QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) |
(Address of Principal Executive Offices) | (Zip Code) |
x | Accelerated filer | ☐ | ||
Non-accelerated filer | o | Smaller reporting company | ||
Emerging growth company |
Title of each class | Trading symbol(s) | Name of each exchange on which registered |
Common Stock, $0.01 par value per share | shares outstanding as of August 5, 2019 |
(In Thousands, except Share Data) (Unaudited) | June 30, 2019 | December 31, 2018 | ||||||
ASSETS (1) | ||||||||
Residential loans, held-for-sale, at fair value | $ | $ | ||||||
Residential loans, held-for-investment, at fair value | ||||||||
Business purpose residential loans, at fair value | ||||||||
Multifamily loans, held-for-investment, at fair value | ||||||||
Real estate securities, at fair value | ||||||||
Other investments | ||||||||
Cash and cash equivalents | ||||||||
Restricted cash | ||||||||
Goodwill and intangible assets | ||||||||
Accrued interest receivable | ||||||||
Derivative assets | ||||||||
Other assets | ||||||||
Total Assets | $ | $ | ||||||
LIABILITIES AND EQUITY (1) | ||||||||
Liabilities | ||||||||
Short-term debt, net (2) | $ | $ | ||||||
Accrued interest payable | ||||||||
Derivative liabilities | ||||||||
Accrued expenses and other liabilities | ||||||||
Asset-backed securities issued, at fair value | ||||||||
Long-term debt, net | ||||||||
Total liabilities | ||||||||
Commitments and Contingencies (see Note 16) | ||||||||
Equity | ||||||||
Common stock, par value $0.01 per share, 270,000,000 and 180,000,000 shares authorized; 97,715,021 and 84,884,344 issued and outstanding | ||||||||
Additional paid-in capital | ||||||||
Accumulated other comprehensive income | ||||||||
Cumulative earnings | ||||||||
Cumulative distributions to stockholders | ( | ) | ( | ) | ||||
Total equity | ||||||||
Total Liabilities and Equity | $ | $ |
(1) | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At June 30, 2019 and December 31, 2018, assets of consolidated VIEs totaled $ |
(2) | Includes $ |
(In Thousands, except Share Data) | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
(Unaudited) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Interest Income | ||||||||||||||||
Residential loans | $ | $ | $ | $ | ||||||||||||
Business purpose residential loans | ||||||||||||||||
Multifamily loans | ||||||||||||||||
Real estate securities | ||||||||||||||||
Other interest income | ||||||||||||||||
Total interest income | ||||||||||||||||
Interest Expense | ||||||||||||||||
Short-term debt | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Asset-backed securities issued | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Long-term debt | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Total interest expense | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net Interest Income | ||||||||||||||||
Non-interest Income | ||||||||||||||||
Mortgage banking activities, net | ||||||||||||||||
Investment fair value changes, net | ||||||||||||||||
Other income, net | ||||||||||||||||
Realized gains, net | ||||||||||||||||
Total non-interest income, net | ||||||||||||||||
Operating expenses | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net Income before Provision for Income Taxes | ||||||||||||||||
Provision for income taxes | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net Income | $ | $ | $ | $ | ||||||||||||
Basic earnings per common share | $ | $ | $ | $ | ||||||||||||
Diluted earnings per common share | $ | $ | $ | $ | ||||||||||||
Basic weighted average shares outstanding | ||||||||||||||||
Diluted weighted average shares outstanding |
(In Thousands) | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
(Unaudited) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Net Income | $ | $ | $ | $ | ||||||||||||
Other comprehensive loss: | ||||||||||||||||
Net unrealized gain (loss) on available-for-sale securities | ( | ) | ( | ) | ||||||||||||
Reclassification of unrealized gain on available-for-sale securities to net income | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net unrealized (loss) gain on interest rate agreements | ( | ) | ( | ) | ||||||||||||
Total other comprehensive loss | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Total Comprehensive Income | $ | $ | $ | $ |
(In Thousands, except Share Data) | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||
(Unaudited) | Shares | Amount | |||||||||||||||||||||||||
March 31, 2019 | $ | $ | $ | $ | $ | ( | ) | $ | |||||||||||||||||||
Net income | — | — | — | — | — | ||||||||||||||||||||||
Other comprehensive loss | — | — | — | ( | ) | — | — | ( | ) | ||||||||||||||||||
Issuance of common stock | — | — | — | ||||||||||||||||||||||||
Direct stock purchase and dividend reinvestment plan | — | — | — | ||||||||||||||||||||||||
Employee stock purchase and incentive plans | — | — | — | ||||||||||||||||||||||||
Non-cash equity award compensation | — | — | — | — | — | ||||||||||||||||||||||
Common dividends declared ($0.30 per share) | — | — | — | — | — | ( | ) | ( | ) | ||||||||||||||||||
June 30, 2019 | $ | $ | $ | $ | $ | ( | ) | $ |
(In Thousands, except Share Data) | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||
(Unaudited) | Shares | Amount | |||||||||||||||||||||||||
December 31, 2018 | $ | $ | $ | $ | $ | ( | ) | $ | |||||||||||||||||||
Net income | — | — | — | — | — | ||||||||||||||||||||||
Other comprehensive loss | — | — | — | ( | ) | — | — | ( | ) | ||||||||||||||||||
Issuance of common stock | — | — | — | ||||||||||||||||||||||||
Direct stock purchase and dividend reinvestment plan | — | — | — | ||||||||||||||||||||||||
Employee stock purchase and incentive plans | ( | ) | — | — | — | ( | ) | ||||||||||||||||||||
Non-cash equity award compensation | — | — | — | — | — | ||||||||||||||||||||||
Common dividends declared ($0.60 per share) | — | — | — | — | — | ( | ) | ( | ) | ||||||||||||||||||
June 30, 2019 | $ | $ | $ | $ | $ | ( | ) | $ |
(In Thousands, except Share Data) | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||
(Unaudited) | Shares | Amount | |||||||||||||||||||||||||
March 31, 2018 | $ | $ | $ | $ | $ | ( | ) | $ | |||||||||||||||||||
Net income | — | — | — | — | — | ||||||||||||||||||||||
Other comprehensive loss | — | — | — | ( | ) | — | — | ( | ) | ||||||||||||||||||
Employee stock purchase and incentive plans | — | — | — | ||||||||||||||||||||||||
Non-cash equity award compensation | — | — | — | — | — | ||||||||||||||||||||||
Common dividends declared ($0.30 per share) | — | — | — | — | — | ( | ) | ( | ) | ||||||||||||||||||
June 30, 2018 | $ | $ | $ | $ | $ | ( | ) | $ |
(In Thousands, except Share Data) | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||
(Unaudited) | Shares | Amount | |||||||||||||||||||||||||
December 31, 2017 | $ | $ | $ | $ | $ | ( | ) | $ | |||||||||||||||||||
Net income | — | — | — | — | — | ||||||||||||||||||||||
Other comprehensive loss | — | — | — | ( | ) | — | — | ( | ) | ||||||||||||||||||
Employee stock purchase and incentive plans | ( | ) | — | — | — | ( | ) | ||||||||||||||||||||
Non-cash equity award compensation | — | — | — | — | — | ||||||||||||||||||||||
Share repurchases | ( | ) | ( | ) | ( | ) | — | — | — | ( | ) | ||||||||||||||||
Common dividends declared ($0.58 per share) | — | — | — | — | — | ( | ) | ( | ) | ||||||||||||||||||
June 30, 2018 | $ | $ | $ | $ | $ | ( | ) | $ |
(In Thousands) (Unaudited) | Six Months Ended June 30, | |||||||
2019 | 2018 | |||||||
Cash Flows From Operating Activities: | ||||||||
Net income | $ | $ | ||||||
Adjustments to reconcile net income to net cash used in operating activities: | ||||||||
Amortization of premiums, discounts, and securities issuance costs, net | ( | ) | ||||||
Depreciation and amortization of non-financial assets | ||||||||
Originations of held-for-sale loans | ( | ) | ||||||
Purchases of held-for-sale loans | ( | ) | ( | ) | ||||
Proceeds from sales of held-for-sale loans | ||||||||
Principal payments on held-for-sale loans | ||||||||
Net settlements of derivatives | ( | ) | ||||||
Non-cash equity award compensation expense | ||||||||
Market valuation adjustments | ( | ) | ( | ) | ||||
Realized gains, net | ( | ) | ( | ) | ||||
Net change in: | ||||||||
Accrued interest receivable and other assets | ( | ) | ||||||
Accrued interest payable and accrued expenses and other liabilities | ( | ) | ( | ) | ||||
Net cash used in operating activities | ( | ) | ( | ) | ||||
Cash Flows From Investing Activities: | ||||||||
Originations of loans held-for-investment | ( | ) | ||||||
Purchases of loans held-for-investment | ( | ) | ||||||
Proceeds from sales of loans held-for-investment | ||||||||
Principal payments on loans held-for-investment | ||||||||
Purchases of real estate securities | ( | ) | ( | ) | ||||
Purchases of multifamily securities held in consolidated securitization trusts | ( | ) | ||||||
Proceeds from sales of real estate securities | ||||||||
Principal payments on real estate securities | ||||||||
Purchases of servicer advance investments | ( | ) | ||||||
Principal repayments from servicer advance investments | ||||||||
Acquisition of 5 Arches, net of cash acquired | ( | ) | ||||||
Net investment in participation in loan warehouse facility | ( | ) | ||||||
Net investment in multifamily loan fund | ( | ) | ||||||
Other investing activities, net | ( | ) | ( | ) | ||||
Net cash provided by investing activities | ||||||||
Cash Flows From Financing Activities: | ||||||||
Proceeds from borrowings on short-term debt | ||||||||
Repayments on short-term debt | ( | ) | ( | ) | ||||
Proceeds from issuance of asset-backed securities | ||||||||
Repayments on asset-backed securities issued | ( | ) | ( | ) | ||||
Proceeds from issuance of long-term debt | ||||||||
Deferred long-term debt issuance costs paid | ( | ) | ||||||
Net proceeds from issuance of common stock | ||||||||
Net payments on repurchase of common stock | ( | ) | ||||||
Dividends paid | ( | ) | ( | ) | ||||
Other financing activities, net | ( | ) | ( | ) | ||||
Net cash provided by financing activities | ||||||||
Net increase in cash, cash equivalents and restricted cash | ||||||||
Cash, cash equivalents and restricted cash at beginning of period (1) | ||||||||
Cash, cash equivalents and restricted cash at end of period (1) | $ | $ |
(In Thousands) (Unaudited) | Six Months Ended June 30, | |||||||
2019 | 2018 | |||||||
Supplemental Cash Flow Information: | ||||||||
Cash paid during the period for: | ||||||||
Interest | $ | $ | ||||||
Taxes | ||||||||
Supplemental Noncash Information: | ||||||||
Real estate securities retained from loan securitizations | $ | $ | ||||||
Retention of mortgage servicing rights from loan securitizations and sales | ||||||||
Consolidation of multifamily loans held in securitization trusts | ||||||||
Consolidation of multifamily ABS | ||||||||
Transfers from loans held-for-sale to loans held-for-investment | ||||||||
Transfers from loans held-for-investment to loans held-for-sale | ||||||||
Transfers from residential loans to real estate owned | ||||||||
Right-of-use asset obtained in exchange for operating lease liability |
(1) | Cash, cash equivalents, and restricted cash at June 30, 2019 includes cash and cash equivalents of $ |
(In Thousands) | March 1, 2019 | |||
Purchase price: | ||||
Cash | $ | |||
Contingent consideration, at fair value | ||||
Purchase option, at fair value | ||||
Equity method investment, at fair value | ||||
Total consideration | $ | |||
Allocated to: | ||||
Tangible net assets acquired (1) | $ | |||
Goodwill | ||||
Intangible assets | ||||
Deferred tax liability | ( | ) | ||
Total net assets acquired | $ |
(1) | 5 Arches net assets acquired consisted of assets of $ |
(Dollars in Thousands) | Carrying Value at December 31, 2018 | Additions | Amortization Expense | Carrying Value at June 30, 2019 | Weighted Average Amortization Period (in years) | |||||||||||||
Finite-lived intangible assets: | ||||||||||||||||||
Broker network | $ | $ | $ | ( | ) | $ | ||||||||||||
Non-compete agreements | ( | ) | ||||||||||||||||
Management fee on existing assets under management | ( | ) | ||||||||||||||||
Tradename | ( | ) | ||||||||||||||||
Total | $ | $ | $ | ( | ) | $ |
(In Thousands) | June 30, 2019 | |||
2019 (6 months) | $ | |||
2020 | ||||
2021 | ||||
2022 | ||||
2023 and thereafter | ||||
Total Future Intangible Asset Amortization | $ |
(In Thousands) | Six Months Ended June 30, 2019 | |||
Beginning balance | $ | |||
Goodwill recognized from 5 Arches acquisition | ||||
Impairment | ||||
Ending Balance | $ |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Supplementary pro forma information: | ||||||||||||||||
Net interest income | $ | $ | $ | $ | ||||||||||||
Non-interest income | ||||||||||||||||
Net income |
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 Balance Sheet (1) | Net Amount | ||||||||||||||||||||
June 30, 2019 (In Thousands) | Financial Instruments | Cash Collateral (Received) Pledged | ||||||||||||||||||||||
Assets (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | $ | $ | $ | ( | ) | $ | $ | ||||||||||||||||
TBAs | ( | ) | ||||||||||||||||||||||
Total Assets | $ | $ | — | $ | $ | ( | ) | $ | $ | |||||||||||||||
Liabilities (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | ( | ) | $ | $ | ( | ) | $ | $ | $ | ||||||||||||||
TBAs | ( | ) | ( | ) | ( | ) | ||||||||||||||||||
Loan warehouse debt | ( | ) | ( | ) | — | |||||||||||||||||||
Security repurchase agreements | ( | ) | ( | ) | ||||||||||||||||||||
Total Liabilities | $ | ( | ) | $ | $ | ( | ) | $ | $ | $ | ( | ) |
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 Balance Sheet (1) | Net Amount | ||||||||||||||||||||
December 31, 2018 (In Thousands) | Financial Instruments | Cash Collateral (Received) Pledged | ||||||||||||||||||||||
Assets (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | $ | $ | $ | ( | ) | $ | $ | ||||||||||||||||
TBAs | ( | ) | ( | ) | ||||||||||||||||||||
Total Assets | $ | $ | — | $ | $ | ( | ) | $ | ( | ) | $ | |||||||||||||
Liabilities (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | ( | ) | $ | $ | ( | ) | $ | $ | $ | ||||||||||||||
TBAs | ( | ) | ( | ) | ( | ) | ||||||||||||||||||
Loan warehouse debt | ( | ) | ( | ) | — | |||||||||||||||||||
Security repurchase agreements | ( | ) | ( | ) | ||||||||||||||||||||
Total Liabilities | $ | ( | ) | $ | $ | ( | ) | $ | $ | $ | ( | ) |
(1) | Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. |
(2) | Interest rate agreements and TBAs are components of derivatives instruments on our consolidated balance sheets. Loan warehouse debt, which is secured by residential mortgage loans, and security repurchase agreements are components of Short-term debt on our consolidated balance sheets. |
June 30, 2019 | Legacy Sequoia | Sequoia Choice | Freddie Mac SLST | Freddie Mac K-Series | Servicing Investment | Total Consolidated VIEs | ||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||
Residential loans, held-for-investment | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Multifamily loans, held-for-investment | ||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||
Cash and cash equivalents | ||||||||||||||||||||||||
Restricted cash | ||||||||||||||||||||||||
Accrued interest receivable | ||||||||||||||||||||||||
REO | ||||||||||||||||||||||||
Total Assets | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Short-term debt | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Accrued interest payable | ||||||||||||||||||||||||
Accrued expenses and other liabilities | ||||||||||||||||||||||||
Asset-backed securities issued | ||||||||||||||||||||||||
Total Liabilities | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Number of VIEs |
December 31, 2018 | Legacy Sequoia | Sequoia Choice | Freddie Mac SLST | Freddie Mac K-Series | Servicing Investment | Total Consolidated VIEs | ||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||
Residential loans, held-for-investment | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Multifamily loans, held-for-investment | ||||||||||||||||||||||||
Other investments | ||||||||||||||||||||||||
Restricted cash | ||||||||||||||||||||||||
Accrued interest receivable | ||||||||||||||||||||||||
REO | ||||||||||||||||||||||||
Total Assets | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Short-term debt | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Accrued interest payable | ||||||||||||||||||||||||
Accrued expenses and other liabilities | ||||||||||||||||||||||||
Asset-backed securities issued | ||||||||||||||||||||||||
Total Liabilities | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Number of VIEs |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Principal balance of loans transferred | $ | $ | $ | $ | ||||||||||||
Trading securities retained, at fair value | ||||||||||||||||
AFS securities retained, at fair value |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Proceeds from new transfers | $ | $ | $ | $ | ||||||||||||
MSR fees received | ||||||||||||||||
Funding of compensating interest, net | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Cash flows received on retained securities |
Three Months Ended June 30, 2019 | Three Months Ended June 30, 2018 | |||||||||||
At Date of Securitization | Senior IO Securities | Subordinate Securities | Senior IO Securities | Subordinate Securities | ||||||||
Prepayment rates | % | % | % | % | ||||||||
Discount rates | % | % | % | % | ||||||||
Credit loss assumptions | % | % | % | % |
Six Months Ended June 30, 2019 | Six Months Ended June 30, 2018 | |||||||||||
At Date of Securitization | Senior IO Securities | Subordinate Securities | Senior IO Securities | Subordinate Securities | ||||||||
Prepayment rates | % | % | % | % | ||||||||
Discount rates | % | % | % | % | ||||||||
Credit loss assumptions | % | % | % | % |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
On-balance sheet assets, at fair value: | ||||||||
Interest-only, senior and subordinate securities, classified as trading | $ | $ | ||||||
Subordinate securities, classified as AFS | ||||||||
Mortgage servicing rights | ||||||||
Maximum loss exposure (1) | $ | $ | ||||||
Assets transferred: | ||||||||
Principal balance of loans outstanding | $ | $ | ||||||
Principal balance of loans 30+ days delinquent |
(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. |
June 30, 2019 | MSRs | Senior Securities (1) | Subordinate Securities | |||||||||
(Dollars in Thousands) | ||||||||||||
Fair value at June 30, 2019 | $ | $ | $ | |||||||||
Expected life (in years) (2) | ||||||||||||
Prepayment speed assumption (annual CPR) (2) | % | % | % | |||||||||
Decrease in fair value from: | ||||||||||||
10% adverse change | $ | $ | $ | |||||||||
25% adverse change | ||||||||||||
Discount rate assumption (2) | % | % | % | |||||||||
Decrease in fair value from: | ||||||||||||
100 basis point increase | $ | $ | $ | |||||||||
200 basis point increase | ||||||||||||
Credit loss assumption (2) | N/A | % | % | |||||||||
Decrease in fair value from: | ||||||||||||
10% higher losses | N/A | $ | $ | |||||||||
25% higher losses | N/A |
December 31, 2018 | MSRs | Senior Securities (1) | Subordinate Securities | |||||||||
(Dollars in Thousands) | ||||||||||||
Fair value at December 31, 2018 | $ | $ | $ | |||||||||
Expected life (in years) (2) | ||||||||||||
Prepayment speed assumption (annual CPR) (2) | % | % | % | |||||||||
Decrease in fair value from: | ||||||||||||
10% adverse change | $ | $ | $ | |||||||||
25% adverse change | ||||||||||||
Discount rate assumption (2) | % | % | % | |||||||||
Decrease in fair value from: | ||||||||||||
100 basis point increase | $ | $ | $ | |||||||||
200 basis point increase | ||||||||||||
Credit loss assumption (2) | N/A | % | % | |||||||||
Decrease in fair value from: | ||||||||||||
10% higher losses | N/A | $ | $ | |||||||||
25% higher losses | N/A |
(1) | Senior securities included $ |
(2) | Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Mortgage-Backed Securities | ||||||||
Senior | $ | $ | ||||||
Mezzanine | ||||||||
Subordinate | ||||||||
Total Mortgage-Backed Securities | ||||||||
Excess MSR | ||||||||
Total Investments in Third-Party Sponsored VIEs | $ | $ |
June 30, 2019 | December 31, 2018 | |||||||||||||||
Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||
(In Thousands) | ||||||||||||||||
Assets | ||||||||||||||||
Residential loans, held-for-sale | ||||||||||||||||
At fair value | $ | $ | $ | $ | ||||||||||||
At lower of cost or fair value | ||||||||||||||||
Residential loans, held-for-investment | ||||||||||||||||
Business purpose residential loans | ||||||||||||||||
Multifamily loans | ||||||||||||||||
Trading securities | ||||||||||||||||
Available-for-sale securities | ||||||||||||||||
Servicer advance investments (1) | ||||||||||||||||
MSRs (1) | ||||||||||||||||
Participation in loan warehouse facility (1) | ||||||||||||||||
Excess MSRs (1) | ||||||||||||||||
Cash and cash equivalents | ||||||||||||||||
Restricted cash | ||||||||||||||||
Accrued interest receivable | ||||||||||||||||
Derivative assets | ||||||||||||||||
REO (2) | ||||||||||||||||
Margin receivable (2) | ||||||||||||||||
FHLBC stock (2) | ||||||||||||||||
Guarantee asset (2) | ||||||||||||||||
Pledged collateral (2) | ||||||||||||||||
Liabilities | ||||||||||||||||
Short-term debt facilities | $ | $ | $ | $ | ||||||||||||
Short-term debt - servicer advance financing | ||||||||||||||||
Accrued interest payable | ||||||||||||||||
Margin payable (3) | ||||||||||||||||
Guarantee obligation (3) | ||||||||||||||||
Contingent consideration (3) | ||||||||||||||||
Derivative liabilities | ||||||||||||||||
ABS issued at fair value | ||||||||||||||||
FHLBC long-term borrowings | ||||||||||||||||
Convertible notes, net | ||||||||||||||||
Trust preferred securities and subordinated notes, net |
(1) | These investments are included in Other investments on our consolidated balance sheets. |
(2) | These assets are included in Other assets on our consolidated balance sheets. |
(3) | These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets. |
June 30, 2019 | Carrying Value | Fair Value Measurements Using | ||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Residential loans | $ | $ | $ | $ | ||||||||||||
Business purpose residential loans | ||||||||||||||||
Multifamily loans | ||||||||||||||||
Trading securities | ||||||||||||||||
Available-for-sale securities | ||||||||||||||||
Servicer advance investments | ||||||||||||||||
MSRs | ||||||||||||||||
Excess MSRs | ||||||||||||||||
Derivative assets | ||||||||||||||||
Pledged collateral | ||||||||||||||||
FHLBC stock | ||||||||||||||||
Guarantee asset | ||||||||||||||||
Liabilities | ||||||||||||||||
Contingent consideration | $ | $ | $ | $ | ||||||||||||
Derivative liabilities | ||||||||||||||||
ABS issued |
December 31, 2018 | Carrying Value | Fair Value Measurements Using | ||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Residential loans | $ | $ | $ | $ | ||||||||||||
Business purpose residential loans | ||||||||||||||||
Multifamily loans | ||||||||||||||||
Trading securities | ||||||||||||||||
Available-for-sale securities | ||||||||||||||||
Servicer advance investments | ||||||||||||||||
MSRs | ||||||||||||||||
Excess MSRs | ||||||||||||||||
Derivative assets | ||||||||||||||||
Pledged collateral | ||||||||||||||||
FHLBC stock | ||||||||||||||||
Guarantee asset | ||||||||||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | $ | $ | $ | ||||||||||||
ABS issued |
Assets | ||||||||||||||||||||||||||||||||||||
Residential Loans | Business Purpose Residential Loans | Multifamily Loans | Trading Securities | AFS Securities | Servicer Advance Investments | MSRs | Excess MSRs | Guarantee Asset | ||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||
Beginning balance - December 31, 2018 | $ | $ | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||
Acquisitions | ||||||||||||||||||||||||||||||||||||
Originations | ||||||||||||||||||||||||||||||||||||
Sales | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||
Principal paydowns | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||
Gains (losses) in net income, net | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||
Unrealized losses in OCI, net | ||||||||||||||||||||||||||||||||||||
Other settlements, net (1) | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||||||||||||
Ending Balance - June 30, 2019 | $ | $ | $ | $ | $ | $ | $ | $ | $ |
Liabilities | ||||||||||||
Derivatives (2) | Contingent Consideration | ABS Issued | ||||||||||
(In Thousands) | ||||||||||||
Beginning balance - December 31, 2018 | $ | $ | $ | |||||||||
Acquisitions | ||||||||||||
Principal paydowns | ( | ) | ||||||||||
Gains (losses) in net income, net | ||||||||||||
Other settlements, net (1) | ( | ) | ||||||||||
Ending Balance - June 30, 2019 | $ | $ | $ |
(1) | Other settlements, net for residential and business purpose residential loans represents the transfer of loans to REO, and for derivatives, the settlement of forward sale commitments and the transfer of the fair value of loan purchase commitments at the time loans are acquired to the basis of residential loans. Other settlements, net for trading securities relates to the consolidation of a Freddie Mac K-Series entity during the second quarter of 2019. |
(2) | For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase and forward sale commitments, are presented on a net basis. |
Included in Net Income | ||||||||||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Assets | ||||||||||||||||
Residential loans at Redwood | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||
Residential loans at consolidated Sequoia entities | ||||||||||||||||
Residential loans at consolidated Freddie Mac SLST entity | ||||||||||||||||
Business purpose residential loans | ||||||||||||||||
Multifamily loans at consolidated Freddie Mac K-Series entities | ||||||||||||||||
Trading securities | ( | ) | ( | ) | ||||||||||||
Available-for-sale securities | ( | ) | ( | ) | ||||||||||||
Servicer advance investments | ||||||||||||||||
MSRs | ( | ) | ( | ) | ||||||||||||
Excess MSRs | ( | ) | ( | ) | ||||||||||||
Loan purchase commitments | ||||||||||||||||
Other assets - Guarantee asset | ( | ) | ( | ) | ( | ) | ||||||||||
Liabilities | ||||||||||||||||
Loan purchase commitments | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||
ABS issued | ( | ) | ( | ) | ( | ) | ( | ) |
Gain (Loss) for | ||||||||||||||||||||||||
June 30, 2019 | Carrying Value | Fair Value Measurements Using | Three Months Ended | Six Months Ended | ||||||||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | June 30, 2019 | June 30, 2019 | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
REO | $ | $ | $ | $ | $ | ( | ) | $ | ( | ) |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Mortgage Banking Activities, Net | ||||||||||||||||
Residential loans held-for-sale, at fair value | $ | $ | $ | $ | ||||||||||||
Residential loan purchase and forward sale commitments | ( | ) | ( | ) | ||||||||||||
Single-family rental loans held-for-sale, at fair value | ||||||||||||||||
Single-family rental loan purchase commitments | ||||||||||||||||
Residential bridge loans | ||||||||||||||||
Risk management derivatives, net | ( | ) | ( | ) | ||||||||||||
Total mortgage banking activities, net (1) | $ | $ | $ | $ | ||||||||||||
Investment Fair Value Changes, Net | ||||||||||||||||
Residential loans held-for-investment, at Redwood | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||
Residential bridge loans held-for-investment | ( | ) | ( | ) | ||||||||||||
Trading securities | ( | ) | ( | ) | ||||||||||||
Servicer advance investments | ||||||||||||||||
Excess MSRs | ( | ) | ( | ) | ||||||||||||
REO | ( | ) | ( | ) | ||||||||||||
Net investments in Legacy Sequoia entities (2) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net investments in Sequoia Choice entities (2) | ||||||||||||||||
Net investment in Freddie Mac SLST entity (2) | ||||||||||||||||
Net investments in Freddie Mac K-Series entities (2) | ||||||||||||||||
Risk-sharing investments | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Risk management derivatives, net | ( | ) | ( | ) | ||||||||||||
Impairments on AFS securities | ( | ) | ( | ) | ||||||||||||
Total investment fair value changes, net | $ | $ | $ | $ | ||||||||||||
Other Income (Expense), Net | ||||||||||||||||
MSRs | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ||||||
Risk management derivatives, net | ( | ) | ( | ) | ||||||||||||
Gain on re-measurement of 5 Arches investment | ||||||||||||||||
Total other expense, net (3) | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||
Total Market Valuation Gains, Net | $ | $ | $ | $ |
(1) | Mortgage banking activities, net presented above does not include fee income or provisions for repurchases that are components of Mortgage banking activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes. |
(2) | Includes changes in fair value of the residential loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs. |
(3) | Other income (expense), net presented above does not include net MSR fee income or provisions for repurchases for MSRs, as these amounts do not represent market valuation adjustments. |
June 30, 2019 | Fair Value | Input Values | ||||||||||||||||||
(Dollars in Thousands, except Input Values) | Unobservable Input | Range | Weighted Average | |||||||||||||||||
Assets | ||||||||||||||||||||
Residential loans, at fair value: | ||||||||||||||||||||
Jumbo fixed-rate loans | $ | Prepayment rate (annual CPR) | - | % | % | |||||||||||||||
Whole loan spread to TBA price | $ | - | $ | $ | ||||||||||||||||
Whole loan spread to swap rate | 80 | - | 365 | bps | 179 | bps | ||||||||||||||
Jumbo hybrid loans | Prepayment rate (annual CPR) | - | % | % | ||||||||||||||||
Whole loan spread to swap rate | 65 | - | 360 | bps | 141 | bps | ||||||||||||||
Jumbo loans committed to sell | Whole loan committed sales price | $ | - | $ | $ | |||||||||||||||
Loans held by Legacy Sequoia (1) | Liability price | N/A | N/A | |||||||||||||||||
Loans held by Sequoia Choice (1) | Liability price | N/A | N/A | |||||||||||||||||
Loans held by Freddie Mac SLST (1) | Liability price | N/A | N/A | |||||||||||||||||
Business purpose residential loans: | ||||||||||||||||||||
Single-family rental loans | IO discount rate | - | % | % | ||||||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||||||
Senior credit spread | 95 | - | 95 | bps | 95 | bps | ||||||||||||||
Subordinate credit spread | 140 | - | 1,200 | bps | 306 | bps | ||||||||||||||
Senior credit support | - | % | % | |||||||||||||||||
Residential bridge loans | Discount rate | - | % | % | ||||||||||||||||
Multifamily loans held by Freddie Mac K-Series (1) | Liability price | N/A | N/A | |||||||||||||||||
Trading and AFS securities | Discount rate | - | % | % | ||||||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||||||
Default rate | - | % | % | |||||||||||||||||
Loss severity | - | % | % | |||||||||||||||||
Servicer advance investments | Discount rate | - | % | % | ||||||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||||||
Expected remaining life (2) | - | years | years | |||||||||||||||||
Mortgage servicing income | 6 | - | 14 | bps | 10 | bps | ||||||||||||||
MSRs | Discount rate | - | % | % | ||||||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||||||
Per loan annual cost to service | $ | - | $ | $ | ||||||||||||||||
Excess MSRs | Discount rate | - | % | % | ||||||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||||||
Excess mortgage servicing income | 8 | - | 17 | bps | 12 | bps | ||||||||||||||
Guarantee asset | Discount rate | - | % | % | ||||||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||||||
REO | Loss severity | - | % | % | ||||||||||||||||
Loan purchase commitments, net | MSR multiple | - | x | x | ||||||||||||||||
Pull-through rate | - | % | % | |||||||||||||||||
Whole loan spread to TBA price | $ | - | $ | $ | ||||||||||||||||
Whole loan spread to swap rate - fixed rate | 115 | - | 365 | bps | 228 | bps | ||||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||||||
Whole loan spread to swap rate - hybrid | 90 | - | 345 | bps | 129 | bps | ||||||||||||||
June 30, 2019 | Fair Value | Input Values | ||||||||||||||
(Dollars in Thousands, except Input Values) | Unobservable Input | Range | Weighted Average | |||||||||||||
Liabilities | ||||||||||||||||
ABS issued (1): | ||||||||||||||||
At consolidated Sequoia entities | Discount rate | - | % | % | ||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||
Default rate | - | % | % | |||||||||||||
Loss severity | - | % | % | |||||||||||||
At consolidated Freddie Mac SLST entity | Discount rate | - | % | % | ||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||
Default rate | - | % | % | |||||||||||||
Loss severity | - | % | % | |||||||||||||
At consolidated Freddie Mac K-Series entities | Discount rate | - | % | % | ||||||||||||
Prepayment rate (annual CPR) | - | % | % | |||||||||||||
Default rate | - | % | % | |||||||||||||
Loss severity | - | % | % | |||||||||||||
Contingent consideration | Discount rate | - | % | % | ||||||||||||
Probability of outcomes (3) | - | % | % |
(1) | The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. |
(2) | Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool). |
(3) | Represents the probability of a full payout of contingent purchase consideration. |
June 30, 2019 | Legacy | Sequoia | Freddie Mac | |||||||||||||||||
(In Thousands) | Redwood | Sequoia | Choice | SLST | Total | |||||||||||||||
Held-for-sale | ||||||||||||||||||||
At fair value | $ | $ | $ | $ | $ | |||||||||||||||
At lower of cost or fair value | ||||||||||||||||||||
Total held-for-sale | ||||||||||||||||||||
Held-for-investment at fair value | ||||||||||||||||||||
Total Residential Loans | $ | $ | $ | $ | $ |
December 31, 2018 | Legacy | Sequoia | Freddie Mac | |||||||||||||||||
(In Thousands) | Redwood | Sequoia | Choice | SLST | Total | |||||||||||||||
Held-for-sale | ||||||||||||||||||||
At fair value | $ | $ | $ | $ | $ | |||||||||||||||
At lower of cost or fair value | ||||||||||||||||||||
Total held-for-sale | ||||||||||||||||||||
Held-for-investment at fair value | ||||||||||||||||||||
Total Residential Loans | $ | $ | $ | $ | $ |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Single-family rental loans, held-for-sale at fair value | $ | $ | ||||||
Residential bridge loans, held-for-investment at fair value | ||||||||
Total Business Purpose Residential Loans | $ | $ |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Trading | $ | $ | ||||||
Available-for-sale | ||||||||
Total Real Estate Securities | $ | $ |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Senior | $ | $ | ||||||
Mezzanine | ||||||||
Subordinate | ||||||||
Total Trading Securities | $ | $ |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Senior | $ | $ | ||||||
Mezzanine | ||||||||
Subordinate | ||||||||
Total AFS Securities | $ | $ |
June 30, 2019 | ||||||||||||||||
(In Thousands) | Senior | Mezzanine | Subordinate | Total | ||||||||||||
Principal balance | $ | $ | $ | $ | ||||||||||||
Credit reserve | ( | ) | ( | ) | ( | ) | ||||||||||
Unamortized discount, net | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Amortized cost | ||||||||||||||||
Gross unrealized gains | ||||||||||||||||
Gross unrealized losses | ( | ) | ( | ) | ||||||||||||
Carrying Value | $ | $ | $ | $ |
December 31, 2018 | ||||||||||||||||
(In Thousands) | Senior | Mezzanine | Subordinate | Total | ||||||||||||
Principal balance | $ | $ | $ | $ | ||||||||||||
Credit reserve | ( | ) | ( | ) | ( | ) | ||||||||||
Unamortized discount, net | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Amortized cost | ||||||||||||||||
Gross unrealized gains | ||||||||||||||||
Gross unrealized losses | ( | ) | ( | ) | ( | ) | ||||||||||
Carrying Value | $ | $ | $ | $ |
Three Months Ended June 30, 2019 | Six Months Ended June 30, 2019 | |||||||||||||||
Credit Reserve | Unamortized Discount, Net | Credit Reserve | Unamortized Discount, Net | |||||||||||||
(In Thousands) | ||||||||||||||||
Beginning balance | $ | $ | $ | $ | ||||||||||||
Amortization of net discount | ( | ) | ( | ) | ||||||||||||
Realized credit losses | ( | ) | ( | ) | ||||||||||||
Acquisitions | ||||||||||||||||
Sales, calls, other | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
(Release of) transfers to credit reserves, net | ( | ) | ( | ) | ||||||||||||
Ending Balance | $ | $ | $ | $ |
Less Than 12 Consecutive Months | 12 Consecutive Months or Longer | |||||||||||||||||||||||
Amortized Cost | Unrealized Losses | Fair Value | Amortized Cost | Unrealized Losses | Fair Value | |||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||
June 30, 2019 | $ | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||
December 31, 2018 | ( | ) | ( | ) |
June 30, 2019 | Range for Securities | |||
Prepayment rates | - | |||
Projected losses | - |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Balance at beginning of period | $ | $ | $ | $ | ||||||||||||
Additions | ||||||||||||||||
Initial credit impairments | ||||||||||||||||
Reductions | ||||||||||||||||
Securities sold, or expected to sell | ( | ) | ( | ) | ( | ) | ||||||||||
Securities with no outstanding principal at period end | ( | ) | ( | ) | ( | ) | ||||||||||
Balance at End of Period | $ | $ | $ | $ |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Gross realized gains - sales | $ | $ | $ | $ | ||||||||||||
Gross realized gains - calls | ||||||||||||||||
Gross realized losses - sales | ( | ) | ( | ) | ||||||||||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ | $ | $ | $ |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Servicer advance investments | $ | $ | ||||||
Mortgage servicing rights | ||||||||
Excess MSRs | ||||||||
Investment in multifamily loan fund | ||||||||
Other notes receivable | ||||||||
Participation in loan warehouse facility | ||||||||
Investment in 5 Arches | ||||||||
Total Other Investments | $ | $ |
• | Principal and Interest Advances: cash payments made by the servicer to cover scheduled principal and interest payments on a residential mortgage loan that have not been paid on a timely basis by the borrower. |
• | Escrow Advances (Taxes and Insurance Advances): Cash payments made by the servicer to third parties on behalf of the borrower for real estate taxes and insurance premiums on the property that have not been paid on a timely basis by the borrower. |
• | Corporate Advances: Cash payments made by the servicer to third parties for the reimbursable costs and expenses incurred in connection with the foreclosure, preservation and sale of the mortgaged property, including attorneys’ and other professional fees. |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Principal and interest advances | $ | $ | ||||||
Escrow advances (taxes and insurance advances) | ||||||||
Corporate advances | ||||||||
Total Servicer Advance Receivables | $ | $ |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Balance at beginning of period | $ | $ | $ | $ | ||||||||||||
Additions | ||||||||||||||||
Sales | ( | ) | ( | ) | ||||||||||||
Changes in fair value due to: | ||||||||||||||||
Changes in assumptions (1) | ( | ) | ( | ) | ||||||||||||
Other changes (2) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Balance at End of Period | $ | $ | $ | $ |
(1) | Primarily reflects changes in prepayment assumptions due to changes in market interest rates. |
(2) | Represents changes due to the realization of expected cash flows. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Servicing income | $ | $ | $ | $ | ||||||||||||
Cost of sub-servicer | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net servicing fee income | ||||||||||||||||
Market valuation changes of MSRs | ( | ) | ( | ) | ( | ) | ||||||||||
Market valuation changes of associated derivatives | ( | ) | ( | ) | ||||||||||||
MSR reversal of provision for repurchases | ||||||||||||||||
MSR Income, Net (1) | $ | $ | $ | $ |
(1) | MSR income, net is included in Other income, net on our consolidated statements of income. |
June 30, 2019 | December 31, 2018 | |||||||||||||||
Fair Value | Notional Amount | Fair Value | Notional Amount | |||||||||||||
(In Thousands) | ||||||||||||||||
Assets - Risk Management Derivatives | ||||||||||||||||
Interest rate swaps | $ | $ | $ | $ | ||||||||||||
TBAs | ||||||||||||||||
Swaptions | ||||||||||||||||
Assets - Other Derivatives | ||||||||||||||||
Loan purchase commitments | ||||||||||||||||
Total Assets | $ | $ | $ | $ | ||||||||||||
Liabilities - Cash Flow Hedges | ||||||||||||||||
Interest rate swaps | $ | ( | ) | $ | $ | ( | ) | $ | ||||||||
Liabilities - Risk Management Derivatives | ||||||||||||||||
Interest rate swaps | ( | ) | ( | ) | ||||||||||||
TBAs | ( | ) | ( | ) | ||||||||||||
Liabilities - Other Derivatives | ||||||||||||||||
Loan purchase commitments | ( | ) | ( | ) | ||||||||||||
Total Liabilities | $ | ( | ) | $ | $ | ( | ) | $ | ||||||||
Total Derivative Financial Instruments, Net | $ | ( | ) | $ | $ | ( | ) | $ |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Net interest expense on cash flows hedges | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||||
Total Interest Expense | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ | ( | ) |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Margin receivable | $ | $ | ||||||
FHLBC stock | ||||||||
Pledged collateral | ||||||||
Right-of-use asset | ||||||||
REO | ||||||||
Fixed assets and leasehold improvements (1) | ||||||||
Investment receivable | ||||||||
Other | ||||||||
Total Other Assets | $ | $ |
(1) | Fixed assets and leasehold improvements had a basis of $ |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Contingent consideration | $ | $ | ||||||
Payable to minority partner | ||||||||
Guarantee obligations | ||||||||
Accrued compensation | ||||||||
Lease liability | ||||||||
Deferred tax liabilities | ||||||||
Residential bridge loan holdbacks | ||||||||
Residential loan and MSR repurchase reserve | ||||||||
Accrued operating expenses | ||||||||
Legal reserve | ||||||||
Accrued income taxes payable | ||||||||
Margin payable | ||||||||
Other | ||||||||
Total Accrued Expenses and Other Liabilities | $ | $ |
June 30, 2019 | ||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding Balance | Limit | Weighted Average Interest Rate | Maturity | Weighted Average Days Until Maturity | ||||||||||||
Facilities | ||||||||||||||||||
Residential loan warehouse (1) | $ | $ | % | 8/2019-3/2020 | ||||||||||||||
Real estate securities repo (1) | % | 7/2019-8/2019 | ||||||||||||||||
Single-family rental loan warehouse (2) | % | 6/2020-6/2021 | ||||||||||||||||
Residential bridge loan warehouse (2) | % | 11/2019-5/2022 | ||||||||||||||||
Business purpose loan working capital (2) | % | 12/2020 | N/A | |||||||||||||||
Total Short-Term Debt Facilities | ||||||||||||||||||
Servicer advance financing | % | 11/2019 | ||||||||||||||||
Convertible notes, net | N/A | — | % | 11/2019 | ||||||||||||||
Total Short-Term Debt | $ |
December 31, 2018 | ||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding Balance | Limit | Weighted Average Interest Rate | Maturity | Weighted Average Days Until Maturity | ||||||||||||
Facilities | ||||||||||||||||||
Residential loan warehouse (1) | $ | $ | % | 2/2019-12/2019 | ||||||||||||||
Real estate securities repo (1) | % | 1/2019-3/2019 | ||||||||||||||||
Single-family rental loan warehouse (2) | % | 6/2020-6/2021 | ||||||||||||||||
