073 |
Sequoia | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 62,311 | 32,749 |
CAFL | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 3,179,487 | $ 3,474,898 |
Number of series | series | 19 | 16 |
CAFL | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (330,549) | $ 16,407 |
CAFL | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 2.34% | 2.64% |
CAFL | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 5.93% | 5.24% |
CAFL | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 3,375,688 | $ 3,264,766 |
CAFL | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 134,348 | 193,725 |
Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 1,249,041 | $ 1,588,463 |
Number of series | series | 3 | 3 |
Debt instrument, face amount | $ 100,000 | $ 145,000 |
Freddie Mac SLST | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (109,410) | $ 41,111 |
Freddie Mac SLST | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 3.50% | 3.50% |
Freddie Mac SLST | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series | 4.75% | 4.75% |
Freddie Mac SLST | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 1,344,521 | $ 1,535,638 |
Freddie Mac SLST | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 13,930 | 11,714 |
Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 395,411 | $ 441,857 |
Range of weighted average interest rates, by series | 3.41% | 3.41% |
Number of series | series | 1 | 1 |
Freddie Mac K-Series | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (25,428) | $ 12,973 |
Freddie Mac K-Series | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 412,764 | 418,700 |
Freddie Mac K-Series | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 8,075 | 10,184 |
HEI | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 104,751 | $ 137,410 |
Range of weighted average interest rates, by series | 3.76% | 3.31% |
Number of series | series | 1 | 1 |
HEI | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (7,629) | $ (1,382) |
HEI | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 112,380 | 138,792 |
HEI | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 0 | 0 |
CoreVest | ||
Debt Instrument [Line Items] | ||
Debt instrument, face amount | $ 485,000 | $ 270,000 |
Asset-Backed Securities Issue_3
Asset-Backed Securities Issued - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||||
Sep. 30, 2020 | Sep. 30, 2022 | Dec. 31, 2052 | May 29, 2029 | Mar. 31, 2029 | Jul. 31, 2023 | Jun. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | ||
Debt Instrument [Line Items] | ||||||||||
Other assets | [1] | $ 194,500 | $ 231,117 | |||||||
Variable Interest Entity, Primary Beneficiary | ||||||||||
Debt Instrument [Line Items] | ||||||||||
VIE, ownership interest rate (as a percent) | 80% | |||||||||
Variable Interest Entity, Primary Beneficiary | Point HEI | ||||||||||
Debt Instrument [Line Items] | ||||||||||
ABS issued, net, At amortized cost | $ 146,000 | |||||||||
Variable Interest Entity, Primary Beneficiary | CoreVest | ||||||||||
Debt Instrument [Line Items] | ||||||||||
ABS issued, net, At amortized cost | $ 215,000 | |||||||||
Variable Interest Entity, Primary Beneficiary | Freddie Mac SLST | ||||||||||
Debt Instrument [Line Items] | ||||||||||
ABS issued, net, At amortized cost | $ 210,000 | |||||||||
2022 Asset Backed Securities Sold | CoreVest | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Debt instrument, face amount | $ 215,000 | |||||||||
Bridge loan | 229,000 | |||||||||
Restricted cash | 19,000 | |||||||||
2022 Asset Backed Securities Sold | Variable Interest Entity, Primary Beneficiary | CoreVest | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Debt instrument, face amount | 208,000 | |||||||||
Unamortized debt discount | 7,000 | |||||||||
2021 Asset Backed Securities Sold | CoreVest | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Debt instrument, face amount | 270,000 | |||||||||
Bridge loan | 283,000 | |||||||||
Restricted cash | 24,000 | |||||||||
Other assets | 24,000 | |||||||||
Total funding capacity | 300,000 | |||||||||
2021 Asset Backed Securities Sold | Variable Interest Entity, Primary Beneficiary | Forecast | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Debt Instrument interest rate (as a percent) | 2% | 2% | ||||||||
2021 Asset Backed Securities Sold | Variable Interest Entity, Primary Beneficiary | CoreVest | ||||||||||
Debt Instrument [Line Items] | ||||||||||
ABS issued, net, At amortized cost | $ 270,000 | |||||||||
Debt instrument, face amount | 268,000 | |||||||||
Unamortized debt discount | $ 2,000 | |||||||||
Debt Instrument interest rate (as a percent) | 2.34% | |||||||||
Asset-backed securities issued | CoreVest | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Debt instrument, face amount | $ 485,000 | 270,000 | ||||||||
Total funding capacity | 250,000 | |||||||||
Asset-backed securities issued | Freddie Mac SLST | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Debt instrument, face amount | 100,000 | $ 145,000 | ||||||||
Asset-backed securities issued | Variable Interest Entity, Primary Beneficiary | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Debt instrument, face amount | 99,000 | |||||||||
Unamortized debt discount | $ 1,000 | |||||||||
Debt Instrument interest rate (as a percent) | 4.75% | |||||||||
VIE, ownership interest rate (as a percent) | 100% | |||||||||
Asset-backed securities issued | Variable Interest Entity, Primary Beneficiary | Forecast | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Debt Instrument interest rate (as a percent) | 2% | 7.75% | ||||||||
Asset-backed securities issued | Variable Interest Entity, Primary Beneficiary | CoreVest | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Debt Instrument interest rate (as a percent) | 4.32% | |||||||||