Residential bridge loan warehouse (2) | % | 11/2019-4/2021 | ||||||||||||||||
Total Short-Term Debt Facilities | ||||||||||||||||||
Servicer advance financing | % | 11/2019 | ||||||||||||||||
Convertible notes, net | N/A | % | 11/2019 | |||||||||||||||
Total Short-Term Debt | $ |
(1) | Borrowings under our facilities are generally charged interest based on a specified margin over the one-month LIBOR interest rate. At June 30, 2019, all of these borrowings were under uncommitted facilities and were due within 364 days (or less) of the borrowing date. |
(2) | Due to the revolving nature of the borrowings under these facilities, we have classified these facilities as short-term debt at June 30, 2019. Borrowings under these facilities will be repaid as the underlying loans mature or are sold to third parties or transferred to securitizations. |
June 30, 2019 | ||||||||||||||||
(In Thousands) | Within 30 days | 31 to 90 days | Over 90 days | Total | ||||||||||||
Collateral Type | ||||||||||||||||
Held-for-sale residential loans | $ | $ | $ | $ | ||||||||||||
Real estate securities | ||||||||||||||||
Single-family rental loans | ||||||||||||||||
Residential bridge loans | ||||||||||||||||
Total Secured Short-Term Debt | ||||||||||||||||
Servicer advance financing | ||||||||||||||||
Convertible notes, net | ||||||||||||||||
Total Short-Term Debt | $ | $ | $ | $ |
June 30, 2019 | Legacy Sequoia | Sequoia Choice | Freddie Mac SLST | Freddie Mac K-Series | Total | |||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||
Certificates with principal balance | $ | $ | $ | $ | $ | |||||||||||||||
Interest-only certificates | ||||||||||||||||||||
Market valuation adjustments | ( | ) | ||||||||||||||||||
ABS Issued, Net | $ | $ | $ | $ | $ | |||||||||||||||
Range of weighted average interest rates, by series | 2.55% to 3.68% | 4.42% to 5.08% | % | 3.39% to 4.20% | ||||||||||||||||
Stated maturities | 2024 - 2036 | 2047 - 2049 | 2028 | 2025 - 2049 | ||||||||||||||||
Number of series |
December 31, 2018 | Legacy Sequoia | Sequoia Choice | Freddie Mac SLST | Freddie Mac K-Series | Total | |||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||
Certificates with principal balance | $ | $ | $ | $ | $ | |||||||||||||||
Interest-only certificates | ||||||||||||||||||||
Market valuation adjustments | ( | ) | ( | ) | ( | ) | ||||||||||||||
ABS Issued, Net | $ | $ | $ | $ | $ | |||||||||||||||
Range of weighted average interest rates, by series | 1.36% to 3.60% | 4.46% to 4.97% | % | 3.39% to 4.08% | ||||||||||||||||
Stated maturities | 2024 - 2036 | 2047 - 2048 | 2028 | 2025 - 2049 | ||||||||||||||||
Number of series |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Legacy Sequoia | $ | $ | ||||||
Sequoia Choice | ||||||||
Freddie Mac SLST | ||||||||
Freddie Mac K-Series | ||||||||
Total Accrued Interest Payable on ABS Issued | $ | $ |
June 30, 2019 | Legacy Sequoia | Sequoia Choice | Freddie Mac SLST | Freddie Mac K-Series | Total | |||||||||||||||
(In Thousands) | ||||||||||||||||||||
Residential loans | $ | $ | $ | $ | $ | |||||||||||||||
Multifamily loans | ||||||||||||||||||||
Restricted cash | ||||||||||||||||||||
Accrued interest receivable | ||||||||||||||||||||
REO | ||||||||||||||||||||
Total Collateral for ABS Issued | $ | $ | $ | $ | $ |
December 31, 2018 | Legacy Sequoia | Sequoia Choice | Freddie Mac SLST | Freddie Mac K-Series | Total | |||||||||||||||
(In Thousands) | ||||||||||||||||||||
Residential loans | $ | $ | $ | $ | $ | |||||||||||||||
Multifamily loans | ||||||||||||||||||||
Restricted cash | ||||||||||||||||||||
Accrued interest receivable | ||||||||||||||||||||
REO | ||||||||||||||||||||
Total Collateral for ABS Issued | $ | $ | $ | $ | $ |
(In Thousands) | June 30, 2019 | |||
2024 | $ | |||
2025 | ||||
2026 | ||||
Total FHLBC Borrowings | $ |
(In Thousands) | June 30, 2019 | |||
2019 (6 months) | $ | |||
2020 | ||||
2021 | ||||
2022 | ||||
2023 and thereafter | ||||
Total Lease Commitments | ||||
Less: Imputed interest | ( | ) | ||
Lease Liability | $ |
Three Months Ended June 30, 2019 | Three Months Ended June 30, 2018 | |||||||||||||||
(In Thousands) | Net Unrealized Gains on Available-for-Sale Securities | Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | Net Unrealized Gains on Available-for-Sale Securities | Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||||||
Balance at beginning of period | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||
Other comprehensive income (loss) before reclassifications (1) | ( | ) | ( | ) | ||||||||||||
Amounts reclassified from other accumulated comprehensive income | ( | ) | ( | ) | ||||||||||||
Net current-period other comprehensive income (loss) | ( | ) | ( | ) | ||||||||||||
Balance at End of Period | $ | $ | ( | ) | $ | $ | ( | ) |
Six Months Ended June 30, 2019 | Six Months Ended June 30, 2018 | |||||||||||||||
(In Thousands) | Net Unrealized Gains on Available-for-Sale Securities | Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | Net Unrealized Gains on Available-for-Sale Securities | Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||||||
Balance at beginning of period | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||
Other comprehensive income (loss) before reclassifications (1) | ( | ) | ( | ) | ||||||||||||
Amounts reclassified from other accumulated comprehensive income | ( | ) | ( | ) | ||||||||||||
Net current-period other comprehensive income (loss) | ( | ) | ( | ) | ||||||||||||
Balance at End of Period | $ | $ | ( | ) | $ | $ | ( | ) |
(1) | Amounts presented for net unrealized gains on available-for-sale securities are net of tax benefit (provision) of $ |
Amount Reclassified From Accumulated Other Comprehensive Income | ||||||||||
Affected Line Item in the | Three Months Ended June 30, | |||||||||
(In Thousands) | Income Statement | 2019 | 2018 | |||||||
Net Realized (Gain) Loss on AFS Securities | ||||||||||
Other than temporary impairment (1) | Investment fair value changes, net | $ | $ | |||||||
Gain on sale of AFS securities | Realized gains, net | ( | ) | ( | ) | |||||
$ | ( | ) | $ | ( | ) |
Amount Reclassified From Accumulated Other Comprehensive Income | ||||||||||
Affected Line Item in the | Six Months Ended June 30, | |||||||||
(In Thousands) | Income Statement | 2019 | 2018 | |||||||
Net Realized (Gain) Loss on AFS Securities | ||||||||||
Other than temporary impairment (1) | Investment fair value changes, net | $ | $ | |||||||
Gain on sale of AFS securities | Realized gains, net | ( | ) | ( | ) | |||||
$ | ( | ) | $ | ( | ) |
(1) | For both the three and six months ended June 30, 2019, there were |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands, except Share Data) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Basic Earnings per Common Share: | ||||||||||||||||
Net income attributable to Redwood | $ | $ | $ | $ | ||||||||||||
Less: Dividends and undistributed earnings allocated to participating securities | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net income allocated to common shareholders | $ | $ | $ | $ | ||||||||||||
Basic weighted average common shares outstanding | ||||||||||||||||
Basic Earnings per Common Share | $ | $ | $ | $ | ||||||||||||
Diluted Earnings per Common Share: | ||||||||||||||||
Net income attributable to Redwood | $ | $ | $ | $ | ||||||||||||
Less: Dividends and undistributed earnings allocated to participating securities | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Add back: Interest expense on convertible notes for the period, net of tax | ||||||||||||||||
Net income allocated to common shareholders | $ | $ | $ | $ | ||||||||||||
Weighted average common shares outstanding | ||||||||||||||||
Net effect of dilutive equity awards | ||||||||||||||||
Net effect of assumed convertible notes conversion to common shares | ||||||||||||||||
Diluted weighted average common shares outstanding | ||||||||||||||||
Diluted Earnings per Common Share | $ | $ | $ | $ |
Six Months Ended June 30, 2019 | ||||||||||||||||||||||||
(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 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Equity grants | ||||||||||||||||||||||||
Equity grant forfeitures | ||||||||||||||||||||||||
Equity compensation expense | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||
Unrecognized Compensation Cost at End of Period | $ | $ | $ | $ | $ | $ |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Residential Mortgage Banking Activities, Net | ||||||||||||||||
Changes in fair value of: | ||||||||||||||||
Residential loans, at fair value (1) | $ | $ | $ | $ | ||||||||||||
Risk management derivatives (2) | ( | ) | ( | ) | ||||||||||||
Other income, net (3) | ||||||||||||||||
Total residential mortgage banking activities, net | ||||||||||||||||
Business Purpose Mortgage Banking Activities, Net: | ||||||||||||||||
Changes in fair value of: | ||||||||||||||||
Single-family rental loans, at fair value (1) | ||||||||||||||||
Risk management derivatives (2) | ( | ) | ( | ) | ||||||||||||
Residential bridge loans, at fair value | ||||||||||||||||
Other income, net (4) | ||||||||||||||||
Total business purpose mortgage banking activities, net | ||||||||||||||||
Mortgage Banking Activities, Net | $ | $ | $ | $ |
(1) | Includes changes in fair value for associated loan purchase and forward sale commitments. |
(2) | Represents market valuation changes of derivatives that were used to manage risks associated with our accumulation of loans. |
(3) | Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net. |
(4) | Amounts in this line item include other fee income from loan originations. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Investment Fair Value Changes, Net | ||||||||||||||||
Changes in fair value of: | ||||||||||||||||
Residential loans held-for-investment, at Redwood | $ | $ | ( | ) | $ | $ | ( | ) | ||||||||
Residential bridge loans held-for-investment | ( | ) | ( | ) | ||||||||||||
Trading securities | ( | ) | ( | ) | ||||||||||||
Servicer advance investments | ||||||||||||||||
Excess MSRs | ( | ) | ( | ) | ||||||||||||
REO | ( | ) | ( | ) | ||||||||||||
Net investments in Legacy Sequoia entities (1) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net investments in Sequoia Choice entities (1) | ||||||||||||||||
Net investment in Freddie Mac SLST entity (1) | ||||||||||||||||
Net investments in Freddie Mac K-Series entities (1) | ||||||||||||||||
Risk-sharing investments | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Risk management derivatives, net | ( | ) | ( | ) | ||||||||||||
Impairments on AFS securities | ( | ) | ( | ) | ||||||||||||
Investment Fair Value Changes, Net | $ | $ | $ | $ |
(1) | Includes changes in fair value of the loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
MSR income, net | $ | $ | $ | $ | ||||||||||||
Risk share income | ||||||||||||||||
FHLBC capital stock dividend | ||||||||||||||||
Equity investment losses | ( | ) | ( | ) | ||||||||||||
5 Arches management fee income | ||||||||||||||||
Amortization of intangible assets | ( | ) | ( | ) | ||||||||||||
Gain on re-measurement of investment in 5 Arches | ||||||||||||||||
Other | ( | ) | ( | ) | ||||||||||||
Other Income, Net | $ | $ | $ | $ |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Fixed compensation expense | $ | $ | $ | $ | ||||||||||||
Variable compensation expense | ||||||||||||||||
Equity compensation expense | ||||||||||||||||
Total compensation expense | ||||||||||||||||
Systems and consulting | ||||||||||||||||
Loan acquisition costs (1) | ||||||||||||||||
Office costs | ||||||||||||||||
Accounting and legal | ||||||||||||||||
Corporate costs | ||||||||||||||||
Other operating expenses | ||||||||||||||||
Total Operating Expenses | $ | $ | $ | $ |
(1) | Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value. |
June 30, 2019 | June 30, 2018 | |||||
Federal statutory rate | % | % | ||||
State statutory rate, net of Federal tax effect | % | % | ||||
Differences in taxable (loss) income from GAAP income | ( | )% | ( | )% | ||
Change in valuation allowance | ( | )% | ( | )% | ||
Dividends paid deduction | ( | )% | ( | )% | ||
Effective Tax Rate | % | % |
Three Months Ended June 30, 2019 | ||||||||||||||||
(In Thousands) | Investment Portfolio | Mortgage Banking | Corporate/ Other | Total | ||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||
Interest expense | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net interest income (loss) | ( | ) | ||||||||||||||
Non-interest income | ||||||||||||||||
Mortgage banking activities, net | ||||||||||||||||
Investment fair value changes, net | ( | ) | ||||||||||||||
Other income (expense), net | ( | ) | ( | ) | ||||||||||||
Realized gains, net | ||||||||||||||||
Total non-interest income, net | ( | ) | ||||||||||||||
Direct operating expenses | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Provision for income taxes | ( | ) | ( | ) | ( | ) | ||||||||||
Segment Contribution | $ | $ | $ | ( | ) | |||||||||||
Net Income | $ | |||||||||||||||
Non-cash amortization income (expense), net | $ | $ | ( | ) | $ | ( | ) | $ | ( | ) |
Three Months Ended June 30, 2018 | ||||||||||||||||
(In Thousands) | Investment Portfolio | Mortgage Banking | Corporate/ Other | Total | ||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||
Interest expense | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net interest income (loss) | ( | ) | ||||||||||||||
Non-interest income | ||||||||||||||||
Mortgage banking activities, net | ||||||||||||||||
Investment fair value changes, net | ( | ) | ||||||||||||||
Other income, net | ||||||||||||||||
Realized gains, net | ||||||||||||||||
Total non-interest income, net | ( | ) | ||||||||||||||
Direct operating expenses | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Provision for income taxes | ( | ) | ( | ) | ( | ) | ||||||||||
Segment Contribution | $ | $ | $ | ( | ) | |||||||||||
Net Income | $ | |||||||||||||||
Non-cash amortization income (expense), net | $ | $ | ( | ) | $ | ( | ) | $ |
Six Months Ended June 30, 2019 | ||||||||||||||||
(In Thousands) | Investment Portfolio | Mortgage Banking | Corporate/ Other | Total | ||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||
Interest expense | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net interest income (loss) | ( | ) | ||||||||||||||
Non-interest income | ||||||||||||||||
Mortgage banking activities, net | ||||||||||||||||
Investment fair value changes, net | ( | ) | ||||||||||||||
Other income, net | ( | ) | ||||||||||||||
Realized gains, net | ||||||||||||||||
Total non-interest income, net | ||||||||||||||||
Direct operating expenses | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Provision for income taxes | ( | ) | ( | ) | ( | ) | ||||||||||
Segment Contribution | $ | $ | $ | ( | ) | |||||||||||
Net Income | $ | |||||||||||||||
Non-cash amortization income (expense), net | $ | $ | ( | ) | $ | ( | ) | $ | ( | ) |
Six Months Ended June 30, 2018 | ||||||||||||||||
(In Thousands) | Investment Portfolio | Mortgage Banking | Corporate/ Other | Total | ||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||
Interest expense | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Net interest income (loss) | ( | ) | ||||||||||||||
Non-interest income | ||||||||||||||||
Mortgage banking activities, net | ||||||||||||||||
Investment fair value changes, net | ( | ) | ||||||||||||||
Other income, net | ||||||||||||||||
Realized gains, net | ||||||||||||||||
Total non-interest income, net | ( | ) | ||||||||||||||
Direct operating expenses | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||
Provision for income taxes | ( | ) | ( | ) | ( | ) | ||||||||||
Segment Contribution | $ | $ | $ | ( | ) | |||||||||||
Net Income | $ | |||||||||||||||
Non-cash amortization income (expense), net | $ | $ | ( | ) | $ | ( | ) | $ |
Three Months Ended June 30, | ||||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||||
(In Thousands) | Legacy Consolidated VIEs (1) | Other | Total | Legacy Consolidated VIEs (1) | Other | Total | ||||||||||||||||||
Interest income | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Interest expense | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||
Net interest income (loss) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||
Non-interest income | ||||||||||||||||||||||||
Investment fair value changes, net | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||
Other income | ( | ) | ( | ) | ||||||||||||||||||||
Total non-interest income, net | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||
Direct operating expenses | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||
Total | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) |
Six Months Ended June 30, | ||||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||||
(In Thousands) | Legacy Consolidated VIEs (1) | Other | Total | Legacy Consolidated VIEs (1) | Other | Total | ||||||||||||||||||
Interest income | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Interest expense | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||
Net interest income (loss) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||
Non-interest income | ||||||||||||||||||||||||
Investment fair value changes, net | ( | ) | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||
Other income | ||||||||||||||||||||||||
Total non-interest income, net | ( | ) | ( | ) | ( | ) | ||||||||||||||||||
Direct operating expenses | ( | ) | ( | ) | ( | ) | ( | ) | ||||||||||||||||
Total | $ | $ | ( | ) | $ | ( | ) | $ | $ | ( | ) | $ | ( | ) |
(1) | Legacy consolidated VIEs represent Legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 for further discussion on VIEs. |
(In Thousands) | Investment Portfolio | Mortgage Banking | Corporate/ Other | Total | ||||||||||||
June 30, 2019 | ||||||||||||||||
Residential loans | $ | $ | $ | $ | ||||||||||||
Business purpose residential loans | ||||||||||||||||
Multifamily loans | ||||||||||||||||
Real estate securities | ||||||||||||||||
Other investments | ||||||||||||||||
Goodwill and intangible assets | ||||||||||||||||
Total assets | ||||||||||||||||
December 31, 2018 | ||||||||||||||||
Residential loans | $ | $ | $ | $ | ||||||||||||
Business purpose residential loans | ||||||||||||||||
Multifamily loans | ||||||||||||||||
Real estate securities | ||||||||||||||||
Other investments | ||||||||||||||||
Total assets |
• | Overview |
• | Results of Operations |
• | Liquidity and Capital Resources |
• | Off-Balance Sheet Arrangements and Contractual Obligations |
• | Critical Accounting Policies and Estimates |
• | New Accounting Standards |
• | the pace at which we redeploy our available capital into new investments and initiatives; |
• | our ability to scale our platform and systems, particularly with respect to our new initiatives; |
• | interest rate volatility, changes in credit spreads, and changes in liquidity in the market for real estate securities and loans; |
• | changes in the demand from investors for residential mortgages and investments, and our ability to distribute residential mortgages through our whole-loan distribution channel; |
• | our ability to finance our investments in securities and our acquisition of residential mortgages with short-term debt; |
• | changes in the values of assets we own; |
• | general economic trends, the performance of the housing, real estate, mortgage, credit, and broader financial markets, and their effects on the prices of earning assets and the credit status of borrowers; |
• | federal and state legislative and regulatory developments, and the actions of governmental authorities, including the new U.S. presidential administration, and in particular those affecting the mortgage industry or our business (including, but not limited to, the Federal Housing Finance Agency’s rules relating to FHLB membership requirements and the implications for our captive insurance subsidiary’s membership in the FHLB); |
• | strategic business and capital deployment decisions we make; |
• | developments related to the fixed income and mortgage finance markets and the Federal Reserve’s statements regarding its future open market activity and monetary policy; |
• | our exposure to credit risk and the timing of credit losses within our portfolio; |
• | the concentration of the credit risks we are exposed to, including due to the structure of assets we hold and the geographical concentration of real estate underlying assets we own; |
• | our exposure to adjustable-rate mortgage loans; |
• | the efficacy and expense of our efforts to manage or hedge credit risk, interest rate risk, and other financial and operational risks; |
• | changes in credit ratings on assets we own and changes in the rating agencies’ credit rating methodologies; |
• | changes in interest rates; changes in mortgage prepayment rates; |
• | changes in liquidity in the market for real estate securities and loans; |
• | our ability to finance the acquisition of real estate-related assets with short-term debt; |
• | the ability of counterparties to satisfy their obligations to us; |
• | our involvement in securitization transactions, the profitability of those transactions, and the risks we are exposed to in engaging in securitization transactions; |
• | exposure to claims and litigation, including litigation arising from our involvement in securitization transactions; |
• | ongoing litigation against various trustees of RMBS transactions; |
• | whether we have sufficient liquid assets to meet short-term needs; |
• | our ability to successfully compete and retain or attract key personnel; |
• | our ability to adapt our business model and strategies to changing circumstances; |
• | changes in our investment, financing, and hedging strategies and new risks we may be exposed to if we expand our business activities; |
• | our exposure to a disruption or breach of the security of our technology infrastructure and systems; |
• | exposure to environmental liabilities; |
• | our failure to comply with applicable laws and regulations; |
• | our failure to maintain appropriate internal controls over financial reporting and disclosure controls and procedures; |
• | the impact on our reputation that could result from our actions or omissions or from those of others; changes in accounting principles and tax rules; |
• | our ability to maintain our status as a REIT for tax purposes; |
• | limitations imposed on our business due to our REIT status and our status as exempt from registration under the Investment Company Act of 1940; |
• | decisions about raising, managing, and distributing capital; and |
• | other factors not presently identified. |
Three Months Ended | Six Months Ended | |||||||
(In Thousands, except per Share Data) | June 30, 2019 | June 30, 2019 | ||||||
Net income | $ | 31,266 | $ | 85,730 | ||||
Net income per diluted common share | $ | 0.30 | $ | 0.78 | ||||
Annualized GAAP return on equity | 8 | % | 11 | % | ||||
Book value per share | $ | 16.01 | $ | 16.01 | ||||
Economic return on book value (1) | 1.9 | % | 4.5 | % | ||||
REIT taxable income per share | $ | 0.25 | $ | 0.55 | ||||
Dividends per share | $ | 0.30 | $ | 0.60 |
(1) | Economic return on book value is based on the periodic change in GAAP book value per common share plus dividends declared per common share during the period. |
• | GAAP earnings per share declined in the second quarter, as we experienced a reduced benefit to investment fair value changes from spread tightening and lower realized gains from sales of available-for-sale securities, relative to the first quarter. Additionally, the sharp decline in rates during the second quarter impacted certain segments of our portfolio more sensitive to interest rates and prepayments, resulting in negative investment fair value changes from increased hedging costs and change in basis expense from loans and securities with premiums. These decreases were offset by higher mortgage banking income at our residential mortgage banking business, as loan purchase volume increased during the quarter and margins remained strong. |
• | We deployed $136 million of capital in the second quarter, including $28 million into proprietary investments and $108 million into third-party investments. |
• | Our 5 Arches business originated $175 million of business purpose mortgage loans in the first full quarter of integrated results, including $134 million in funded loans and $41 million in associated funding commitments. |
• | Residential jumbo loan purchase commitments were $1.70 billion, and we purchased $1.56 billion of residential jumbo loans during the second quarter of 2019. |
• | During the second quarter, we completed a $411 million securitization of Select residential jumbo loans and sold $842 million of residential jumbo loans to third parties. |
Three Months Ended | Six Months Ended | |||||||
(In Dollars, per share basis) | June 30, 2019 | June 30, 2019 | ||||||
Beginning book value per share | $ | 16.00 | $ | 15.89 | ||||
Net income | 0.30 | 0.78 | ||||||
Changes in unrealized gains on securities, net, from: | ||||||||
Realized gains recognized in net income | (0.02 | ) | (0.10 | ) | ||||
Amortization income recognized in net income | (0.02 | ) | (0.03 | ) | ||||
Mark-to-market adjustments, net | 0.11 | 0.21 | ||||||
Total change in unrealized gains on securities, net | 0.07 | 0.08 | ||||||
Dividends | (0.30 | ) | (0.60 | ) | ||||
Issuance of common stock | — | (0.05 | ) | |||||
Equity compensation, net | 0.02 | 0.01 | ||||||
Changes in unrealized losses on derivatives hedging long-term debt | (0.10 | ) | (0.17 | ) | ||||
Other, net | 0.02 | 0.07 | ||||||
Ending Book Value per Share | $ | 16.01 | $ | 16.01 |
At June 30, 2019 | |||||||||||||||
(Dollars in Thousands) | Fair Value | Collateralized Debt | Allocated Capital | % of Total Capital | |||||||||||
Investment portfolio | |||||||||||||||
Residential loans (1) | $ | 2,485,759 | $ | (1,999,999 | ) | $ | 485,760 | 21 | % | ||||||
Securities portfolio | |||||||||||||||
Sequoia residential securities (2) | 476,047 | (192,819 | ) | 283,228 | 12 | % | |||||||||
Agency CRT securities | 208,603 | (26,370 | ) | 182,233 | 8 | % | |||||||||
Multifamily securities (3) | 734,522 | (574,544 | ) | 159,978 | 7 | % | |||||||||
Re-performing residential loan securities (4) | 406,867 | (201,978 | ) | 204,889 | 9 | % | |||||||||
Third-party residential securities | 319,282 | (218,209 | ) | 101,073 | 4 | % | |||||||||
Total securities portfolio | 2,145,321 | (1,213,920 | ) | 931,401 | 40 | % | |||||||||
Business purpose residential loans | 159,353 | (120,919 | ) | 38,434 | 2 | % | |||||||||
Other investments | 190,368 | — | 190,368 | 8 | % | ||||||||||
Other assets/(other liabilities) | (20,251 | ) | — | (20,251 | ) | (1 | )% | ||||||||
Cash and liquidity capital | 517,070 | N/A | |||||||||||||
Total investment portfolio | $ | 4,960,550 | $ | (3,334,838 | ) | 2,142,782 | 92 | % | |||||||
Residential | 130,000 | 6 | % | ||||||||||||
Business purpose | 64,660 | 3 | % | ||||||||||||
Total mortgage banking | 194,660 | 8 | % | ||||||||||||
Total | $ | 2,337,442 | 100 | % |
(1) | Includes $43 million of FHLB stock, $49 million of cash and cash equivalents, and $7 million of restricted cash. |
(2) | Sequoia residential securities presented above includes $218 million of securities retained from our consolidated Sequoia Choice securitizations. For GAAP purposes we consolidated $2.15 billion of residential loans and $1.93 billion of non-recourse ABS debt associated with these retained securities. |
(3) | Multifamily securities presented above includes $207 million of subordinate investments in the Freddie Mac K-Series securitizations. For GAAP purposes we consolidated $3.75 billion of multifamily loans and $3.54 billion of non-recourse ABS debt associated with these securities. |
(4) | Re-performing residential loan securities presented above represent third-party securities collateralized by seasoned re-performing, and to a lesser extent, non-performing residential loans and includes $243 million of subordinate and mezzanine investments in the Freddie Mac SLST securitization. For GAAP purposes we consolidated $1.24 billion of residential loans and $992 million of non-recourse ABS debt associated with these securities. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands, except per Share Data) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Net Interest Income | $ | 32,322 | $ | 34,763 | $ | (2,441 | ) | $ | 64,087 | $ | 69,868 | $ | (5,781 | ) | |||||||||||
Non-interest Income | |||||||||||||||||||||||||
Mortgage banking activities, net | 19,160 | 10,596 | 8,564 | 31,469 | 37,172 | (5,703 | ) | ||||||||||||||||||
Investment fair value changes, net | 3,138 | 889 | 2,249 | 23,297 | 2,498 | 20,799 | |||||||||||||||||||
Other income, net | 2,407 | 3,322 | (915 | ) | 5,994 | 5,440 | 554 | ||||||||||||||||||
Realized gains, net | 2,827 | 4,714 | (1,887 | ) | 13,513 | 14,077 | (564 | ) | |||||||||||||||||
Total non-interest income, net | 27,532 | 19,521 | 8,011 | 74,273 | 59,187 | 15,086 | |||||||||||||||||||
Operating expenses | (26,255 | ) | (19,009 | ) | (7,246 | ) | (49,414 | ) | (42,039 | ) | (7,375 | ) | |||||||||||||
Net income before income taxes | 33,599 | 35,275 | (1,676 | ) | 88,946 | 87,016 | 1,930 | ||||||||||||||||||
Provision for income taxes | (2,333 | ) | (2,528 | ) | 195 | (3,216 | ) | (7,424 | ) | 4,208 | |||||||||||||||
Net Income | $ | 31,266 | $ | 32,747 | $ | (1,481 | ) | $ | 85,730 | $ | 79,592 | $ | 6,138 | ||||||||||||
Diluted earnings per common share | $ | 0.30 | $ | 0.38 | $ | (0.08 | ) | $ | 0.78 | $ | 0.88 | $ | (0.10 | ) |
Three Months Ended June 30, | ||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||
(Dollars in Thousands) | Interest Income/ (Expense) | Average Balance (1) | Yield | Interest Income/ (Expense) | Average Balance (1) | Yield | ||||||||||||||||
Interest Income | ||||||||||||||||||||||
Residential loans, held-for-sale | $ | 10,015 | $ | 898,054 | 4.5 | % | $ | 12,840 | $ | 1,127,654 | 4.6 | % | ||||||||||
Residential loans - HFI at Redwood (2) | 24,090 | 2,399,670 | 4.0 | % | 23,524 | 2,344,947 | 4.0 | % | ||||||||||||||
Residential loans - HFI at Legacy Sequoia (2) | 4,773 | 468,062 | 4.1 | % | 5,015 | 599,203 | 3.3 | % | ||||||||||||||
Residential loans - HFI at Sequoia Choice (2) | 26,814 | 2,218,425 | 4.8 | % | 14,135 | 1,192,756 | 4.7 | % | ||||||||||||||
Residential loans - HFI at Freddie Mac SLST (2) | 11,596 | 1,221,346 | 3.8 | % | — | — | — | % | ||||||||||||||
Business purpose residential loans | 3,996 | 207,280 | 7.7 | % | — | — | — | % | ||||||||||||||
Multifamily loans - HFI at Freddie Mac K-Series | 35,917 | 3,644,683 | 3.9 | % | — | — | — | % | ||||||||||||||
Trading securities | 19,548 | 1,235,965 | 6.3 | % | 17,368 | 956,365 | 7.3 | % | ||||||||||||||
Available-for-sale securities | 5,469 | 181,253 | 12.1 | % | 8,928 | 313,530 | 11.4 | % | ||||||||||||||
Other interest income | 6,324 | 555,514 | 4.6 | % | 1,166 | 183,095 | 2.5 | % | ||||||||||||||
Total interest income | 148,542 | 13,030,252 | 4.6 | % | 82,976 | 6,717,550 | 4.9 | % | ||||||||||||||
Interest Expense | ||||||||||||||||||||||
Short-term debt facilities | (17,740 | ) | 1,856,466 | (3.8 | )% | (12,666 | ) | 1,478,332 | (3.4 | )% | ||||||||||||
Short-term debt - servicer advance financing | (3,401 | ) | 238,669 | (5.7 | )% | — | — | — | % | |||||||||||||
Short-term debt - convertible notes, net | (3,134 | ) | 200,132 | (6.3 | )% | (509 | ) | 38,530 | (5.3 | )% | ||||||||||||
ABS issued - Legacy Sequoia (2) | (3,981 | ) | 459,305 | (3.5 | )% | (4,215 | ) | 589,261 | (2.9 | )% | ||||||||||||
ABS issued - Sequoia Choice (2) | (23,134 | ) | 2,002,552 | (4.6 | )% | (12,134 | ) | 1,086,602 | (4.5 | )% | ||||||||||||
ABS issued - Freddie Mac SLST (2) | (8,557 | ) | 984,150 | (3.5 | )% | — | — | — | % | |||||||||||||
ABS issued - Freddie Mac K-Series | (34,441 | ) | 3,442,411 | (4.0 | )% | — | — | — | % | |||||||||||||
Long-term debt - FHLBC | (13,235 | ) | 1,999,999 | (2.6 | )% | (9,833 | ) | 1,999,999 | (2.0 | )% | ||||||||||||
Long-term debt - other | (8,597 | ) | 573,003 | (6.0 | )% | (8,856 | ) | 588,765 | (6.0 | )% | ||||||||||||
Total interest expense | (116,220 | ) | 11,756,687 | (4.0 | )% | (48,213 | ) | 5,781,489 | (3.3 | )% | ||||||||||||
Net Interest Income | $ | 32,322 | $ | 34,763 |
Six Months Ended June 30, | ||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||
(Dollars in Thousands) | Interest Income/ (Expense) | Average Balance (1) | Yield | Interest Income/ (Expense) | Average Balance (1) | Yield | ||||||||||||||||
Interest Income | ||||||||||||||||||||||
Residential loans, held-for-sale | $ | 19,473 | $ | 842,673 | 4.6 | % | $ | 25,532 | $ | 1,164,138 | 4.4 | % | ||||||||||
Residential loans - HFI at Redwood (2) | 48,281 | 2,390,215 | 4.0 | % | 47,317 | 2,370,132 | 4.0 | % | ||||||||||||||
Residential loans - HFI at Legacy Sequoia (2) | 9,623 | 481,633 | 4.0 | % | 9,826 | 607,803 | 3.2 | % | ||||||||||||||
Residential loans - HFI at Sequoia Choice (2) | 52,470 | 2,180,091 | 4.8 | % | 23,070 | 971,545 | 4.7 | % | ||||||||||||||
Residential loans - HFI at Freddie Mac SLST (2) | 23,391 | 1,218,153 | 3.8 | % | — | — | — | % | ||||||||||||||
Business purpose residential loans | 6,785 | 180,042 | 7.5 | % | — | — | — | % | ||||||||||||||
Multifamily loans - HFI at Freddie Mac K-Series | 57,305 | 2,897,936 | 4.0 | % | — | — | — | % | ||||||||||||||
Trading securities | 38,261 | 1,198,531 | 6.4 | % | 33,533 | 937,386 | 7.2 | % | ||||||||||||||
Available-for-sale securities | 11,206 | 197,684 | 11.3 | % | 18,458 | 338,261 | 10.9 | % | ||||||||||||||
Other interest income | 12,788 | 567,669 | 4.5 | % | 1,859 | 211,112 | 1.8 | % | ||||||||||||||
Total interest income | 279,583 | 12,154,627 | 4.6 | % | 159,595 | 6,600,377 | 4.8 | % | ||||||||||||||
Interest Expense | ||||||||||||||||||||||
Short-term debt facilities | (33,214 | ) | 1,732,720 | (3.8 | )% | (23,092 | ) | 1,424,185 | (3.2 | )% | ||||||||||||
Short-term debt - servicer advance financing | (7,014 | ) | 252,550 | (5.6 | )% | — | — | — | % | |||||||||||||
Short-term debt - convertible notes, net | (6,265 | ) | 199,978 | (6.3 | )% | (3,518 | ) | 143,853 | (4.9 | )% | ||||||||||||
ABS issued - Legacy Sequoia (2) | (8,097 | ) | 473,458 | (3.4 | )% | (8,067 | ) | 597,859 | (2.7 | )% | ||||||||||||
ABS issued - Sequoia Choice (2) | (45,247 | ) | 1,984,241 | (4.6 | )% | (19,683 | ) | 880,387 | (4.5 | )% | ||||||||||||
ABS issued - Freddie Mac SLST (2) | (17,304 | ) | 984,455 | (3.5 | )% | — | — | — | % | |||||||||||||
ABS issued - Freddie Mac K-Series | (54,760 | ) | 2,733,499 | (4.0 | )% | — | — | — | % | |||||||||||||
Long-term debt - FHLBC | (26,418 | ) | 1,999,999 | (2.6 | )% | (17,860 | ) | 1,999,999 | (1.8 | )% | ||||||||||||
Long-term debt - other | (17,177 | ) | 572,750 | (6.0 | )% | (17,507 | ) | 582,120 | (6.0 | )% | ||||||||||||
Total interest expense | (215,496 | ) | 10,933,650 | (3.9 | )% | (89,727 | ) | 5,628,403 | (3.2 | )% | ||||||||||||
Net Interest Income | $ | 64,087 | $ | 69,868 |
(1) | Average balances for residential loans held-for-sale, residential loans held-for-investment, business purpose residential loans, multifamily loans held-for-investment, and trading securities are calculated based upon carrying values, which represent estimated fair values. Average balances for available-for-sale securities and debt are calculated based upon amortized historical cost, except for ABS issued, which is based upon fair value. |
(2) | Interest income from residential loans held-for-investment ("HFI") at Redwood exclude loans HFI at consolidated Sequoia or Freddie Mac SLST entities. Interest income from residential loans - HFI at Legacy Sequoia and the interest expense from ABS issued - Legacy Sequoia represent activity from our consolidated Legacy Sequoia entities. Interest income from residential loans - HFI at Sequoia Choice and the interest expense from ABS issued - Sequoia Choice represent activity from our consolidated Sequoia Choice entities. Interest income from residential loans - HFI at Freddie Mac SLST and the interest expense from ABS issued - Freddie Mac SLST represent activity from our consolidated Freddie Mac SLST entity. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Net Interest Income by Segment | |||||||||||||||||||||||||
Investment Portfolio | $ | 38,136 | $ | 37,565 | $ | 571 | $ | 75,701 | $ | 76,459 | $ | (758 | ) | ||||||||||||
Mortgage Banking | 4,757 | 5,455 | (698 | ) | 9,570 | 12,215 | (2,645 | ) | |||||||||||||||||
Corporate/Other | (10,571 | ) | (8,257 | ) | (2,314 | ) | (21,184 | ) | (18,806 | ) | (2,378 | ) | |||||||||||||
Net Interest Income | $ | 32,322 | $ | 34,763 | $ | (2,441 | ) | $ | 64,087 | $ | 69,868 | $ | (5,781 | ) |
June 30, 2019 | Residential Loans Held-for-Sale | Single-Family Rental Loans | Residential Bridge Loans | Residential Securities | ||||||||
Asset yield | 4.69 | % | 5.54 | % | 9.10 | % | 4.20 | % | ||||
Short-term debt yield | 3.90 | % | 4.67 | % | 4.93 | % | 3.48 | % | ||||
Net Spread | 0.79 | % | 0.87 | % | 4.17 | % | 0.72 | % |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Segment Contribution from: | |||||||||||||||||||||||||
Investment Portfolio | $ | 43,980 | $ | 44,213 | $ | (233 | ) | $ | 111,005 | $ | 93,283 | $ | 17,722 | ||||||||||||
Mortgage Banking | 10,753 | 8,914 | 1,839 | 19,063 | 29,610 | (10,547 | ) | ||||||||||||||||||
Corporate/Other | (23,467 | ) | (20,380 | ) | (3,087 | ) | (44,338 | ) | (43,301 | ) | (1,037 | ) | |||||||||||||
Net Income | $ | 31,266 | $ | 32,747 | $ | (1,481 | ) | $ | 85,730 | $ | 79,592 | $ | 6,138 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Interest income | $ | 132,048 | $ | 64,569 | $ | 67,479 | $ | 247,500 | $ | 123,326 | $ | 124,174 | |||||||||||||
Interest expense | (93,912 | ) | (27,004 | ) | (66,908 | ) | (171,799 | ) | (46,867 | ) | (124,932 | ) | |||||||||||||
Net interest income | 38,136 | 37,565 | 571 | 75,701 | 76,459 | (758 | ) | ||||||||||||||||||
Non-interest income | |||||||||||||||||||||||||
Investment fair value changes, net | 3,297 | 1,600 | 1,697 | 23,853 | 3,190 | 20,663 | |||||||||||||||||||
Other income, net | 2,874 | 3,322 | (448 | ) | 4,095 | 5,440 | (1,345 | ) | |||||||||||||||||
Realized gains, net | 2,827 | 4,714 | (1,887 | ) | 13,513 | 14,077 | (564 | ) | |||||||||||||||||
Total non-interest income, net | 8,998 | 9,636 | (638 | ) | 41,461 | 22,707 | 18,754 | ||||||||||||||||||
Direct operating expenses | (2,258 | ) | (1,858 | ) | (400 | ) | (4,919 | ) | (3,865 | ) | (1,054 | ) | |||||||||||||
Segment contribution before income taxes | 44,876 | 45,343 | (467 | ) | 112,243 | 95,301 | 16,942 | ||||||||||||||||||
Provision for income taxes | (896 | ) | (1,130 | ) | 234 | (1,238 | ) | (2,018 | ) | 780 | |||||||||||||||
Total Segment Contribution | $ | 43,980 | $ | 44,213 | $ | (233 | ) | $ | 111,005 | $ | 93,283 | $ | 17,722 |
(In Thousands) | June 30, 2019 | December 31, 2018 | Change | |||||||||
Residential loans held-for-investment at Redwood | $ | 2,386,883 | $ | 2,383,932 | $ | 2,951 | ||||||
Residential bridge loans held-for-investment | 159,353 | 112,798 | 46,555 | |||||||||
Residential securities | 949,564 | 1,023,415 | (73,851 | ) | ||||||||
Multifamily securities | 527,922 | 429,079 | 98,843 | |||||||||
Securities retained from consolidated Sequoia Choice entities (1) | 217,912 | 194,372 | 23,540 | |||||||||
Securities issued by consolidated Freddie Mac SLST entity (2) | 243,323 | 228,921 | 14,402 | |||||||||
Securities issued by consolidated Freddie Mac K-Series entities (3) | 206,600 | 125,523 | 81,077 | |||||||||
Other investments | 369,900 | 427,764 | (57,864 | ) | ||||||||
Other assets | 256,264 | 270,356 | (14,092 | ) | ||||||||
Economic Assets at Investment Portfolio | $ | 5,317,721 | $ | 5,196,160 | $ | 121,561 |
(1) | Our investment in the consolidated Sequoia Choice entities at June 30, 2019 and December 31, 2018 represents $2.15 billion and $2.08 billion of loans, respectively, offset by $1.93 billion and $1.89 billion of ABS issued, respectively. |
(2) | Our investment in the consolidated Freddie Mac SLST entity at June 30, 2019 and December 31, 2018 represents $1.24 billion and $1.22 billion of loans, respectively, offset by $0.99 billion of ABS issued for both periods. |
(3) | Our investment in the consolidated Freddie Mac K-Series entities at June 30, 2019 and December 31, 2018 represents $3.75 billion and $2.14 billion of loans, respectively, offset by $3.54 billion and $2.02 billion of ABS issued, respectively. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Net interest income from: | |||||||||||||||||||||||||
Residential securities | $ | 13,796 | $ | 19,398 | $ | (5,602 | ) | $ | 27,458 | $ | 38,917 | $ | (11,459 | ) | |||||||||||
Multifamily securities | 1,271 | 1,861 | (590 | ) | 2,973 | 3,750 | (777 | ) | |||||||||||||||||
HFI residential loans at Redwood | 10,855 | 13,685 | (2,830 | ) | 21,863 | 29,457 | (7,594 | ) | |||||||||||||||||
HFI residential loans at Sequoia Choice | 3,680 | 2,001 | 1,679 | 7,223 | 3,387 | 3,836 | |||||||||||||||||||
HFI residential bridge loans | 1,819 | — | 1,819 | 3,194 | — | 3,194 | |||||||||||||||||||
HFI residential loans at Freddie Mac SLST | 3,039 | — | 3,039 | 6,087 | — | 6,087 | |||||||||||||||||||
HFI multifamily loans at Freddie Mac K-Series | 1,476 | — | 1,476 | 2,545 | — | 2,545 | |||||||||||||||||||
Other interest income | 2,200 | 620 | 1,580 | 4,358 | 948 | 3,410 | |||||||||||||||||||
NII from Investment Portfolio | $ | 38,136 | $ | 37,565 | $ | 571 | $ | 75,701 | $ | 76,459 | $ | (758 | ) | ||||||||||||
Supplemental information: | |||||||||||||||||||||||||
Hedge interest income (expense), net | $ | 1,420 | $ | 25 | $ | 1,395 | $ | 4,138 | $ | (2,859 | ) | $ | 6,997 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Market valuation changes: | |||||||||||||||||||||||||
Residential loans held-for-investment at Redwood | $ | (8,228 | ) | $ | (1,837 | ) | $ | (6,391 | ) | $ | (10,044 | ) | $ | (2,288 | ) | $ | (7,756 | ) | |||||||
Residential bridge loans held-for-investment | (318 | ) | — | (318 | ) | (621 | ) | — | (621 | ) | |||||||||||||||
Net investments in Sequoia Choice entities (1) | 2,879 | 1,072 | 1,807 | 6,144 | 986 | 5,158 | |||||||||||||||||||
Net investment in Freddie Mac SLST entity (1) | 8,037 | — | 8,037 | 14,402 | — | 14,402 | |||||||||||||||||||
Net investments in Freddie Mac K-Series entities (1) | 3,246 | — | 3,246 | 6,365 | — | 6,365 | |||||||||||||||||||
Residential trading securities | (4,675 | ) | (56 | ) | (4,619 | ) | (4,167 | ) | 1,146 | (5,313 | ) | ||||||||||||||
Multifamily trading securities | 769 | 2,661 | (1,892 | ) | 6,975 | 6,609 | 366 | ||||||||||||||||||
Servicer advance investments | 432 | — | 432 | 1,440 | — | 1,440 | |||||||||||||||||||
Excess MSRs | (65 | ) | — | (65 | ) | (502 | ) | — | (502 | ) | |||||||||||||||
REO | (139 | ) | — | (139 | ) | (139 | ) | — | (139 | ) | |||||||||||||||
Hedge interest income (expense), net | 1,420 | 25 | 1,395 | 4,138 | (2,859 | ) | 6,997 | ||||||||||||||||||
Other valuation changes | (61 | ) | (265 | ) | 204 | (138 | ) | (404 | ) | 266 | |||||||||||||||
Investment Fair Value Changes, Net | $ | 3,297 | $ | 1,600 | $ | 1,697 | $ | 23,853 | $ | 3,190 | $ | 20,663 |
(1) | Includes changes in fair value of the loans held-for-investment and the ABS issued at the entities, which netted together represent the change in value of our investments (senior and subordinate securities) at the consolidated VIEs. |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