Asset-backed securities issued | Contractual maturities of over five years | ||||||||||
Debt Instrument [Line Items] | ||||||||||
Contractual maturities of securities (in years) | 5 years | |||||||||
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issue_4
Asset-Backed Securities Issued - Accrued Interest Payable (Details) - Asset-backed securities issued - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | $ 25,627 | $ 25,401 |
Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 223 | 99 |
Sequoia | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 9,003 | 8,452 |
CAFL | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 11,202 | 11,030 |
Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 4,026 | 4,630 |
Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | $ 1,173 | $ 1,190 |
Long-Term Debt - Schedule of Co
Long-Term Debt - Schedule of Components of Long-Term Debt (Details) - USD ($) | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2022 | Dec. 31, 2021 | Aug. 31, 2022 | Jun. 30, 2022 | Mar. 31, 2021 | |
Debt Instrument [Line Items] | |||||
Borrowings | $ 1,546,934,000 | $ 1,650,576,000 | |||
Unamortized Deferred Issuance Costs / Discount | (12,708,000) | (9,743,000) | |||
Net Carrying Value | 1,534,226,000 | 1,640,833,000 | |||
Facilities | |||||
Debt Instrument [Line Items] | |||||
Borrowings | 870,142,000 | 990,155,000 | |||
Unamortized Deferred Issuance Costs / Discount | (1,291,000) | (1,672,000) | |||
Net Carrying Value | 868,851,000 | 988,483,000 | |||
Convertible notes | |||||
Debt Instrument [Line Items] | |||||
Unamortized Deferred Issuance Costs / Discount | $ (1,000,000) | ||||
Trust preferred securities and subordinated notes | |||||
Debt Instrument [Line Items] | |||||
Borrowings | 139,500,000 | 139,500,000 | |||
Unamortized Deferred Issuance Costs / Discount | (745,000) | (779,000) | |||
Net Carrying Value | $ 138,755,000 | $ 138,721,000 | |||
Trust preferred securities and subordinated notes | LIBOR | |||||
Debt Instrument [Line Items] | |||||
Basis spread on variable rate | 2.25% | 2.25% | |||
Facility A | Recourse Subordinate Securities Financing | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 131,316,000 | $ 144,385,000 | |||
Unamortized Deferred Issuance Costs / Discount | 0 | (313,000) | |||
Net Carrying Value | $ 131,316,000 | $ 144,072,000 | |||
Weighted Average Interest Rate (as a percent) | 4.21% | 4.21% | |||
Facility B | Recourse Subordinate Securities Financing | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 102,006,000 | $ 102,351,000 | |||
Unamortized Deferred Issuance Costs / Discount | (126,000) | (353,000) | |||
Net Carrying Value | $ 101,880,000 | $ 101,998,000 | |||
Weighted Average Interest Rate (as a percent) | 4.21% | 4.21% | |||
Facility C | Recourse Subordinate Securities Financing | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 71,792,000 | $ 91,707,000 | |||
Unamortized Deferred Issuance Costs / Discount | (189,000) | (376,000) | |||
Net Carrying Value | $ 71,603,000 | $ 91,331,000 | |||
Weighted Average Interest Rate (as a percent) | 4.75% | 4.75% | |||
Non-Recourse BPL Financing, Facility D | Facilities | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 565,028,000 | $ 307,215,000 | |||
Unamortized Deferred Issuance Costs / Discount | (976,000) | (507,000) | |||
Net Carrying Value | 564,052,000 | 306,708,000 | |||
Limit | $ 750,000,000 | $ 400,000,000 | $ 600,000,000 | ||
Non-Recourse BPL Financing, Facility D | Facilities | LIBOR | |||||
Debt Instrument [Line Items] | |||||
Basis spread on variable rate | 2.51% | 2.75% | |||
Recourse BPL Financing, Facility J | Facilities | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 0 | ||||
Unamortized Deferred Issuance Costs / Discount | 0 | ||||
Net Carrying Value | 0 | ||||
Limit | $ 500,000,000 | ||||
Recourse BPL Financing, Facility J | Facilities | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | Minimum | |||||
Debt Instrument [Line Items] | |||||
Basis spread on variable rate | 2.25% | ||||
Recourse BPL Financing, Facility J | Facilities | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | Maximum | |||||
Debt Instrument [Line Items] | |||||
Basis spread on variable rate | 2.50% | ||||
Recourse BPL Financing, Facility E | Facilities | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 234,349,000 | ||||
Unamortized Deferred Issuance Costs / Discount | (123,000) | ||||
Net Carrying Value | 234,226,000 | ||||
Limit | $ 450,000,000 | ||||
Recourse BPL Financing, Facility E | Facilities | LIBOR | |||||
Debt Instrument [Line Items] | |||||
Basis spread on variable rate | 2.21% | ||||
Recourse BPL Financing, Facility F | Facilities | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 110,148,000 | ||||
Unamortized Deferred Issuance Costs / Discount | 0 | ||||
Net Carrying Value | 110,148,000 | ||||
Limit | $ 450,000,000 | ||||
Recourse BPL Financing, Facility F | Facilities | LIBOR | |||||
Debt Instrument [Line Items] | |||||
Basis spread on variable rate | 3.35% | ||||
4.75% convertible senior notes | Convertible notes | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 199,000,000 | $ 198,629,000 | |||
Unamortized Deferred Issuance Costs / Discount | (1,836,000) | ||||
Net Carrying Value | $ 196,793,000 | ||||
Weighted Average Interest Rate (as a percent) | 4.75% | 4.75% | |||
5.625% convertible senior notes | Convertible notes | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 150,200,000 | $ 150,200,000 | |||
Unamortized Deferred Issuance Costs / Discount | (1,484,000) | (2,072,000) | |||
Net Carrying Value | $ 148,716,000 | $ 148,128,000 | |||
Weighted Average Interest Rate (as a percent) | 5.625% | 5.625% | |||
5.75% exchangeable senior notes | Convertible notes | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 172,092,000 | $ 172,092,000 | |||
Unamortized Deferred Issuance Costs / Discount | (2,769,000) | (3,384,000) | |||
Net Carrying Value | $ 169,323,000 | $ 168,708,000 | |||
Weighted Average Interest Rate (as a percent) | 5.75% | 5.75% | |||
7.75% convertible senior notes | Convertible notes | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 215,000,000 | ||||
Unamortized Deferred Issuance Costs / Discount | $ (6,419,000) | ||||
Net Carrying Value | $ 208,581,000 | ||||
Weighted Average Interest Rate (as a percent) | 7.75% |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Details) | 1 Months Ended | ||||
Jun. 30, 2022 USD ($) $ / shares | Sep. 30, 2022 USD ($) | Aug. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | Mar. 31, 2021 USD ($) | |
Debt Instrument [Line Items] | |||||
Borrowings | $ 1,546,934,000 | $ 1,650,576,000 | |||
Debt instrument, unamortized deferred issuance costs | 12,708,000 | 9,743,000 | |||
Facilities | |||||
Debt Instrument [Line Items] | |||||
Borrowings | 870,142,000 | 990,155,000 | |||
Debt instrument, unamortized deferred issuance costs | 1,291,000 | 1,672,000 | |||
Convertible notes | |||||
Debt Instrument [Line Items] | |||||
Debt instrument, unamortized deferred issuance costs | $ 1,000,000 | ||||
Non-Recourse BPL Financing, Facility D | Facilities | |||||
Debt Instrument [Line Items] | |||||
Limit | 750,000,000 | 400,000,000 | $ 600,000,000 | ||
Borrowings | 565,028,000 | 307,215,000 | |||
Debt instrument, unamortized deferred issuance costs | $ 976,000 | 507,000 | |||
7.75% convertible senior notes | Convertible notes | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 215,000,000 | ||||
Debt Instrument interest rate (as a percent) | 7.75% | ||||
Net proceeds from issuance of convertible debt | $ 208,000,000 | ||||
Range of weighted average interest rates, by series | 8.50% | ||||
Convertible senior notes conversion rate | 0.0956823 | ||||
Convertible senior notes conversion per share (in dollars per share) | $ / shares | $ 10.45 | ||||
Debt instrument, unamortized deferred issuance costs | $ 6,419,000 | ||||
4.75% convertible senior notes | Convertible notes | |||||
Debt Instrument [Line Items] | |||||
Borrowings | $ 199,000,000 | $ 198,629,000 | |||
Debt Instrument interest rate (as a percent) | 4.75% | 4.75% | |||
Debt instrument, unamortized deferred issuance costs | $ 1,836,000 |
Long-Term Debt - Schedule of _2
Long-Term Debt - Schedule of Collateral for Long-Term Debt (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Collateral amounts | $ 1,124,750 | $ 1,306,932 |
Bridge Loan | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 699,704 | 554,597 |
Residential Real Estate | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 0 | 244,703 |
Commercial Real Estate | Facility A | Affiliated Entity | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 184,363 | 247,227 |
Commercial Real Estate | Facility B | Affiliated Entity | ||
Debt Instrument [Line Items] | ||
Collateral amounts | $ 240,683 | $ 260,405 |
Long-Term Debt - Schedule of Ac
Long-Term Debt - Schedule of Accrued Interest Payable on Long Term Debt (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | $ 15,828 | $ 11,330 |
Facilities | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | 2,685 | 815 |
Convertible notes | 4.75% convertible senior notes | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | 0 | 3,564 |
Convertible notes | 5.625% convertible senior notes | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | 1,784 | 3,896 |
Convertible notes | 5.75% exchangeable senior notes | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | 4,947 | 2,474 |
Convertible notes | 7.75% convertible senior notes | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | 5,184 | 0 |
Trust preferred securities and subordinated notes | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | $ 1,228 | $ 581 |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||||
Jul. 01, 2022 USD ($) | Sep. 30, 2022 USD ($) lease | Mar. 31, 2022 USD ($) | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) repurchase_request lease loan | Sep. 30, 2021 USD ($) repurchase_request loan | Dec. 31, 2021 USD ($) | Dec. 31, 2018 partnership | Dec. 31, 2016 USD ($) | Dec. 31, 2015 USD ($) | ||
Loss Contingencies [Line Items] | |||||||||||
Lessee, number of leases | lease | 10 | 10 | |||||||||
Present value of remaining lease payments | $ 22,326 | $ 22,326 | |||||||||
Operating lease expense | 4,000 | $ 3,000 | |||||||||
Number of leases assumed | lease | 3 | ||||||||||
Operating lease liabilities | $ 19,533 | $ 19,533 | $ 20,960 | ||||||||
Operating lease liability, statement of financial position [Extensible List] | Accounts Payable and Accrued Liabilities | Accounts Payable and Accrued Liabilities | |||||||||
Operating lease right-of-use assets | $ 17,126 | $ 17,126 | 18,772 | ||||||||
Operating lease right-of-use asset, statement of financial position [Extensible List] | Other assets | Other assets | |||||||||
Weighted average remaining lease term | 5 years | 5 years | |||||||||
Discount rate (as a percent) | 5.20% | 5.20% | |||||||||
Derivative liabilities | [1] | $ 6,782 | $ 6,782 | 3,317 | |||||||
Net market valuation gains (losses) | 1,000 | $ (300) | (2,000) | 1,000 | |||||||
Number of partnerships, committed to fund | partnership | 2 | ||||||||||
Other income related to risk sharing agreement | 279 | 575 | 1,062 | $ 2,318 | |||||||
Guarantee obligations | 6,532 | 6,532 | 7,459 | ||||||||
Guarantee obligations, credit reserve | 5,000 | 5,000 | |||||||||
Special purpose entities assets | 30,000 | 30,000 | |||||||||
Special purpose entities liabilities | 7,000 | 7,000 | |||||||||