MSR income, net | $ | 1,654 | $ | 1,874 | $ | 1,911 | $ | 2,830 | ||||||||
Risk share income | 800 | 1,020 | 1,446 | 1,799 | ||||||||||||
FHLBC capital stock dividend | 535 | 428 | 1,082 | 811 | ||||||||||||
Equity investment losses | (96 | ) | — | (96 | ) | — | ||||||||||
Other | (19 | ) | — | (248 | ) | — | ||||||||||
Other Income, Net from Investment Portfolio | $ | 2,874 | $ | 3,322 | $ | 4,095 | $ | 5,440 |
Three Months Ended | Six Months Ended | |||||||
(In Thousands) | June 30, 2019 | June 30, 2019 | ||||||
Fair value at beginning of period | $ | 2,404,870 | $ | 2,383,932 | ||||
Acquisitions | — | 39,269 | ||||||
Sales | (2,780 | ) | (2,780 | ) | ||||
Transfers between portfolios (1) | 43,250 | 60,394 | ||||||
Principal repayments | (94,005 | ) | (157,588 | ) | ||||
Changes in fair value, net | 35,548 | 63,656 | ||||||
Fair Value at End of Period | $ | 2,386,883 | $ | 2,386,883 |
(1) | Represents the net transfers of loans into our Investment Portfolio segment from our Mortgage Banking segment and their reclassification from held-for-sale to held-for-investment. |
June 30, 2019 | |||||||
(Dollars in Thousands) | Principal Balance | Weighted Average Coupon | |||||
Fixed - 30 year | $ | 1,991,446 | 4.17 | % | |||
Fixed - 15, 20, & 25 year | 58,146 | 3.69 | % | ||||
Hybrid | 273,404 | 4.20 | % | ||||
Total Outstanding Principal | $ | 2,322,996 |
Three Months Ended | Six Months Ended | |||||||
(In Thousands) | June 30, 2019 | June 30, 2019 | ||||||
Fair value at beginning of period | $ | 103,915 | $ | 112,798 | ||||
Originations | 100,597 | 128,187 | ||||||
Acquisitions | — | 10,295 | ||||||
Sales | (22,959 | ) | (43,549 | ) | ||||
Transfers to REO | — | (4,995 | ) | |||||
Principal repayments | (22,894 | ) | (43,860 | ) | ||||
Changes in fair value, net | 694 | 477 | ||||||
Fair Value at End of Period | $ | 159,353 | $ | 159,353 |
Three Months Ended June 30, 2019 | Residential | Multifamily | Total | |||||||||||||||||
(In Thousands) | Senior | Mezzanine | Subordinate | Mezzanine | ||||||||||||||||
Beginning fair value | $ | 230,638 | $ | 249,742 | $ | 550,526 | $ | 512,246 | $ | 1,543,152 | ||||||||||
Transfers | — | — | — | (4,951 | ) | (4,951 | ) | |||||||||||||
Acquisitions | ||||||||||||||||||||
Sequoia securities | 1,792 | — | 1,069 | — | 2,861 | |||||||||||||||
Third-party securities | — | 29,023 | 31,437 | 28,639 | 89,099 | |||||||||||||||
Sales | ||||||||||||||||||||
Sequoia securities | — | (22,117 | ) | — | — | (22,117 | ) | |||||||||||||
Third-party securities | — | (33,100 | ) | (92,700 | ) | (19,282 | ) | (145,082 | ) | |||||||||||
Gains on sales and calls, net | — | 2,791 | 36 | — | 2,827 | |||||||||||||||
Effect of principal payments (1) | (8,098 | ) | (1,415 | ) | (1,843 | ) | (2,597 | ) | (13,953 | ) | ||||||||||
Change in fair value, net | (9,134 | ) | 4,412 | 16,505 | 13,867 | 25,650 | ||||||||||||||
Ending Fair Value (2) | $ | 215,198 | $ | 229,336 | $ | 505,030 | $ | 527,922 | $ | 1,477,486 |
Six Months Ended June 30, 2019 | Residential | Multifamily | Total | |||||||||||||||||
(In Thousands) | Senior | Mezzanine | Subordinate | Mezzanine | ||||||||||||||||
Beginning fair value | $ | 246,285 | $ | 218,147 | $ | 558,983 | $ | 429,079 | $ | 1,452,494 | ||||||||||
Transfers | — | — | — | (4,951 | ) | (4,951 | ) | |||||||||||||
Acquisitions | ||||||||||||||||||||
Sequoia securities | 3,508 | — | 1,954 | — | 5,462 | |||||||||||||||
Third-party securities | 30,691 | 60,817 | 44,437 | 108,025 | 243,970 | |||||||||||||||
Sales | ||||||||||||||||||||
Sequoia securities | — | (22,117 | ) | (4,727 | ) | — | (26,844 | ) | ||||||||||||
Third-party securities | (38,780 | ) | (33,100 | ) | (115,279 | ) | (27,214 | ) | (214,373 | ) | ||||||||||
Gains on sales and calls, net | 5,749 | 3,059 | 4,705 | — | 13,513 | |||||||||||||||
Effect of principal payments (1) | (12,844 | ) | (8,393 | ) | (10,946 | ) | (5,152 | ) | (37,335 | ) | ||||||||||
Change in fair value, net | (19,411 | ) | 10,923 | 25,903 | 28,135 | 45,550 | ||||||||||||||
Ending Fair Value (2) | $ | 215,198 | $ | 229,336 | $ | 505,030 | $ | 527,922 | $ | 1,477,486 |
(1) | The effect of principal payments reflects the change in fair value due to principal payments, which is calculated as the cash principal received on a given security during the period multiplied by the prior quarter ending price or acquisition price for that security. |
(2) | At June 30, 2019, excludes $218 million of securities retained from our consolidated Sequoia Choice securitizations as well as $243 million and $207 million of securities we owned that were issued by consolidated Freddie Mac SLST and Freddie Mac K-Series securitizations, respectively. For additional details on our Choice, Freddie Mac SLST, and multifamily loans, see the subsections titled "Residential Loans Held-for-Investment at Sequoia Choice Portfolio," "Residential Loans Held-for-Investment at Freddie Mac SLST Portfolio," and "Multifamily Loans Held-for-Investment at Freddie Mac K-Series Portfolio" that follow. |
June 30, 2019 | Real Estate Securities (1) | Repurchase Debt | Allocated Capital | Weighted Average Price(2) | Financing Haircut(3) | ||||||||||||||
(Dollars in Thousands, except Weighted Average Price) | |||||||||||||||||||
Residential Securities | |||||||||||||||||||
Senior | $ | 149,239 | $ | (135,721 | ) | $ | 13,518 | $ | 102 | 9 | % | ||||||||
Mezzanine (4) | 569,109 | (463,120 | ) | 105,989 | 97 | 19 | % | ||||||||||||
Subordinate | 49,620 | (40,535 | ) | 9,085 | 97 | 18 | % | ||||||||||||
Total Residential Securities | 767,968 | (639,376 | ) | 128,592 | 98 | 17 | % | ||||||||||||
Multifamily Securities (5) | 734,522 | (574,544 | ) | 159,978 | 88 | 22 | % | ||||||||||||
Total | $ | 1,502,490 | $ | (1,213,920 | ) | $ | 288,570 |
(1) | Amounts represent carrying value of securities, which are held at GAAP fair value. |
(2) | GAAP fair value per $100 of principal. |
(3) | Allocated capital divided by GAAP fair value. |
(4) | Includes $148 million and $203 million of securities retained from our consolidated Sequoia Choice and Freddie Mac SLST securitizations, respectively, which we consolidate in accordance with GAAP. |
(5) | Includes $207 million of securities we owned that were issued by Freddie Mac K-Series securitizations, which we consolidate in accordance with GAAP. |
June 30, 2019 | Sequoia 2012-2019 | Third Party 2013-2019 | Agency CRT 2015-2019 | Third Party <=2008 | Total Residential Securities | Multifamily 2016-2019 | Total Real Estate Securities | |||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||
Senior (1) | $ | 49,015 | $ | 121,711 | $ | — | $ | 44,472 | $ | 215,198 | $ | — | $ | 215,198 | ||||||||||||||
Mezzanine (2) | 77,351 | 151,985 | — | — | 229,336 | 527,922 | 757,258 | |||||||||||||||||||||
Subordinate (1) | 131,770 | 150,671 | 208,603 | 13,986 | 505,030 | — | 505,030 | |||||||||||||||||||||
Total Securities (3) | $ | 258,136 | $ | 424,367 | $ | 208,603 | $ | 58,458 | $ | 949,564 | $ | 527,922 | $ | 1,477,486 |
December 31, 2018 | Sequoia 2012-2018 | Third Party 2013-2018 | Agency CRT 2013-2018 | Third Party <=2008 | Total Residential Securities | Multifamily 2015-2018 | Total Real Estate Securities | |||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||
Senior (1) | $ | 61,179 | $ | 96,069 | $ | — | $ | 89,037 | $ | 246,285 | $ | — | $ | 246,285 | ||||||||||||||
Mezzanine (2) | 99,977 | 118,170 | — | — | 218,147 | 429,079 | 647,226 | |||||||||||||||||||||
Subordinate (1) | 130,271 | 135,826 | 276,894 | 15,992 | 558,983 | — | 558,983 | |||||||||||||||||||||
Total Securities (3) | $ | 291,427 | $ | 350,065 | $ | 276,894 | $ | 105,029 | $ | 1,023,415 | $ | 429,079 | $ | 1,452,494 |
(1) | At June 30, 2019 and December 31, 2018, senior Sequoia and third-party securities included $66 million and $82 million of IO securities, respectively. At both June 30, 2019 and December 31, 2018, subordinate third-party securities included $12 million of IO securities. Our interest-only securities included $35 million and $43 million of A-IO-S securities at June 30, 2019 and December 31, 2018, respectively, that we retained from certain of our Sequoia securitizations. These securities represent certificated servicing strips and therefore may be negatively impacted by the operating and funding costs related to servicing the associated securitized mortgage loans. |
(2) | Mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later. |
(3) | At June 30, 2019, excluded $218 million, $243 million, and $207 million of securities we owned that were issued by consolidated Sequoia Choice, Freddie Mac SLST, and Freddie Mac K-Series securitizations, respectively. At December 31, 2018, excluded $194 million, $229 million, and $126 million of securities we owned that were issued by consolidated Sequoia Choice, Freddie Mac SLST, and Freddie Mac K-Series securitizations, respectively. For GAAP purposes we consolidated $7.13 billion of residential loans and $6.46 billion of non-recourse ABS debt associated with these retained securities. |
Three Months Ended June 30, 2019 | Yield as a Result of | ||||||||||||||||||||||||
Interest Income | Discount (Premium) Amortization | Total Interest Income | Average Amortized Cost | Interest Income | Discount (Premium) Amortization | Total Interest Income | |||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
Residential | |||||||||||||||||||||||||
Senior | $ | 554 | $ | 768 | $ | 1,322 | $ | 30,462 | 7.27 | % | 10.09 | % | 17.36 | % | |||||||||||
Mezzanine | 146 | 49 | 195 | 13,750 | 4.25 | % | 1.42 | % | 5.67 | % | |||||||||||||||
Subordinate | 2,710 | 1,242 | 3,952 | 137,041 | 7.91 | % | 3.63 | % | 11.54 | % | |||||||||||||||
Total AFS Securities | $ | 3,410 | $ | 2,059 | $ | 5,469 | $ | 181,253 | 7.53 | % | 4.54 | % | 12.07 | % |
Three Months Ended June 30, 2018 | Yield as a Result of | ||||||||||||||||||||||||
Interest Income | Discount (Premium) Amortization | Total Interest Income | Average Amortized Cost | Interest Income | Discount (Premium) Amortization | Total Interest Income | |||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
Residential | |||||||||||||||||||||||||
Senior | $ | 1,741 | $ | 2,185 | $ | 3,926 | $ | 116,862 | 5.96 | % | 7.48 | % | 13.44 | % | |||||||||||
Mezzanine | 532 | 226 | 758 | 49,951 | 4.26 | % | 1.81 | % | 6.07 | % | |||||||||||||||
Subordinate | 2,807 | 1,437 | 4,244 | 146,717 | 7.65 | % | 3.92 | % | 11.57 | % | |||||||||||||||
Total AFS Securities | $ | 5,080 | $ | 3,848 | $ | 8,928 | $ | 313,530 | 6.48 | % | 4.91 | % | 11.39 | % |
Six Months Ended June 30, 2019 | Yield as a Result of | ||||||||||||||||||||||||
Interest Income | Discount (Premium) Amortization | Total Interest Income | Average Amortized Cost | Interest Income | Discount (Premium) Amortization | Total Interest Income | |||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
Residential | |||||||||||||||||||||||||
Senior | $ | 1,376 | $ | 1,758 | $ | 3,134 | $ | 38,267 | 7.19 | % | 9.19 | % | 16.38 | % | |||||||||||
Mezzanine | 450 | 199 | 649 | 22,323 | 4.03 | % | 1.78 | % | 5.81 | % | |||||||||||||||
Subordinate | 5,391 | 2,032 | 7,423 | 137,094 | 7.87 | % | 2.96 | % | 10.83 | % | |||||||||||||||
Total AFS Securities | $ | 7,217 | $ | 3,989 | $ | 11,206 | $ | 197,684 | 7.30 | % | 4.04 | % | 11.34 | % |
Six Months Ended June 30, 2018 | Yield as a Result of | ||||||||||||||||||||||||
Interest Income | Discount (Premium) Amortization | Total Interest Income | Average Amortized Cost | Interest Income | Discount (Premium) Amortization | Total Interest Income | |||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
Residential | |||||||||||||||||||||||||
Senior | $ | 3,567 | $ | 4,671 | $ | 8,238 | $ | 123,924 | 5.76 | % | 7.54 | % | 13.30 | % | |||||||||||
Mezzanine | 1,298 | 542 | 1,840 | 61,467 | 4.22 | % | 1.76 | % | 5.98 | % | |||||||||||||||
Subordinate | 5,685 | 2,695 | 8,380 | 152,870 | 7.44 | % | 3.53 | % | 10.97 | % | |||||||||||||||
Total AFS Securities | $ | 10,550 | $ | 7,908 | $ | 18,458 | $ | 338,261 | 6.24 | % | 4.68 | % | 10.92 | % |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Interest income | $ | 26,828 | $ | 14,135 | $ | 12,693 | $ | 52,490 | $ | 23,070 | $ | 29,420 | |||||||||||||
Interest expense | (23,134 | ) | (12,134 | ) | (11,000 | ) | (45,247 | ) | (19,683 | ) | (25,564 | ) | |||||||||||||
Net interest income | 3,694 | 2,001 | 1,693 | 7,243 | 3,387 | 3,856 | |||||||||||||||||||
Investment fair value changes, net | 2,879 | 1,073 | 1,806 | 6,144 | 987 | 5,157 | |||||||||||||||||||
Net Income from Consolidated Sequoia Choice Entities | $ | 6,573 | $ | 3,074 | $ | 3,499 | $ | 13,387 | $ | 4,374 | $ | 9,013 |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Residential loans, held-for-investment, at fair value | $ | 2,147,356 | $ | 2,079,382 | ||||
Other assets | 8,960 | 10,010 | ||||||
Total Assets | $ | 2,156,316 | $ | 2,089,392 | ||||
Other liabilities | $ | 7,336 | $ | 8,202 | ||||
Asset-backed securities issued, at fair value | 1,929,444 | 1,885,010 | ||||||
Total liabilities | 1,936,780 | 1,893,212 | ||||||
Equity (fair value of Redwood's retained investments in entities) | 219,536 | 196,180 | ||||||
Total Liabilities and Equity | $ | 2,156,316 | $ | 2,089,392 |
Three Months Ended | Six Months Ended | |||||||
(In Thousands) | June 30, 2019 | June 30, 2019 | ||||||
Balance at beginning of period | $ | 2,333,248 | $ | 2,079,382 | ||||
New securitization issuance | — | 349,583 | ||||||
Principal repayments | (191,796 | ) | (297,478 | ) | ||||
Changes in fair value, net | 5,904 | 15,869 | ||||||
Balance at End of Period | $ | 2,147,356 | $ | 2,147,356 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Interest income | $ | 11,597 | $ | — | $ | 11,597 | $ | 23,391 | $ | — | $ | 23,391 | |||||||||||||
Interest expense | (8,557 | ) | — | (8,557 | ) | (17,304 | ) | — | (17,304 | ) | |||||||||||||||
Net interest income | 3,040 | — | 3,040 | 6,087 | — | 6,087 | |||||||||||||||||||
Investment fair value changes, net | 8,037 | — | 8,037 | 14,402 | — | 14,402 | |||||||||||||||||||
Net Income from Consolidated Freddie Mac SLST Entity | $ | 11,077 | $ | — | $ | 11,077 | $ | 20,489 | $ | — | $ | 20,489 |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Residential loans, held-for-investment, at fair value | $ | 1,235,089 | $ | 1,222,669 | ||||
Other assets | 3,786 | 3,926 | ||||||
Total Assets | $ | 1,238,875 | $ | 1,226,595 | ||||
Other liabilities | $ | 2,774 | $ | 2,907 | ||||
Asset-backed securities issued, at fair value | 991,766 | 993,748 | ||||||
Total liabilities | 994,540 | 996,655 | ||||||
Equity (fair value of Redwood's investments in entity) | 244,335 | 229,940 | ||||||
Total Liabilities and Equity | $ | 1,238,875 | $ | 1,226,595 |
Three Months Ended | Six Months Ended | |||||||
(In Thousands) | June 30, 2019 | June 30, 2019 | ||||||
Balance at beginning of period | $ | 1,228,317 | $ | 1,222,669 | ||||
Principal repayments | (24,706 | ) | (42,585 | ) | ||||
Changes in fair value, net | 31,478 | 55,005 | ||||||
Balance at End of Period | $ | 1,235,089 | $ | 1,235,089 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Interest income | $ | 35,917 | $ | — | $ | 35,917 | $ | 57,305 | $ | — | $ | 57,305 | |||||||||||||
Interest expense | (34,441 | ) | — | (34,441 | ) | (54,760 | ) | — | (54,760 | ) | |||||||||||||||
Net interest income | 1,476 | — | 1,476 | 2,545 | — | 2,545 | |||||||||||||||||||
Investment fair value changes, net | 3,246 | — | 3,246 | 6,365 | — | 6,365 | |||||||||||||||||||
Net Income from Consolidated Freddie Mac K-Series Entities | $ | 4,722 | $ | — | $ | 4,722 | $ | 8,910 | $ | — | $ | 8,910 |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Multifamily loans, held-for-investment, at fair value | $ | 3,749,657 | $ | 2,144,598 | ||||
Other assets | 11,317 | 6,595 | ||||||
Total Assets | $ | 3,760,974 | $ | 2,151,193 | ||||
Other liabilities | $ | 10,822 | $ | 6,239 | ||||
Asset-backed securities issued, at fair value | 3,543,057 | 2,019,075 | ||||||
Total liabilities | 3,553,879 | 2,025,314 | ||||||
Equity (fair value of Redwood's retained investments in entities) | 207,095 | 125,879 | ||||||
Total Liabilities and Equity | $ | 3,760,974 | $ | 2,151,193 |
Three Months Ended | Six Months Ended | |||||||
(In Thousands) | June 30, 2019 | June 30, 2019 | ||||||
Balance at beginning of period | $ | 2,175,899 | $ | 2,144,598 | ||||
Consolidation of multifamily loans held in securitization trusts | 1,481,554 | 1,481,554 | ||||||
Principal repayments | (4,445 | ) | (7,516 | ) | ||||
Changes in fair value, net | 96,649 | 131,021 | ||||||
Balance at End of Period | $ | 3,749,657 | $ | 3,749,657 |
(In Thousands) | Three Months Ended June 30, 2019 | Six Months Ended June 30, 2019 | ||||||
Balance at beginning of period | $ | 55,284 | $ | 60,281 | ||||
Additions | ||||||||
MSRs retained from third-party loan sales | 764 | 868 | ||||||
Market valuation adjustments | (8,652 | ) | (13,753 | ) | ||||
Balance at End of Period | $ | 47,396 | $ | 47,396 |
(Dollars in Thousands) | June 30, 2019 | |||
Unpaid principal balance | $ | 4,827,661 | ||
Fair value of MSRs | $ | 47,396 | ||
MSR values as percent of unpaid principal balance | 0.98 | % | ||
Gross cash yield (1) | 0.29 | % | ||
Number of loans | 7,488 | |||
Average loan size | $ | 645 | ||
Average coupon | 3.98 | % | ||
Average loan age (months) | 58 | |||
Average original loan-to-value | 67 | % | ||
Average original FICO score | 770 | |||
60+ day delinquencies | 0.14 | % |
(1) | Gross cash yield is calculated by dividing the annualized quarterly gross servicing fees we received for the three months ended June 30, 2019, by the weighted average notional balance of loans associated with MSRs we owned during that period. |
(Dollars in Thousands) | June 30, 2019 | |||
Unpaid principal balance | $ | 8,336,516 | ||
Number of loans | 41,787 | |||
Average loan size | $ | 200 | ||
Average coupon | 5.21 | % | ||
Average loan age (months) | 166 | |||
Average original loan-to-value | 74 | % | ||
Average original FICO score | 698 | |||
60+ day delinquencies (1) | 9.45 | % |
(1) | Includes unpaid principal balance of $498 million, or 6% of total portfolio, of loans in foreclosure or transferred to REO. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Interest income | $ | 11,352 | $ | 13,084 | $ | (1,732 | ) | $ | 21,729 | $ | 25,981 | $ | (4,252 | ) | |||||||||||
Interest expense | (6,595 | ) | (7,629 | ) | 1,034 | (12,159 | ) | (13,766 | ) | 1,607 | |||||||||||||||
Net interest income | 4,757 | 5,455 | (698 | ) | 9,570 | 12,215 | (2,645 | ) | |||||||||||||||||
Mortgage banking activities, net (1) | 19,160 | 10,596 | 8,564 | 31,469 | 37,172 | (5,703 | ) | ||||||||||||||||||
Other income (expense), net (2) | (156 | ) | — | (156 | ) | (323 | ) | — | (323 | ) | |||||||||||||||
Direct operating expenses (3) | (11,571 | ) | (5,739 | ) | (5,832 | ) | (19,675 | ) | (14,371 | ) | (5,304 | ) | |||||||||||||
Segment contribution before income taxes | 12,190 | 10,312 | 1,878 | 21,041 | 35,016 | (13,975 | ) | ||||||||||||||||||
Provision for income taxes | (1,437 | ) | (1,398 | ) | (39 | ) | (1,978 | ) | (5,406 | ) | 3,428 | ||||||||||||||
Segment Contribution | $ | 10,753 | $ | 8,914 | $ | 1,839 | $ | 19,063 | $ | 29,610 | $ | (10,547 | ) |
(1) | Mortgage banking activities, net includes $15 million and $4 million from our residential mortgage banking and business purpose mortgage banking operations, respectively, for the three months ended June 30, 2019. Mortgage banking activities, net includes $26 million and $5 million from our residential mortgage banking and business purpose mortgage banking operations, respectively, for the six months ended June 30, 2019. |
(2) | Other income (expense), net for our business purpose mortgage banking operations includes intangible asset amortization expense of $2 million and $3 million for the three and six months ended June 30, 2019, respectively, related to our acquisition of 5 Arches. |
(3) | Direct operating expenses includes $6 million from both our residential mortgage banking and business purpose mortgage banking operations for the three months ended June 30, 2019. Direct operating expenses includes $12 million and $8 million from our residential mortgage banking and business purpose mortgage banking operations, respectively, for the six months ended June 30, 2019. |
Three Months Ended June 30, | ||||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||||
(In Thousands) | Select | Choice | Total | Select | Choice | Total | ||||||||||||||||||
Balance at beginning of period | $ | 484,189 | $ | 335,032 | $ | 819,221 | $ | 766,105 | $ | 364,080 | $ | 1,130,185 | ||||||||||||
Acquisitions | 1,073,674 | 488,078 | 1,561,752 | 1,343,224 | 608,342 | 1,951,566 | ||||||||||||||||||
Sales | (1,013,707 | ) | (238,709 | ) | (1,252,416 | ) | (1,399,862 | ) | (8,496 | ) | (1,408,358 | ) | ||||||||||||
Transfers between portfolios (1) | (13,718 | ) | (29,532 | ) | (43,250 | ) | (22,542 | ) | (539,168 | ) | (561,710 | ) | ||||||||||||
Principal repayments | (18,695 | ) | (13,706 | ) | (32,401 | ) | (7,374 | ) | (7,238 | ) | (14,612 | ) | ||||||||||||
Changes in fair value, net | 3,042 | 339 | 3,381 | 1,265 | 6,324 | 7,589 | ||||||||||||||||||
Balance at End of Period | $ | 514,785 | $ | 541,502 | $ | 1,056,287 | $ | 680,816 | $ | 423,844 | $ | 1,104,660 |
Six Months Ended June 30, | ||||||||||||||||||||||||
2019 | 2018 | |||||||||||||||||||||||
(In Thousands) | Select | Choice | Total | Select | Choice | Total | ||||||||||||||||||
Balance at beginning of period | $ | 716,193 | $ | 332,608 | $ | 1,048,801 | $ | 1,101,356 | $ | 326,589 | $ | 1,427,945 | ||||||||||||
Acquisitions | 1,623,222 | 921,459 | 2,544,681 | 2,611,154 | 1,155,706 | 3,766,860 | ||||||||||||||||||
Sales | (1,810,937 | ) | (274,557 | ) | (2,085,494 | ) | (2,990,603 | ) | (12,286 | ) | (3,002,889 | ) | ||||||||||||
Transfers between portfolios (1) | 8,365 | (418,287 | ) | (409,922 | ) | (22,542 | ) | (1,046,784 | ) | (1,069,326 | ) | |||||||||||||
Principal repayments | (26,828 | ) | (22,998 | ) | (49,826 | ) | (20,608 | ) | (11,021 | ) | (31,629 | ) | ||||||||||||
Changes in fair value, net | 4,770 | 3,277 | 8,047 | 2,059 | 11,640 | 13,699 | ||||||||||||||||||
Balance at End of Period | $ | 514,785 | $ | 541,502 | $ | 1,056,287 | $ | 680,816 | $ | 423,844 | $ | 1,104,660 |
(1) | Represents the net transfers of loans out of our Mortgage Banking segment into our Investment Portfolio segment and their reclassification from held-for-sale to held-for-investment. |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Residential Mortgage Banking Activities, Net | |||||||||||||||||||||||||
Changes in fair value of: | |||||||||||||||||||||||||
Residential loans, at fair value (1) | $ | 20,267 | $ | 3,364 | $ | 16,903 | $ | 35,111 | $ | 1,170 | $ | 33,941 | |||||||||||||
Risk management derivatives (2) | (5,760 | ) | 6,150 | (11,910 | ) | (9,898 | ) | 34,582 | (44,480 | ) | |||||||||||||||
Other income, net (3) | 852 | 1,082 | (230 | ) | 973 | 1,420 | (447 | ) | |||||||||||||||||
Total residential mortgage banking activities, net | 15,359 | 10,596 | 4,763 | 26,186 | 37,172 | (10,986 | ) | ||||||||||||||||||
Business Purpose Mortgage Banking Activities, Net | |||||||||||||||||||||||||
Changes in fair value of: | |||||||||||||||||||||||||
Single-family rental loans, at fair value (1) | 1,882 | — | 1,882 | 3,626 | — | 3,626 | |||||||||||||||||||
Risk management derivatives (2) | (1,671 | ) | — | (1,671 | ) | (2,517 | ) | — | (2,517 | ) | |||||||||||||||
Residential bridge loans, at fair value | 1,012 | — | 1,012 | 1,098 | — | 1,098 | |||||||||||||||||||
Other income, net (3) | 2,578 | — | 2,578 | 3,076 | — | 3,076 | |||||||||||||||||||
Total business purpose mortgage banking activities, net | 3,801 | — | 3,801 | 5,283 | — | 5,283 | |||||||||||||||||||
Mortgage Banking Activities, Net | $ | 19,160 | $ | 10,596 | $ | 8,564 | $ | 31,469 | $ | 37,172 | $ | (5,703 | ) |
(1) | Includes changes in fair value for loan purchase commitments. |
(2) | Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of loans. |
(3) | Includes other fee income from loan originations and acquisitions as well as the provision for repurchase expense, presented net. |
June 30, 2019 | Principal Value | Weighted Average Coupon | |||||
(Dollars in Thousands) | |||||||
First Lien Prime | |||||||
Fixed - 30 year | $ | 716,630 | 4.80 | % | |||
Fixed - 10, 15, & 20 year | 65,580 | 3.90 | % | ||||
Hybrid | 245,750 | 4.15 | % | ||||
ARM | 145 | 4.45 | % | ||||
Total Outstanding Principal | $ | 1,028,105 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||
(In Thousands) | 2019 | 2018 | Change | 2019 | 2018 | Change | |||||||||||||||||||
Interest income | $ | 4,776 | $ | 5,017 | $ | (241 | ) | $ | 9,629 | $ | 9,829 | $ | (200 | ) | |||||||||||
Interest expense | (3,981 | ) | (4,215 | ) | 234 | (8,096 | ) | (8,067 | ) | (29 | ) | ||||||||||||||
Net interest income | 795 | 802 | (7 | ) | 1,533 | 1,762 | (229 | ) | |||||||||||||||||
Investment fair value changes, net | (123 | ) | (720 | ) | 597 | (497 | ) | (728 | ) | 231 | |||||||||||||||
Net Income from Consolidated Legacy Sequoia Entities | $ | 672 | $ | 82 | $ | 590 | $ | 1,036 | $ | 1,034 | $ | 2 |
(In Thousands) | June 30, 2019 | December 31, 2018 | ||||||
Residential loans, held-for-investment, at fair value | $ | 457,750 | $ | 519,958 | ||||
Other assets | 2,363 | 4,911 | ||||||
Total Assets | $ | 460,113 | $ | 524,869 | ||||
Other liabilities | $ | 519 | $ | 571 | ||||
Asset-backed securities issued, at fair value | 448,862 | 512,240 | ||||||
Total liabilities | 449,381 | 512,811 | ||||||
Equity (fair value of Redwood's retained investments in entities) | 10,732 | 12,058 | ||||||
Total Liabilities and Equity | $ | 460,113 | $ | 524,869 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands) | 2019 | 2018 | 2019 | 2018 | ||||||||||||
Balance at beginning of period | $ | 488,645 | $ | 626,151 | $ | 519,958 | $ | 632,817 | ||||||||
Principal repayments | (31,699 | ) | (37,869 | ) | (67,479 | ) | (72,091 | ) | ||||||||
Transfers to REO | (63 | ) | (567 | ) | (102 | ) | (1,835 | ) | ||||||||
Changes in fair value, net | 867 | 4,314 | 5,373 | 33,138 | ||||||||||||
Balance at End of Period | $ | 457,750 | $ | 592,029 | $ | 457,750 | $ | 592,029 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
(In Thousands, except per Share Data) | 2019 est. (1) | 2018 est. (1) | 2019 est. (1) | 2018 est. (1) | ||||||||||||
REIT taxable income | $ | 24,561 | $ | 26,794 | $ | 53,322 | $ | 60,268 | ||||||||
Taxable REIT subsidiary income | 16,347 | 11,883 | 23,044 | 35,964 | ||||||||||||
Total Taxable Income | $ | 40,908 | $ | 38,677 | $ | 76,366 | $ | 96,232 | ||||||||
REIT taxable income per share | $ | 0.25 | $ | 0.35 | $ | 0.55 | $ | 0.79 | ||||||||
Total taxable income per share | $ | 0.42 | $ | 0.51 | $ | 0.79 | $ | 1.27 | ||||||||
Distributions to shareholders | $ | 29,306 | $ | 22,721 | $ | 58,304 | $ | 43,916 | ||||||||
Distributions to shareholders per share | $ | 0.30 | $ | 0.30 | $ | 0.60 | $ | 0.58 |
(1) | Our tax results for the three and six months ended June 30, 2019 and 2018 are estimates until we file tax returns for these years. |
Six Months Ended June 30, 2019 | |||||||||||||||||||||
(In Thousands, except per Share Data) | REIT (Est.) | TRS (Est.) | Total Tax (Est.) | GAAP | Differences | ||||||||||||||||
Interest income | $ | 125,902 | $ | 25,305 | $ | 151,207 | $ | 279,583 | $ | (128,376 | ) | ||||||||||
Interest expense | (63,439 | ) | (26,732 | ) | (90,171 | ) | (215,496 | ) | 125,325 | ||||||||||||
Net interest income | 62,463 | (1,427 | ) | 61,036 | 64,087 | (3,051 | ) | ||||||||||||||
Realized credit losses | (580 | ) | — | (580 | ) | — | (580 | ) | |||||||||||||
Mortgage banking activities, net | — | 29,976 | 29,976 | 31,469 | (1,493 | ) | |||||||||||||||
Investment fair value changes, net | 793 | 157 | 950 | 23,297 | (22,347 | ) | |||||||||||||||
Operating expenses | (22,219 | ) | (24,808 | ) | (47,027 | ) | (49,414 | ) | 2,387 | ||||||||||||
Other income, net | 786 | 8,958 | 9,744 | 5,994 | 3,750 | ||||||||||||||||
Realized gains, net | 12,229 | 10,305 | 22,534 | 13,513 | 9,021 | ||||||||||||||||
Provision for income taxes | (150 | ) | (117 | ) | (267 | ) | (3,216 | ) | 2,949 | ||||||||||||
Net Income | $ | 53,322 | $ | 23,044 | $ | 76,366 | $ | 85,730 | $ | (9,364 | ) | ||||||||||
Income per basic common share | $ | 0.55 | $ | 0.24 | $ | 0.79 | $ | 0.88 | $ | (0.09 | ) |
Total Number of Shares Purchased or Acquired | Average Price per Share Paid | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number (or approximate dollar value) of Shares that May Yet be Purchased under the Plans or Programs | |||||||||||
(In Thousands, except per Share Data) | ||||||||||||||
April 1, 2019 - April 30, 2019 | — | $ | — | — | $ | — | ||||||||
May 1, 2019 - May 31, 2019 | — | $ | — | — | $ | — | ||||||||
June 1, 2019 - June 30, 2019 | — | $ | — | — | $ | 100,000 | ||||||||
Total | — | $ | — | — | $ | 100,000 |
Exhibit Number | Exhibit | |
3.1 | ||
3.1.1 | ||
3.1.2 | ||
3.1.3 | ||
3.1.4 | ||
3.1.5 | ||
3.1.6 | ||
3.1.7 | ||
3.1.8 | ||
3.1.9 | ||
3.1.10 | ||
3.1.11 | ||
3.2.1 | ||
3.2.2 | ||
3.2.3 | ||
10.1* | ||
10.2* | ||
10.3* | ||
31.1 | ||
31.2 | ||
32.1 | ||
32.2 | ||
101 | Pursuant to Rule 405 of Regulation S-T, the following financial information from the Company’s Quarterly Report on Form 10-Q for the period ended June 30, 2019, is filed in inline XBRL-formatted interactive data files: (i) Consolidated Balance Sheets at June 30, 2019 and December 31, 2018; (ii) Consolidated Statements of Income for the three and six months ended June 30, 2019 and 2018; (iii) Statements of Consolidated Comprehensive Income for the three and six months ended June 30, 2019 and 2018; (iv) Consolidated Statements of Changes in Stockholders' Equity for the three and six months ended June 30, 2019 and 2018; (v) Consolidated Statements of Cash Flows for the six months ended June 30, 2019 and 2018; and (vi) Notes to Consolidated Financial Statements. | |
104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) |
REDWOOD TRUST, INC. | |||
Date: | August 8, 2019 | By: | /s/ Christopher J. Abate |
Christopher J. Abate | |||
Chief Executive Officer | |||
(Principal Executive Officer) | |||
Date: | August 8, 2019 | By: | /s/ Collin L. Cochrane |
Collin L. Cochrane | |||
Chief Financial Officer | |||
(Principal Financial Officer) | |||
Date: | August 8, 2019 | By: | /s/ Lola Bondar |
Lola Bondar | |||
Managing Director, Chief Accounting Officer | |||
(Principal Accounting Officer) |
REDWOOD TRUST, INC. | ||||
By: | /s/ Andrew P. Stone | |||
Andrew P. Stone | ||||
Executive Vice President & General Counsel | ||||
EXECUTIVE | ||||
/s/ Christopher J. Abate | ||||
Christopher J. Abate | ||||
EXECUTIVE | ||
Name: | ||
Christopher J. Abate | ||
Date: | ||
COMPANY | ||
Name: | ||
Date: |
EXECUTIVE | ||
Name: | ||
Christopher J. Abate | ||
Date: | ||
COMPANY | ||
Name: | ||
Date: |
1. | Relate at the time of conception or reduction to practice of the invention to the employer’s business, or actual or demonstrably anticipated research or development of the employer; or |
2. | Result from any work performed by the employee for the employer. |
If to the Company: | Redwood Trust, Inc. | |
Attn: Chief Executive Officer | ||
One Belvedere Place, Suite 300 | ||
Mill Valley, CA 94941 | ||
Phone: (415) 389-7373 | ||
Fax: (415) 381-1773 | ||
If to the Executive: | Dashiell I. Robinson | |
c/o Redwood Trust, Inc. | ||
One Belvedere Place, Suite 300 | ||
Mill Valley, CA 94941 | ||
Phone: (415) 389-7373 | ||
Fax: (415) 381-1773 |
REDWOOD TRUST, INC. | ||||
By: | /s/ Christopher J. Abate | |||
Christopher J. Abate | ||||
Chief Executive Officer | ||||
EXECUTIVE | ||||
/s/ Dashiell I. Robinson | ||||
Dashiell I. Robinson | ||||
EXECUTIVE | ||
Name: | ||
Dashiell I. Robinson | ||
Date: | ||
COMPANY | ||
Name: | ||
Date: |
EXECUTIVE | ||
Name: | ||
Dashiell I. Robinson | ||
Date: | ||
COMPANY | ||
Name: | ||
Date: |
1. | Relate at the time of conception or reduction to practice of the invention to the employer’s business, or actual or demonstrably anticipated research or development of the employer; or |
2. | Result from any work performed by the employee for the employer. |
REDWOOD TRUST, INC. | ||||
By: | /s/ Christopher J. Abate | |||
Christopher J. Abate | ||||
Chief Executive Officer | ||||
EXECUTIVE | ||||
/s/ Andrew P. Stone | ||||
Andrew P. Stone | ||||
EXECUTIVE | ||
Name: | ||
Andrew P. Stone | ||
Date: | ||
COMPANY | ||
Name: | ||
Date: |
EXECUTIVE | ||
Name: | ||
Andrew P. Stone | ||
Date: | ||
COMPANY | ||
Name: | ||
Date: |
1. | Relate at the time of conception or reduction to practice of the invention to the employer’s business, or actual or demonstrably anticipated research or development of the employer; or |
2. | Result from any work performed by the employee for the employer. |
1. | I have reviewed this Quarterly Report on Form 10-Q of Redwood Trust, Inc.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over the financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: August 8, 2019 | /s/ Christopher J. Abate | |
Christopher J. Abate | ||
Chief Executive Officer |
1. | I have reviewed this Quarterly Report on Form 10-Q of Redwood Trust, Inc.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over the financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: August 8, 2019 | /s/ Collin L. Cochrane | |
Collin L. Cochrane | ||
Chief Financial Officer |
Date: August 8, 2019 | /s/ Christopher J. Abate | |
Christopher J. Abate | ||
Chief Executive Officer |
Date: August 8, 2019 | /s/ Collin L. Cochrane | |
Collin L. Cochrane | ||
Chief Financial Officer |
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
|||||
---|---|---|---|---|---|---|---|
ASSETS | |||||||
Real estate securities, at fair value | [1] | $ 1,477,486 | $ 1,452,494 | ||||
Other investments | [1] | 372,130 | 438,518 | ||||
Cash and cash equivalents | [1] | 218,145 | 175,764 | ||||
Restricted cash | [1] | 33,953 | 29,313 | ||||
Goodwill and intangible assets | [1] | 50,999 | 0 | ||||
Accrued interest receivable | [1] | 54,265 | 47,105 | ||||
Derivative assets | [1] | 26,609 | 35,789 | ||||
Other assets | [1] | 334,123 | 217,825 | ||||
Total Assets | [1] | 13,851,586 | 11,937,406 | ||||
Liabilities | |||||||
Short-term debt, net | [1],[2] | 2,462,885 | 2,400,279 | ||||
Accrued interest payable | [1] | 47,092 | 42,528 | ||||
Derivative liabilities | [1] | 173,847 | 84,855 | ||||
Accrued expenses and other liabilities | [1] | 117,428 | 78,719 | ||||
Asset-backed securities issued, at fair value | [1] | 6,913,129 | 5,410,073 | ||||
Long-term debt, net | [1] | 2,573,173 | 2,572,158 | ||||
Total liabilities | [1] | 12,287,554 | 10,588,612 | ||||
Commitments and Contingencies (see Note 16) | [1] | ||||||
Equity | |||||||
Common stock, par value $0.01 per share, 270,000,000 and 180,000,000 shares authorized; 97,715,021 and 84,884,344 issued and outstanding | [1] | 977 | 849 | ||||
Additional paid-in capital | [1] | 2,013,044 | 1,811,422 | ||||
Accumulated other comprehensive income | [1] | 48,923 | 61,297 | ||||
Cumulative earnings | [1] | 1,495,671 | 1,409,941 | ||||
Cumulative distributions to stockholders | [1] | (1,994,583) | (1,934,715) | ||||
Total equity | [1] | 1,564,032 | 1,348,794 | ||||
Total Liabilities and Equity | [1] | 13,851,586 | 11,937,406 | ||||
Residential loans, held-for-sale, at fair value | |||||||
ASSETS | |||||||
Loans, at fair value | [1] | 1,056,287 | 1,048,801 | ||||
Residential loans, held-for-investment, at fair value | |||||||
ASSETS | |||||||
Loans, at fair value | [1] | 6,227,078 | 6,205,941 | ||||
Business purpose residential loans, at fair value | |||||||
ASSETS | |||||||
Loans, at fair value | [1] | 250,854 | 141,258 | ||||
Multifamily loans, held-for-investment, at fair value | |||||||
ASSETS | |||||||
Loans, at fair value | [1] | $ 3,749,657 | $ 2,144,598 | ||||
|
CONSOLIDATED BALANCE SHEETS (PARENTHETICAL) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Statement of Financial Position [Abstract] | ||
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (shares) | 270,000,000 | 180,000,000 |
Common stock, issued (shares) | 97,715,021 | 84,884,344 |
Common stock, outstanding (shares) | 97,715,021 | 84,884,344 |
Variable interest held by entity, assets | $ 7,937,685 | $ 6,331,191 |
Variable interest held by entity, liabilities | $ 7,189,086 | $ 5,709,807 |
CONSOLIDATED STATEMENTS OF INCOME - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Interest Income | ||||
Residential loans | $ 77,288 | $ 55,514 | $ 153,238 | $ 105,745 |
Business purpose residential loans | 3,996 | 0 | 6,785 | 0 |
Multifamily loans | 35,917 | 0 | 57,305 | 0 |
Real estate securities | 25,017 | 26,296 | 49,467 | 51,991 |
Other interest income | 6,324 | 1,166 | 12,788 | 1,859 |
Total interest income | 148,542 | 82,976 | 279,583 | 159,595 |
Interest Expense | ||||
Short-term debt | (24,275) | (13,175) | (46,493) | (26,610) |
Asset-backed securities issued | (70,113) | (16,349) | (125,408) | (27,750) |
Long-term debt | (21,832) | (18,689) | (43,595) | (35,367) |
Total interest expense | (116,220) | (48,213) | (215,496) | (89,727) |
Net Interest Income | 32,322 | 34,763 | 64,087 | 69,868 |
Non-interest Income | ||||
Mortgage banking activities, net | 19,160 | 10,596 | 31,469 | 37,172 |
Investment fair value changes, net | 3,138 | 889 | 23,297 | 2,498 |
Other income, net | 2,407 | 3,322 | 5,994 | 5,440 |
Realized gains, net | 2,827 | 4,714 | 13,513 | 14,077 |
Total non-interest income, net | 27,532 | 19,521 | 74,273 | 59,187 |
Operating expenses | (26,255) | (19,009) | (49,414) | (42,039) |
Net Income before Provision for Income Taxes | 33,599 | 35,275 | 88,946 | 87,016 |
Provision for income taxes | (2,333) | (2,528) | (3,216) | (7,424) |
Net Income | $ 31,266 | $ 32,747 | $ 85,730 | $ 79,592 |
Basic earnings per common share (in dollars per share) | $ 0.31 | $ 0.42 | $ 0.88 | $ 1.02 |
Diluted earnings per common share (in dollars per share) | $ 0.30 | $ 0.38 | $ 0.78 | $ 0.88 |
Basic weighted average shares outstanding (in shares) | 96,983,764 | 75,380,715 | 94,846,431 | 75,388,638 |
Diluted weighted average shares outstanding (in shares) | 130,696,954 | 100,431,993 | 128,499,431 | 104,291,180 |
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Statement of Comprehensive Income [Abstract] | ||||
Net Income | $ 31,266 | $ 32,747 | $ 85,730 | $ 79,592 |
Other comprehensive loss: | ||||
Net unrealized gain (loss) on available-for-sale securities | 8,562 | (3,104) | 15,280 | (7,341) |
Reclassification of unrealized gain on available-for-sale securities to net income | (2,822) | (4,748) | (12,315) | (14,135) |
Net unrealized (loss) gain on interest rate agreements | (9,501) | (15,339) | ||
Net unrealized (loss) gain on interest rate agreements | 3,417 | 11,848 | ||
Total other comprehensive loss | (3,761) | (4,435) | (12,374) | (9,628) |
Total Comprehensive Income | $ 27,505 | $ 28,312 | $ 73,356 | $ 69,964 |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares |
3 Months Ended | 6 Months Ended | ||
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Mar. 31, 2019 |
Mar. 31, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
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Statement of Stockholders' Equity [Abstract] | ||||
Common dividends declared (in dollars per share) | $ 0.30 | $ 0.30 | $ 0.60 | $ 0.58 |
CONSOLIDATED STATEMENTS OF CASH FLOWS (PARENTHETICAL) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
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Statement of Cash Flows [Abstract] | |||||
Cash and cash equivalents | [1] | $ 218,145 | $ 175,764 | ||
Restricted cash | [1] | $ 33,953 | $ 29,313 | ||
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Organization |
6 Months Ended |
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Jun. 30, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Redwood Trust, Inc., together with its subsidiaries, is a specialty finance company focused on making credit-sensitive investments in single-family residential and multifamily mortgages and related assets and engaging in mortgage banking activities. Our goal is to provide attractive returns to shareholders through a stable and growing stream of earnings and dividends, as well as through capital appreciation. We operate our business in two segments: Investment Portfolio and Mortgage Banking. Our primary sources of income are net interest income from our investment portfolio and non-interest income from our mortgage banking activities. Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and other liabilities. Income from mortgage banking activities is generated through the acquisition of residential loans and their subsequent sale or securitization, as well as through the origination of business purpose residential loans. Redwood Trust, Inc. has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), beginning with its taxable year ended December 31, 1994. We generally refer, collectively, to Redwood Trust, Inc. and those of its subsidiaries that are not subject to subsidiary-level corporate income tax as “the REIT” or “our REIT.” We generally refer to subsidiaries of Redwood Trust, Inc. that are subject to subsidiary-level corporate income tax as “our operating subsidiaries” or “our taxable REIT subsidiaries” or “TRS.” Redwood was incorporated in the State of Maryland on April 11, 1994, and commenced operations on August 19, 1994. References herein to “Redwood,” the “company,” “we,” “us,” and “our” include Redwood Trust, Inc. and its consolidated subsidiaries, unless the context otherwise requires.
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Basis of Presentation |