Residential repurchase reserve | 5,754 | $ 5,754 | 9,306 | ||||||||
Number of residential repurchase requests (in repurchase requests) | repurchase_request | 7 | 8 | |||||||||
Number of loans repurchased | loan | 1 | 1 | |||||||||
Residential loans repurchase (reversal) provision | (100) | $ (300) | $ (4,000) | $ (600) | |||||||
Aggregate amount of loss contingency reserves | 2,000 | 2,000 | |||||||||
Riverbend Funding, LLC | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Earnout period | 2 years | ||||||||||
Potential future payments on loans | $ 25,300 | ||||||||||
Securitized Point Options | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Payments to acquire other investments | 350,000 | ||||||||||
Maximum | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Loss from arrangements | 100 | ||||||||||
Residential Loans | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Unpaid principal balance | 874,412 | 874,412 | 1,813,865 | ||||||||
Fair value of loans | 834,262 | 834,262 | 1,845,282 | ||||||||
Other income | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Other income related to risk sharing agreement | 300 | 1,000 | |||||||||
Guarantee Obligations | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Potential future payments on loans | 44,000 | 44,000 | |||||||||
Original unpaid balance of loans subject to risk sharing agreements | $ 3,190,000 | $ 3,190,000 | |||||||||
Unpaid principal balance | $ 454,000 | $ 454,000 | |||||||||
Weighted average original FICO score | 756 | 756 | |||||||||
Weighted average original loan-to-value (LTV) | 74% | 74% | |||||||||
Guarantee Obligations | Residential Loans | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Unpaid principal balance of loans in foreclosure | $ 1,000 | $ 1,000 | |||||||||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Fair value of loans | 10,000 | 10,000 | |||||||||
Commitment To Fund Residential Bridge Loan | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Other commitments made | 990,000 | 990,000 | |||||||||
Derivative liabilities | (3,000) | (3,000) | |||||||||
Commitment To Acquire HEIs | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Cumulative commitment | 149,000 | 149,000 | |||||||||
Commitment To Acquire HEIs | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Cumulative commitment | 85,000 | 85,000 | |||||||||
Commitment To Fund Strategic Investment | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Other commitments made | 15,000 | 15,000 | |||||||||
Payments for other commitments | $ 25,000 | ||||||||||
Commitment To Fund RWT Horizons Investments | |||||||||||
Loss Contingencies [Line Items] | |||||||||||
Other commitments made | $ 1,000 | $ 1,000 | |||||||||
Payments for other commitments | $ 5,000 | ||||||||||
[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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |
Commitments and Contingencies_2
Commitments and Contingencies - Future Lease Commitments (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Commitments and Contingencies Disclosure [Abstract] | ||
2022 (3 months) | $ 1,216 | |
2023 | 4,956 | |
2024 | 4,601 | |
2025 | 3,580 | |
2026 | 3,420 | |
2027 and thereafter | 4,553 | |
Total Lease Commitments | 22,326 | |
Less: Imputed interest | (2,793) | |
Operating lease liabilities | $ 19,533 | $ 20,960 |
Equity - Changes to Accumulated
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | $ 1,258,091 | $ 1,295,142 | $ 1,386,087 | $ 1,110,899 |
Total other comprehensive (loss) income | (7,147) | (7,817) | (56,008) | 6,144 |
Balance at End of Period | 1,154,242 | 1,375,823 | 1,154,242 | 1,375,823 |
Available-for-Sale Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | 16,595 | 88,251 | 67,503 | 76,336 |
Other comprehensive (loss) income before reclassifications | (8,731) | (2,658) | (60,013) | 19,552 |
Amounts reclassified from other accumulated comprehensive (income) loss | 544 | (6,200) | 918 | (16,495) |
Total other comprehensive (loss) income | (8,187) | (8,858) | (59,095) | 3,057 |
Balance at End of Period | 8,408 | 79,393 | 8,408 | 79,393 |
Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | (74,383) | (78,511) | (76,430) | (80,557) |
Other comprehensive (loss) income before reclassifications | 0 | 0 | 0 | 0 |
Amounts reclassified from other accumulated comprehensive (income) loss | 1,040 | 1,041 | 3,087 | 3,087 |
Total other comprehensive (loss) income | 1,040 | 1,041 | 3,087 | 3,087 |
Balance at End of Period | $ (73,343) | $ (77,470) | $ (73,343) | $ (77,470) |
Equity - Reclassifications out
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Investment fair value changes, net | $ (57,697) | $ 26,077 | $ (151,789) | $ 120,644 |
Realized gains, net | 0 | (6,703) | (2,581) | (17,803) |
Interest expense | 142,727 | 103,754 | 405,992 | 314,371 |
Net income before provision for income taxes | (48,994) | 83,963 | (129,946) | 289,475 |
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 | 544 | 0 | 2,315 | (388) |
Realized gains, net | 0 | (6,200) | (1,397) | (16,107) |
Net income before provision for income taxes | 544 | (6,200) | 918 | (16,495) |
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 | 1,040 | 1,041 | 3,087 | 3,087 |
Net income before provision for income taxes | $ 1,040 | $ 1,041 | $ 3,087 | $ 3,087 |
Equity - Additional Information
Equity - Additional Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Jul. 31, 2022 | Feb. 28, 2018 | |
Stockholders Equity Note [Line Items] | ||||||
Net proceeds from issuance of common stock | $ 67,899,000 | $ 20,248,000 | ||||
Share repurchases | $ 23,694,000 | $ 56,496,000 | ||||
Share Repurchase Program 2022 | ||||||
Stockholders Equity Note [Line Items] | ||||||
Common stock authorized to repurchase by Board | $ 125,000,000 | |||||
Share repurchases (in shares) | 3,400,000 | 7,100,000 | ||||
Available authorization remaining for repurchase | $ 101,000,000 | $ 101,000,000 | ||||
Prior Share Repurchase Program | ||||||
Stockholders Equity Note [Line Items] | ||||||
Common stock authorized to repurchase by Board | $ 100,000,000 | |||||
Convertible Debt Securities | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share (in shares) | 49,137,808 | 37,307,705 | ||||
Equity awards | ||||||
Stockholders Equity Note [Line Items] | ||||||
Securities excluded in the calculation of diluted earnings per share (in shares) | 249,178 | 22,102 | 268,737 | 18,736 | ||
At The Market Offerings | Common Stock | ||||||
Stockholders Equity Note [Line Items] | ||||||
Issuance of common stock (in shares) | 5,200,000 | |||||
Net proceeds from issuance of common stock | $ 67,000,000 | |||||
Remaining capacity | $ 175,000,000 | $ 175,000,000 | ||||
Direct Stock Purchases and Dividend Reinvestment Plan | Common Stock | ||||||
Stockholders Equity Note [Line Items] | ||||||
Shares remaining for future offerings | 6,000,000 | 6,000,000 | ||||
Common Stock | ||||||
Stockholders Equity Note [Line Items] | ||||||
Issuance of common stock (in shares) | 1,585,709 | 5,232,869 | 2,391,777 | |||
Share repurchases (in shares) | 3,448,858 | 7,128,891 | ||||
Share repurchases | $ 35,000 | $ 71,000 |
Equity - Basic and Diluted Earn
Equity - Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Basic Earnings per Common Share: | ||||
Net (loss) income attributable to Redwood | $ (50,411) | $ 88,286 | $ (119,462) | $ 275,568 |
Less: Dividends and undistributed earnings allocated to participating securities | (1,158) | (2,984) | (3,445) | (8,979) |
Net (loss) income allocated to common shareholders | $ (51,569) | $ 85,302 | $ (122,907) | $ 266,589 |
Basic weighted average common shares outstanding (in shares) | 116,087,890 | 112,995,847 | 118,530,172 | 112,754,691 |
Basic Earnings per Common Share (in dollars per share) | $ (0.44) | $ 0.75 | $ (1.04) | $ 2.36 |
Diluted Earnings per Common Share: | ||||
Net (loss) income attributable to Redwood | $ (50,411) | $ 88,286 | $ (119,462) | $ 275,568 |
Less: Dividends and undistributed earnings allocated to participating securities | (1,158) | (2,747) | (3,445) | (8,151) |
Add back: Interest expense on convertible notes for the period, net of tax | 0 | 6,870 | 0 | 20,585 |
Net (loss) income allocated to common shareholders | $ (51,569) | $ 92,409 | $ (122,907) | $ 288,002 |
Net effect of dilutive equity awards (in shares) | 0 | 292,749 | 0 | 253,819 |
Net effect of assumed convertible notes conversion to common shares (in shares) | 0 | 28,566,875 | 0 | 28,566,875 |
Diluted weighted average common shares outstanding (in shares) | 116,087,890 | 141,855,471 | 118,530,172 | 141,575,385 |
Diluted Earnings (Loss) per Common Share (in dollars per share) | $ (0.44) | $ 0.65 | $ (1.04) | $ 2.03 |
Equity Compensation Plans - Add
Equity Compensation Plans - Additional Information (Details) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Mar. 31, 2019 | Sep. 30, 2022 | Dec. 31, 2021 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | $ 34,596,000 | $ 42,383,000 | |
Weighted average amortization period remaining for equity awards | 2 years | ||
Shares of common stock to be purchased in aggregate for all employees (in shares) | 850,000 | ||
Number of shares purchased by employees (in shares) | 505,496 | 569,728 | |
Restricted Stock Awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 1,551 | 28,141 | |
Number of stock awards granted (in shares) | 0 | ||
Number of stock awards vested (in shares) | 26,000 | ||
Number of stock awards forfeited (in shares) | 341 | ||
Restricted Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 476,893 | 431,072 | |
Number of stock awards granted (in shares) | 208,717,000 | ||
Number of stock awards vested (in shares) | 123,869,000 | ||
Number of stock awards forfeited (in shares) | 39,027,000 | ||
Deferred Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 4,911,777 | 4,022,088 | |
Number of stock awards granted (in shares) | 1,214,533,000 | ||
Number of stock awards vested (in shares) | 2,217,327 | 1,469,903 | |
Number of stock awards forfeited (in shares) | 8,298,000 | ||
Stock units distributed (in shares) | 316,546,000 | ||
Performance Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unvested outstanding stock awards (in shares) | 1,267,849 | 1,473,883 | |
Number of stock awards granted (in shares) | 206,034 | ||
Share-based compensation, vesting period (in years) | 3 years | ||
Equity compensation expense | $ 3,000,000 | ||
Redwood Incentive Plan | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Common stock available for grant (in shares) | 5,258,817 | 5,958,390 | |
Redwood Incentive Plan | Restricted Stock Awards | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | $ 0 | $ 84,000 | |
Redwood Incentive Plan | Restricted Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | 4,087,000 | 3,589,000 | |
Redwood Incentive Plan | Deferred Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | 23,920,000 | 26,473,000 | |
Redwood Incentive Plan | Performance Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | $ 6,508,000 | $ 12,237,000 |
Equity Compensation Plans - Unr
Equity Compensation Plans - Unrecognized Compensation Cost (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2022 USD ($) | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | $ 42,383 |
Equity grants | 10,796 |
Performance-based valuation adjustment | (3,205) |
Equity grant forfeitures | (554) |
Equity compensation expense | (14,824) |
Unrecognized Compensation Cost at End of Period | 34,596 |
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 | 84 |