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Accounting Policies [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at June 30, 2019 and December 31, 2018, and for the three and six months ended June 30, 2019 and 2018. 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, 2018. In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at June 30, 2019 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2019 should not be construed as indicative of the results to be expected for the full year. Principles of Consolidation In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities issued prior to 2012 where we maintain an ongoing involvement ("Legacy Sequoia"), as well as entities formed in connection with the securitization of Redwood Choice expanded-prime loans beginning in the third quarter of 2017 ("Sequoia Choice"). In addition, we consolidated the assets and liabilities of certain Freddie Mac K-Series securitizations beginning in the third quarter of 2018, and the assets and liabilities of one Freddie Mac SLST securitization beginning in the fourth quarter of 2018. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have purchased or retained, although for the consolidated Sequoia entities we are exposed to certain financial risks associated with our role as a sponsor, servicing administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. For financial reporting purposes, the underlying loans owned at the consolidated Sequoia and Freddie Mac SLST entities are shown under Residential loans, held-for-investment, at fair value, and the underlying loans at the consolidated Freddie Mac K-Series are shown under Multifamily loans held-for-investment, at fair value, on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income, we recorded interest income on the loans owned at these entities and interest expense on the ABS issued by these entities as well as other income and expenses associated with these entities' activities. See Note 14 for further discussion on ABS issued. Beginning in the fourth quarter of 2018, we consolidated two partnerships ("Servicing Investment" entities) through which we have invested in servicing-related assets. We maintain an 80% ownership interest in each entity and have determined that we are the primary beneficiary of these partnerships. Beginning in the first quarter of 2019, we consolidated 5 Arches, LLC ("5 Arches"), an originator of business purpose residential loans, pursuant to the exercise of our purchase option and the acquisition of the remaining equity in the company. 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. Acquisition of 5 Arches, LLC On March 1, 2019, we completed the acquisition of the remaining 80% interest in 5 Arches, an originator of business purpose residential loans. In May 2018, Redwood acquired a 20% minority interest in 5 Arches for $10 million in cash, with a one-year option to purchase all remaining equity in the company. At closing, we paid approximately $13 million of cash and the remainder of the consideration, which could total up to an additional $27 million, will be paid in a mix of cash and Redwood common stock and is contingent on the achievement of certain specified loan origination thresholds over the next two years. We accounted for the acquisition of 5 Arches under the acquisition method of accounting pursuant to ASC 805. We performed the preliminary purchase price allocation and recorded underlying assets acquired and liabilities assumed based on their estimated fair values using the information available as of the acquisition date, with the excess of the purchase price allocated to goodwill. Through June 30, 2019, there have been no changes to our preliminary purchase price allocation, which is summarized in the following table. Table 2.1 – 5 Arches Purchase Price Allocation
Because we owned a 20% noncontrolling interest in 5 Arches immediately before obtaining full control, we remeasured our initial minority investment and purchase option at their acquisition-date fair values using the income approach, which resulted in a gain of $2 million that was recorded in Other income, net on our consolidated statements of income during the three months ended March 31, 2019. As part of this acquisition, we identified and recorded finite-lived intangible assets totaling $25 million. The amortization period for each of these assets and the activity for the period from March 1, 2019 to June 30, 2019 is summarized in the table below. Table 2.2 – Intangible Assets – Activity
All of our intangible assets are amortized on a straight-line basis. Estimated amortization expense for the remainder of 2019 and the following years is summarized in the table below. Table 2.3 – Intangible Asset Amortization Expense by Year
We recorded goodwill of $29 million as a result of the total consideration exceeding the fair value of the net assets acquired. The goodwill was attributed to the expected business synergies and expansion into business purpose loan markets, as well as access to the knowledgeable and experienced workforce continuing to provide services to the business. We expect $3 million of our goodwill balance to be deductible for tax purposes. The following table presents the goodwill activity for the six months ended June 30, 2019. Table 2.4 – Goodwill – Activity
The liability resulting from the contingent consideration arrangement was recorded at its acquisition-date fair value of $25 million as part of total consideration for the acquisition of 5 Arches. At June 30, 2019, our estimated fair value of this contingent liability was $25 million and was recorded as a component of Accrued expenses and other liabilities on our consolidated balance sheets. See Note 16 for additional information on our contingent consideration liability. The following unaudited pro forma financial information presents Net interest income, Non-interest income, and Net income of Redwood and 5 Arches combined, as if the acquisition occurred as of January 1, 2018. These pro forma amounts have been adjusted to include the amortization of intangible assets for both periods, and to exclude the income statement impacts related to our equity method investment in 5 Arches. The unaudited pro forma financial information is not intended to represent or be indicative of the consolidated financial results of operations that would have been reported if the acquisition had been completed as of January 1, 2018 and should not be taken as indicative of our future consolidated results of operations. During the period from March 1, 2019 to June 30, 2019, 5 Arches had mortgage banking income of $6 million and a net loss of $2 million. Included in the net loss for this period was intangible asset amortization expense of $3 million. Table 2.5 – Unaudited Pro Forma Financial Information
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Principles of Consolidation |
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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 June 30, 2019, we consolidated our Legacy Sequoia and Sequoia Choice securitization entities that we determined were VIEs and for which we determined we were the primary beneficiary. Additionally, beginning in the second half of 2018, we consolidated certain Freddie Mac K-Series securitization entities and the Freddie Mac SLST securitization entity that we determined were VIEs and for which we determined we were the primary beneficiary. Each of these entities is independent of Redwood and of each other and the assets and liabilities of these entities are not owned by and are not legal obligations of ours. Our exposure to these entities is primarily through the financial interests we have retained, although for the consolidated Sequoia entities we are exposed to certain financial risks associated with our role as a sponsor, servicing administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. At June 30, 2019, the estimated fair value of our investments in the consolidated Legacy Sequoia, Sequoia Choice, Freddie Mac SLST and Freddie Mac K-Series entities was $11 million, $220 million, $244 million, and $207 million, respectively. Beginning in the fourth quarter of 2018, we consolidated two Servicing Investment entities formed to invest in servicing-related assets that we determined were VIEs and for which we determined we were the primary beneficiary. At June 30, 2019, we held an 80% ownership interest in, and were responsible for the management of, each entity. See Note 10 for a further description of these entities and the investments they hold and Note 12 for additional information on the minority partner’s interest. Additionally, beginning in the fourth quarter of 2018, we consolidated an entity that was formed to finance servicer advances that we determined was a VIE and for which we, through our control of one of the aforementioned partnerships, were the primary beneficiary. The servicer advance financing consists of non-recourse short-term securitization debt, secured by servicer advances. We consolidate the securitization entity, but the securitization entity is independent of Redwood and the assets and liabilities are not owned by and are not legal obligations of Redwood. See Note 13 for additional information on the servicer advance financing. At June 30, 2019, the estimated fair value of our investment in the Servicing Investment entities was $67 million. The following table presents a summary of the assets and liabilities of these VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs
We consolidate the assets and liabilities of certain Sequoia 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 entities continues in the following ways: (i) we continue to hold subordinate investments in each entity, and for certain entities, more senior investments; (ii) we maintain certain discretionary rights associated with our sponsorship of, or our subordinate investments in, each entity; and (iii) we continue to hold a right to call the assets of certain entities (once they have been paid down below a specified threshold) at a price equal to, or in excess of, the current outstanding principal amount of the entity’s asset-backed securities issued. These factors have resulted in our continuing to consolidate the assets and liabilities of these Sequoia entities in accordance with GAAP. We consolidate the assets and liabilities of certain Freddie Mac K-Series securitization trusts and a Freddie Mac SLST securitization trust resulting from our investment in subordinate securities issued by these trusts. 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 44 Sequoia securitization entities sponsored by us that are still outstanding as of June 30, 2019, 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 first quarter of 2019, the master servicer for one of our unconsolidated Sequoia entities exercised their right to call the securitization and paid off the underlying securities. We realized a $4 million gain related to the called securities, which was recognized through Realized gains, net on our consolidated statements of income. In connection with this called securitization, Redwood acquired $39 million of residential real estate loans that were held in both our held-for-sale and held-for-investment portfolios at Redwood at June 30, 2019. The following table presents information related to securitization transactions that occurred during the three and six months ended June 30, 2019 and 2018. Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood
The following table summarizes the cash flows during the three and six months ended June 30, 2019 and 2018 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood
The following table presents the key weighted-average assumptions used to measure MSRs and securities retained at the date of securitization for securitizations completed during the three and six months ended June 30, 2019 and 2018. Table 4.4 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood
The following table presents additional information at June 30, 2019 and December 31, 2018, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.5 – Unconsolidated VIEs Sponsored by Redwood
The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at June 30, 2019 and December 31, 2018. Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood
Analysis of Unconsolidated Third-Party VIEs Third-party VIEs are securitization entities in which we maintain an economic interest, but do not sponsor. Our economic interest may include several securities and other investments from the same third-party VIE, and in those cases, the analysis is performed in consideration of all of our interests. The following table presents a summary of our interests in third-party VIEs at June 30, 2019 and December 31, 2018, grouped by asset type. Table 4.7 – Third-Party Sponsored VIE Summary
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. Our assessments of whether we are required to consolidate a VIE may change in subsequent reporting periods based upon changing facts and circumstances pertaining to each VIE. Any related accounting changes could result in a material impact to our financial statements.
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Summary of Significant Accounting Policies |
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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, 2018 is a summary of our significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the company’s consolidated financial position and results of operations for the three and six months ended June 30, 2019. Business Combinations We use the acquisition method of accounting for business combinations, under which the purchase price is allocated to the fair values of the assets acquired and liabilities assumed at the acquisition date. The excess of the purchase price over the amount allocated to the assets acquired and liabilities assumed is recorded as goodwill. Adjustments to the values of the assets acquired and liabilities assumed that could be made during the measurement period, which could be up to one year after the acquisition date, are recorded in the period in which the adjustment is identified, with a corresponding offset to goodwill. Any adjustments made after the measurement period are recorded in the consolidated statements of income. Acquisition-related costs are expensed as incurred. Goodwill and Intangible Assets Significant judgment is required to estimate the fair value of intangible assets and in assigning their estimated useful lives. Accordingly, we typically seek the assistance of independent third-party valuation specialists for significant intangible assets. The fair value estimates are based on available historical information and on future expectations and assumptions we deem reasonable. We generally use an income-based valuation method to estimate the fair value of intangible assets, which discounts expected future cash flows to present value using estimates and assumptions we deem reasonable. Determining the estimated useful lives of intangible assets also requires judgment. Our assessment as to which intangible assets are deemed to have finite or indefinite lives is based on several factors including economic barriers of entry for the acquired business, retention trends, and our operating plans, among other factors. Finite-lived intangible assets are amortized over their estimated useful lives on a straight-line basis and reviewed for impairment if indicators are present. Additionally, useful lives are evaluated each reporting period to determine if revisions to the remaining periods of amortization are warranted. Goodwill is tested for impairment annually or more frequently if indicators of impairment exist. We have elected to make the first day of our fiscal fourth quarter the annual impairment assessment date for goodwill. We first assess qualitative factors to determine whether it is more likely than not that the fair value is less than the carrying value. If, based on that assessment, we believe it is more likely than not that the fair value is less than the carrying value, then a two-step quantitative goodwill impairment test is performed. Loan Originations Our wholly-owned subsidiary, 5 Arches, originates business purpose residential loans, including single-family rental and residential bridge loans. Single-family rental loans are mortgage loans secured by 1-4 unit residential real estate with a mortgage loan borrower that owns the real estate as an investment property and rents the property to residential tenants. Residential bridge loans are mortgage loans generally secured by unoccupied residential real estate that the borrower owns as an investment and that is being renovated, rehabilitated or constructed. Single-family rental loans are classified as held-for-sale at fair value, as we have originated these loans with the intent to sell to third parties or transfer to securitization entities. Residential bridge loans are classified as held-for-investment at fair value, if we intend to hold these loans to maturity, or held-for-sale at fair value, if we intend to sell the loans to a third party. Contingent Consideration In relation to our acquisition of 5 Arches, we recorded contingent consideration liabilities that represent the estimated fair value (at the date of acquisition) of our obligation to make certain earn-out payments that are contingent on 5 Arches loan origination volumes exceeding certain specified thresholds. These liabilities are carried at fair value and periodic changes in their estimated fair value are recorded through Other income, net on our consolidated statements of income. The estimate of the fair value of contingent consideration requires significant judgment regarding assumptions about future operating results, discount rates, and probabilities of projected operating result scenarios. Leases Upon adoption of ASU 2016-02, "Leases," in the first quarter of 2019, we recorded a lease liability and right-of-use asset on our consolidated balance sheets. The lease liability is equal to the present value of our remaining lease payments discounted at our incremental borrowing rate and the right-of-use asset is equal to the lease liability adjusted for our deferred rent liability at the adoption of this accounting standard. As lease payments are made, the lease liability is reduced to the present value of the remaining lease payments and the right-of-use asset is reduced by the difference between the lease expense (straight-lined over the lease term) and the theoretical interest expense amount (calculated using the incremental borrowing rate). See Note 16 for further discussion on leases. Recent Accounting Pronouncements Newly Adopted Accounting Standards Updates ("ASUs") In February 2018, the FASB issued ASU 2018-02, "Income Statement - Reporting Comprehensive Income (Topic 220): Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income." This new guidance allows a reclassification from accumulated other comprehensive income ("AOCI") to retained earnings for stranded tax effects resulting from the Tax Cuts and Jobs Act of 2017 (the "Tax Act"). This new guidance is effective for fiscal years beginning after December 15, 2018. However, we did not elect to reclassify any income tax effects of the Tax Act from AOCI to retained earnings as we did not have any tax effects related to the Tax Act remaining in AOCI at December 31, 2018. Our policy is to release any stranded income tax effects from AOCI to income tax expense on an investment-by-investment basis. In August 2017, the FASB issued ASU 2017-12, "Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities." This new guidance amends previous guidance to better align an entity's risk management activities and financial reporting for hedging relationships through changes to both the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results. This new guidance is effective for fiscal years beginning after December 15, 2018. Additionally, in October 2018, the FASB issued ASU 2018-16, "Derivatives and Hedging (Topic 815): Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes," which permits the use of the OIS rate based on SOFR as a U.S. benchmark interest rate for hedge accounting purposes under Topic 815. The amendments in this update are required to be adopted concurrently with the amendments in ASU 2017-12. We adopted this guidance, as required, in the first quarter of 2019, which did not have a material impact on our consolidated financial statements. In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260); Distinguishing Liabilities from Equity (Topic 480); Derivatives and Hedging (Topic 815): (Part I) Accounting for Certain Financial Instruments with Down Round Features, (Part II) Replacement of the Indefinite Deferral for Mandatorily Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatorily Redeemable Noncontrolling Interests with a Scope Exception." This new guidance changes the classification analysis of certain equity-linked financial instruments (or embedded conversion options) with down round features. This new guidance is effective for fiscal years beginning after December 15, 2018. We adopted this guidance, as required, in the first quarter of 2019, which did not have a material impact on our consolidated financial statements. In March 2017, the FASB issued ASU 2017-08, "Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20)." This new guidance shortens the amortization period for certain callable debt securities purchased at a premium by requiring the premium to be amortized to the earliest call date. This new guidance is effective for fiscal years beginning after December 15, 2018. We adopted this guidance, as required, in the first quarter of 2019, which did not have a material impact on our consolidated financial statements. In February 2016, the FASB issued ASU 2016-02, "Leases." This new guidance requires lessees to recognize most leases on their balance sheet as a right-of-use asset and a lease liability. This new guidance retains a dual lease accounting model, which requires leases to be classified as either operating or capital leases for lessees, for purposes of income statement recognition. This new guidance is effective for fiscal years beginning after December 15, 2018. In July 2018, the FASB issued ASU 2018-10, "Codification Improvements to Topic 842, Leases," which provides more specific guidance on certain aspects of Topic 842. Additionally, in July 2018, the FASB issued ASU 2018-11, "Leases (Topic 842): Targeted Improvements." This new ASU introduces an additional transition method which allows entities to apply the new standard at the adoption date and recognize a cumulative-effect adjustment to the opening balance of retained earnings in the period of adoption. In March 2019, the FASB issued ASU 2019-01, "Leases (Topic 842): Codification Improvements," which is intended to clarify Codification guidance. We adopted this guidance, as required, in the first quarter of 2019, which did not have a material impact on our consolidated financial statements. We elected the package of practical expedients under the transition guidance within this standard, which allowed us to carry forward the classifications of each of our existing leases as operating leases. In connection with the adoption of this guidance, at June 30, 2019, our lease liability was $13 million, which represented the present value of our remaining lease payments discounted at our incremental borrowing rate and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. At June 30, 2019, our right-of-use asset was $12 million, which was equal to the lease liability adjusted for our deferred rent liability at adoption and was recorded in Other assets on our consolidated balance sheets. We will continue to record lease expense on a straight-line basis and have included required lease disclosures within Note 16. Other Recent Accounting Pronouncements In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement." This new guidance amends previous guidance by removing and modifying certain existing fair value disclosure requirements, while adding other new disclosure requirements. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted and entities may elect to early adopt the removal or modification of disclosures immediately and delay adoption of the new disclosure requirements until their effective date. 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 July 2018, the FASB issued ASU 2018-09, "Codification Improvements." This new guidance is intended to clarify, correct, and make minor improvements to the FASB Accounting Standards Codification. The transition and effective dates are based on the facts and circumstances of each amendment, with some amendments becoming effective upon issuance of this ASU and others becoming effective for annual periods beginning after December 15, 2018. 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 January 2017, the FASB issued ASU 2017-04, "Intangibles - Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment." This new guidance simplifies the subsequent measurement of goodwill by eliminating Step 2 from the goodwill impairment test. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for interim and annual goodwill impairment tests performed on testing dates after January 1, 2017. 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 June 2016, the FASB issued ASU 2016-13, "Financial Instruments - Credit Losses." This new guidance provides a new impairment model that is based on expected losses rather than incurred losses to determine the allowance for credit losses. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for fiscal years beginning after December 15, 2018. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses," which clarifies the scope of the amendments in ASU 2016-13. In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments," which is intended to clarify this guidance. Additionally, in May 2019, the FASB issued ASU 2019-05, "Financial Instruments - Credit Losses (Topic 326): Targeted Transition Relief," which provides an option to irrevocably elect the fair value option for certain financial assets previously measured at amortized cost. We currently have only a small balance of loans receivable that are not carried at fair value and would be subject to this new guidance for allowance for credit losses. Separately, we account for our available-for-sale securities under the other-than-temporary impairment ("OTTI") model for debt securities. This new guidance requires that credit impairments on our available-for-sale securities be recorded in earnings using an allowance for credit losses, with the allowance limited to the amount by which the security's fair value is less than its amortized cost basis. Subsequent reversals in credit loss estimates are recognized in income. We plan to adopt this new guidance by the required date and do not anticipate that these updates will have a material impact on our consolidated financial statements as nearly all of our financial instruments are carried at fair value and changes in fair values of these instruments are recorded on our consolidated statements of income in the period in which the valuation change occurs. We will continue evaluating these new standards and caution that any changes in our business or additional amendments to these standards could change our initial assessment. Balance Sheet Netting Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at June 30, 2019 and December 31, 2018. Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | Fair Value of Financial Instruments For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at June 30, 2019 and December 31, 2018. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities
During the three and six months ended June 30, 2019, we elected the fair value option for $2 million and $34 million of residential senior securities, respectively, $86 million and $206 million of subordinate securities, respectively, $1.53 billion and $2.53 billion of residential loans (principal balance), respectively, $112 million and $177 million of business purpose residential loans (principal balance), respectively, zero and $69 million of servicer advance investments, respectively, and $5 million and $7 million of excess MSRs, respectively. We anticipate electing the fair value option for all future purchases of residential and business purpose residential loans that we intend to sell to third parties or transfer to securitizations, as well as for certain securities we purchase, including IO securities and fixed-rate securities rated investment grade or higher. The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at June 30, 2019 and December 31, 2018, 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
The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2019. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued)
The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at June 30, 2019 and 2018. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and six months ended June 30, 2019 and 2018 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2019 and 2018 Included in Net Income
The following table presents information on assets recorded at fair value on a non-recurring basis at June 30, 2019. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at June 30, 2019. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at June 30, 2019
The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three and six months ended June 30, 2019 and 2018. Table 5.6 – Market Valuation Gains and Losses, Net
At June 30, 2019, 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, 2018. 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
Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued)
Determination of Fair Value A description of the instruments measured at fair value as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy is listed herein. We generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets and liabilities. Use of these techniques requires determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding table. Accordingly, a significant increase or decrease in any of these inputs – such as anticipated credit losses, prepayment rates, interest rates, or other valuation assumptions – in isolation would likely result in a significantly lower or higher fair value measurement. Residential loans at Redwood Estimated fair values for residential loans are determined using models that incorporate various observable inputs, including pricing information from whole loan sales and securitizations. Certain significant inputs in these models are considered unobservable and are therefore Level 3 in nature. Pricing inputs obtained from market whole loan transaction activity include indicative spreads to indexed to be announced ("TBA") prices and indexed swap rates for fixed-rate loans and indexed swap rates for hybrid loans (Level 3). Pricing inputs obtained from market securitization activity include indicative spreads to indexed TBA prices for senior residential mortgage-backed securities ("RMBS") and indexed swap rates for subordinate RMBS, and credit support levels (Level 3). Other unobservable inputs also include assumed future prepayment rates. Observable inputs include benchmark interest rates, swap rates, and TBA prices. These assets would generally decrease in value based upon an increase in the credit spread, prepayment speed, or credit support assumptions. Residential and multifamily loans at consolidated entities We have elected to account for our consolidated securitization entities as CFEs in accordance with GAAP. A CFE is a variable interest entity that holds financial assets and issues beneficial interests in those assets, and these beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allow companies to elect to measure both the financial assets and financial liabilities of a CFE using the more observable of the fair value of the financial assets or fair value of the financial liabilities. Pursuant to this guidance, we use the fair value of the ABS issued by the CFEs (which we determined to be more observable) to determine the fair value of the loans held at these entities, whereby the net assets we consolidate in our financial statements related to these entities represent the estimated fair value of our retained interests in the CFEs. Business purpose residential loans Business purpose residential loans include single-family rental loans and residential bridge loans that are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. Prices for our single-family rental loans are determined using market comparable information. Significant inputs obtained from market activity include indicative spreads to indexed swap rates for senior and subordinate mortgage-backed securities ("MBS"), IO MBS discount rates, senior credit support levels, and assumed future prepayment rates (Level 3). These assets would generally decrease in value based upon an increase in the credit spread or prepayment speed assumptions. Prices for our residential bridge loans are determined using discounted cash flow modeling, which incorporates a primary significant unobservable input of discount rate. These assets would generally decrease in value based upon an increase in the discount rate. Real estate securities Real estate securities include residential, multifamily, and other mortgage-backed securities that are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis are predominantly Level 3 in nature, due to the lack of readily available market quotes and related inputs. For real estate securities, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Relevant market indicators that are factored into the analysis include bid/ask spreads, the amount and timing of credit losses, interest rates, and collateral prepayment rates. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). These cash flow models use significant unobservable inputs such as a discount rate, prepayment rate, default rate and loss severity. The estimated fair value of our securities would generally decrease based upon an increase in discount rate, default rates, loss severities, or a decrease in prepayment rates. As part of our securities valuation process, we request and consider indications of value from third-party securities dealers. For purposes of pricing our securities at June 30, 2019, we received dealer price indications on 88% of our securities, representing 96% of our carrying value. In the aggregate, our internal valuations of the securities for which we received dealer price indications were within 1% of the aggregate average dealer valuations. Once we receive the price indications from dealers, they are compared to other relevant market inputs, such as actual or comparable trades, and the results of our discounted cash flow analysis. In circumstances where relevant market inputs cannot be obtained, increased reliance on discounted cash flow analysis and management judgment are required to estimate fair value. Derivative assets and liabilities Our derivative instruments include swaps, swaptions, TBAs, loan purchase commitments ("LPCs"), and forward sale commitments ("FSCs"). Fair values of derivative instruments are determined using quoted prices from active markets, when available, or from valuation models and are supported by valuations provided by dealers active in derivative markets. Fair values of TBAs and financial futures are generally obtained using quoted prices from active markets (Level 1). Our derivative valuation models for swaps and swaptions require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates, and correlations of certain inputs. Model inputs can generally be verified and model selection does not involve significant management judgment (Level 2). LPC and FSC fair values for residential jumbo and single-family rental loans are estimated based on the estimated fair values of the underlying loans (as described in "Residential loans at Redwood" and "Business purpose residential loans" above). In addition, fair values for LPCs are estimated based on the probability that the mortgage loan will be purchased (the "Pull-through rate") (Level 3). For other derivatives, valuations are based on various factors such as liquidity, bid/ask spreads, and credit considerations for which we rely on available market inputs. In the absence of such inputs, management’s best estimate is used (Level 3). Servicer advance investments Estimated fair values for servicer advance investments are determined through internal pricing models that estimate future cash flows and utilize certain significant inputs that are considered unobservable and are therefore Level 3 in nature. Our estimations of cash flows include the combined cash flows of all of the components that comprise the servicer advance investments: existing advances, the requirement to purchase future advances, the recovery of advances, and the right to a portion of the associated mortgage servicing fee ("mortgage servicing income"). The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included prepayment rate (of the loans underlying the investments), mortgage servicing income, servicer advance WAL (the weighted-average expected remaining life of servicer advances), and discount rate. These assets would generally decrease in value based upon an increase in prepayment rates, an increase in servicer advance WAL, or an increase in discount rate, or a decrease in mortgage servicing income. MSRs MSRs include the rights to service jumbo and conforming residential mortgage loans. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. Changes in the fair value of MSRs occur primarily due to the collection/realization of expected cash flows, as well as changes in valuation inputs and assumptions. Estimated fair values are based on applying the inputs to generate the net present value of estimated future MSR income (Level 3). These discounted cash flow models utilize certain significant unobservable inputs including market discount rates, assumed future prepayment rates of serviced loans, and the market cost of servicing. An increase in these unobservable inputs would generally reduce the estimated fair value of the MSRs. As part of our MSR valuation process, we received a valuation estimate from a third-party valuations firm. In the aggregate, our internal valuation of the MSRs were within 2% of the third-party valuation. Excess MSRs Estimated fair values for excess MSRs are determined through internal pricing models that estimate future cash flows and utilize certain significant inputs that are considered unobservable and are therefore Level 3 in nature. The valuation technique is based on discounted cash flows. Significant inputs used in the valuations included prepayment rate (of the loans underlying the investments), the amount of excess servicing income expected to be received ("excess mortgage servicing income"), and discount rate. These assets would generally decrease in value based upon an increase in prepayment rates or discount rate, or a decrease in excess mortgage servicing income. FHLBC stock Our Federal Home Loan Bank ("FHLB") member subsidiary is required to purchase Federal Home Loan Bank of Chicago ("FHLBC") stock under a borrowing agreement between our FHLB-member subsidiary and the FHLBC. Under this agreement, the stock is redeemable at face value, which represents the carrying value and fair value of the stock (Level 2). Guarantee asset The guarantee asset represents the estimated fair value of cash flows we are contractually entitled to receive related to a risk-sharing arrangement with Fannie Mae. Significant inputs in the valuation analysis are Level 3, due to the nature of this asset and the lack of market quotes. The fair value of the guarantee asset is determined using a discounted cash flow model, for which significant unobservable inputs include assumed future prepayment rates and market discount rate (Level 3). An increase in prepayment rates or discount rate would generally reduce the estimated fair value of the guarantee asset. Pledged collateral Pledged collateral consists of cash and U.S. Treasury securities held by a custodian in association with certain agreements we have entered into. Treasury securities are carried at their fair value, which is determined using quoted prices in active markets (Level 1). Cash and cash equivalents Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. Fair values equal carrying values (Level 1). Restricted cash Restricted cash primarily includes interest-earning cash balances related to risk-sharing transactions with the Agencies, cash held in association with borrowings from the FHLBC, cash held at Servicing Investment entities, and cash held at consolidated Sequoia entities for the purpose of distribution to investors and reinvestment. Due to the short-term nature of the restrictions, fair values approximate carrying values (Level 1). Accrued interest receivable and payable Accrued interest receivable and payable includes interest due on our assets and payable on our liabilities. Due to the short-term nature of when these interest payments will be received or paid, fair values approximate carrying values (Level 1). Real estate owned Real estate owned ("REO") includes properties owned in satisfaction of foreclosed loans. Fair values are determined using available market quotes, appraisals, broker price opinions, comparable properties, or other indications of value (Level 3). Margin receivable Margin receivable reflects cash collateral we have posted with our various derivative and debt counterparties as required to satisfy margin requirements. Fair values approximate carrying values (Level 2). Contingent consideration Contingent consideration is related to our acquisition of 5 Arches and is estimated and recorded at fair value as part of purchase consideration. Each reporting period we estimate the change in fair value of the contingent consideration, and such change is recognized in our consolidated statements of income, unless it is determined to be a measurement period adjustment. The estimate of the fair value of contingent consideration requires significant judgment and assumptions to be made about future operating results, discount rates, and probabilities of projected operating result scenarios (Level 3). Short-term debt Short-term debt includes our credit facilities for residential and business purpose residential loans and real estate securities as well as non-recourse short-term borrowings used to finance servicer advance investments. As these borrowings are secured and subject to margin calls and as the rates on these borrowings reset frequently to market rates, we believe that carrying values approximate fair values (Level 2). ABS issued ABS issued includes asset-backed securities issued through the Legacy Sequoia and Sequoia Choice securitization entities, as well as securities issued by certain third-party Freddie Mac SLST and K-series securitization entities which we consolidate. These instruments are generally illiquid in nature and trade infrequently. Significant inputs in the valuation analysis are predominantly Level 3, due to the nature of these instruments and the lack of readily available market quotes. For ABS issued, we utilize both market comparable pricing and discounted cash flow analysis valuation techniques. Relevant market indicators factored into the analysis include bid/ask spreads, the amount and timing of collateral credit losses, interest rates, and collateral prepayment rates. Estimated fair values are based on applying the market indicators to generate discounted cash flows (Level 3). These cash flow models use significant unobservable inputs such as a discount rates, prepayment rate, default rate, loss severity and credit support. A decrease in credit losses or discount rate, or an increase in prepayment rates, would generally cause the fair value of the ABS issued to decrease (i.e., become a larger liability). FHLBC borrowings FHLBC borrowings include amounts borrowed from the FHLBC that are secured, generally by residential mortgage loans. As these borrowings are secured and subject to margin calls and as the rates on these borrowings reset frequently to market rates, we believe that carrying values approximate fair values (Level 2). Financial Instruments Carried at Amortized Cost Participation in loan warehouse facility Our participation in a loan warehouse facility was carried at amortized cost (Level 2). Guarantee obligations In association with our risk-sharing transactions with the Agencies, we have made certain guarantees which are carried on our balance sheet at amortized cost (Level 3). Convertible notes Convertible notes include unsecured convertible and exchangeable senior notes that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. The fair value of the convertible notes is determined using quoted prices in generally active markets (Level 2). Trust preferred securities and subordinated notes Trust preferred securities and subordinated notes are carried at their unpaid principal balance net of any unamortized deferred issuance costs (Level 3).