Equity grants | 0 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (5) |
Equity compensation expense | (79) |
Unrecognized Compensation Cost at End of Period | 0 |
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 | 3,589 |
Equity grants | 2,513 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (448) |
Equity compensation expense | (1,567) |
Unrecognized Compensation Cost at End of Period | 4,087 |
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 | 26,473 |
Equity grants | 7,960 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (101) |
Equity compensation expense | (10,412) |
Unrecognized Compensation Cost at End of Period | 23,920 |
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 | 12,237 |
Equity grants | 0 |
Performance-based valuation adjustment | (3,205) |
Equity grant forfeitures | 0 |
Equity compensation expense | (2,524) |
Unrecognized Compensation Cost at End of Period | 6,508 |
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 | 323 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | 0 |
Equity compensation expense | (242) |
Unrecognized Compensation Cost at End of Period | $ 81 |
Mortgage Banking Activities, _3
Mortgage Banking Activities, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Other income, net | $ 4,027 | $ 2,388 | $ 17,016 | $ 8,357 |
Mortgage banking activities, net | 16,535 | 63,163 | 2,833 | 200,189 |
Residential Mortgage Banking Activities, Net | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Other income, net | 467 | 1,089 | 5,496 | 3,305 |
Mortgage banking activities, net | 2,158 | 32,946 | (7,694) | 115,646 |
Residential Mortgage Banking Activities, Net | Residential loans, held-for-sale, at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | (22,776) | 27,862 | (125,012) | 75,496 |
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 | 148 | 32 | 4,249 | (342) |
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 | 24,319 | 3,963 | 107,573 | 37,187 |
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 | (9) | 3,433 | 2,242 | 6,702 |
Other income, net | 9,648 | 8,747 | 36,214 | 22,236 |
Mortgage banking activities, net | 14,377 | 30,217 | 10,527 | 84,543 |
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 | 24,044 | (424) | 56,564 | 930 |
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 | $ (19,306) | $ 18,461 | $ (84,493) | $ 54,675 |
Other Income, Net (Details)
Other Income, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Other Income and Expenses [Abstract] | ||||
MSR income, net | $ 2,890 | $ 295 | $ 12,569 | $ 949 |
Bridge loan fees | 1,489 | 1,131 | 3,952 | 2,735 |
Risk share income | 279 | 575 | 1,062 | 2,318 |
Other | (631) | 387 | (567) | 2,355 |
Other income, net | $ 4,027 | $ 2,388 | $ 17,016 | $ 8,357 |
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 | 3 Months Ended | 9 Months Ended | ||||
Oct. 15, 2019 | Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Business Acquisition [Line Items] | ||||||
Fixed compensation expense (1) | $ 18,626 | $ 11,285 | $ 45,364 | $ 34,359 | ||
Annual variable compensation expense | 3,521 | 19,844 | 8,689 | 51,021 | ||
Long-term incentive award expense | 4,998 | 4,915 | 16,190 | 14,766 | ||
Acquisition-related equity compensation expense | 0 | 1,189 | 0 | 3,613 | ||
Systems and consulting | 3,909 | 2,975 | 10,796 | 9,224 | ||
Office costs | 2,381 | 2,197 | 6,489 | 6,029 | ||
Accounting and legal | 1,775 | 1,197 | 5,026 | 3,132 | ||
Corporate costs | 928 | 964 | 2,792 | 2,528 | ||
Other | 3,969 | 3,126 | 11,581 | 7,165 | ||
Total General and Administrative Expenses | 40,107 | 47,692 | 106,927 | 131,837 | ||
Commissions | 1,549 | 1,906 | 6,279 | 4,830 | ||
Underwriting costs | 545 | 2,351 | 3,013 | 5,872 | ||
Transfer and holding costs | 332 | 364 | 1,079 | 1,226 | ||
Total Loan Acquisition Costs | 2,426 | 4,621 | 10,371 | 11,928 | ||
Amortization of purchase-related intangible assets | 3,891 | 3,873 | 10,731 | 11,619 | ||
Other | 370 | 150 | 1,083 | 485 | ||
Total Other Expenses | 4,261 | 4,023 | 11,814 | 12,104 | ||
Total General and Administrative Expenses, Loan Acquisition Costs, and Other Expenses | 46,794 | 56,336 | 129,112 | 155,869 | ||
Severance and transition-related expenses | 3,000 | 3,000 | ||||
Settlement in Common Stock | ||||||
Business Acquisition [Line Items] | ||||||
Long-term incentive award expense | 5,000 | 3,000 | 15,000 | 10,000 | ||
Settlement in Cash | ||||||
Business Acquisition [Line Items] | ||||||
Long-term incentive award expense | 100 | $ 1,000 | 1,000 | $ 4,000 | ||
Unamortized compensation cost | 2,000 | $ 2,000 | $ 7,000 | |||
Variable compensation expense, service period | 4 years | |||||
Cash Based Retention Award | ||||||
Business Acquisition [Line Items] | ||||||
Cash-based retention awards granted | 2,000 | $ 2,000 | ||||
Variable compensation expense, term | 3 years | |||||
Unamortized compensation cost | $ 4,000 | $ 4,000 | $ 4,000 | |||
CAFL | ||||||
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 | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Income Tax Disclosure [Abstract] | ||||
Provision from (benefit for) income taxes | $ 1,417 | $ (4,323) | $ (10,484) | $ 13,907 |
Taxes - Reconciliation of Statu
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Details) | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
Income Tax Disclosure [Abstract] | ||
Federal statutory rate | 21% | 21% |
State statutory rate, net of Federal tax effect | 8.60% | 8.60% |
Differences in taxable (loss) income from GAAP income | (29.60%) | (13.10%) |
Change in valuation allowance | (2.40%) | (6.80%) |
Dividends paid deduction | 10.50% | (4.90%) |
Effective Tax Rate | 8.10% | 4.80% |
Segment Information - Additiona
Segment Information - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2022 segment | |