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Residential Loans |
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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 entities at June 30, 2019 and December 31, 2018. Table 6.1 – Classifications and Carrying Values of Residential Loans
At June 30, 2019, we owned mortgage servicing rights associated with $2.65 billion (principal balance) of consolidated residential loans purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At June 30, 2019, we owned 1,417 loans held-for-sale at fair value with an aggregate unpaid principal balance of $1.03 billion and a fair value of $1.06 billion, compared to 1,484 loans with an aggregate unpaid principal balance of $1.03 billion and a fair value of $1.05 billion at December 31, 2018. At both June 30, 2019 and December 31, 2018, one of these loans with a fair value of $0.6 million was greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we purchased $1.53 billion and $2.49 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $1.23 billion and $2.39 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $3 million and $7 million, respectively, through Mortgage banking activities, net on our consolidated statements of income. At June 30, 2019, loans held-for-sale with a market value of $712 million were pledged as collateral under short-term borrowing agreements. During the three and six months ended June 30, 2018, we purchased $1.93 billion and $3.73 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $1.92 billion and $3.93 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $6 million and $11 million, respectively, through Mortgage banking activities, net on our consolidated statements of income. At Lower of Cost or Fair Value At both June 30, 2019 and December 31, 2018, we held two residential loans at the lower of cost or fair value with $0.1 million in outstanding principal balance and carrying values of $0.1 million. At both June 30, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure. Residential Loans Held-for-Investment at Fair Value At Redwood At June 30, 2019, we owned 3,262 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.32 billion and a fair value of $2.39 billion, compared to 3,296 loans with an aggregate unpaid principal balance of $2.39 billion and a fair value of $2.38 billion at December 31, 2018. At June 30, 2019, two of these loans with an aggregate fair value of $1 million were greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2018, two of these loans with an aggregate fair value of $1 million were greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we purchased zero and $39 million (principal balance) of loans, respectively, for which we elected the fair value option, and did not sell any loans. During the three and six months ended June 30, 2019, we transferred loans with a fair value of $30 million and $69 million, respectively, from held-for-sale to held-for-investment. During the three and six months ended June 30, 2019, we transferred loans with a fair value of zero and $23 million, respectively, from held-for-investment to held-for-sale. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $36 million and $64 million, respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. At June 30, 2019, loans with a fair value of $2.39 billion were pledged as collateral under a borrowing agreement with the FHLBC. During the three and six months ended June 30, 2018, we transferred loans with a fair value of $32 million and $88 million, respectively, from held-for-sale to held-for-investment. During both the three and six months ended June 30, 2018, we did not transfer any loans from held-for-investment to held-for-sale. During the three and six months ended June 30, 2018, we recorded net market valuation losses of $15 million and $54 million, respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. The outstanding loans held-for-investment at Redwood at June 30, 2019 were prime-quality, first lien loans, of which 90% were originated between 2013 and 2019, and 1% were originated in 2012 and prior years. The weighted average Fair Isaac Corporation ("FICO") score of borrowers backing these loans was 768 (at origination) and the weighted average loan-to-value ("LTV") ratio of these loans was 66% (at origination). At June 30, 2019, these loans were comprised of 88% fixed-rate loans with a weighted average coupon of 4.16%, and the remainder were hybrid or ARM loans with a weighted average coupon of 4.20%. At Consolidated Legacy Sequoia Entities At June 30, 2019, we consolidated 2,400 held-for-investment loans at consolidated Legacy Sequoia entities, with an aggregate unpaid principal balance of $475 million and a fair value of $458 million, as compared to 2,641 loans at December 31, 2018, with an aggregate unpaid principal balance of $545 million and a fair value of $520 million. At origination, the weighted average FICO score of borrowers backing these loans was 727, the weighted average LTV ratio of these loans was 66%, and the loans were nearly all first lien and prime-quality. At June 30, 2019 and December 31, 2018, the aggregate unpaid principal balance of loans at consolidated Legacy Sequoia entities delinquent greater than 90 days was $13 million and $14 million, respectively, of which the aggregate unpaid principal balance of loans in foreclosure was $5 million and $5 million, respectively. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $1 million and $5 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. During the three and six months ended June 30, 2018, we recorded net market valuation gains of $4 million and $33 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the associated ABS issued. The net impact to our income statement associated with our retained economic investment in the Legacy Sequoia securitization entities is presented in Note 5. At Consolidated Sequoia Choice Entities At June 30, 2019, we consolidated 2,912 held-for-investment loans at the consolidated Sequoia Choice entities, with an aggregate unpaid principal balance of $2.08 billion and a fair value of $2.15 billion, as compared to 2,800 loans at December 31, 2018 with an aggregate unpaid principal balance of $2.04 billion and a fair value of $2.08 billion. At origination, the weighted average FICO score of borrowers backing these loans was 745, the weighted average LTV ratio of these loans was 75%, and the loans were all first lien and prime-quality. At June 30, 2019, six of these loans with an aggregate unpaid principal balance of $3 million were greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2018, three of these loans with an aggregate unpaid principal balance of $2 million were greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we transferred loans with a fair value of zero and $350 million, respectively, from held-for-sale to held-for-investment associated with Choice securitizations. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $6 million and $16 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with Choice securitizations. The net impact to our income statement associated with our retained economic investment in the Sequoia Choice securitization entities is presented in Note 5. At Consolidated Freddie Mac SLST Entity During the fourth quarter of 2018, we invested in subordinate securities issued by a Freddie Mac SLST securitization trust and were required to consolidate the underlying seasoned re-performing and non-performing residential loans owned at this entity for financial reporting purposes in accordance with GAAP. At securitization, which occurred during the fourth quarter of 2018, each of these mortgage loans was a fully amortizing, fixed- or step-rate, first-lien loan that had been modified. At June 30, 2019, we consolidated 7,744 held-for-investment loans at the consolidated Freddie Mac SLST entity, with an aggregate unpaid principal balance of $1.27 billion and a fair value of $1.24 billion, compared to 7,900 loans at December 31, 2018 with an aggregate unpaid principal balance of $1.31 billion and a fair value of $1.22 billion. At securitization, the weighted average FICO score of borrowers backing these loans was 597 and the weighted average LTV ratio of these loans was 69%. At June 30, 2019, 301 of these loans with an aggregate unpaid principal balance of $78 million were greater than 90 days delinquent, and 101 of these loans with an aggregate unpaid principal balance of $15 million were in foreclosure. At December 31, 2018, 306 of these loans with an aggregate unpaid principal balance of $51 million were greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $31 million and $55 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the Freddie Mac SLST securitization. The net impact to our income statement associated with our economic investment in the Freddie Mac SLST securitization entity is presented in Note 5.Business Purpose Residential LoansWe originate business purpose residential loans, including single-family rental loans and residential bridge loans. This origination activity commenced in connection with our acquisition of 5 Arches on March 1, 2019. Business Purpose Residential Loan Originations During the three months ended June 30, 2019, we funded $134 million of business purpose residential loans, of which $23 million of residential bridge loans were sold to a third party. During the period from March 1, 2019 to June 30, 2019, we funded $170 million of business purpose residential loans, of which $44 million of residential bridge loans were sold to a third party. The remaining business purpose residential loans were transferred to our investment portfolio (residential bridge loans), or retained in our mortgage banking business (single-family rental loans). Prior to the transfer of residential bridge loans to our investment portfolio, we recorded net market valuation gains of $1 million on these loans through Mortgage banking activities, net on our consolidated statements of income for both the three months ended June 30, 2019 and for the period from March 1, 2019 to June 30, 2019. Market valuation adjustments on our single-family rental loans are also recorded in Mortgage banking activities, net on our consolidated statements of income. Additionally, during both the three months ended June 30, 2019 and during the period from March 1, 2019 to June 30, 2019, we recorded loan origination fee income of $3 million through Mortgage banking activities, net on our consolidated statements of income. The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at June 30, 2019 and December 31, 2018. Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans
Single-Family Rental Loans Held-for-Sale at Fair Value At June 30, 2019, we owned 43 single-family rental loans with an aggregate unpaid principal balance of $87 million and a fair value of $92 million, compared to 11 loans at December 31, 2018 with an aggregate unpaid principal balance of $28 million and a fair value of $28 million. At both June 30, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended June 30, 2019 and for the period from March 1, 2019 to June 30, 2019, $33 million and $41 million of newly originated single-family rental loans, respectively, were retained in our mortgage banking business, and we did not sell any loans during either of these periods. Prior to our acquisition of 5 Arches on March 1, 2019, we purchased $19 million of single-family rental loans from 5 Arches. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $1 million and $2 million, respectively, on single-family rental loans held-for-sale at fair value through Mortgage banking activities, net on our consolidated statements of income. At June 30, 2019, loans held-for-sale with a market value of $71 million were pledged as collateral under short-term borrowing agreements. The outstanding single-family rental loans held-for-sale at June 30, 2019 were first lien, fixed-rate loans with maturities of five, seven, or ten years. At June 30, 2019, the weighted average coupon of our single-family rental loans was 5.54% and the weighted average loan term was six years. At origination, the weighted average LTV ratio of these loans was 66% and the weighted average debt service coverage ratio ("DSCR") was 1.33 times. Residential Bridge Loans Held-for-Investment at Fair Value At June 30, 2019, we owned 274 residential bridge loans held-for-investment with an aggregate unpaid principal balance of $158 million and a fair value of $159 million, compared to 157 loans at December 31, 2018 with an aggregate unpaid principal balance of $112 million and a fair value of $113 million. As part of our credit risk management practices, our residential bridge loans are subject to individual risk assessment using an internal borrower and collateral quality evaluation framework. At June 30, 2019, 11 loans with an aggregate fair value of $12 million were greater than 90 days delinquent, and nine of these loans with an aggregate fair value of $7 million were in foreclosure. At December 31, 2018, seven loans with an aggregate fair value of $12 million were greater than 90 days delinquent and four of these loans with an aggregate fair value of $11 million were in foreclosure. During the six months ended June 30, 2019, we transferred one loan with a fair value of $5 million to REO, which is included in Other assets on our consolidated balance sheets. We recognized losses of $0.1 million and $0.4 million related to this loan for the three and six months ended June 30, 2019, respectively, which was included in Investment fair value changes, net on our consolidated statements of income. During the three months ended June 30, 2019 and for the period from March 1, 2019 to June 30, 2019, $79 million and $86 million of newly originated residential bridge loans, respectively, were transferred to our investment portfolio. Prior to our acquisition of 5 Arches on March 1, 2019, we purchased $10 million of residential bridge loans from 5 Arches. During the three and six months ended June 30, 2019, we recorded net market valuation losses of $0.3 million and $0.6 million, respectively, on residential bridge loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. At June 30, 2019, loans with a market value of $144 million were pledged as collateral under short-term borrowing agreements. The outstanding residential bridge loans held-for-investment at June 30, 2019 were first lien, fixed-rate, interest-only loans with a weighted average coupon of 9.08% and original maturities of six to 24 months. At origination, the weighted average FICO score of borrowers backing these loans was 690 and the weighted average LTV ratio of these loans was 74%. At June 30, 2019, we had a $33 million commitment to fund residential bridge loans. See Note 16 for additional information on this commitment. Multifamily LoansBeginning in the second half of 2018, we invested in multifamily subordinate securities issued by certain Freddie Mac K-Series securitization trusts and were required to consolidate the underlying multifamily loans owned at these entities for financial reporting purposes in accordance with GAAP. At June 30, 2019, we consolidated 250 held-for-investment multifamily loans, with an aggregate unpaid principal balance of $3.55 billion and a fair value of $3.75 billion, compared to 162 loans at December 31, 2018 with an aggregate unpaid principal balance of $2.13 billion and a fair value of $2.14 billion. The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at June 30, 2019 were first lien, fixed-rate loans that were originated between 2015 and 2017 and had original loan terms of seven to ten years and an original weighted average LTV ratio of 69%. At June 30, 2019, the weighted average coupon of these multifamily loans was 4.19% and the weighted average remaining loan term was six years. At both June 30, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $97 million and $131 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the securitizations. The net impact to our income statement associated with our economic investment in the securities of the Freddie Mac K-Series securitization entities is presented in Note 5.
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Business Purpose Residential Loans | Residential Loans We acquire residential loans from third-party originators and may sell or securitize these loans or hold them for investment. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at June 30, 2019 and December 31, 2018. Table 6.1 – Classifications and Carrying Values of Residential Loans
At June 30, 2019, we owned mortgage servicing rights associated with $2.65 billion (principal balance) of consolidated residential loans purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At June 30, 2019, we owned 1,417 loans held-for-sale at fair value with an aggregate unpaid principal balance of $1.03 billion and a fair value of $1.06 billion, compared to 1,484 loans with an aggregate unpaid principal balance of $1.03 billion and a fair value of $1.05 billion at December 31, 2018. At both June 30, 2019 and December 31, 2018, one of these loans with a fair value of $0.6 million was greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we purchased $1.53 billion and $2.49 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $1.23 billion and $2.39 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $3 million and $7 million, respectively, through Mortgage banking activities, net on our consolidated statements of income. At June 30, 2019, loans held-for-sale with a market value of $712 million were pledged as collateral under short-term borrowing agreements. During the three and six months ended June 30, 2018, we purchased $1.93 billion and $3.73 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $1.92 billion and $3.93 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $6 million and $11 million, respectively, through Mortgage banking activities, net on our consolidated statements of income. At Lower of Cost or Fair Value At both June 30, 2019 and December 31, 2018, we held two residential loans at the lower of cost or fair value with $0.1 million in outstanding principal balance and carrying values of $0.1 million. At both June 30, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure. Residential Loans Held-for-Investment at Fair Value At Redwood At June 30, 2019, we owned 3,262 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.32 billion and a fair value of $2.39 billion, compared to 3,296 loans with an aggregate unpaid principal balance of $2.39 billion and a fair value of $2.38 billion at December 31, 2018. At June 30, 2019, two of these loans with an aggregate fair value of $1 million were greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2018, two of these loans with an aggregate fair value of $1 million were greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we purchased zero and $39 million (principal balance) of loans, respectively, for which we elected the fair value option, and did not sell any loans. During the three and six months ended June 30, 2019, we transferred loans with a fair value of $30 million and $69 million, respectively, from held-for-sale to held-for-investment. During the three and six months ended June 30, 2019, we transferred loans with a fair value of zero and $23 million, respectively, from held-for-investment to held-for-sale. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $36 million and $64 million, respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. At June 30, 2019, loans with a fair value of $2.39 billion were pledged as collateral under a borrowing agreement with the FHLBC. During the three and six months ended June 30, 2018, we transferred loans with a fair value of $32 million and $88 million, respectively, from held-for-sale to held-for-investment. During both the three and six months ended June 30, 2018, we did not transfer any loans from held-for-investment to held-for-sale. During the three and six months ended June 30, 2018, we recorded net market valuation losses of $15 million and $54 million, respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. The outstanding loans held-for-investment at Redwood at June 30, 2019 were prime-quality, first lien loans, of which 90% were originated between 2013 and 2019, and 1% were originated in 2012 and prior years. The weighted average Fair Isaac Corporation ("FICO") score of borrowers backing these loans was 768 (at origination) and the weighted average loan-to-value ("LTV") ratio of these loans was 66% (at origination). At June 30, 2019, these loans were comprised of 88% fixed-rate loans with a weighted average coupon of 4.16%, and the remainder were hybrid or ARM loans with a weighted average coupon of 4.20%. At Consolidated Legacy Sequoia Entities At June 30, 2019, we consolidated 2,400 held-for-investment loans at consolidated Legacy Sequoia entities, with an aggregate unpaid principal balance of $475 million and a fair value of $458 million, as compared to 2,641 loans at December 31, 2018, with an aggregate unpaid principal balance of $545 million and a fair value of $520 million. At origination, the weighted average FICO score of borrowers backing these loans was 727, the weighted average LTV ratio of these loans was 66%, and the loans were nearly all first lien and prime-quality. At June 30, 2019 and December 31, 2018, the aggregate unpaid principal balance of loans at consolidated Legacy Sequoia entities delinquent greater than 90 days was $13 million and $14 million, respectively, of which the aggregate unpaid principal balance of loans in foreclosure was $5 million and $5 million, respectively. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $1 million and $5 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. During the three and six months ended June 30, 2018, we recorded net market valuation gains of $4 million and $33 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the associated ABS issued. The net impact to our income statement associated with our retained economic investment in the Legacy Sequoia securitization entities is presented in Note 5. At Consolidated Sequoia Choice Entities At June 30, 2019, we consolidated 2,912 held-for-investment loans at the consolidated Sequoia Choice entities, with an aggregate unpaid principal balance of $2.08 billion and a fair value of $2.15 billion, as compared to 2,800 loans at December 31, 2018 with an aggregate unpaid principal balance of $2.04 billion and a fair value of $2.08 billion. At origination, the weighted average FICO score of borrowers backing these loans was 745, the weighted average LTV ratio of these loans was 75%, and the loans were all first lien and prime-quality. At June 30, 2019, six of these loans with an aggregate unpaid principal balance of $3 million were greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2018, three of these loans with an aggregate unpaid principal balance of $2 million were greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we transferred loans with a fair value of zero and $350 million, respectively, from held-for-sale to held-for-investment associated with Choice securitizations. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $6 million and $16 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with Choice securitizations. The net impact to our income statement associated with our retained economic investment in the Sequoia Choice securitization entities is presented in Note 5. At Consolidated Freddie Mac SLST Entity During the fourth quarter of 2018, we invested in subordinate securities issued by a Freddie Mac SLST securitization trust and were required to consolidate the underlying seasoned re-performing and non-performing residential loans owned at this entity for financial reporting purposes in accordance with GAAP. At securitization, which occurred during the fourth quarter of 2018, each of these mortgage loans was a fully amortizing, fixed- or step-rate, first-lien loan that had been modified. At June 30, 2019, we consolidated 7,744 held-for-investment loans at the consolidated Freddie Mac SLST entity, with an aggregate unpaid principal balance of $1.27 billion and a fair value of $1.24 billion, compared to 7,900 loans at December 31, 2018 with an aggregate unpaid principal balance of $1.31 billion and a fair value of $1.22 billion. At securitization, the weighted average FICO score of borrowers backing these loans was 597 and the weighted average LTV ratio of these loans was 69%. At June 30, 2019, 301 of these loans with an aggregate unpaid principal balance of $78 million were greater than 90 days delinquent, and 101 of these loans with an aggregate unpaid principal balance of $15 million were in foreclosure. At December 31, 2018, 306 of these loans with an aggregate unpaid principal balance of $51 million were greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $31 million and $55 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the Freddie Mac SLST securitization. The net impact to our income statement associated with our economic investment in the Freddie Mac SLST securitization entity is presented in Note 5.Business Purpose Residential LoansWe originate business purpose residential loans, including single-family rental loans and residential bridge loans. This origination activity commenced in connection with our acquisition of 5 Arches on March 1, 2019. Business Purpose Residential Loan Originations During the three months ended June 30, 2019, we funded $134 million of business purpose residential loans, of which $23 million of residential bridge loans were sold to a third party. During the period from March 1, 2019 to June 30, 2019, we funded $170 million of business purpose residential loans, of which $44 million of residential bridge loans were sold to a third party. The remaining business purpose residential loans were transferred to our investment portfolio (residential bridge loans), or retained in our mortgage banking business (single-family rental loans). Prior to the transfer of residential bridge loans to our investment portfolio, we recorded net market valuation gains of $1 million on these loans through Mortgage banking activities, net on our consolidated statements of income for both the three months ended June 30, 2019 and for the period from March 1, 2019 to June 30, 2019. Market valuation adjustments on our single-family rental loans are also recorded in Mortgage banking activities, net on our consolidated statements of income. Additionally, during both the three months ended June 30, 2019 and during the period from March 1, 2019 to June 30, 2019, we recorded loan origination fee income of $3 million through Mortgage banking activities, net on our consolidated statements of income. The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at June 30, 2019 and December 31, 2018. Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans
Single-Family Rental Loans Held-for-Sale at Fair Value At June 30, 2019, we owned 43 single-family rental loans with an aggregate unpaid principal balance of $87 million and a fair value of $92 million, compared to 11 loans at December 31, 2018 with an aggregate unpaid principal balance of $28 million and a fair value of $28 million. At both June 30, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended June 30, 2019 and for the period from March 1, 2019 to June 30, 2019, $33 million and $41 million of newly originated single-family rental loans, respectively, were retained in our mortgage banking business, and we did not sell any loans during either of these periods. Prior to our acquisition of 5 Arches on March 1, 2019, we purchased $19 million of single-family rental loans from 5 Arches. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $1 million and $2 million, respectively, on single-family rental loans held-for-sale at fair value through Mortgage banking activities, net on our consolidated statements of income. At June 30, 2019, loans held-for-sale with a market value of $71 million were pledged as collateral under short-term borrowing agreements. The outstanding single-family rental loans held-for-sale at June 30, 2019 were first lien, fixed-rate loans with maturities of five, seven, or ten years. At June 30, 2019, the weighted average coupon of our single-family rental loans was 5.54% and the weighted average loan term was six years. At origination, the weighted average LTV ratio of these loans was 66% and the weighted average debt service coverage ratio ("DSCR") was 1.33 times. Residential Bridge Loans Held-for-Investment at Fair Value At June 30, 2019, we owned 274 residential bridge loans held-for-investment with an aggregate unpaid principal balance of $158 million and a fair value of $159 million, compared to 157 loans at December 31, 2018 with an aggregate unpaid principal balance of $112 million and a fair value of $113 million. As part of our credit risk management practices, our residential bridge loans are subject to individual risk assessment using an internal borrower and collateral quality evaluation framework. At June 30, 2019, 11 loans with an aggregate fair value of $12 million were greater than 90 days delinquent, and nine of these loans with an aggregate fair value of $7 million were in foreclosure. At December 31, 2018, seven loans with an aggregate fair value of $12 million were greater than 90 days delinquent and four of these loans with an aggregate fair value of $11 million were in foreclosure. During the six months ended June 30, 2019, we transferred one loan with a fair value of $5 million to REO, which is included in Other assets on our consolidated balance sheets. We recognized losses of $0.1 million and $0.4 million related to this loan for the three and six months ended June 30, 2019, respectively, which was included in Investment fair value changes, net on our consolidated statements of income. During the three months ended June 30, 2019 and for the period from March 1, 2019 to June 30, 2019, $79 million and $86 million of newly originated residential bridge loans, respectively, were transferred to our investment portfolio. Prior to our acquisition of 5 Arches on March 1, 2019, we purchased $10 million of residential bridge loans from 5 Arches. During the three and six months ended June 30, 2019, we recorded net market valuation losses of $0.3 million and $0.6 million, respectively, on residential bridge loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. At June 30, 2019, loans with a market value of $144 million were pledged as collateral under short-term borrowing agreements. The outstanding residential bridge loans held-for-investment at June 30, 2019 were first lien, fixed-rate, interest-only loans with a weighted average coupon of 9.08% and original maturities of six to 24 months. At origination, the weighted average FICO score of borrowers backing these loans was 690 and the weighted average LTV ratio of these loans was 74%. At June 30, 2019, we had a $33 million commitment to fund residential bridge loans. See Note 16 for additional information on this commitment. Multifamily LoansBeginning in the second half of 2018, we invested in multifamily subordinate securities issued by certain Freddie Mac K-Series securitization trusts and were required to consolidate the underlying multifamily loans owned at these entities for financial reporting purposes in accordance with GAAP. At June 30, 2019, we consolidated 250 held-for-investment multifamily loans, with an aggregate unpaid principal balance of $3.55 billion and a fair value of $3.75 billion, compared to 162 loans at December 31, 2018 with an aggregate unpaid principal balance of $2.13 billion and a fair value of $2.14 billion. The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at June 30, 2019 were first lien, fixed-rate loans that were originated between 2015 and 2017 and had original loan terms of seven to ten years and an original weighted average LTV ratio of 69%. At June 30, 2019, the weighted average coupon of these multifamily loans was 4.19% and the weighted average remaining loan term was six years. At both June 30, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $97 million and $131 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the securitizations. The net impact to our income statement associated with our economic investment in the securities of the Freddie Mac K-Series securitization entities is presented in Note 5.
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Multifamily Loans | Residential Loans We acquire residential loans from third-party originators and may sell or securitize these loans or hold them for investment. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia entities at June 30, 2019 and December 31, 2018. Table 6.1 – Classifications and Carrying Values of Residential Loans
At June 30, 2019, we owned mortgage servicing rights associated with $2.65 billion (principal balance) of consolidated residential loans purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale At Fair Value At June 30, 2019, we owned 1,417 loans held-for-sale at fair value with an aggregate unpaid principal balance of $1.03 billion and a fair value of $1.06 billion, compared to 1,484 loans with an aggregate unpaid principal balance of $1.03 billion and a fair value of $1.05 billion at December 31, 2018. At both June 30, 2019 and December 31, 2018, one of these loans with a fair value of $0.6 million was greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we purchased $1.53 billion and $2.49 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $1.23 billion and $2.39 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $3 million and $7 million, respectively, through Mortgage banking activities, net on our consolidated statements of income. At June 30, 2019, loans held-for-sale with a market value of $712 million were pledged as collateral under short-term borrowing agreements. During the three and six months ended June 30, 2018, we purchased $1.93 billion and $3.73 billion (principal balance) of loans, respectively, for which we elected the fair value option, and we sold $1.92 billion and $3.93 billion (principal balance) of loans, respectively, for which we recorded net market valuation gains of $6 million and $11 million, respectively, through Mortgage banking activities, net on our consolidated statements of income. At Lower of Cost or Fair Value At both June 30, 2019 and December 31, 2018, we held two residential loans at the lower of cost or fair value with $0.1 million in outstanding principal balance and carrying values of $0.1 million. At both June 30, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure. Residential Loans Held-for-Investment at Fair Value At Redwood At June 30, 2019, we owned 3,262 held-for-investment loans at Redwood with an aggregate unpaid principal balance of $2.32 billion and a fair value of $2.39 billion, compared to 3,296 loans with an aggregate unpaid principal balance of $2.39 billion and a fair value of $2.38 billion at December 31, 2018. At June 30, 2019, two of these loans with an aggregate fair value of $1 million were greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2018, two of these loans with an aggregate fair value of $1 million were greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we purchased zero and $39 million (principal balance) of loans, respectively, for which we elected the fair value option, and did not sell any loans. During the three and six months ended June 30, 2019, we transferred loans with a fair value of $30 million and $69 million, respectively, from held-for-sale to held-for-investment. During the three and six months ended June 30, 2019, we transferred loans with a fair value of zero and $23 million, respectively, from held-for-investment to held-for-sale. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $36 million and $64 million, respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. At June 30, 2019, loans with a fair value of $2.39 billion were pledged as collateral under a borrowing agreement with the FHLBC. During the three and six months ended June 30, 2018, we transferred loans with a fair value of $32 million and $88 million, respectively, from held-for-sale to held-for-investment. During both the three and six months ended June 30, 2018, we did not transfer any loans from held-for-investment to held-for-sale. During the three and six months ended June 30, 2018, we recorded net market valuation losses of $15 million and $54 million, respectively, on residential loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. The outstanding loans held-for-investment at Redwood at June 30, 2019 were prime-quality, first lien loans, of which 90% were originated between 2013 and 2019, and 1% were originated in 2012 and prior years. The weighted average Fair Isaac Corporation ("FICO") score of borrowers backing these loans was 768 (at origination) and the weighted average loan-to-value ("LTV") ratio of these loans was 66% (at origination). At June 30, 2019, these loans were comprised of 88% fixed-rate loans with a weighted average coupon of 4.16%, and the remainder were hybrid or ARM loans with a weighted average coupon of 4.20%. At Consolidated Legacy Sequoia Entities At June 30, 2019, we consolidated 2,400 held-for-investment loans at consolidated Legacy Sequoia entities, with an aggregate unpaid principal balance of $475 million and a fair value of $458 million, as compared to 2,641 loans at December 31, 2018, with an aggregate unpaid principal balance of $545 million and a fair value of $520 million. At origination, the weighted average FICO score of borrowers backing these loans was 727, the weighted average LTV ratio of these loans was 66%, and the loans were nearly all first lien and prime-quality. At June 30, 2019 and December 31, 2018, the aggregate unpaid principal balance of loans at consolidated Legacy Sequoia entities delinquent greater than 90 days was $13 million and $14 million, respectively, of which the aggregate unpaid principal balance of loans in foreclosure was $5 million and $5 million, respectively. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $1 million and $5 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. During the three and six months ended June 30, 2018, we recorded net market valuation gains of $4 million and $33 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the associated ABS issued. The net impact to our income statement associated with our retained economic investment in the Legacy Sequoia securitization entities is presented in Note 5. At Consolidated Sequoia Choice Entities At June 30, 2019, we consolidated 2,912 held-for-investment loans at the consolidated Sequoia Choice entities, with an aggregate unpaid principal balance of $2.08 billion and a fair value of $2.15 billion, as compared to 2,800 loans at December 31, 2018 with an aggregate unpaid principal balance of $2.04 billion and a fair value of $2.08 billion. At origination, the weighted average FICO score of borrowers backing these loans was 745, the weighted average LTV ratio of these loans was 75%, and the loans were all first lien and prime-quality. At June 30, 2019, six of these loans with an aggregate unpaid principal balance of $3 million were greater than 90 days delinquent and none of these loans were in foreclosure. At December 31, 2018, three of these loans with an aggregate unpaid principal balance of $2 million were greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we transferred loans with a fair value of zero and $350 million, respectively, from held-for-sale to held-for-investment associated with Choice securitizations. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $6 million and $16 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with Choice securitizations. The net impact to our income statement associated with our retained economic investment in the Sequoia Choice securitization entities is presented in Note 5. At Consolidated Freddie Mac SLST Entity During the fourth quarter of 2018, we invested in subordinate securities issued by a Freddie Mac SLST securitization trust and were required to consolidate the underlying seasoned re-performing and non-performing residential loans owned at this entity for financial reporting purposes in accordance with GAAP. At securitization, which occurred during the fourth quarter of 2018, each of these mortgage loans was a fully amortizing, fixed- or step-rate, first-lien loan that had been modified. At June 30, 2019, we consolidated 7,744 held-for-investment loans at the consolidated Freddie Mac SLST entity, with an aggregate unpaid principal balance of $1.27 billion and a fair value of $1.24 billion, compared to 7,900 loans at December 31, 2018 with an aggregate unpaid principal balance of $1.31 billion and a fair value of $1.22 billion. At securitization, the weighted average FICO score of borrowers backing these loans was 597 and the weighted average LTV ratio of these loans was 69%. At June 30, 2019, 301 of these loans with an aggregate unpaid principal balance of $78 million were greater than 90 days delinquent, and 101 of these loans with an aggregate unpaid principal balance of $15 million were in foreclosure. At December 31, 2018, 306 of these loans with an aggregate unpaid principal balance of $51 million were greater than 90 days delinquent and none of these loans were in foreclosure. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $31 million and $55 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the Freddie Mac SLST securitization. The net impact to our income statement associated with our economic investment in the Freddie Mac SLST securitization entity is presented in Note 5.Business Purpose Residential LoansWe originate business purpose residential loans, including single-family rental loans and residential bridge loans. This origination activity commenced in connection with our acquisition of 5 Arches on March 1, 2019. Business Purpose Residential Loan Originations During the three months ended June 30, 2019, we funded $134 million of business purpose residential loans, of which $23 million of residential bridge loans were sold to a third party. During the period from March 1, 2019 to June 30, 2019, we funded $170 million of business purpose residential loans, of which $44 million of residential bridge loans were sold to a third party. The remaining business purpose residential loans were transferred to our investment portfolio (residential bridge loans), or retained in our mortgage banking business (single-family rental loans). Prior to the transfer of residential bridge loans to our investment portfolio, we recorded net market valuation gains of $1 million on these loans through Mortgage banking activities, net on our consolidated statements of income for both the three months ended June 30, 2019 and for the period from March 1, 2019 to June 30, 2019. Market valuation adjustments on our single-family rental loans are also recorded in Mortgage banking activities, net on our consolidated statements of income. Additionally, during both the three months ended June 30, 2019 and during the period from March 1, 2019 to June 30, 2019, we recorded loan origination fee income of $3 million through Mortgage banking activities, net on our consolidated statements of income. The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at June 30, 2019 and December 31, 2018. Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans
Single-Family Rental Loans Held-for-Sale at Fair Value At June 30, 2019, we owned 43 single-family rental loans with an aggregate unpaid principal balance of $87 million and a fair value of $92 million, compared to 11 loans at December 31, 2018 with an aggregate unpaid principal balance of $28 million and a fair value of $28 million. At both June 30, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure. During the three months ended June 30, 2019 and for the period from March 1, 2019 to June 30, 2019, $33 million and $41 million of newly originated single-family rental loans, respectively, were retained in our mortgage banking business, and we did not sell any loans during either of these periods. Prior to our acquisition of 5 Arches on March 1, 2019, we purchased $19 million of single-family rental loans from 5 Arches. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $1 million and $2 million, respectively, on single-family rental loans held-for-sale at fair value through Mortgage banking activities, net on our consolidated statements of income. At June 30, 2019, loans held-for-sale with a market value of $71 million were pledged as collateral under short-term borrowing agreements. The outstanding single-family rental loans held-for-sale at June 30, 2019 were first lien, fixed-rate loans with maturities of five, seven, or ten years. At June 30, 2019, the weighted average coupon of our single-family rental loans was 5.54% and the weighted average loan term was six years. At origination, the weighted average LTV ratio of these loans was 66% and the weighted average debt service coverage ratio ("DSCR") was 1.33 times. Residential Bridge Loans Held-for-Investment at Fair Value At June 30, 2019, we owned 274 residential bridge loans held-for-investment with an aggregate unpaid principal balance of $158 million and a fair value of $159 million, compared to 157 loans at December 31, 2018 with an aggregate unpaid principal balance of $112 million and a fair value of $113 million. As part of our credit risk management practices, our residential bridge loans are subject to individual risk assessment using an internal borrower and collateral quality evaluation framework. At June 30, 2019, 11 loans with an aggregate fair value of $12 million were greater than 90 days delinquent, and nine of these loans with an aggregate fair value of $7 million were in foreclosure. At December 31, 2018, seven loans with an aggregate fair value of $12 million were greater than 90 days delinquent and four of these loans with an aggregate fair value of $11 million were in foreclosure. During the six months ended June 30, 2019, we transferred one loan with a fair value of $5 million to REO, which is included in Other assets on our consolidated balance sheets. We recognized losses of $0.1 million and $0.4 million related to this loan for the three and six months ended June 30, 2019, respectively, which was included in Investment fair value changes, net on our consolidated statements of income. During the three months ended June 30, 2019 and for the period from March 1, 2019 to June 30, 2019, $79 million and $86 million of newly originated residential bridge loans, respectively, were transferred to our investment portfolio. Prior to our acquisition of 5 Arches on March 1, 2019, we purchased $10 million of residential bridge loans from 5 Arches. During the three and six months ended June 30, 2019, we recorded net market valuation losses of $0.3 million and $0.6 million, respectively, on residential bridge loans held-for-investment at fair value through Investment fair value changes, net on our consolidated statements of income. At June 30, 2019, loans with a market value of $144 million were pledged as collateral under short-term borrowing agreements. The outstanding residential bridge loans held-for-investment at June 30, 2019 were first lien, fixed-rate, interest-only loans with a weighted average coupon of 9.08% and original maturities of six to 24 months. At origination, the weighted average FICO score of borrowers backing these loans was 690 and the weighted average LTV ratio of these loans was 74%. At June 30, 2019, we had a $33 million commitment to fund residential bridge loans. See Note 16 for additional information on this commitment. Multifamily LoansBeginning in the second half of 2018, we invested in multifamily subordinate securities issued by certain Freddie Mac K-Series securitization trusts and were required to consolidate the underlying multifamily loans owned at these entities for financial reporting purposes in accordance with GAAP. At June 30, 2019, we consolidated 250 held-for-investment multifamily loans, with an aggregate unpaid principal balance of $3.55 billion and a fair value of $3.75 billion, compared to 162 loans at December 31, 2018 with an aggregate unpaid principal balance of $2.13 billion and a fair value of $2.14 billion. The outstanding multifamily loans held-for-investment at the Freddie Mac K-Series entities at June 30, 2019 were first lien, fixed-rate loans that were originated between 2015 and 2017 and had original loan terms of seven to ten years and an original weighted average LTV ratio of 69%. At June 30, 2019, the weighted average coupon of these multifamily loans was 4.19% and the weighted average remaining loan term was six years. At both June 30, 2019 and December 31, 2018, none of these loans were greater than 90 days delinquent or in foreclosure. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $97 million and $131 million, respectively, on these loans through Investment fair value changes, net on our consolidated statements of income. Pursuant to the collateralized financing entity guidelines, the market valuation changes of these loans are based on the estimated fair value of the ABS issued associated with the securitizations. The net impact to our income statement associated with our economic investment in the securities of the Freddie Mac K-Series securitization entities is presented in Note 5.
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities | Real Estate Securities We invest in real estate securities that we acquire from third parties or create and retain from our Sequoia securitizations. The following table presents the fair values of our real estate securities by type at June 30, 2019 and December 31, 2018. Table 9.1 – Fair Values of Real Estate Securities by Type
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. Most of our mezzanine classified securities were initially rated AA through BBB- and issued in 2012 or later. Subordinate securities are all interests below mezzanine. Nearly all of our residential securities are supported by collateral that was designated as prime at the time of issuance. Trading Securities The following table presents the fair value of trading securities by position and collateral type at June 30, 2019 and December 31, 2018. Table 9.2 – Trading Securities by Position
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. At June 30, 2019, trading securities with a carrying value of $874 million as well as $148 million, $203 million, and $207 million of securities we owned that were issued by consolidated Sequoia Choice, Freddie Mac SLST, and Freddie Mac K-Series securitizations, respectively, were pledged as collateral under short-term borrowing agreements. See Note 13 for additional information on short-term debt. At June 30, 2019 and December 31, 2018, our senior trading securities included $66 million and $82 million of interest-only securities, respectively, for which there is no principal balance, and the remaining unpaid principal balance of our senior trading securities was $102 million and $78 million, respectively. Our interest-only securities included $35 million and $43 million of A-IO-S securities at June 30, 2019 and December 31, 2018, respectively, which are securities we retained from certain of our Sequoia securitizations that represent certificated servicing strips. At June 30, 2019 and December 31, 2018, our mezzanine and subordinate trading securities had an unpaid principal balance of $1.19 billion and $1.12 billion, respectively. At June 30, 2019 and December 31, 2018, the fair value of our mezzanine and subordinate securities was $1.03 billion and $960 million, respectively, and included $201 million and $277 million, respectively, of Agency residential mortgage credit risk transfer (or "CRT") securities, $73 million and $68 million, respectively, of Sequoia securities, $233 million and $186 million, respectively, of other third-party residential securities, and $528 million and $429 million, respectively, of third-party commercial/multifamily securities. During the three and six months ended June 30, 2019, we acquired $115 million and $269 million (principal balance), respectively, of securities for which we elected the fair value option and classified as trading, and sold $132 million and $161 million, respectively, of such securities. During the three and six months ended June 30, 2018, we acquired $233 million and $378 million (principal balance), respectively, of securities for which we elected the fair value option and classified as trading, and sold $62 million and $244 million, respectively, of such securities. During the three and six months ended June 30, 2019, we recorded net market valuation gains of $18 million and $40 million, respectively, on trading securities, included in Investment fair value changes, net on our consolidated statements of income. During the three and six months ended June 30, 2018, we recorded net market valuation losses of $1 million and $4 million, respectively, on trading securities, included in Investment fair value changes, net on our consolidated statements of income. AFS Securities The following table presents the fair value of our available-for-sale securities by position and collateral type at June 30, 2019 and December 31, 2018. Table 9.3 – Available-for-Sale Securities by Position
At June 30, 2019 and December 31, 2018, all of our available-for-sale securities were comprised of residential mortgage-backed securities. At June 30, 2019, AFS securities with a carrying value of $70 million were pledged as collateral under short-term borrowing agreements. See Note 13 for additional information on short-term debt. During the three and six months ended June 30, 2019, we purchased $4 million and $9 million of AFS securities, respectively, and sold $25 million and $67 million of AFS securities, respectively, which resulted in net realized gains of $3 million and $9 million, respectively. During the three and six months ended June 30, 2018, we purchased $2 million and $6 million of AFS securities, respectively, and sold $41 million and $92 million of AFS securities, respectively, which resulted in net realized gains of $5 million and $14 million, respectively. We often purchase AFS securities at a discount to their outstanding principal balances. To the extent we purchase an AFS security that has a likelihood of incurring a loss, we do not amortize into income the portion of the purchase discount that we do not expect to collect due to the inherent credit risk of the security. We may also expense a portion of our investment in the security to the extent we believe that principal losses will exceed the purchase discount. We designate any amount of unpaid principal balance that we do not expect to receive and thus do not expect to earn or recover as a credit reserve on the security. Any remaining net unamortized discounts or premiums on the security are amortized into income over time using the effective yield method. At June 30, 2019, there were no AFS securities with contractual maturities less than five years, $3 million with contractual maturities greater than five years but less than 10 years, and the remainder of our AFS securities had contractual maturities greater than 10 years. The following table presents the components of carrying value (which equals fair value) of AFS securities at June 30, 2019 and December 31, 2018. Table 9.4 – Carrying Value of AFS Securities
The following table presents the changes for the three and six months ended June 30, 2019, in unamortized discount and designated credit reserves on residential AFS securities. Table 9.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
AFS Securities with Unrealized Losses The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at June 30, 2019 and December 31, 2018. Table 9.6 – Components of Fair Value of Residential AFS Securities by Holding Periods
At June 30, 2019, after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 114 AFS securities, of which one was in an unrealized loss position and one was in a continuous unrealized loss position for 12 consecutive months or longer. At December 31, 2018, our consolidated balance sheet included 128 AFS securities, of which seven were in an unrealized loss position and three were in a continuous unrealized loss position for 12 consecutive months or longer. Evaluating AFS Securities for Other-than-Temporary Impairments Gross unrealized losses on our AFS securities were less than $0.1 million at June 30, 2019. We evaluate all securities in an unrealized loss position to determine if the impairment is temporary or other-than-temporary (resulting in an OTTI). At June 30, 2019, 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 that are other-than-temporary based on an assessment of changes in expected cash flows for such securities, which considers recent security performance and expected future performance of the underlying collateral. For both the three and six months ended June 30, 2019, there were no other-than-temporary impairments related to our AFS securities. AFS securities for which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. In determining our estimate of cash flows for AFS securities we may consider factors such as structural credit enhancement, past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, which are informed by prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, and geographic concentrations, as well as general market assessments. Changes in our evaluation of these factors impacted the cash flows expected to be collected at the OTTI 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 the credit loss component of OTTI. The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at June 30, 2019. Table 9.7 – Significant Valuation Assumptions
The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at June 30, 2019 and 2018, for which a portion of an OTTI was recognized in other comprehensive income. Table 9.8 – Activity of the Credit Component of Other-than-Temporary Impairments
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 six months ended June 30, 2019 and 2018. Table 9.9 – Gross Realized Gains and Losses on AFS Securities
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Other Investments |
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Investments, All Other Investments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Investments | Other Investments Other investments at June 30, 2019 and December 31, 2018 are summarized in the following table. Table 10.1 – Components of Other Investments
Servicer advance investments In 2018, we and a third-party co-investor, through two partnerships (“SA Buyers”) consolidated by us, purchased the outstanding servicer advances and excess MSRs related to a portfolio of legacy residential mortgage-backed securitizations serviced by the co-investor (See Note 4 for additional information regarding the transaction). At June 30, 2019, we had funded $66 million of capital to the SA Buyers and funded the remaining $6 million of capital in July 2019 (see Note 16 for additional detail). Our servicer advance investments (owned by the consolidated SA Buyers) are comprised of outstanding servicer advance receivables, the requirement to purchase all future servicer advances made with respect to a specified pool of residential mortgage loans, and a portion of the mortgage servicing fees from the underlying loan pool. A portion of the remaining mortgage servicing fees from the underlying loan pool are paid directly to the third-party servicer for the performance of servicing duties and a portion is paid to excess MSRs that we own as a separate investment. We hold our servicer advance investments at our taxable REIT subsidiary. Servicer advances are non-interest bearing and are a customary feature of residential mortgage securitization transactions. Servicer advances are generally reimbursable cash payments made by a servicer when the borrower fails to make scheduled payments due on a residential mortgage loan or to support the value of the collateral property. Servicer advances typically fall into three categories:
Servicer advances are generally permitted to be repaid from amounts received with respect to the related residential mortgage loan, including payments from the borrower or amounts received from the liquidation of the property securing the loan. Residential mortgage servicing agreements generally require a servicer to make advances in respect of serviced residential mortgage loans unless the servicer determines in good faith that the advance would not be ultimately recoverable from the proceeds of the related residential mortgage loan or the mortgaged property. At June 30, 2019, our servicer advance investments had a carrying value of $259 million and were associated with a portfolio of residential mortgage loans with an unpaid principal balance of $8.34 billion. The outstanding servicer advance receivables associated with this investment were $237 million at June 30, 2019, which were financed with short-term non-recourse securitization debt (see Note 13 for additional detail on this debt). The servicer advance receivables were comprised of the following types of advances at June 30, 2019 and December 31, 2018: Table 10.2 – Components of Servicer Advance Receivables
We account for our servicer advance investments at fair value and during the three and six months ended June 30, 2019, we recorded $3 million and $5 million of interest income associated with these investments, respectively, and recorded net market valuation gains of $0.4 million and $1 million, respectively, through Investment fair value changes, net in our consolidated statements of income. Mortgage Servicing Rights We invest in mortgage servicing rights associated with residential mortgage loans and contract with licensed sub-servicers to perform all servicing functions for these loans. The majority of our investments in MSRs were made through the retention of servicing rights associated with the residential jumbo mortgage loans that we acquired and subsequently transferred to third parties. We hold our MSR investments at our taxable REIT subsidiary. At June 30, 2019 and December 31, 2018, our MSRs had a fair value of $47 million and $60 million, respectively, and were associated with loans with an aggregate principal balance of $4.83 billion and $4.93 billion, respectively. The following table presents activity for MSRs for the three and six months ended June 30, 2019 and 2018. Table 10.3 – Activity for MSRs
The following table presents the components of our MSR income for the three and six months ended June 30, 2019 and 2018. Table 10.4 – Components of MSR Income, net
Excess MSRs In association with our servicer advance investments described above, in the fourth quarter of 2018, we (through our consolidated SA Buyers) also invested in excess MSRs associated with the same portfolio of legacy residential mortgage-backed securitizations. Additionally, beginning in 2018, we invested in excess MSRs associated with specified pools of multifamily loans. We account for our excess MSRs at fair value and during the three and six months ended June 30, 2019, we recognized $2 million and $4 million of interest income, respectively, through Other interest income, and recorded net market valuation losses of $0.1 million and $0.5 million, respectively, through Investment fair value changes, net on our consolidated statements of income. Investment in Multifamily Loan Fund In January 2019, we invested in a limited partnership created to acquire floating rate, light-renovation multifamily loans from Freddie Mac. We committed to fund an aggregate of $78 million to the partnership, and have funded approximately $29 million at June 30, 2019. Freddie Mac is providing a debt facility to finance loans purchased by the partnership. After the partnership's acquisitions have reached a specific threshold, the partnership and Freddie Mac may agree to include the related loans in a Freddie Mac-sponsored securitization and the limited partners may acquire the subordinate securities issued in any such securitization. We account for our ownership interest in this partnership using the equity method of accounting as we are able to exert significant influence over but do not control the activities of the investee. At June 30, 2019, the carrying amount of our investment in the partnership was $29 million. We have elected to record our share of earnings or losses from this investment on a one-quarter lag. During the three months ended June 30, 2019, we recorded $0.1 million of losses associated with this investment in Other income, net on our consolidated statements of income. Participation in Loan Warehouse Facility In the second quarter of 2018, we invested in a subordinated participation in a revolving mortgage loan warehouse credit facility of one of our loan sellers. We accounted for this subordinated participation interest as a loan receivable at amortized cost, and all associated interest income was recorded as a component of Other interest income in our consolidated statements of income. During the first quarter of 2019, our agreement associated with this investment was terminated and the balance outstanding under this agreement was repaid. Investment in 5 Arches In May 2018, we acquired a 20% minority interest in 5 Arches for $10 million, which included a one-year option to purchase all remaining equity in the company for a combination of cash and stock totaling $40 million. In March 2019, we closed on our option to acquire the remaining 80% interest in 5 Arches. See Note 2 for discussion of this acquisition. During 2018 and through February 28, 2019, we accounted for our minority ownership interest in 5 Arches using the equity method of accounting as we were able to exert significant influence over but did not control the activities of the investee. During the period from January 1, 2019 to February 28, 2019, we recorded $0.3 million of gross income associated with this investment and, including amortization of certain intangible assets, recorded $0.1 million of net earnings in Other income, net on our consolidated statements of income.
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Derivative Financial Instruments |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Financial Instruments | Derivative Financial Instruments The following table presents the fair value and notional amount of our derivative financial instruments at June 30, 2019 and December 31, 2018. Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments
Risk Management Derivatives To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheets, we may enter into derivative contracts. At June 30, 2019, we were party to swaps and swaptions with an aggregate notional amount of $4.34 billion and TBA agreements sold with an aggregate notional amount of $2.10 billion. At December 31, 2018, we were party to swaps with an aggregate notional amount of $3.85 billion and TBA agreements sold with an aggregate notional amount of $1.46 billion. During the three and six months ended June 30, 2019, risk management derivatives had net market valuation losses of $66 million and $111 million, respectively. During the three and six months ended June 30, 2018, risk management derivatives had net market valuation gains of $22 million and $89 million, respectively. These market valuation gains and losses are recorded in Mortgage banking activities, net, Investment fair value changes, net, and Other income, net on our consolidated statements of income. Loan Purchase and Forward Sale Commitments LPCs and FSCs that qualify as derivatives are recorded at their estimated fair values. For the three and six months ended June 30, 2019, LPCs and FSCs had net market valuation gains of $17 million and $29 million, respectively, that were recorded in Mortgage banking activities, net on our consolidated statements of income. For the three and six months ended June 30, 2018, LPCs and FSCs had net market valuation losses of $3 million and $10 million, respectively, that were recorded in Mortgage banking activities, net on our consolidated statements of income. Derivatives Designated as Cash Flow Hedges To manage the variability in interest expense related to portions of our long-term debt and certain adjustable-rate securitization entity liabilities that are included in our consolidated balance sheets for financial reporting purposes, we designated certain interest rate swaps as cash flow hedges with an aggregate notional balance of $140 million. For the three and six months ended June 30, 2019, changes in the values of designated cash flow hedges were negative $10 million and negative $15 million, respectively, and were recorded in Accumulated other comprehensive income, a component of equity. For the three and six months ended June 30, 2018, changes in the values of designated cash flow hedges were positive $3 million and positive $12 million, respectively, and were recorded in Accumulated other comprehensive income, a component of equity. For interest rate agreements currently or previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive income was $49 million and $34 million at June 30, 2019 and December 31, 2018, respectively. The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three and six months ended June 30, 2019 and 2018. Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges
Derivative Counterparty Credit Risk As discussed in our Annual Report on Form 10-K for the year ended December 31, 2018, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At June 30, 2019, we assessed this risk as remote and did not record a specific valuation adjustment. At June 30, 2019, we had outstanding derivative agreements with three counterparties (other than clearinghouses) and were in compliance with ISDA agreements governing our open derivative positions.
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Other Assets and Liabilities |
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Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Assets and Liabilities | Other Assets and Liabilities Other assets at June 30, 2019 and December 31, 2018, are summarized in the following table. Table 12.1 – Components of Other Assets
Accrued expenses and other liabilities at June 30, 2019 and December 31, 2018 are summarized in the following table. Table 12.2 – Components of Accrued Expenses and Other 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. FHLBC Stock In accordance with our FHLB-member subsidiary's borrowing agreement with the FHLBC, our subsidiary is required to purchase and hold stock in the FHLBC. See Note 3 and Note 15 for additional information on this borrowing agreement. Pledged Collateral and Guarantee Obligations The pledged collateral and guarantee obligations presented in the tables above are related to our risk-sharing arrangements with Fannie Mae and Freddie Mac. In accordance with these arrangements, we are required to pledge collateral to secure our guarantee obligations. See Note 3 and Note 16 for additional information on our risk-sharing arrangements. Contingent Consideration The contingent consideration presented in the table above is related to our acquisition of 5 Arches in the first quarter of 2019. See Note 16 for additional information on our contingent consideration liabilities. Lease Liability and Right-of-Use Asset The lease liability and right-of-use asset presented in the tables above resulted from our adoption of ASU 2016-02, "Leases," in the first quarter of 2019. The lease liability is equal to the present value of our remaining lease payments discounted at our incremental borrowing rate and the right-of-use asset is equal to the lease liability adjusted for our deferred rent liability. These balances are reduced as lease payments are made. See Note 16 for additional information on leases. Residential Bridge Loan Holdbacks Residential bridge loan holdbacks represent loan amounts payable to residential bridge loan borrowers subject to the completion of various phases of property rehabilitation. Investment Receivable At June 30, 2019, investment receivable primarily consisted of unsettled trade receivables related to real estate securities sales. In accordance with our policy to record purchases and sales of securities on the trade date, if the trade and settlement of a purchase or sale crosses over a quarterly reporting period, we will record an investment receivable for sales and an unsettled trades liability for purchases. REO The carrying value of REO at June 30, 2019 was $6 million, which included $1 million of REO from our Legacy Sequoia entities and $5 million from our residential bridge loan portfolio. During the six months ended June 30, 2019, transfers into REO included $0.1 million from Legacy Sequoia entities and a $5 million residential bridge loan. During the six months ended June 30, 2019, there were Legacy Sequoia REO liquidations of $3 million, resulting in $0.5 million of unrealized gains which were recorded in Investment fair value changes, net, on our consolidated statements of income. At June 30, 2019, there were seven REO properties at our Legacy Sequoia entities and one residential bridge loan REO property recorded on our consolidated balance sheets. At December 31, 2018, there were 13 REO properties recorded, all of which were owned at consolidated Legacy Sequoia entities. Legal and Repurchase Reserves See Note 16 for additional information on the legal and residential repurchase reserves. Payable to Minority Partner In 2018, Redwood and a third-party co-investor, through two partnership entities consolidated by Redwood, purchased servicer advances and excess MSRs related to a portfolio of residential mortgage loans serviced by the co-investor (see Note 4 and Note 10 for additional information on the partnership entities and associated investments). We account for the co-investor’s interests in the entities as liabilities and at June 30, 2019, the carrying value of their interests was $17 million, representing their current economic interest in the entities. Earnings from the partnership entities are allocated to the co-investors on a proportional basis and during the three and six months ended June 30, 2019, we allocated $0.2 million and $0.5 million of gains to the co-investors, respectively, which were recorded in Other income, net on our consolidated statements of income.
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Short-Term Debt |
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short-Term Debt | Short-Term Debt We enter into repurchase agreements, bank warehouse agreements, and other forms of collateralized (and generally uncommitted) short-term borrowings with several banks and major investment banking firms. At June 30, 2019, we had outstanding agreements with several counterparties and we were in compliance with all of the related covenants. For additional information about these financial covenants and our short-term debt, see Part I, Item 2 – Management’s Discussion and Analysis of Financial Condition and Results of Operations of this Quarterly Report on Form 10-Q and Part II, Item 7 of our Annual Report on Form 10-K for the year ended December 31, 2018. The table below summarizes our short-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information at June 30, 2019 and December 31, 2018. Table 13.1 – Short-Term Debt
At June 30, 2019 and December 31, 2018, the fair value of held-for-sale residential loans pledged as collateral under our short-term debt facilities was $712 million and $935 million, respectively. At June 30, 2019, the fair value of real estate securities pledged as collateral under our short-term debt facilities was $945 million, and also included $148 million of securities retained from our consolidated Sequoia Choice securitizations as well as $203 million and $207 million of securities we owned that were issued by consolidated Freddie Mac SLST and Freddie Mac K-series securitizations, respectively. At December 31, 2018, the fair value of real estate securities pledged as collateral under our short-term debt facilities was $844 million, and also included $130 million of securities retained from our consolidated Sequoia Choice securitizations as well as $229 million and $18 million of securities we owned that were issued by consolidated Freddie Mac SLST and Freddie Mac K-series securitizations, respectively. The fair value of single-family rental and residential bridge loans pledged as collateral under our warehouse facilities was $71 million and $144 million, respectively, at June 30, 2019 and $28 million and $98 million, respectively, at December 31, 2018. For the three and six months ended June 30, 2019, the average balances of our short-term debt facilities were $1.86 billion and $1.73 billion, respectively. At June 30, 2019 and December 31, 2018, accrued interest payable on our short-term debt facilities was $5 million and $4 million, respectively. Servicer advance financing consists of non-recourse short-term securitization debt used to finance servicer advance investments. We consolidate the securitization entity that issued the debt, but the entity is independent of Redwood and the assets and liabilities are not owned by and are not legal obligations of Redwood. At June 30, 2019, the fair value of servicer advances, cash and restricted cash collateralizing the securitization financing was $265 million. At June 30, 2019, the accrued interest payable balance on this financing was $0.3 million and the unamortized capitalized commitment costs were $1 million. During the fourth quarter of 2018, $201 million principal amount of 5.625% exchangeable senior notes 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 November 2018. At June 30, 2019, the accrued interest payable balance on this debt was $1 million. See Note 15 for additional information on our convertible 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 $4 million at June 30, 2019. At both June 30, 2019 and December 31, 2018, we had no outstanding borrowings on this facility. Remaining Maturities of Short-Term Debt The following table presents the remaining maturities of our secured short-term debt by the type of collateral securing the debt as well as our convertible notes at June 30, 2019. Table 13.2 – Short-Term Debt by Collateral Type and Remaining Maturities
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Asset-Backed Securities Issued |
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities Issued | Asset-Backed Securities Issued Through our Sequoia securitization program, we sponsor securitization transactions in which securities backed by residential mortgage loans (ABS) are issued by Sequoia entities. We consolidated the Legacy Sequoia and Sequoia Choice securitization entities, and beginning in 2018, certain third-party Freddie Mac K-Series and SLST securitization entities, that we determined were VIEs and for which we determined we were the primary beneficiary. Each consolidated 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. Our exposure to these entities is primarily through the financial interests we have retained, although we are exposed to certain financial risks associated with our role as a sponsor, servicing administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. We account for the ABS issued under our consolidated entities at fair value, with periodic changes in fair value recorded in Investment fair value changes, net on our consolidated statements of income. Pursuant to the CFE guidelines, the market valuation changes on our loans are based on the estimated fair value of the associated ABS issued. The net impact to our income statement associated with our retained economic investment in each of these securitization entities is presented in Note 5. The ABS issued by these entities consist of various classes of securities that pay interest on a monthly basis. All ABS issued by the Sequoia Choice and Freddie Mac K-Series, and Freddie Mac SLST entities pay fixed rates of interest and substantially all ABS issued by the Legacy Sequoia entities pay variable rates of interest, which are indexed to one-, three-, or six-month LIBOR. ABS issued also includes some interest-only classes with coupons set at a fixed spread to a benchmark rate, or set at a spread to the interest rates earned on the assets less the interest rates paid on the liabilities of a securitization entity. The carrying values of ABS issued by Sequoia securitization entities we sponsored at June 30, 2019 and December 31, 2018, along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued
The actual maturity of each class of ABS issued is primarily determined by the rate of principal prepayments on the assets of the issuing entity. Each series is also subject to redemption prior to the stated maturity according to the terms of the respective governing documents of each ABS issuing entity. As a result, the actual maturity of ABS issued may occur earlier than its stated maturity. At June 30, 2019, all of the ABS issued and outstanding had contractual maturities beyond five years. The following table summarizes the accrued interest payable on ABS issued at June 30, 2019 and December 31, 2018. Interest due on consolidated ABS issued is payable monthly. Table 14.2 – Accrued Interest Payable on Asset-Backed Securities Issued
The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at June 30, 2019 and December 31, 2018. Table 14.3 – Collateral for Asset-Backed Securities Issued
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Long-Term Debt |
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Long-Term Debt | Long-Term Debt FHLBC Borrowings In July 2014, our FHLB-member subsidiary entered into a borrowing agreement with the Federal Home Loan Bank of Chicago. At June 30, 2019, under this agreement, our subsidiary could incur borrowings up to $2.00 billion, also referred to as “advances,” from the FHLBC secured by eligible collateral, including residential mortgage loans. During the three and six months ended June 30, 2019, our FHLB-member subsidiary made no additional borrowings under this agreement. Under a final rule published by the Federal Housing Finance Agency in January 2016, our FHLB-member subsidiary will remain an FHLB member through the five-year transition period for captive insurance companies. Our FHLB-member subsidiary's existing $2.00 billion of FHLB debt, which matures beyond this transition period, is permitted to remain outstanding until its stated maturity. As residential loans pledged as collateral for this debt pay down, we are permitted to pledge additional loans or other eligible assets to collateralize this debt; however, we do not expect to be able to increase our subsidiary's FHLB debt above the existing $2.00 billion maximum. At June 30, 2019, $2.00 billion of advances were outstanding under this agreement, which were classified as long-term debt, with a weighted average interest rate of 2.57% and a weighted average maturity of approximately six years. At December 31, 2018, $2.00 billion of advances were outstanding under this agreement, which were classified as long-term debt, with a weighted average interest rate of 2.52% and a weighted average maturity of seven years. Advances under this agreement incur interest charges based on a specified margin over the FHLBC’s 13-week discount note rate, which resets every 13 weeks. At June 30, 2019, total advances under this agreement were secured by residential mortgage loans with a fair value of $2.39 billion. This agreement also requires our subsidiary to purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding advances. At June 30, 2019, our subsidiary held $43 million of FHLBC stock that is included in Other assets in our consolidated balance sheets. The following table presents maturities of our FHLBC borrowings by year at June 30, 2019. Table 15.1 – Maturities of FHLBC Borrowings by Year
For additional information about our FHLBC borrowings, see Part I, Item 2 of Quarterly Report on Form 10-Q under the heading “Risks Relating to Debt Incurred under Short- and Long-Term Borrowing Facilities.” Convertible Notes In June 2018, we issued $200 million principal amount of 5.625% convertible senior notes due 2024 at an issuance price of 99.5%. These convertible notes require semi-annual interest payments at a fixed coupon rate of 5.625% until maturity or conversion, which will be no later than July 15, 2024. After deducting the issuance discount, the underwriting discount and offering costs, we received $194 million of net proceeds. Including amortization of deferred debt issuance costs and the debt discount, the weighted average interest expense yield on these convertible notes is approximately 6.2% per annum. These notes are convertible at the option of the holder at a conversion rate of 54.7645 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $18.26 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. At June 30, 2019, the outstanding principal amount of these notes was $200 million and the accrued interest payable on this debt was $5 million. At June 30, 2019, the unamortized deferred issuance costs and debt discount were $4 million and $1 million, respectively. In August 2017, we issued $245 million principal amount of 4.75% convertible senior notes due 2023. These convertible notes require semi-annual interest payments at a fixed coupon rate of 4.75% until maturity or conversion, which will be no later than August 15, 2023. After deducting the underwriting discount and offering costs, we received $238 million of net proceeds. Including amortization of deferred debt issuance costs, the weighted average interest expense yield on these convertible notes is approximately 5.3% per annum. At June 30, 2019, these notes were convertible at the option of the holder at a conversion rate of 53.9060 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $18.55 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. At June 30, 2019, the outstanding principal amount of these notes was $245 million. At June 30, 2019, the accrued interest payable balance on this debt was $4 million and the unamortized deferred issuance costs were $5 million. In November 2014, RWT Holdings, Inc., a wholly-owned subsidiary of Redwood Trust, Inc., issued $205 million principal amount of 5.625% exchangeable senior notes due 2019. These exchangeable notes require semi-annual interest payments at a fixed coupon rate of 5.625% until maturity or exchange, which will be no later than November 15, 2019. After deducting the underwriting discount and offering costs, we received $198 million of net proceeds. Including amortization of deferred debt issuance costs, the weighted average interest expense yield on these exchangeable notes is approximately 6.3% per annum. At June 30, 2019, these notes were exchangeable at the option of the holder at an exchange rate of 46.2370 common shares per $1,000 principal amount of exchangeable senior notes (equivalent to an exchange price of $21.63 per common share). Upon exchange of these notes by a holder, the holder will receive shares of our common stock. During 2016, we repurchased $4 million par value of these notes at a discount and recorded a gain on extinguishment of debt of $0.3 million in Realized gains, net on our consolidated statements of income. Additionally, during the fourth quarter of 2018, $201 million principal amount of these notes 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 November 2018. At June 30, 2019, the outstanding principal amount of these notes was $201 million. At June 30, 2019, the accrued interest payable balance on this debt was $1 million and the unamortized deferred issuance costs were $1 million. Trust Preferred Securities and Subordinated Notes At June 30, 2019, we had trust preferred securities and subordinated notes outstanding of $100 million and $40 million, respectively. This debt requires quarterly interest payments at a floating rate equal to three-month LIBOR plus 2.25% until the notes are redeemed. The $100 million trust preferred securities will be redeemed no later than January 30, 2037, and the $40 million subordinated notes will be redeemed no later than July 30, 2037. Prior to 2014, we entered into interest rate swaps with aggregate notional values totaling $140 million to hedge the variability in this long-term debt interest expense. Including hedging costs and amortization of deferred debt issuance costs, the weighted average interest expense yield on our trust preferred securities and subordinated notes is approximately 6.9% per annum. At both June 30, 2019 and December 31, 2018, the accrued interest payable balance on our trust preferred securities and subordinated notes was $1 million. Under the terms of this debt, we covenant, among other things, to use our best efforts to continue to qualify as a REIT. If an event of default were to occur in respect of this debt, we would generally be restricted under its terms (subject to certain exceptions) from making dividend distributions to stockholders, from repurchasing common stock or repurchasing or redeeming any other then-outstanding equity securities, and from making any other payments in respect of any equity interests in us or in respect of any then-outstanding debt that is pari passu or subordinate to this debt.