Segment Reporting [Abstract] | |
Number of operating segments | 3 |
Segment Information - Financial
Segment Information - Financial Information by Segment (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Segment Reporting Information [Line Items] | ||||
Interest income | $ 177,662 | $ 145,722 | $ 534,517 | $ 412,722 |
Interest expense | (142,727) | (103,754) | (405,992) | (314,371) |
Net Interest Income | 34,935 | 41,968 | 128,525 | 98,351 |
Non-interest (loss) income | ||||
Mortgage banking activities, net | 16,535 | 63,163 | 2,833 | 200,189 |
Investment fair value changes, net | (57,697) | 26,077 | (151,789) | 120,644 |
Other income, net | 4,027 | 2,388 | 17,016 | 8,357 |
Realized gains, net | 0 | 6,703 | 2,581 | 17,803 |
Total non-interest (loss) income, net | (37,135) | 98,331 | (129,359) | 346,993 |
General and administrative expenses | (40,107) | (47,692) | (106,927) | (131,837) |
Loan acquisition costs | (2,426) | (4,621) | (10,371) | (11,928) |
Other expenses | (4,261) | (4,023) | (11,814) | (12,104) |
Benefit from (provision for) income taxes | (1,417) | 4,323 | 10,484 | (13,907) |
Net (Loss) Income | (50,411) | 88,286 | (119,462) | 275,568 |
Non-cash amortization (expense) income, net | (10,295) | (570) | (14,305) | (12,815) |
Operating Segments | Residential Mortgage Banking | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 9,882 | 14,712 | 36,048 | 35,536 |
Interest expense | (8,083) | (7,537) | (23,316) | (19,903) |
Net Interest Income | 1,799 | 7,175 | 12,732 | 15,633 |
Non-interest (loss) income | ||||
Mortgage banking activities, net | 2,158 | 32,946 | (7,694) | 115,646 |
Investment fair value changes, net | 0 | 0 | 0 | 0 |
Other income, net | 0 | 0 | 0 | 0 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | 2,158 | 32,946 | (7,694) | 115,646 |
General and administrative expenses | (5,735) | (7,891) | (17,918) | (27,478) |
Loan acquisition costs | (550) | (2,395) | (2,848) | (5,686) |
Other expenses | 0 | 0 | 74 | (6) |
Benefit from (provision for) income taxes | 1,688 | (10,429) | 8,283 | (23,640) |
Net (Loss) Income | (640) | 19,406 | (7,371) | 74,469 |
Non-cash amortization (expense) income, net | (185) | (33) | (699) | 8,867 |
Operating Segments | Business Purpose Mortgage Banking | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 9,082 | 3,967 | 22,509 | 9,849 |
Interest expense | (5,971) | (2,013) | (12,797) | (5,134) |
Net Interest Income | 3,111 | 1,954 | 9,712 | 4,715 |
Non-interest (loss) income | ||||
Mortgage banking activities, net | 14,377 | 30,217 | 10,527 | 84,543 |
Investment fair value changes, net | 0 | 0 | 0 | 0 |
Other income, net | 399 | 216 | 2,028 | 494 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | 14,776 | 30,433 | 12,555 | 85,037 |
General and administrative expenses | (18,535) | (12,017) | (40,076) | (34,567) |
Loan acquisition costs | (1,876) | (2,175) | (7,523) | (5,528) |
Other expenses | (3,891) | (3,873) | (10,731) | (11,523) |
Benefit from (provision for) income taxes | 2,559 | (3,485) | 9,009 | (6,988) |
Net (Loss) Income | (3,856) | 10,837 | (27,054) | 31,146 |
Non-cash amortization (expense) income, net | (3,609) | (4,224) | (11,563) | (16,154) |
Operating Segments | Investment Portfolio | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 156,882 | 125,994 | 471,932 | 363,751 |
Interest expense | (111,876) | (84,049) | (331,047) | (258,685) |
Net Interest Income | 45,006 | 41,945 | 140,885 | 105,066 |
Non-interest (loss) income | ||||
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | (61,780) | 26,324 | (165,297) | 121,812 |
Other income, net | 3,906 | 1,842 | 15,423 | 7,121 |
Realized gains, net | 0 | 6,703 | 2,581 | 17,803 |
Total non-interest (loss) income, net | (57,874) | 34,869 | (147,293) | 146,736 |
General and administrative expenses | (3,502) | (4,483) | (9,676) | (10,804) |
Loan acquisition costs | 0 | (51) | 0 | (710) |
Other expenses | (370) | (150) | (1,157) | (592) |
Benefit from (provision for) income taxes | (5,664) | (1,045) | (6,808) | (2,561) |
Net (Loss) Income | (22,404) | 71,085 | (24,049) | 237,135 |
Non-cash amortization (expense) income, net | (3,658) | 5,682 | 4,385 | 317 |
Corporate/ Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 1,816 | 1,049 | 4,028 | 3,586 |
Interest expense | (16,797) | (10,155) | (38,832) | (30,649) |
Net Interest Income | (14,981) | (9,106) | (34,804) | (27,063) |
Non-interest (loss) income | ||||
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | 4,083 | (247) | 13,508 | (1,168) |
Other income, net | (278) | 330 | (435) | 742 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | 3,805 | 83 | 13,073 | (426) |
General and administrative expenses | (12,335) | (23,301) | (39,257) | (58,988) |
Loan acquisition costs | 0 | 0 | 0 | (4) |
Other expenses | 0 | 0 | 0 | 17 |
Benefit from (provision for) income taxes | 0 | 19,282 | 0 | 19,282 |
Net (Loss) Income | (23,511) | (13,042) | (60,988) | (67,182) |
Non-cash amortization (expense) income, net | $ (2,843) | $ (1,995) | $ (6,428) | $ (5,845) |
Segment Information - Component
Segment Information - Components of Corporate/Other (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Segment Reporting Information [Line Items] | ||||
Interest income | $ 177,662 | $ 145,722 | $ 534,517 | $ 412,722 |
Interest expense | (142,727) | (103,754) | (405,992) | (314,371) |
Net Interest Income | 34,935 | 41,968 | 128,525 | 98,351 |
Investment fair value changes, net | (57,697) | 26,077 | (151,789) | 120,644 |
Other | (631) | 387 | (567) | 2,355 |
Total non-interest (loss) income, net | (37,135) | 98,331 | (129,359) | 346,993 |
General and administrative expenses | (40,107) | (47,692) | (106,927) | (131,837) |
Loan acquisition costs | (2,426) | (4,621) | (10,371) | (11,928) |
Other expenses | (4,261) | (4,023) | (11,814) | (12,104) |
(Provision for) benefit from income taxes | (1,417) | 4,323 | 10,484 | (13,907) |
Net (Loss) Income | (50,411) | 88,286 | (119,462) | 275,568 |
Corporate/ Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 1,816 | 1,049 | 4,028 | 3,586 |
Interest expense | (16,797) | (10,155) | (38,832) | (30,649) |
Net Interest Income | (14,981) | (9,106) | (34,804) | (27,063) |
Investment fair value changes, net | 4,083 | (247) | 13,508 | (1,168) |
Other | (278) | 330 | (435) | 742 |
Total non-interest (loss) income, net | 3,805 | 83 | 13,073 | (426) |
General and administrative expenses | (12,335) | (23,301) | (39,257) | (58,988) |
Loan acquisition costs | 0 | 0 | 0 | (4) |
Other expenses | 0 | 0 | 0 | 17 |
(Provision for) benefit from income taxes | 0 | 19,282 | 0 | 19,282 |
Net (Loss) Income | (23,511) | (13,042) | (60,988) | (67,182) |
Corporate/ Other | Legacy Consolidated VIEs | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 1,473 | 1,042 | 3,593 | 3,559 |
Interest expense | (1,486) | (641) | (3,154) | (2,271) |
Net Interest Income | (13) | 401 | 439 | 1,288 |
Investment fair value changes, net | (329) | (247) | (1,379) | (1,162) |
Other | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (329) | (247) | (1,379) | (1,162) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Loan acquisition costs | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
(Provision for) benefit from income taxes | 0 | 0 | 0 | 0 |
Net (Loss) Income | (342) | 154 | (940) | 126 |
Corporate/ Other | Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 343 | 7 | 435 | 27 |
Interest expense | (15,311) | (9,514) | (35,678) | (28,378) |
Net Interest Income | (14,968) | (9,507) | (35,243) | (28,351) |
Investment fair value changes, net | 4,412 | 0 | 14,887 | (6) |
Other | (278) | 330 | (435) | 742 |
Total non-interest (loss) income, net | 4,134 | 330 | 14,452 | 736 |
General and administrative expenses | (12,335) | (23,301) | (39,257) | (58,988) |
Loan acquisition costs | 0 | 0 | 0 | (4) |
Other expenses | 0 | 0 | 0 | 17 |
(Provision for) benefit from income taxes | 0 | 19,282 | 0 | 19,282 |
Net (Loss) Income | $ (23,169) | $ (13,196) | $ (60,048) | $ (67,308) |
Segment Information - Supplemen
Segment Information - Supplemental Information by Segment (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Segment Reporting Information [Line Items] | |||
Home equity investments | $ 340,437 | $ 192,740 | |
Real estate securities | [1] | 259,212 | 377,411 |
Other investments | [1] | 412,762 | 449,229 |
Goodwill | [1] | 23,373 | 0 |
Intangible assets | 44,130 | 41,561 | |
Total Assets | [1] | 13,145,947 | 14,706,944 |
Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 5,752,556 | 7,592,432 | |
Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 5,257,218 | 4,790,989 | |
Consolidated Agency multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 427,458 | 473,514 | |
Operating Segments | Residential Mortgage Banking | |||
Segment Reporting Information [Line Items] | |||
Home equity investments | 0 | 0 | |
Real estate securities | 0 | 4,927 | |
Other investments | 0 | 0 | |
Goodwill | 0 | ||
Intangible assets | 0 | 0 | |
Total Assets | 738,301 | 1,716,285 | |
Operating Segments | Residential Mortgage Banking | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 676,458 | 1,673,235 | |
Operating Segments | Residential Mortgage Banking | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Residential Mortgage Banking | Consolidated Agency multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Business Purpose Mortgage Banking | |||
Segment Reporting Information [Line Items] | |||
Home equity investments | 0 | 0 | |
Real estate securities | 0 | 0 | |
Other investments | 0 | 0 | |
Goodwill | 23,373 | ||
Intangible assets | 44,130 | 41,561 | |
Total Assets | 473,748 | 464,967 | |
Operating Segments | Business Purpose Mortgage Banking | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Business Purpose Mortgage Banking | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 337,238 | 347,860 | |
Operating Segments | Business Purpose Mortgage Banking | Consolidated Agency multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Investment Portfolio | |||
Segment Reporting Information [Line Items] | |||
Home equity investments | 340,437 | 192,740 | |
Real estate securities | 259,212 | 372,484 | |
Other investments | 341,155 | 413,527 | |
Goodwill | 0 | ||
Intangible assets | 0 | 0 | |
Total Assets | 11,301,836 | 11,770,486 | |
Operating Segments | Investment Portfolio | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 4,877,938 | 5,688,742 | |
Operating Segments | Investment Portfolio | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 4,919,980 | 4,443,129 | |
Operating Segments | Investment Portfolio | Consolidated Agency multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 427,458 | 473,514 | |
Corporate/ Other | |||
Segment Reporting Information [Line Items] | |||
Home equity investments | 0 | 0 | |
Real estate securities | 0 | 0 | |
Other investments | 71,607 | 35,702 | |
Goodwill | 0 | ||
Intangible assets | 0 | 0 | |
Total Assets | 632,062 | 755,206 | |
Corporate/ Other | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 198,160 | 230,455 | |
Corporate/ Other | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Corporate/ Other | Consolidated Agency 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 September 30, 2022 and December 31, 2021, assets of consolidated VIEs totaled $9,449,163 and $10,661,081, respectively. At September 30, 2022 and December 31, 2021, liabilities of consolidated VIEs totaled $8,448,479 and $9,619,347, respectively. See Note 4 for further discussion. |