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Commitments and Contingencies |
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Commitments and Contingencies | Commitments and Contingencies Lease Commitments At June 30, 2019, we were obligated under five non-cancelable operating leases with expiration dates through 2028 for $16 million of cumulative lease payments. Our principal executive and administrative office is located in Mill Valley, California and we have several additional offices, as disclosed in Part I, Item 2 of our Annual Report on Form 10-K for the year ended December 31, 2018. Additionally, with our acquisition of 5 Arches in the first quarter of 2019, we added an office located in Irvine, California. Our operating lease expense was $1 million for both six-month periods ended June 30, 2019 and 2018. The following table presents our future lease commitments and a reconciliation to our lease liability at June 30, 2019. Table 16.1 – Future Lease Commitments by Year
During the three months ended March 31, 2019, we adopted ASU 2016-02, "Leases," which required us to recognize a lease liability that was equal to the present value of our remaining lease payments of $16 million discounted at various incremental borrowing rates, and a right-of-use asset, which was equal to our lease liability adjusted for our deferred rent liability. We elected to apply the new guidance using the optional transition method, which permits lessees to measure the lease liability and right-of-use asset at January 1, 2019, without adjusting the comparative periods presented. We elected the package of practical expedients under the transition guidance within this standard, which allowed us to carry forward the classifications of each of our four existing leases as operating leases and to continue to expense lease payments on a straight-line basis. As one of our operating leases qualifies for the short-term lease exception under this guidance, we will continue to account for this lease under legacy GAAP and did not include this lease in our calculation of the lease liability and right-of-use asset. At June 30, 2019, our lease liability was $13 million, which was a component of Accrued expenses and other liabilities, and our right-of-use asset was $12 million, which was a component of Other assets. We determined that the four remaining leases did not contain an implicit interest rate and used a discount rate equal to our incremental borrowing rate on a collateralized basis to determine the present value of our total lease payments. As such, we determined the applicable discount rate for each of our leases using a swap rate plus an applicable spread for borrowing arrangements secured by our real estate loans and securities for a length of time equal to the remaining lease term on the date of adoption. At June 30, 2019, the weighted-average remaining lease term and weighted-average discount rate for our leases was 8 years and 5.3%, respectively. Commitment to Fund Residential Bridge Loans As of June 30, 2019, we had commitments to fund $33 million of residential bridge loans. These commitments are generally subject to loan agreements with covenants regarding the financial performance of the customer and other terms regarding advances that must be met before we fund the commitment. We may also advance funds related to loans sold under a separate loan sale agreement that are generally repaid immediately by the loan purchaser and do not generally expose us to loss (outstanding commitments related to these loans that we may temporarily fund totaled approximately $80 million at June 30, 2019). Commitment to Fund Partnerships In the fourth quarter of 2018, we invested in two partnerships created to acquire and manage certain mortgage servicing related assets (see Note 10 for additional detail). At June 30, 2019, we had an outstanding commitment to fund an additional $6 million to these partnerships to acquire additional outstanding servicer advances and excess MSRs. We funded this remaining commitment in July 2019. In connection with this investment, we are also required to fund future net servicer advances related to the underlying mortgage loans. The actual amount of net servicer advances we may fund in the future is subject to significant uncertainty and will be based on the credit and prepayment performance of the underlying loans. In the first quarter of 2019, we invested in a partnership created to acquire floating rate, light-renovation multifamily loans from Freddie Mac (see Note 10 for additional detail). At June 30, 2019, we had an outstanding commitment to fund an additional $49 million to the partnership. Additionally, in connection with this transaction, we have made a guarantee to Freddie Mac in the event of losses incurred on the loans that exceed the equity available in the partnership to absorb such losses. At June 30, 2019, the carrying value of this guarantee was $0.1 million. We believe the likelihood of performance under the guarantee is remote. Our maximum loss exposure from this guarantee arrangement is $135 million. 5 Arches Contingent Consideration As part of the consideration for our acquisition of 5 Arches, we are committed to make earn-out payments up to $27 million, payable in a mix of cash and Redwood common stock, which will be calculated following each of the first two anniversaries of the option closing date based on loan origination volumes exceeding certain specified thresholds. These contingent earn-out payments are classified as a contingent consideration liability and carried at fair value. At June 30, 2019, our estimated fair value of this contingent liability was $25 million. Commitment to Participate in Loan Warehouse Facility In the second quarter of 2018, we invested in a participation in the mortgage loan warehouse credit facility of one of our loan sellers. This investment included a commitment to participate in (and an obligation to fund) a designated amount of the loan seller's borrowings under this warehouse credit facility. Our commitment to participate in this facility was terminated in the first quarter of 2019. See Note 10 for additional detail on our participation in a loan warehouse facility. Loss Contingencies — Risk-Sharing During 2015 and 2016, we sold conforming loans to the Agencies with an original unpaid principal balance of $3.19 billion, subject to our risk-sharing arrangements with the Agencies. At June 30, 2019, the maximum potential amount of future payments we could be required to make under these arrangements was $44 million and this amount was fully collateralized by assets we transferred to pledged accounts and is presented as pledged collateral in Other assets on our consolidated balance sheets. We have no recourse to any third parties that would allow us to recover any amounts related to our obligations under the arrangements. At June 30, 2019, we had not incurred any losses under these arrangements. For the three and six months ended June 30, 2019, other income related to these arrangements was $1 million for each of these periods, and net market valuation losses related to these investments were $0.1 million for each of these periods. For the three and six months ended June 30, 2018, other income related to these arrangements was $1 million and $2 million, respectively, and net market valuation losses related to these investments were $0.2 million and $0.3 million, respectively. All of the loans in the reference pools subject to these risk-sharing arrangements were originated in 2014 and 2015, and at June 30, 2019, the loans had an unpaid principal balance of $1.74 billion and a weighted average FICO score of 759 (at origination) and LTV ratio of 76% (at origination). At June 30, 2019, $6 million of the loans were 90 days or more delinquent, of which $2 million were in foreclosure. At June 30, 2019, the carrying value of our guarantee obligation was $16 million and included $5 million designated as a non-amortizing credit reserve, which we believe is sufficient to cover current expected losses under these obligations. Our consolidated balance sheets include assets of special purpose entities ("SPEs") associated with these risk-sharing arrangements (i.e., the "pledged collateral" referred to above) that can only be used to settle obligations of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to Redwood Trust, Inc. or its affiliates. At June 30, 2019 and December 31, 2018, assets of such SPEs totaled $48 million and $47 million, respectively, and liabilities of such SPEs totaled $16 million and $17 million, respectively. Loss Contingencies — Residential Repurchase Reserve We maintain a repurchase reserve for potential obligations arising from representation and warranty violations related to residential loans we have sold to securitization trusts or third parties and for conforming residential loans associated with MSRs that we have purchased from third parties. We do not originate residential loans and we believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, for example, where loans were acquired from companies that have since become insolvent, repurchase claims may result in our being liable for a repurchase obligation. At both June 30, 2019 and December 31, 2018, our repurchase reserve associated with our residential loans and MSRs was $4 million and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. We received seven repurchase requests during the six months ended June 30, 2019, and did not repurchase any loans during this period. During the six months ended June 30, 2019 and 2018, we recorded reversals of repurchase provisions of $0.4 million and $0.5 million, respectively, that were recorded in Mortgage banking activities, net and Other income, net on our consolidated statements of income. Loss Contingencies — Litigation On or about December 23, 2009, the Federal Home Loan Bank of Seattle (the “FHLB-Seattle”) filed a complaint in the Superior Court for the State of Washington (case number 09-2-46348-4 SEA) against Redwood Trust, Inc., our subsidiary, Sequoia Residential Funding, Inc. (“SRF”), Morgan Stanley & Co., and Morgan Stanley Capital I, Inc. (collectively, the “FHLB-Seattle Defendants”), which alleged that the FHLB-Seattle Defendants made false or misleading statements in offering materials for a mortgage pass-through certificate (the “Seattle Certificate”) issued in the Sequoia Mortgage Trust 2005-4 securitization transaction (the “2005-4 RMBS”) and purchased by the FHLB-Seattle. The Seattle Certificate was issued with an original principal amount of approximately $133 million, and, at June 30, 2019, approximately $127 million of principal and $12 million of interest payments had been made in respect of the Seattle Certificate. The matter was subsequently resolved and the claims were dismissed by the FHLB Seattle as to all the FHLB Seattle Defendants. At the time the Seattle Certificate was issued, Redwood agreed to indemnify the underwriters of the 2005-4 RMBS, which underwriters were named as defendants in the action, for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. Regardless of the resolution of this litigation, we could incur a loss as a result of these indemnities. On or about July 15, 2010, The Charles Schwab Corporation (“Schwab”) filed a complaint in the Superior Court for the State of California in San Francisco (case number CGC-10-501610) against SRF and 26 other defendants (collectively, the “Schwab Defendants”), which alleged that the Schwab Defendants made false or misleading statements in offering materials for various residential mortgage-backed securities sold or issued by the Schwab Defendants. Schwab alleged only a claim for negligent misrepresentation under California state law against SRF and sought unspecified damages and attorneys’ fees and costs from SRF. Schwab claimed that SRF made false or misleading statements in offering materials for a mortgage pass-through certificate (the “Schwab Certificate”) issued in the 2005-4 RMBS and purchased by Schwab. The Schwab Certificate was issued with an original principal amount of approximately $15 million, and, at June 30, 2019, approximately $14 million of principal and $1 million of interest payments had been made in respect of the Schwab Certificate. On November 14, 2014, Schwab voluntarily dismissed with prejudice its negligent misrepresentation claim, which resulted in the dismissal with prejudice of SRF from the action. Subsequently, the matter was resolved and Schwab dismissed its claims against the lead underwriter of the 2005-4 RMBS. At the time the Schwab Certificate was issued, Redwood agreed to indemnify the underwriters of the 2005-4 RMBS, which underwriters were also named as defendants in the action, for certain losses and expenses they might incur as a result of claims made against them relating to this RMBS, including, without limitation, certain legal expenses. Regardless of the resolution of this litigation, Redwood could incur a loss as a result of these indemnities. Through certain of our wholly-owned subsidiaries, we have in the past engaged in, and expect to continue to engage in, activities relating to the acquisition and securitization of residential mortgage loans. In addition, certain of our wholly-owned subsidiaries have in the past engaged in activities relating to the acquisition and securitization of debt obligations and other assets through the issuance of collateralized debt obligations (commonly referred to as CDO transactions). Because of this involvement in the securitization and CDO businesses, we could become the subject of litigation relating to these businesses, including additional litigation of the type described above, and we could also become the subject of governmental investigations, enforcement actions, or lawsuits, and governmental authorities could allege that we violated applicable law or regulation in the conduct of our business. As an example, in July 2016 we became aware of a complaint filed by the State of California on April 1, 2016 against Morgan Stanley & Co. and certain of its affiliates alleging, among other things, that there were misleading statements contained in offering materials for 28 different mortgage pass-through certificates purchased by various California investors, including various California public pension systems, from Morgan Stanley and alleging that Morgan Stanley made false or fraudulent claims in connection with the sale of those certificates. Of the 28 mortgage pass-through certificates that were the subject of the complaint, two were Sequoia mortgage pass-through certificates issued in 2004 and two were Sequoia mortgage pass-through certificates issued in 2007. With respect to each of those certificates, our wholly-owned subsidiary, RWT Holdings, Inc., was the sponsor and our wholly-owned subsidiary, Sequoia Residential Funding, Inc., was the depositor. The plaintiffs subsequently withdrew from the litigation their claims based on eight of the 28 mortgage pass-through certificates, including one of the Sequoia mortgage pass-through certificates issued in 2004. We believe this matter was subsequently resolved and the plaintiffs withdrew their remaining claims. At the time these Sequoia mortgage pass-through certificates were issued, Sequoia Residential Funding, Inc. and Redwood Trust agreed to indemnify the underwriters of these certificates for certain losses and expenses they might incur as a result of claims made against them relating to these certificates, including, without limitation, certain legal expenses. Regardless of the resolution of this litigation, we could incur a loss as a result of these indemnities. In accordance with GAAP, we review the need for any loss contingency reserves and establish reserves when, in the opinion of management, it is probable that a matter would result in a liability and the amount of loss, if any, can be reasonably estimated. Additionally, we record receivables for insurance recoveries relating to litigation-related losses and expenses if and when such amounts are covered by insurance and recovery of such losses or expenses are due. At June 30, 2019, the aggregate amount of loss contingency reserves established in respect of the FHLB-Seattle and Schwab litigation matters described above was $2 million. We review our litigation matters each quarter to assess these loss contingency reserves and make adjustments in these reserves, upwards or downwards, as appropriate, in accordance with GAAP based on our review. In the ordinary course of any litigation matter, including certain of the above-referenced matters, we have engaged and may continue to engage in formal or informal settlement communications with the plaintiffs or co-defendants. Settlement communications we have engaged in relating to certain of the above-referenced litigation matters are one of the factors that have resulted in our determination to establish the loss contingency reserves described above. We cannot be certain that any of these matters will be resolved through a settlement prior to trial and we cannot be certain that the resolution of these matters, whether through trial or settlement, will not have a material adverse effect on our financial condition or results of operations in any future period. Future developments (including resolution of substantive pre-trial motions relating to these matters, receipt of additional information and documents relating to these matters (such as through pre-trial discovery), new or additional settlement communications with plaintiffs relating to these matters, or resolutions of similar claims against other defendants in these matters) could result in our concluding in the future to establish additional loss contingency reserves or to disclose an estimate of reasonably possible losses in excess of our established reserves with respect to these matters. Our actual losses with respect to the above-referenced litigation matters may be materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters, including in the event that any of these matters proceeds to trial and the plaintiff prevails. Other factors that could result in our concluding to establish additional loss contingency reserves or estimate additional reasonably possible losses, or could result in our actual losses with respect to the above-referenced litigation matters being materially higher than the aggregate amount of loss contingency reserves we have established in respect of these litigation matters include that: there are significant factual and legal issues to be resolved; information obtained or rulings made during the lawsuits could affect the methodology for calculation of the available remedies; and we may have additional obligations pursuant to indemnity agreements, representations and warranties, and other contractual provisions with other parties relating to these litigation matters that could increase our potential losses.
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Equity |
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Equity | Equity The following table provides a summary of changes to accumulated other comprehensive income by component for the three and six months ended June 30, 2019 and 2018. Table 17.1 – Changes in Accumulated Other Comprehensive Income by Component
The following table provides a summary of reclassifications out of accumulated other comprehensive income for the three and six months ended June 30, 2019 and 2018. Table 17.2 – Reclassifications Out of Accumulated Other Comprehensive Income
Issuance of Common Stock In the fourth quarter of 2018, we established a program to sell up to an aggregate of $150 million of common stock from time to time in at-the-market ("ATM") offerings. During the fourth quarter of 2018, we issued 1,550,819 common shares for net proceeds of approximately $25 million through ATM offerings. During both the three and six months ended June 30, 2019, we issued 791,191 common shares for net proceeds of approximately $13 million through ATM offerings. At June 30, 2019, approximately $112 million remained outstanding for future offerings under this program. On January 29, 2019, we sold 11,500,000 shares of common stock in an underwritten public offering, resulting in net proceeds of approximately $177 million. Direct Stock Purchase and Dividend Reinvestment Plan During the six months ended June 30, 2019, we issued 399,838 shares of common stock through our Direct Stock Purchase and Dividend Reinvestment Plan, resulting in net proceeds of approximately $6 million. Earnings per Common Share The following table provides the basic and diluted earnings per common share computations for the three and six months ended June 30, 2019 and 2018. Table 17.3 – Basic and Diluted Earnings per Common Share
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 six months ended June 30, 2019 and 2018, certain of our convertible notes were determined to be dilutive and were included in the calculation of diluted EPS under the "if-converted" method. Under this method, the periodic interest expense (net of applicable taxes) for dilutive notes is added back to the numerator and the weighted average number of shares that the notes are entitled to (if converted, regardless of whether they are in or out of the money) are included in the denominator. For the three and six months ended June 30, 2019, the number of outstanding equity awards that were antidilutive totaled 8,996 and 8,186, respectively. For the three and six months ended June 30, 2018, the number of outstanding equity awards that were antidilutive totaled 7,091 and 6,965, respectively. Stock Repurchases In February 2018, our Board of Directors approved an authorization for the repurchase of our common stock, increasing the total amount authorized for repurchases of common stock to $100 million, and also authorized the repurchase of outstanding debt securities, including convertible and exchangeable debt. This authorization increased the previous share repurchase authorization approved in February 2016 and has no expiration date. This repurchase authorization does not obligate us to acquire any specific number of shares or securities. Under this authorization, shares or securities may be repurchased in privately negotiated and/or open market transactions, including under plans complying with Rule 10b5-1 under the Securities Exchange Act of 1934, as amended. At June 30, 2019, $100 million of the current authorization remained available for the repurchase of shares of our common stock.
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Equity Compensation Plans |
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Share-based Payment Arrangement [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity Compensation Plans | Equity Compensation Plans At June 30, 2019 and December 31, 2018, 4,202,935 and 4,616,776 shares of common stock, respectively, were available for grant under our Incentive Plan. The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $27 million at June 30, 2019, as shown in the following table. Table 18.1 – Activities of Equity Compensation Costs by Award Type
At June 30, 2019, the weighted average amortization period remaining for all of our equity awards was two years. Restricted Stock Awards ("RSAs") At June 30, 2019 and December 31, 2018, there were 218,022 and 334,606 shares, respectively, of RSAs outstanding. Restrictions on these shares lapse through 2022. During the six months ended June 30, 2019, there were no RSAs granted, restrictions on 116,584 RSAs lapsed and those shares were distributed, and no RSAs forfeited. Restricted Stock Units ("RSUs") At June 30, 2019 and December 31, 2018, there were 229,943 and 4,876 shares, respectively, of RSUs outstanding. Restrictions on these shares lapse through 2023. During the six months ended June 30, 2019, there were 225,067 RSUs granted, no RSUs distributed, and no RSUs forfeited. Deferred Stock Units (“DSUs”) At June 30, 2019 and December 31, 2018, there were 2,405,497 and 2,336,720 DSUs, respectively, outstanding of which 1,249,606 and 1,181,622, respectively, had vested. During the six months ended June 30, 2019, there were 329,228 DSUs granted, 260,451 DSUs distributed, and no DSUs forfeited. Unvested DSUs at June 30, 2019 vest through 2023. Performance Stock Units (“PSUs”) At both June 30, 2019 and December 31, 2018, the target number of PSUs that were unvested was 725,616. Vesting for all PSUs will generally occur at the end of three years from their grant date based on various TSR performance calculations, as discussed in our Annual Report on Form 10-K for the year ended December 31, 2018. Employee Stock Purchase Plan ("ESPP") The ESPP allows a maximum of 600,000 shares of common stock to be purchased in aggregate for all employees. As of June 30, 2019 and December 31, 2018, 406,941 and 390,569 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at June 30, 2019.
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Mortgage Banking Activities, Net |
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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 six months ended June 30, 2019 and 2018. Table 19.1 – Mortgage Banking Activities
(4) Amounts in this line item include other fee income from loan originations.
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Investment Fair Value Changes, Net |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Fair Value Changes, Net | Investment Fair Value Changes, Net The following table presents the components of Investment fair value changes, net, recorded in our consolidated statements of income for the three and six months ended June 30, 2019 and 2018. Table 20.1 – Investment Fair Value Changes
(1) Includes changes in fair value of the loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs.
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Other Income, Net |
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Other Income and Expenses [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Income, Net | Other Income, Net The following table presents the components of Other income, net, recorded in our consolidated statements of income for the three and six months ended June 30, 2019 and 2018. Table 21.1 – Other Income
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Operating Expenses |
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Other Income and Expenses [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operating Expenses | Operating Expenses Components of our operating expenses for the three and six months ended June 30, 2019 and 2018 are presented in the following table. Table 22.1 – Components of Operating Expenses
(1) Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value.
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Taxes |
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Income Tax Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Taxes | Taxes For the six months ended June 30, 2019 and 2018, we recognized a provision for income taxes of $3 million and $7 million, respectively. The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at June 30, 2019 and 2018. Table 23.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate
We assessed our tax positions for all open tax years (i.e., Federal, 2015 to 2019, and State, 2014 to 2019) at June 30, 2019 and December 31, 2018, and concluded that we had no uncertain tax positions that resulted in material unrecognized tax benefits.
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Segment Information |
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Information | Segment Information Redwood operates in two segments: Investment Portfolio and Mortgage Banking. Our segments are based on our organizational and management structure, which aligns with how our results are monitored and performance is assessed. 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, 2018. Our Mortgage Banking segment includes activity from both our residential and business purpose mortgage banking operations. Our business purpose mortgage banking operations includes activity from our wholly-owned subsidiary 5 Arches and our single-family rental loans that we are aggregating for subsequent sale or securitization. In connection with our acquisition of 5 Arches on March 1, 2019, the goodwill, intangible assets, and contingent consideration we recorded on our consolidated balance sheets were included in our Mortgage Banking segment. The gain on re-measurement of our initial minority investment and purchase option in 5 Arches during the three months ended March 31, 2019 was included in Corporate/Other. 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 two 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 associated with certain long-term debt, indirect operating expenses, and other expense. The following tables present financial information by segment for the three and six months ended June 30, 2019 and 2018. Table 24.1 – Business Segment Financial Information
The following table presents the components of Corporate/Other for the three and six months ended June 30, 2019 and 2018. Table 24.2 – Components of Corporate/Other
The following table presents supplemental information by segment at June 30, 2019 and December 31, 2018. Table 24.3 – Supplemental Segment Information
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Subsequent Events |
6 Months Ended |
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Jun. 30, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events In July 2019, we entered into an agreement with Freddie Mac to purchase mortgage-backed securities to be issued in a securitization transaction sponsored by Freddie Mac. Pursuant to the terms of this agreement, we plan to acquire subordinate securities backed by a pool of seasoned re-performing and, to a lesser extent, non-performing residential first lien mortgage loans. We deposited $60 million with Freddie Mac towards the purchase price of these securities and expect to fund the remainder of the purchase price of these securities, approximately $150 million, upon the closing of this transaction in the third quarter of 2019, which we expect will be partially financed by a third-party financial institution under a securities repurchase facility. We anticipate consolidating the assets and liabilities of the securitization trust resulting from this transaction as we expect to maintain certain discretionary rights associated with the ownership of this investment.
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Summary of Significant Accounting Policies (Policies) |
6 Months Ended |
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Jun. 30, 2019 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation The consolidated financial statements presented herein are at June 30, 2019 and December 31, 2018, and for the three and six months ended June 30, 2019 and 2018. 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, 2018. In the opinion of management, all normal and recurring adjustments to present fairly the financial condition of the company at June 30, 2019 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2019 should not be construed as indicative of the results to be expected for the full year.
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Principles of Consolidation | Principles of Consolidation In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities issued prior to 2012 where we maintain an ongoing involvement ("Legacy Sequoia"), as well as entities formed in connection with the securitization of Redwood Choice expanded-prime loans beginning in the third quarter of 2017 ("Sequoia Choice"). In addition, we consolidated the assets and liabilities of certain Freddie Mac K-Series securitizations beginning in the third quarter of 2018, and the assets and liabilities of one Freddie Mac SLST securitization beginning in the fourth quarter of 2018. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have purchased or retained, although for the consolidated Sequoia entities we are exposed to certain financial risks associated with our role as a sponsor, servicing administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. For financial reporting purposes, the underlying loans owned at the consolidated Sequoia and Freddie Mac SLST entities are shown under Residential loans, held-for-investment, at fair value, and the underlying loans at the consolidated Freddie Mac K-Series are shown under Multifamily loans held-for-investment, at fair value, on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income, we recorded interest income on the loans owned at these entities and interest expense on the ABS issued by these entities as well as other income and expenses associated with these entities' activities.
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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.
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Business Combinations and Contingent Consideration | Business Combinations We use the acquisition method of accounting for business combinations, under which the purchase price is allocated to the fair values of the assets acquired and liabilities assumed at the acquisition date. The excess of the purchase price over the amount allocated to the assets acquired and liabilities assumed is recorded as goodwill. Adjustments to the values of the assets acquired and liabilities assumed that could be made during the measurement period, which could be up to one year after the acquisition date, are recorded in the period in which the adjustment is identified, with a corresponding offset to goodwill. Any adjustments made after the measurement period are recorded in the consolidated statements of income. Acquisition-related costs are expensed as incurred. Contingent Consideration In relation to our acquisition of 5 Arches, we recorded contingent consideration liabilities that represent the estimated fair value (at the date of acquisition) of our obligation to make certain earn-out payments that are contingent on 5 Arches loan origination volumes exceeding certain specified thresholds. These liabilities are carried at fair value and periodic changes in their estimated fair value are recorded through Other income, net on our consolidated statements of income. The estimate of the fair value of contingent consideration requires significant judgment regarding assumptions about future operating results, discount rates, and probabilities of projected operating result scenarios.
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Goodwill and Intangible Assets | Goodwill and Intangible Assets Significant judgment is required to estimate the fair value of intangible assets and in assigning their estimated useful lives. Accordingly, we typically seek the assistance of independent third-party valuation specialists for significant intangible assets. The fair value estimates are based on available historical information and on future expectations and assumptions we deem reasonable. We generally use an income-based valuation method to estimate the fair value of intangible assets, which discounts expected future cash flows to present value using estimates and assumptions we deem reasonable. Determining the estimated useful lives of intangible assets also requires judgment. Our assessment as to which intangible assets are deemed to have finite or indefinite lives is based on several factors including economic barriers of entry for the acquired business, retention trends, and our operating plans, among other factors. Finite-lived intangible assets are amortized over their estimated useful lives on a straight-line basis and reviewed for impairment if indicators are present. Additionally, useful lives are evaluated each reporting period to determine if revisions to the remaining periods of amortization are warranted. Goodwill is tested for impairment annually or more frequently if indicators of impairment exist. We have elected to make the first day of our fiscal fourth quarter the annual impairment assessment date for goodwill. We first assess qualitative factors to determine whether it is more likely than not that the fair value is less than the carrying value. If, based on that assessment, we believe it is more likely than not that the fair value is less than the carrying value, then a two-step quantitative goodwill impairment test is performed.
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Loan Originations | Loan Originations Our wholly-owned subsidiary, 5 Arches, originates business purpose residential loans, including single-family rental and residential bridge loans. Single-family rental loans are mortgage loans secured by 1-4 unit residential real estate with a mortgage loan borrower that owns the real estate as an investment property and rents the property to residential tenants. Residential bridge loans are mortgage loans generally secured by unoccupied residential real estate that the borrower owns as an investment and that is being renovated, rehabilitated or constructed. Single-family rental loans are classified as held-for-sale at fair value, as we have originated these loans with the intent to sell to third parties or transfer to securitization entities. Residential bridge loans are classified as held-for-investment at fair value, if we intend to hold these loans to maturity, or held-for-sale at fair value, if we intend to sell the loans to a third party.
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Leases | Leases Upon adoption of ASU 2016-02, "Leases," in the first quarter of 2019, we recorded a lease liability and right-of-use asset on our consolidated balance sheets. The lease liability is equal to the present value of our remaining lease payments discounted at our incremental borrowing rate and the right-of-use asset is equal to the lease liability adjusted for our deferred rent liability at the adoption of this accounting standard. As lease payments are made, the lease liability is reduced to the present value of the remaining lease payments and the right-of-use asset is reduced by the difference between the lease expense (straight-lined over the lease term) and the theoretical interest expense amount (calculated using the incremental borrowing rate). See Note 16 for further discussion on leases.
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Recent Accounting Pronouncements | Recent Accounting Pronouncements Newly Adopted Accounting Standards Updates ("ASUs") In February 2018, the FASB issued ASU 2018-02, "Income Statement - Reporting Comprehensive Income (Topic 220): Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income." This new guidance allows a reclassification from accumulated other comprehensive income ("AOCI") to retained earnings for stranded tax effects resulting from the Tax Cuts and Jobs Act of 2017 (the "Tax Act"). This new guidance is effective for fiscal years beginning after December 15, 2018. However, we did not elect to reclassify any income tax effects of the Tax Act from AOCI to retained earnings as we did not have any tax effects related to the Tax Act remaining in AOCI at December 31, 2018. Our policy is to release any stranded income tax effects from AOCI to income tax expense on an investment-by-investment basis. In August 2017, the FASB issued ASU 2017-12, "Derivatives and Hedging (Topic 815): Targeted Improvements to Accounting for Hedging Activities." This new guidance amends previous guidance to better align an entity's risk management activities and financial reporting for hedging relationships through changes to both the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results. This new guidance is effective for fiscal years beginning after December 15, 2018. Additionally, in October 2018, the FASB issued ASU 2018-16, "Derivatives and Hedging (Topic 815): Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes," which permits the use of the OIS rate based on SOFR as a U.S. benchmark interest rate for hedge accounting purposes under Topic 815. The amendments in this update are required to be adopted concurrently with the amendments in ASU 2017-12. We adopted this guidance, as required, in the first quarter of 2019, which did not have a material impact on our consolidated financial statements. In July 2017, the FASB issued ASU 2017-11, "Earnings Per Share (Topic 260); Distinguishing Liabilities from Equity (Topic 480); Derivatives and Hedging (Topic 815): (Part I) Accounting for Certain Financial Instruments with Down Round Features, (Part II) Replacement of the Indefinite Deferral for Mandatorily Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatorily Redeemable Noncontrolling Interests with a Scope Exception." This new guidance changes the classification analysis of certain equity-linked financial instruments (or embedded conversion options) with down round features. This new guidance is effective for fiscal years beginning after December 15, 2018. We adopted this guidance, as required, in the first quarter of 2019, which did not have a material impact on our consolidated financial statements. In March 2017, the FASB issued ASU 2017-08, "Receivables - Nonrefundable Fees and Other Costs (Subtopic 310-20)." This new guidance shortens the amortization period for certain callable debt securities purchased at a premium by requiring the premium to be amortized to the earliest call date. This new guidance is effective for fiscal years beginning after December 15, 2018. We adopted this guidance, as required, in the first quarter of 2019, which did not have a material impact on our consolidated financial statements. In February 2016, the FASB issued ASU 2016-02, "Leases." This new guidance requires lessees to recognize most leases on their balance sheet as a right-of-use asset and a lease liability. This new guidance retains a dual lease accounting model, which requires leases to be classified as either operating or capital leases for lessees, for purposes of income statement recognition. This new guidance is effective for fiscal years beginning after December 15, 2018. In July 2018, the FASB issued ASU 2018-10, "Codification Improvements to Topic 842, Leases," which provides more specific guidance on certain aspects of Topic 842. Additionally, in July 2018, the FASB issued ASU 2018-11, "Leases (Topic 842): Targeted Improvements." This new ASU introduces an additional transition method which allows entities to apply the new standard at the adoption date and recognize a cumulative-effect adjustment to the opening balance of retained earnings in the period of adoption. In March 2019, the FASB issued ASU 2019-01, "Leases (Topic 842): Codification Improvements," which is intended to clarify Codification guidance. We adopted this guidance, as required, in the first quarter of 2019, which did not have a material impact on our consolidated financial statements. We elected the package of practical expedients under the transition guidance within this standard, which allowed us to carry forward the classifications of each of our existing leases as operating leases. In connection with the adoption of this guidance, at June 30, 2019, our lease liability was $13 million, which represented the present value of our remaining lease payments discounted at our incremental borrowing rate and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. At June 30, 2019, our right-of-use asset was $12 million, which was equal to the lease liability adjusted for our deferred rent liability at adoption and was recorded in Other assets on our consolidated balance sheets. We will continue to record lease expense on a straight-line basis and have included required lease disclosures within Note 16. Other Recent Accounting Pronouncements In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement." This new guidance amends previous guidance by removing and modifying certain existing fair value disclosure requirements, while adding other new disclosure requirements. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted and entities may elect to early adopt the removal or modification of disclosures immediately and delay adoption of the new disclosure requirements until their effective date. 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 July 2018, the FASB issued ASU 2018-09, "Codification Improvements." This new guidance is intended to clarify, correct, and make minor improvements to the FASB Accounting Standards Codification. The transition and effective dates are based on the facts and circumstances of each amendment, with some amendments becoming effective upon issuance of this ASU and others becoming effective for annual periods beginning after December 15, 2018. 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 January 2017, the FASB issued ASU 2017-04, "Intangibles - Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment." This new guidance simplifies the subsequent measurement of goodwill by eliminating Step 2 from the goodwill impairment test. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for interim and annual goodwill impairment tests performed on testing dates after January 1, 2017. 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 June 2016, the FASB issued ASU 2016-13, "Financial Instruments - Credit Losses." This new guidance provides a new impairment model that is based on expected losses rather than incurred losses to determine the allowance for credit losses. This new guidance is effective for fiscal years beginning after December 15, 2019. Early adoption is permitted for fiscal years beginning after December 15, 2018. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses," which clarifies the scope of the amendments in ASU 2016-13. In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments - Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments," which is intended to clarify this guidance. Additionally, in May 2019, the FASB issued ASU 2019-05, "Financial Instruments - Credit Losses (Topic 326): Targeted Transition Relief," which provides an option to irrevocably elect the fair value option for certain financial assets previously measured at amortized cost. We currently have only a small balance of loans receivable that are not carried at fair value and would be subject to this new guidance for allowance for credit losses. Separately, we account for our available-for-sale securities under the other-than-temporary impairment ("OTTI") model for debt securities. This new guidance requires that credit impairments on our available-for-sale securities be recorded in earnings using an allowance for credit losses, with the allowance limited to the amount by which the security's fair value is less than its amortized cost basis. Subsequent reversals in credit loss estimates are recognized in income. We plan to adopt this new guidance by the required date and do not anticipate that these updates will have a material impact on our consolidated financial statements as nearly all of our financial instruments are carried at fair value and changes in fair values of these instruments are recorded on our consolidated statements of income in the period in which the valuation change occurs. We will continue evaluating these new standards and caution that any changes in our business or additional amendments to these standards could change our initial assessment.
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Balance Sheet Netting | For each category of financial instrument set forth in the table above, the assets and liabilities resulting from individual transactions within that category between us and a counterparty are subject to a master netting arrangement or similar agreement with that counterparty that provides for individual transactions to be aggregated and treated as a single transaction. For certain categories of these instruments, some of our transactions are cleared and settled through one or more clearinghouses that are substituted as our counterparty. References herein to master netting arrangements or similar agreements include the arrangements and agreements governing the clearing and settlement of these transactions through the clearinghouses. In the event of the termination and close-out of any of those transactions, the corresponding master netting agreement or similar agreement provides for settlement on a net basis. Any such settlement would include the proceeds of the liquidation of any corresponding collateral, subject to certain limitations on termination, settlement, and liquidation of collateral that may apply in the event of the bankruptcy or insolvency of a party. Such limitations should not inhibit the eventual practical realization of the principal benefits of those transactions or the corresponding master netting arrangement or similar agreement and any corresponding collateral. 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.
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Basis of Presentation (Tables) |
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Accounting Policies [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Assets Acquired and Liabilities Assumed | We accounted for the acquisition of 5 Arches under the acquisition method of accounting pursuant to ASC 805. We performed the preliminary purchase price allocation and recorded underlying assets acquired and liabilities assumed based on their estimated fair values using the information available as of the acquisition date, with the excess of the purchase price allocated to goodwill. Through June 30, 2019, there have been no changes to our preliminary purchase price allocation, which is summarized in the following table. Table 2.1 – 5 Arches Purchase Price Allocation
(1) 5 Arches net assets acquired consisted of assets of $19 million and liabilities of $18 million as of March 1, 2019.
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Schedule of Finite-Lived Intangible Assets | The amortization period for each of these assets and the activity for the period from March 1, 2019 to June 30, 2019 is summarized in the table below. Table 2.2 – Intangible Assets – Activity
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Finite-lived Intangible Assets Amortization Expense | All of our intangible assets are amortized on a straight-line basis. Estimated amortization expense for the remainder of 2019 and the following years is summarized in the table below. Table 2.3 – Intangible Asset Amortization Expense by Year
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Schedule of Goodwill | Goodwill – Activity
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Pro Forma Information | Unaudited Pro Forma Financial Information
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Principles of Consolidation (Tables) |
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Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets and Liabilities of Consolidated VIEs | The following table presents a summary of the assets and liabilities of these VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs
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Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents information related to securitization transactions that occurred during the three and six months ended June 30, 2019 and 2018. Table 4.2 – Securitization Activity Related to Unconsolidated VIEs Sponsored by Redwood
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Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three and six months ended June 30, 2019 and 2018 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood
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Assumptions Related to Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents the key weighted-average assumptions used to measure MSRs and securities retained at the date of securitization for securitizations completed during the three and six months ended June 30, 2019 and 2018. Table 4.4 – Assumptions Related to Assets Retained from Unconsolidated VIEs Sponsored by Redwood
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Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents additional information at June 30, 2019 and December 31, 2018, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.5 – Unconsolidated VIEs Sponsored by Redwood
(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.
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Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at June 30, 2019 and December 31, 2018. Table 4.6 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood
(2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages.
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Schedule of Third-Party Sponsored VIE Summary | The following table presents a summary of our interests in third-party VIEs at June 30, 2019 and December 31, 2018, grouped by asset type. Table 4.7 – Third-Party Sponsored VIE Summary
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Summary of Significant Accounting Policies (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting of Financial Assets, Liabilities, and Collateral | The table below presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at June 30, 2019 and December 31, 2018. Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral
(2) Interest rate agreements and TBAs are components of derivatives instruments on our consolidated balance sheets. Loan warehouse debt, which is secured by residential mortgage loans, and security repurchase agreements are components of Short-term debt on our consolidated balance sheets.
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Fair Value of Financial Instruments (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying Values and Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at June 30, 2019 and December 31, 2018. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities
(3) These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets.
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Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at June 30, 2019 and December 31, 2018, 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
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Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2019. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis (continued)
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Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at June 30, 2019 and 2018. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and six months ended June 30, 2019 and 2018 are not included in this presentation. Table 5.4 – Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at June 30, 2019 and 2018 Included in Net Income
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Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at June 30, 2019. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at June 30, 2019. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at June 30, 2019
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Market Valuation Gains and Losses, Net | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three and six months ended June 30, 2019 and 2018. Table 5.6 – Market Valuation Gains and Losses, Net
(3) Other income (expense), net presented above does not include net MSR fee income or provisions for repurchases for MSRs, as these amounts do not represent market valuation adjustments.
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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
Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued)
(3) Represents the probability of a full payout of contingent purchase consideration.
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Residential Loans (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 entities at June 30, 2019 and December 31, 2018. Table 6.1 – Classifications and Carrying Values of Residential Loans
The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at June 30, 2019 and December 31, 2018. Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans
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Business Purpose Residential Loans (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 entities at June 30, 2019 and December 31, 2018. Table 6.1 – Classifications and Carrying Values of Residential Loans
The following table summarizes the classifications and carrying values of the business purpose residential loans owned at Redwood at June 30, 2019 and December 31, 2018. Table 7.1 – Classifications and Carrying Values of Business Purpose Residential Loans
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Real Estate Securities (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Values of Real Estate Securities by Type | The following table presents the fair values of our real estate securities by type at June 30, 2019 and December 31, 2018. Table 9.1 – Fair Values of Real Estate Securities by Type
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Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at June 30, 2019 and December 31, 2018. Table 9.2 – Trading Securities by Position
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Available-for-Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale securities by position and collateral type at June 30, 2019 and December 31, 2018. Table 9.3 – Available-for-Sale Securities by Position
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Carrying Value of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at June 30, 2019 and December 31, 2018. Table 9.4 – Carrying Value of AFS Securities
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Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | The following table presents the changes for the three and six months ended June 30, 2019, in unamortized discount and designated credit reserves on residential AFS securities. Table 9.5 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities
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Components of Fair Value of Available for Sale Securities by Holding Periods | The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at June 30, 2019 and December 31, 2018. Table 9.6 – Components of Fair Value of Residential AFS Securities by Holding Periods
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Summary of Significant Valuation Assumptions for Available for Sale Securities | The table below summarizes the significant valuation assumptions we used for our AFS securities in unrealized loss positions at June 30, 2019. Table 9.7 – Significant Valuation Assumptions
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Activity of Credit Component of Other-than-Temporary Impairments | The following table details the activity related to the credit loss component of OTTI (i.e., OTTI recognized through earnings) for AFS securities held at June 30, 2019 and 2018, for which a portion of an OTTI was recognized in other comprehensive income. Table 9.8 – Activity of the Credit Component of Other-than-Temporary Impairments
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Gross Realized Gains and Losses on Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and six months ended June 30, 2019 and 2018. Table 9.9 – Gross Realized Gains and Losses on AFS Securities
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Other Investments (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments, All Other Investments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Other Investments | Other investments at June 30, 2019 and December 31, 2018 are summarized in the following table. Table 10.1 – Components of Other Investments
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Components of Servicer Advance Investments | Components of Servicer Advance Receivables
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Income from Mortgage Servicing Rights, Net | Activity for MSRs
The following table presents the components of our MSR income for the three and six months ended June 30, 2019 and 2018. Table 10.4 – Components of MSR Income, net
(1) MSR income, net is included in Other income, net on our consolidated statements of income.
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Derivative Financial Instruments (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value and Notional Amount of Derivative Financial Instruments | The following table presents the fair value and notional amount of our derivative financial instruments at June 30, 2019 and December 31, 2018. Table 11.1 – Fair Value and Notional Amount of Derivative Financial Instruments
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Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges | The following table illustrates the impact on interest expense of our interest rate agreements accounted for as cash flow hedges for the three and six months ended June 30, 2019 and 2018. Table 11.2 – Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges
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Other Assets and Liabilities (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of Other Assets | Other assets at June 30, 2019 and December 31, 2018, are summarized in the following table. Table 12.1 – Components of Other Assets
(1) Fixed assets and leasehold improvements had a basis of $11 million and accumulated depreciation of $6 million at June 30, 2019.
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Components of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at June 30, 2019 and December 31, 2018 are summarized in the following table. Table 12.2 – Components of Accrued Expenses and Other Liabilities
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Short-Term Debt (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short-Term Debt Facilities | The table below summarizes our short-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information at June 30, 2019 and December 31, 2018. Table 13.1 – Short-Term Debt
(2) Due to the revolving nature of the borrowings under these facilities, we have classified these facilities as short-term debt at June 30, 2019. Borrowings under these facilities will be repaid as the underlying loans mature or are sold to third parties or transferred to securitizations.
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Short-Term Debt by Collateral Type and Remaining Maturities | The following table presents the remaining maturities of our secured short-term debt by the type of collateral securing the debt as well as our convertible notes at June 30, 2019. Table 13.2 – Short-Term Debt by Collateral Type and Remaining Maturities
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Asset-Backed Securities Issued (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities Issued | The carrying values of ABS issued by Sequoia securitization entities we sponsored at June 30, 2019 and December 31, 2018, along with other selected information, are summarized in the following table. Table 14.1 – Asset-Backed Securities Issued
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Accrued Interest Payable on Asset-Backed Securities Issued | Accrued Interest Payable on Asset-Backed Securities Issued
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Collateral for ABS Issued | The following table summarizes the carrying value components of the collateral for ABS issued and outstanding at June 30, 2019 and December 31, 2018. Table 14.3 – Collateral for Asset-Backed Securities Issued
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Long-Term Debt (Tables) |
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Jun. 30, 2019 | ||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||
Maturities of FHLBC Borrowings by Year | The following table presents maturities of our FHLBC borrowings by year at June 30, 2019. Table 15.1 – Maturities of FHLBC Borrowings by Year
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Commitments and Contingencies (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Future Lease Commitments by Year | The following table presents our future lease commitments and a reconciliation to our lease liability at June 30, 2019. Table 16.1 – Future Lease Commitments by Year
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Equity (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Changes to Accumulated Other Comprehensive Income by Component | The following table provides a summary of changes to accumulated other comprehensive income by component for the three and six months ended June 30, 2019 and 2018. Table 17.1 – Changes in Accumulated Other Comprehensive Income by Component
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Reclassifications out of Accumulated Other Comprehensive Income | The following table provides a summary of reclassifications out of accumulated other comprehensive income for the three and six months ended June 30, 2019 and 2018. Table 17.2 – Reclassifications Out of Accumulated Other Comprehensive Income
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Basic and Diluted Earnings Per Common Share | The following table provides the basic and diluted earnings per common share computations for the three and six months ended June 30, 2019 and 2018. Table 17.3 – Basic and Diluted Earnings per Common Share
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Equity Compensation Plans (Tables) |
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Jun. 30, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Share-based Payment Arrangement [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity Compensation Costs by Award Type | The unamortized compensation cost of awards issued under the Incentive Plan and purchases under the Employee Stock Purchase Plan totaled $27 million at June 30, 2019, as shown in the following table. Table 18.1 – Activities of Equity Compensation Costs by Award Type
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Mortgage Banking Activities, Net (Tables) |
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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 six months ended June 30, 2019 and 2018. Table 19.1 – Mortgage Banking Activities
(4) Amounts in this line item include other fee income from loan originations.
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Investment Fair Value Changes, Net (Tables) |
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Fair Value Changes | The following table presents the components of Investment fair value changes, net, recorded in our consolidated statements of income for the three and six months ended June 30, 2019 and 2018. Table 20.1 – Investment Fair Value Changes
(1) Includes changes in fair value of the loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs.
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Other Income, Net (Tables) |
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Other Income and Expenses [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of other income | Other Income
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Operating Expenses (Tables) |
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Other Income and Expenses [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of Operating Expenses | Components of our operating expenses for the three and six months ended June 30, 2019 and 2018 are presented in the following table. Table 22.1 – Components of Operating Expenses
(1) Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value.
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Taxes (Tables) |
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Jun. 30, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income Tax Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of Statutory Tax Rate to Effective Tax Rate | The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at June 30, 2019 and 2018. Table 23.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate
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Segment Information (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Business Segment Financial Information | The following tables present financial information by segment for the three and six months ended June 30, 2019 and 2018. Table 24.1 – Business Segment Financial Information
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of Corporate and Other | The following table presents the components of Corporate/Other for the three and six months ended June 30, 2019 and 2018. Table 24.2 – Components of Corporate/Other
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Supplemental Information by Segment | The following table presents supplemental information by segment at June 30, 2019 and December 31, 2018. Table 24.3 – Supplemental Segment Information
|
Organization (Details) |
6 Months Ended |
---|---|
Jun. 30, 2019
segment
| |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 2 |
Basis of Presentation (Details) - partnership |
3 Months Ended | 12 Months Ended | |
---|---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
Dec. 31, 2018 |
|
Variable Interest Entity [Line Items] | |||
Number of partnerships consolidated | 2 | 2 | |
Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
VIE, ownership interest rate | 80.00% |
Basis of Presentation - Assets Acquired and Liabilities Assumed (Details) - USD ($) $ in Thousands |
Mar. 01, 2019 |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|---|
Purchase price: | |||
Contingent consideration | $ 24,932 | $ 0 | |
5 Arches, LLC | |||
Purchase price: | |||
Cash | $ 12,575 | ||
Contingent consideration | 24,621 | ||
Purchase option, at fair value | 5,082 | ||
Equity method investment, at fair value | 8,052 | ||
Total consideration | 50,330 | ||
Allocated to: | |||
Tangible net assets acquired | 1,004 | ||
Goodwill | 28,728 | $ 28,728 | $ 0 |
Intangibles | 24,800 | ||
Deferred tax liability | (4,202) | ||
Net assets acquired | 50,330 | ||
Assets | 19,000 | ||
Liabilities | $ 18,000 |
Basis of Presentation - Acquisition of 5 Arches (Details) - USD ($) $ in Thousands |
1 Months Ended | 3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|---|
Mar. 01, 2019 |
May 31, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
Dec. 31, 2018 |
|
Business Acquisition [Line Items] | |||||||
Remeasurement gain | $ 0 | $ 0 | $ 2,441 | $ 0 | |||
Contingent consideration | 24,932 | 24,932 | $ 0 | ||||
Mortgage banking activities, net | 19,160 | $ 10,596 | 31,469 | $ 37,172 | |||
5 Arches, LLC | |||||||
Business Acquisition [Line Items] | |||||||
Percent acquired | 80.00% | ||||||
Minority interest, percentage | 20.00% | ||||||
Payment of cash to acquire business | $ 13,000 | ||||||
Contingent consideration maximum amount | 27,000 | ||||||
Contingent consideration performance term | 2 years | ||||||
Remeasurement gain | 2,000 | ||||||
Intangibles | 24,800 | ||||||
Goodwill | 28,728 | $ 28,728 | 28,728 | $ 0 | |||
Goodwill deductible for tax purposes | 3,000 | ||||||
Contingent consideration | $ 24,621 | ||||||
Revenue | 6,000 | ||||||
Net loss | 2,000 | ||||||
Intangible assets amortization expense | $ 3,000 | ||||||
5 Arches, LLC | |||||||
Business Acquisition [Line Items] | |||||||
Payments to acquire equity method investment | $ 10,000 | ||||||
Option to purchase additional equity, term | 1 year |
Basis of Presentation - Intangible Assets – Activity (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Finite-lived Intangible Assets [Roll Forward] | ||||
Amortization Expense | $ 1,900 | $ 0 | $ 2,532 | $ 0 |
5 Arches, LLC | ||||
Finite-lived Intangible Assets [Roll Forward] | ||||
Carrying Value at December 31, 2018 | 0 | |||
Additions | 24,800 | |||
Amortization Expense | (2,529) | |||
Carrying Value at June 30, 2019 | 22,271 | $ 22,271 | ||
Weighted Average Amortization Period (in years) | 4 years | |||
5 Arches, LLC | Broker network | ||||
Finite-lived Intangible Assets [Roll Forward] | ||||
Carrying Value at December 31, 2018 | $ 0 | |||
Additions | 18,100 | |||
Amortization Expense | (1,207) | |||
Carrying Value at June 30, 2019 | 16,893 | $ 16,893 | ||
Weighted Average Amortization Period (in years) | 5 years | |||
5 Arches, LLC | Non-compete agreements | ||||
Finite-lived Intangible Assets [Roll Forward] | ||||
Carrying Value at December 31, 2018 | $ 0 | |||
Additions | 2,900 | |||
Amortization Expense | (322) | |||
Carrying Value at June 30, 2019 | 2,578 | $ 2,578 | ||
Weighted Average Amortization Period (in years) | 3 years | |||
5 Arches, LLC | Management fee on existing assets under management | ||||
Finite-lived Intangible Assets [Roll Forward] | ||||
Carrying Value at December 31, 2018 | $ 0 | |||
Additions | 2,600 | |||
Amortization Expense | (867) | |||
Carrying Value at June 30, 2019 | 1,733 | $ 1,733 | ||
Weighted Average Amortization Period (in years) | 1 year | |||
5 Arches, LLC | Tradename | ||||
Finite-lived Intangible Assets [Roll Forward] | ||||
Carrying Value at December 31, 2018 | $ 0 | |||
Additions | 1,200 | |||
Amortization Expense | (133) | |||
Carrying Value at June 30, 2019 | $ 1,067 | $ 1,067 | ||
Weighted Average Amortization Period (in years) | 3 years |
Basis of Presentation - Intangible Asset Amortization Expense by Year (Details) - 5 Arches, LLC - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Finite-Lived Intangible Assets [Line Items] | ||
2019 (6 months) | $ 3,794 | |
2020 | 5,420 | |
2021 | 4,987 | |
2022 | 3,848 | |
2023 and thereafter | 4,222 | |
Total Future Intangible Asset Amortization | $ 22,271 | $ 0 |
Basis of Presentation - Goodwill – Activity (Details) - 5 Arches, LLC $ in Thousands |
6 Months Ended |
---|---|
Jun. 30, 2019
USD ($)
| |
Goodwill [Roll Forward] | |
Beginning balance | $ 0 |
Goodwill recognized from 5 Arches acquisition | 28,728 |
Impairment | 0 |
Ending Balance | $ 28,728 |
Basis of Presentation - Pro Forma Information (Details) - 5 Arches, LLC - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Business Acquisition [Line Items] | ||||
Net interest income | $ 32,322 | $ 35,099 | $ 64,588 | $ 70,430 |
Non-interest income | 27,532 | 21,321 | 71,282 | 62,404 |
Net income | $ 31,266 | $ 32,310 | $ 81,499 | $ 78,436 |
Principles of Consolidation - Additional Information (Details) $ in Thousands |
3 Months Ended | 12 Months Ended | 90 Months Ended | |
---|---|---|---|---|
Jun. 30, 2019
USD ($)
|
Dec. 31, 2018
USD ($)
partnership
|
Dec. 31, 2018
USD ($)
partnership
|
Jun. 30, 2019
USD ($)
entity
|
|
Variable Interest Entity [Line Items] | ||||
Number of partnerships consolidated | partnership | 2 | 2 | ||
MSRs | $ 236,632 | $ 286,778 | $ 286,778 | $ 236,632 |
Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
VIE, ownership interest rate | 80.00% | |||
Variable Interest Entity, Not Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Number of securitization entities to which asset transferred (in entities) | entity | 44 | |||
Gain (loss) on securitization of financial assets | $ 4,000 | |||
Loan acquisition, aggregate amount acquired | 39,000 | |||
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Estimated fair value of investments | $ 11,000 | 11,000 | ||
Sequoia Choice | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Estimated fair value of investments | 220,000 | 220,000 | ||
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Estimated fair value of investments | 244,000 | 244,000 | ||
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Estimated fair value of investments | 207,000 | 207,000 | ||
Servicing Investment | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
MSRs | $ 67,000 | $ 67,000 |
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entity's (Details) $ in Thousands |
Jun. 30, 2019
USD ($)
investment
|
Dec. 31, 2018
USD ($)
investment
|
---|---|---|
Variable Interest Entity [Line Items] | ||
Assets | $ 7,937,685 | $ 6,331,191 |
Liabilities | $ 7,189,086 | $ 5,709,807 |
Number of VIEs | investment | 35 | 33 |
Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 3,840,195 | $ 3,822,009 |
Multifamily loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 3,749,657 | 2,144,598 |
Other investments | ||
Variable Interest Entity [Line Items] | ||
Assets | 274,617 | 312,688 |
Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Assets | 19,393 | |
Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 23,808 | 26,531 |
Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 28,567 | 21,422 |
REO | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,448 | 3,943 |
Short-term debt | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 236,231 | 262,740 |
Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 21,758 | 17,380 |
Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 17,968 | 19,614 |
Asset-backed securities issued | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 6,913,129 | 5,410,073 |
Legacy Sequoia | ||
Variable Interest Entity [Line Items] | ||
Assets | 460,113 | 524,869 |
Liabilities | $ 449,381 | $ 512,811 |
Number of VIEs | investment | 20 | 20 |
Legacy Sequoia | Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 457,750 | $ 519,958 |
Legacy Sequoia | Multifamily loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Legacy Sequoia | Other investments | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Legacy Sequoia | Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Legacy Sequoia | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 144 | 146 |
Legacy Sequoia | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 771 | 822 |
Legacy Sequoia | REO | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,448 | 3,943 |
Legacy Sequoia | Short-term debt | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | 0 |
Legacy Sequoia | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 519 | 571 |
Legacy Sequoia | Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | 0 |
Legacy Sequoia | Asset-backed securities issued | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 448,862 | 512,240 |
Sequoia Choice | ||
Variable Interest Entity [Line Items] | ||
Assets | 2,156,316 | 2,089,392 |
Liabilities | $ 1,936,780 | $ 1,893,212 |
Number of VIEs | investment | 7 | 6 |
Sequoia Choice | Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 2,147,356 | $ 2,079,382 |
Sequoia Choice | Multifamily loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Sequoia Choice | Other investments | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Sequoia Choice | Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Sequoia Choice | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 14 | 1,022 |
Sequoia Choice | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 8,946 | 8,988 |
Sequoia Choice | REO | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Sequoia Choice | Short-term debt | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | 0 |
Sequoia Choice | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 7,322 | 7,180 |
Sequoia Choice | Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 14 | 1,022 |
Sequoia Choice | Asset-backed securities issued | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 1,929,444 | 1,885,010 |
Freddie Mac SLST | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,238,875 | 1,226,595 |
Liabilities | $ 994,540 | $ 996,655 |
Number of VIEs | investment | 1 | 1 |
Freddie Mac SLST | Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 1,235,089 | $ 1,222,669 |
Freddie Mac SLST | Multifamily loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Freddie Mac SLST | Other investments | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Freddie Mac SLST | Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Freddie Mac SLST | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Freddie Mac SLST | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 3,786 | 3,926 |
Freddie Mac SLST | REO | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Freddie Mac SLST | Short-term debt | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | 0 |
Freddie Mac SLST | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 2,774 | 2,907 |
Freddie Mac SLST | Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | 0 |
Freddie Mac SLST | Asset-backed securities issued | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 991,766 | 993,748 |
Freddie Mac K-Series | ||
Variable Interest Entity [Line Items] | ||
Assets | 3,760,974 | 2,151,193 |
Liabilities | $ 3,553,879 | $ 2,025,314 |
Number of VIEs | investment | 4 | 3 |
Freddie Mac K-Series | Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 0 | $ 0 |
Freddie Mac K-Series | Multifamily loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 3,749,657 | 2,144,598 |
Freddie Mac K-Series | Other investments | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Freddie Mac K-Series | Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | |
Freddie Mac K-Series | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Freddie Mac K-Series | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 11,317 | 6,595 |
Freddie Mac K-Series | REO | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Freddie Mac K-Series | Short-term debt | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | 0 |
Freddie Mac K-Series | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 10,822 | 6,239 |
Freddie Mac K-Series | Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 0 | 0 |
Freddie Mac K-Series | Asset-backed securities issued | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 3,543,057 | 2,019,075 |
Servicing Investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 321,407 | 339,142 |
Liabilities | $ 254,506 | $ 281,815 |
Number of VIEs | investment | 3 | 3 |
Servicing Investment | Residential loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 0 | $ 0 |
Servicing Investment | Multifamily loans, held-for-investment | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Servicing Investment | Other investments | ||
Variable Interest Entity [Line Items] | ||
Assets | 274,617 | 312,688 |
Servicing Investment | Cash and cash equivalents | ||
Variable Interest Entity [Line Items] | ||
Assets | 19,393 | |
Servicing Investment | Restricted cash | ||
Variable Interest Entity [Line Items] | ||
Assets | 23,650 | 25,363 |
Servicing Investment | Accrued interest receivable | ||
Variable Interest Entity [Line Items] | ||
Assets | 3,747 | 1,091 |
Servicing Investment | REO | ||
Variable Interest Entity [Line Items] | ||
Assets | 0 | 0 |
Servicing Investment | Short-term debt | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 236,231 | 262,740 |
Servicing Investment | Accrued interest payable | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 321 | 483 |
Servicing Investment | Accrued expenses and other liabilities | ||
Variable Interest Entity [Line Items] | ||
Liabilities | 17,954 | 18,592 |
Servicing Investment | Asset-backed securities issued | ||
Variable Interest Entity [Line Items] | ||
Liabilities | $ 0 | $ 0 |
Summary of Significant Accounting Policies - Narrative (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Present value of remaining lease payments | $ 16,178 | |
Lease liability | 13,082 | $ 0 |
Right-of-use asset | 11,573 | $ 0 |
ASU 2016-02 | ||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||
Lease liability | 13,000 | |
Right-of-use asset | $ 12,000 |
Principles of Consolidation - Securitization Activity Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Variable Interest Entity [Line Items] | ||||
Principal balance of loans transferred | $ 400,836 | $ 1,127,665 | $ 749,093 | $ 2,408,133 |
Trading securities retained, at fair value | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | 1,792 | 33,757 | 3,508 | 46,248 |
AFS securities retained, at fair value | ||||
Variable Interest Entity [Line Items] | ||||
Securities retained, at fair value | $ 1,069 | $ 2,047 | $ 1,954 | $ 5,952 |
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
|||
---|---|---|---|---|---|
Assets | |||||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | $ 26,609 | $ 35,789 | ||
Liabilities | |||||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | (173,847) | (84,855) | ||
Total Liabilities | |||||
Gross Amounts of Recognized Assets (Liabilities) | (2,025,050) | (1,933,663) | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (2,025,050) | (1,933,663) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,871,628 | 1,881,142 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 152,167 | 48,317 | |||
Net Amount | (1,255) | (4,204) | |||
Interest rate agreements | |||||
Assets | |||||
Gross Amounts of Recognized Assets (Liabilities) | 19,258 | 28,211 | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 19,258 | 28,211 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (17,869) | (28,211) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | 0 | |||
Net Amount | 1,389 | 0 | |||
Liabilities | |||||
Gross Amounts of Recognized Assets (Liabilities) | (168,436) | (70,908) | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (168,436) | (70,908) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 17,869 | 28,211 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 150,567 | 42,697 | |||
Net Amount | 0 | 0 | |||
TBAs | |||||
Assets | |||||
Gross Amounts of Recognized Assets (Liabilities) | 1,784 | 4,665 | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 1,784 | 4,665 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (1,784) | (3,391) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | (835) | |||
Net Amount | 0 | 439 | |||
Liabilities | |||||
Gross Amounts of Recognized Assets (Liabilities) | (4,639) | (13,215) | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (4,639) | (13,215) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,784 | 3,391 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 1,600 | 5,620 | |||
Net Amount | (1,255) | (4,204) | |||
Interest Rate Agreement, TBAs, And Futures | |||||
Assets | |||||
Gross Amounts of Recognized Assets (Liabilities) | 21,042 | 32,876 | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 21,042 | 32,876 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (19,653) | (31,602) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | (835) | |||
Net Amount | 1,389 | 439 | |||
Loan warehouse debt | |||||
Loan warehouse debt and Security repurchase agreement | |||||
Gross Amounts of Recognized Assets (Liabilities) | (638,055) | (860,650) | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (638,055) | (860,650) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 638,055 | 860,650 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | 0 | |||
Security repurchase agreements | |||||
Loan warehouse debt and Security repurchase agreement | |||||
Gross Amounts of Recognized Assets (Liabilities) | (1,213,920) | (988,890) | |||
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (1,213,920) | (988,890) | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,213,920 | 988,890 | |||
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | 0 | |||
Net Amount | $ 0 | $ 0 | |||
|
Principles of Consolidation - Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Variable Interest Entity [Line Items] | ||||
Proceeds from new transfers | $ 410,281 | $ 1,104,094 | $ 762,652 | $ 2,393,781 |
MSR fees received | 3,105 | 3,397 | 6,165 | 6,811 |
Funding of compensating interest, net | (47) | (31) | (137) | (56) |
Cash flows received on retained securities | $ 6,743 | $ 7,410 | $ 14,289 | $ 14,453 |
Principles of Consolidation - Assumptions Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
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 | 16.00% | 10.00% | 16.00% | 9.00% |
Discount rates | 14.00% | 14.00% | 14.00% | 14.00% |
Credit loss assumptions | 0.20% | 0.20% | 0.20% | 0.20% |
Subordinate Securities | ||||
Fair Value Assumption, Date of Securitization or Asset-backed Financing Arrangement, Transferor's Continuing Involvement, Servicing Assets or Liabilities [Line Items] | ||||
Prepayment rates | 15.00% | 10.00% | 15.00% | 10.00% |
Discount rates | 7.00% | 5.00% | 7.00% | 5.00% |
Credit loss assumptions | 0.20% | 0.20% | 0.20% | 0.20% |
Principles of Consolidation - Summary of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | $ 303,145 | $ 349,997 |
Assets transferred: | ||
Principal balance of loans outstanding | 10,586,480 | 10,580,216 |
Principal balance of loans 30 days delinquent | 24,749 | 21,805 |
Interest-only, senior and subordinate securities, classified as trading | ||
On-balance sheet assets, at fair value: | ||
Securities | 121,825 | 129,111 |
Subordinate securities, classified as AFS | ||
On-balance sheet assets, at fair value: | ||
Securities | 136,310 | 162,314 |
Mortgage servicing rights | ||
On-balance sheet assets, at fair value: | ||
Securities | $ 45,010 | $ 58,572 |
Principles of Consolidation - Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands |
6 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Jun. 30, 2019 |
|
MSRs | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 58,572 | $ 45,010 |
Expected life (in years) | 8 years | 6 years |
Prepayment speed assumption (annual CPR) | 7.00% | 11.00% |
Decrease in fair value from: | ||
10% adverse change | $ 1,668 | $ 1,898 |
25% adverse change | $ 4,027 | $ 4,513 |
Discount rate assumption | 11.00% | 11.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 2,323 | $ 1,624 |
200 basis point increase | 4,493 | $ 3,135 |
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25.00% | |
Impact of increase in discount rate assumption | 1.00% | |
Impact of adverse change in expected credit losses | 25.00% | |
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 | $ 61,178 | $ 49,014 |
Expected life (in years) | 7 years | 6 years |
Prepayment speed assumption (annual CPR) | 10.00% | 12.00% |
Decrease in fair value from: | ||
10% adverse change | $ 2,151 | $ 1,905 |
25% adverse change | $ 5,127 | $ 4,857 |
Discount rate assumption | 12.00% | 13.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 2,190 | $ 1,310 |
200 basis point increase | $ 4,226 | $ 2,758 |
Credit loss assumption | 0.20% | 0.21% |
Decrease in fair value from: | ||
10% higher losses | $ 0 | $ 0 |
25% higher losses | 0 | $ 0 |
Impact of adverse change in prepayment speed | 25.00% | |
Impact of increase in discount rate assumption | 1.00% | |
Impact of adverse change in expected credit losses | 25.00% | |
Subordinate Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 230,247 | $ 209,121 |
Expected life (in years) | 15 years | 14 years |
Prepayment speed assumption (annual CPR) | 9.00% | 13.00% |
Decrease in fair value from: | ||
10% adverse change | $ 201 | $ 158 |
25% adverse change | $ 1,372 | $ 1,124 |
Discount rate assumption | 6.00% | 5.00% |
Decrease in fair value from: | ||
100 basis point increase | $ 21,982 | $ 20,756 |
200 basis point increase | $ 40,641 | $ 38,452 |
Credit loss assumption | 0.20% | 0.21% |
Decrease in fair value from: | ||
10% higher losses | $ 1,387 | $ 1,645 |
25% higher losses | $ 3,471 | $ 4,112 |
Impact of adverse change in prepayment speed | 25.00% | |
Impact of increase in discount rate assumption | 1.00% | |
Impact of adverse change in expected credit losses | 25.00% |
Principles of Consolidation - Summary of Redwood's Interest in Third-Party Variable Interest Entity's (Details) - REO - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Variable Interest Entity [Line Items] | ||
Assets | $ 1,237,576 | $ 1,176,161 |
Senior | ||
Variable Interest Entity [Line Items] | ||
Assets | 166,184 | 185,107 |
Mezzanine | ||
Variable Interest Entity [Line Items] | ||
Assets | 679,908 | 547,249 |
Subordinate | ||
Variable Interest Entity [Line Items] | ||
Assets | 373,260 | 428,713 |
Total Mortgage-Backed Securities | ||
Variable Interest Entity [Line Items] | ||
Assets | 1,219,352 | 1,161,069 |
Excess MSR | ||
Variable Interest Entity [Line Items] | ||
Assets | $ 18,224 | $ 15,092 |
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
|||
---|---|---|---|---|---|
Assets | |||||
Trading securities | $ 1,205,389 | $ 1,118,612 | |||
Available-for-sale securities | 272,097 | 333,882 | |||
MSRs | 236,632 | 286,778 | |||
Derivative assets | [1] | 26,609 | 35,789 | ||
Pledged collateral | 42,913 | 42,433 | |||
Liabilities | |||||
Contingent consideration | 24,932 | 0 | |||
Derivative liabilities | [1] | 173,847 | 84,855 | ||
Residential Loans | |||||
Assets | |||||
MSRs | 259,222 | 300,468 | |||
Carrying Value | |||||
Assets | |||||
Trading securities | 1,205,389 | 1,118,612 | |||
Available-for-sale securities | 272,097 | 333,882 | |||
Cash and cash equivalents | 218,145 | 175,764 | |||
Restricted cash | 33,953 | 29,313 | |||
Accrued interest receivable | 54,265 | 47,105 | |||
Derivative assets | 26,609 | 35,789 | |||
Margin receivable | 211,199 | 100,773 | |||
FHLBC stock | 43,393 | 43,393 | |||
Guarantee asset | 1,999 | 2,618 | |||
Pledged collateral | 42,913 | 42,433 | |||
Liabilities | |||||
Accrued interest payable | 47,092 | 42,528 | |||
Margin payable | 0 | 835 | |||
Guarantee obligation | 15,744 | 16,711 | |||
Contingent consideration | 24,932 | 0 | |||
Derivative liabilities | 173,847 | 84,855 | |||
ABS issued at fair value | 6,913,129 | 5,410,073 | |||
FHLBC long-term borrowings | 1,999,999 | 1,999,999 | |||
Convertible notes, net | 634,805 | 633,196 | |||
Trust preferred securities and subordinated notes, net | 138,605 | 138,582 | |||
Carrying Value | Servicer advance investments | |||||
Assets | |||||
MSRs | 259,222 | 300,468 | |||
Carrying Value | MSRs | |||||
Assets | |||||
MSRs | 47,396 | 60,281 | |||
Carrying Value | Participation in loan warehouse facility | |||||
Assets | |||||
Loans receivable, fair value | 0 | 39,703 | |||
Carrying Value | Excess MSRs | |||||
Assets | |||||
REO | 33,620 | 27,312 | |||
Carrying Value | REO | |||||
Assets | |||||
REO | 6,305 | 3,943 | |||
Carrying Value | Short-term debt facilities | |||||
Liabilities | |||||
Short-term debt facilities | 2,026,418 | 1,937,920 | |||
Carrying Value | Short-term debt - servicer advance financing | |||||
Liabilities | |||||
Short-term debt facilities | 236,231 | 262,740 | |||
Carrying Value | Residential Loans | Residential loans, at fair value | |||||
Assets | |||||
Loans, held-for-sale | 1,056,178 | 1,048,690 | |||
Carrying Value | Residential Loans | Residential loans, held-for-sale, At lower of cost or fair value | |||||
Assets | |||||
Loans, held-for-sale | 109 | 111 | |||
Carrying Value | Residential Loans | Residential loans, held-for-investment | |||||
Assets | |||||
Loans receivable, fair value | 6,227,078 | 6,205,941 | |||
Carrying Value | Residential Loans | Business purpose residential loans | |||||
Assets | |||||
Loans receivable, fair value | 250,854 | 141,258 | |||
Carrying Value | Residential Loans | Multifamily loans | |||||
Assets | |||||
Loans receivable, fair value | 3,749,657 | 2,144,598 | |||
Fair Value | |||||
Assets | |||||
Trading securities | 1,205,389 | 1,118,612 | |||
Available-for-sale securities | 272,097 | 333,882 | |||
Cash and cash equivalents | 218,145 | 175,764 | |||
Restricted cash | 33,953 | 29,313 | |||
Accrued interest receivable | 54,265 | 47,105 | |||
Derivative assets | 26,609 | 35,789 | |||
Margin receivable | 211,199 | 100,773 | |||
FHLBC stock | 43,393 | 43,393 | |||
Guarantee asset | 1,999 | 2,618 | |||
Pledged collateral | 42,913 | 42,433 | |||
Liabilities | |||||
Accrued interest payable | 47,092 | 42,528 | |||
Margin payable | 0 | 835 | |||
Guarantee obligation | 15,456 | 16,774 | |||
Contingent consideration | 24,932 | 0 | |||
Derivative liabilities | 173,847 | 84,855 | |||
ABS issued at fair value | 6,913,129 | 5,410,073 | |||
FHLBC long-term borrowings | 1,999,999 | 1,999,999 | |||
Convertible notes, net | 639,849 | 618,271 | |||
Trust preferred securities and subordinated notes, net | 97,650 | 102,533 | |||
Fair Value | Servicer advance investments | |||||
Assets | |||||
MSRs | 259,222 | 300,468 | |||
Fair Value | MSRs | |||||
Assets | |||||
MSRs | 47,396 | 60,281 | |||
Fair Value | Participation in loan warehouse facility | |||||
Assets | |||||
Loans receivable, fair value | 0 | 39,703 | |||
Fair Value | Excess MSRs | |||||
Assets | |||||
REO | 33,620 | 27,312 | |||
Fair Value | REO | |||||
Assets | |||||
REO | 6,509 | 4,396 | |||
Fair Value | Short-term debt facilities | |||||
Liabilities | |||||
Short-term debt facilities | 2,026,418 | 1,937,920 | |||
Fair Value | Short-term debt - servicer advance financing | |||||
Liabilities | |||||
Short-term debt facilities | 236,231 | 262,740 | |||
Fair Value | Residential Loans | Residential loans, at fair value | |||||
Assets | |||||
Loans, held-for-sale | 1,056,178 | 1,048,690 | |||
Fair Value | Residential Loans | Residential loans, held-for-sale, At lower of cost or fair value | |||||
Assets | |||||
Loans, held-for-sale | 128 | 131 | |||
Fair Value | Residential Loans | Residential loans, held-for-investment | |||||
Assets | |||||
Loans receivable, fair value | 6,227,078 | 6,205,941 | |||
Fair Value | Residential Loans | Business purpose residential loans | |||||
Assets | |||||
Loans receivable, fair value | 250,854 | 141,258 | |||
Fair Value | Residential Loans | Multifamily loans | |||||
Assets | |||||
Loans receivable, fair value | $ 3,749,657 | $ 2,144,598 | |||
|
Fair Value of Financial Instruments - Additional Information (Details) |
3 Months Ended | 6 Months Ended |
---|---|---|
Jun. 30, 2019
USD ($)
|
Jun. 30, 2019
USD ($)
|
|
Residential loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 1,530,000,000 | $ 2,530,000,000 |
Business purpose residential loans, at fair value | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 112,000,000 | $ 177,000,000 |
Real estate securities | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Dealer marks of securities (as a percent) | 88.00% | 88.00% |
Carrying value for which dealer quotes have been received (as a percent) | 96.00% | 96.00% |
Difference of internal valuation than dealer marks (as a percent) | 1.00% | 1.00% |
Residential Senior Securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 2,000,000 | $ 34,000,000 |
Residential Subordinate Securities | Subordinate Securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 86,000,000 | 206,000,000 |
Servicer advance investments | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 0 | 69,000,000 |
Excess MSR | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | $ 5,000,000 | $ 7,000,000 |
Mortgage servicing rights | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Difference of internal valuation than dealer marks (as a percent) | 2.00% | 2.00% |
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
|||
---|---|---|---|---|---|
Assets | |||||
Trading securities | $ 1,205,389 | $ 1,118,612 | |||
Available-for-sale securities | 272,097 | 333,882 | |||
MSRs | 236,632 | 286,778 | |||
Derivative assets | [1] | 26,609 | 35,789 | ||
Pledged collateral | 42,913 | 42,433 | |||
Liabilities | |||||
Contingent consideration | 24,932 | 0 | |||
Derivative liabilities | [1] | 173,847 | 84,855 | ||
Fair Value, Measurements, Recurring | |||||
Assets | |||||
Business purpose residential loans | 250,854 | 141,258 | |||
Multifamily loans | 3,749,657 | 2,144,598 | |||
Trading securities | 1,205,389 | 1,118,612 | |||
Available-for-sale securities | 272,097 | 333,882 | |||
Servicer advance investments | 259,222 | 300,468 | |||
MSRs | 47,396 | 60,281 | |||
Excess MSRs | 33,620 | 27,312 | |||
Derivative assets | 26,609 | 35,789 | |||
Pledged collateral | 42,913 | 42,433 | |||
FHLBC stock | 43,393 | 43,393 | |||
Guarantee asset | 1,999 | 2,618 | |||
Liabilities | |||||
Contingent consideration | 24,932 | ||||
Derivative liabilities | 173,847 | 84,855 | |||
ABS issued | 6,913,129 | 5,410,073 | |||
Fair Value, Measurements, Recurring | Residential Loans | |||||
Assets | |||||
Residential loans | 7,283,256 | 7,254,631 | |||
Fair Value, Measurements, Recurring | Level 1 | |||||
Assets | |||||
Business purpose residential loans | 0 | 0 | |||
Multifamily loans | 0 | 0 | |||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Servicer advance investments | 0 | 0 | |||
MSRs | 0 | 0 | |||
Excess MSRs | 0 | 0 | |||
Derivative assets | 1,784 | 4,665 | |||
Pledged collateral | 42,913 | 42,433 | |||
FHLBC stock | 0 | 0 | |||
Guarantee asset | 0 | 0 | |||
Liabilities | |||||
Contingent consideration | 0 | ||||
Derivative liabilities | 4,639 | 13,215 | |||
ABS issued | 0 | 0 | |||
Fair Value, Measurements, Recurring | Level 1 | Residential Loans | |||||
Assets | |||||
Residential loans | 0 | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | |||||
Assets | |||||
Business purpose residential loans | 0 | 0 | |||
Multifamily loans | 0 | 0 | |||
Trading securities | 0 | 0 | |||
Available-for-sale securities | 0 | 0 | |||
Servicer advance investments | 0 | 0 | |||
MSRs | 0 | 0 | |||
Excess MSRs | 0 | 0 | |||
Derivative assets | 19,258 | 28,211 | |||
Pledged collateral | 0 | 0 | |||
FHLBC stock | 43,393 | 43,393 | |||
Guarantee asset | 0 | 0 | |||
Liabilities | |||||
Contingent consideration | 0 | ||||
Derivative liabilities | 168,436 | 70,908 | |||
ABS issued | 0 | 0 | |||
Fair Value, Measurements, Recurring | Level 2 | Residential Loans | |||||
Assets | |||||
Residential loans | 0 | 0 | |||
Fair Value, Measurements, Recurring | Level 3 | |||||
Assets | |||||
Business purpose residential loans | 250,854 | 141,258 | |||
Multifamily loans | 3,749,657 | 2,144,598 | |||
Trading securities | 1,205,389 | 1,118,612 | |||
Available-for-sale securities | 272,097 | 333,882 | |||
Servicer advance investments | 259,222 | 300,468 | |||
MSRs | 47,396 | 60,281 | |||
Excess MSRs | 33,620 | 27,312 | |||
Derivative assets | 5,567 | 2,913 | |||
Pledged collateral | 0 | 0 | |||
FHLBC stock | 0 | 0 | |||
Guarantee asset | 1,999 | 2,618 | |||
Liabilities | |||||
Contingent consideration | 24,932 | ||||
Derivative liabilities | 772 | 732 | |||
ABS issued | 6,913,129 | 5,410,073 | |||
Fair Value, Measurements, Recurring | Level 3 | Residential Loans | |||||
Assets | |||||
Residential loans | $ 7,283,256 | $ 7,254,631 | |||
|
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) $ in Thousands |
6 Months Ended |
---|---|
Jun. 30, 2019
USD ($)
| |
Contingent Consideration | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2018 | $ 0 |
Acquisitions | 24,621 |
Principal paydowns | 0 |
Gains (losses) in net income, net | 311 |
Other settlements, net | 0 |
Ending Balance - June 30, 2019 | 24,932 |
ABS Issued | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning balance - December 31, 2018 | 5,410,073 |
Acquisitions | 1,738,537 |
Principal paydowns | (416,791) |
Gains (losses) in net income, net | 181,310 |
Other settlements, net | 0 |
Ending Balance - June 30, 2019 | 6,913,129 |
Residential Loans | |
Assets | |
Beginning balance | 7,254,631 |
Acquisitions | 2,583,951 |
Originations | 0 |
Sales | (2,088,273) |
Principal paydowns | (614,975) |
Gains (losses) in net income, net | 147,969 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | (47) |
Ending balance | 7,283,256 |
Business purpose residential loans, at fair value | |
Assets | |
Beginning balance | 141,258 |
Acquisitions | 29,093 |
Originations | 169,562 |
Sales | (43,548) |
Principal paydowns | (43,931) |
Gains (losses) in net income, net | 3,416 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | (4,996) |
Ending balance | 250,854 |
Multifamily loans, held-for-investment, at fair value | |
Assets | |
Beginning balance | 2,144,598 |
Acquisitions | 1,481,554 |
Originations | 0 |
Sales | 0 |
Principal paydowns | (7,516) |
Gains (losses) in net income, net | 131,021 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 3,749,657 |
Trading securities | |
Assets | |
Beginning balance | 1,118,612 |
Acquisitions | 240,478 |
Originations | 0 |
Sales | (174,216) |
Principal paydowns | (14,836) |
Gains (losses) in net income, net | 40,302 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | (4,951) |
Ending balance | 1,205,389 |
AFS Securities | |
Assets | |
Beginning balance | 333,882 |
Acquisitions | 8,954 |
Originations | 0 |
Sales | (67,001) |
Principal paydowns | (24,207) |
Gains (losses) in net income, net | 17,503 |
Unrealized losses in OCI, net | 2,966 |
Other settlements, net | 0 |
Ending balance | 272,097 |
Servicer Advance Investments | |
Assets | |
Beginning balance | 300,468 |
Acquisitions | 68,976 |
Originations | 0 |
Sales | 0 |
Principal paydowns | (111,662) |
Gains (losses) in net income, net | 1,440 |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 259,222 |
MSRs | |
Assets | |
Beginning balance | 60,281 |
Acquisitions | 868 |
Originations | 0 |
Sales | 0 |
Principal paydowns | 0 |
Gains (losses) in net income, net | (13,753) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 47,396 |
Excess MSRs | |
Assets | |
Beginning balance | 27,312 |
Acquisitions | 6,810 |
Originations | 0 |
Sales | 0 |
Principal paydowns | 0 |
Gains (losses) in net income, net | (502) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 33,620 |
Guarantee Asset | |
Assets | |
Beginning balance | 2,618 |
Acquisitions | 0 |
Originations | 0 |
Sales | 0 |
Principal paydowns | 0 |
Gains (losses) in net income, net | (619) |
Unrealized losses in OCI, net | 0 |
Other settlements, net | 0 |
Ending balance | 1,999 |
Derivatives | |
Assets | |
Beginning balance | 2,181 |
Acquisitions | 0 |
Principal paydowns | 0 |
Gains (losses) in net income, net | 28,908 |
Other settlements, net | (26,294) |
Ending balance | $ 4,795 |
Fair Value of Financial Instruments - Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held Included in Net Income (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Loan purchase commitments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 liabilities still held included in net income | $ (756) | $ (4,646) | $ (772) | $ (4,687) |
ABS Issued | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 liabilities still held included in net income | (121,127) | (279) | (181,310) | (21,014) |
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 | 48,575 | (12,981) | 80,615 | (51,029) |
Held-for-investment at fair value | Residential loans at consolidated Sequoia entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 6,772 | 367 | 21,243 | 20,914 |
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 | 31,477 | 0 | 55,005 | 0 |
Business purpose residential loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 3,038 | 0 | 4,032 | 0 |
Multifamily loans | Freddie Mac K-Series | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 96,649 | 0 | 131,020 | 0 |
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 | 17,771 | (1,989) | 38,658 | (6,011) |
Available-for-sale 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 | 0 | (56) | 0 | (56) |
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 | 432 | 0 | 1,440 | 0 |
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 | (7,334) | 689 | (11,518) | 4,610 |
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 | (66) | 0 | (502) | 0 |
Loan purchase commitments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 5,534 | 2,835 | 5,567 | 2,901 |
Guarantee Asset | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | $ (277) | $ (120) | $ (196) | $ 66 |
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring - REO $ in Thousands |
3 Months Ended | 6 Months Ended |
---|---|---|
Jun. 30, 2019
USD ($)
|
Jun. 30, 2019
USD ($)
|
|
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
REO | $ 5,732 | $ 5,732 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (150) | (422) |
Level 1 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
REO | 0 | 0 |
Level 2 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
REO | 0 | 0 |
Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
REO | $ 5,732 | $ 5,732 |
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total other income, net | $ 1,654 | $ 1,874 | $ 1,911 | $ 2,830 |
Gain on re-measurement of 5 Arches investment | 0 | 0 | 2,441 | 0 |
Total Market Valuation Gains, Net | 16,732 | 8,536 | 48,172 | 34,136 |
Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 15,730 | 9,514 | 27,420 | 35,752 |
Mortgage Banking Activities, Net | Residential loans, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 3,379 | 6,122 | 6,912 | 10,896 |
Mortgage Banking Activities, Net | Residential loan purchase and forward sale commitments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 16,888 | (2,758) | 28,199 | (9,726) |
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] | ||||
Market valuations gains and losses, net | 1,313 | 0 | 2,917 | 0 |
Mortgage Banking Activities, Net | Single-family rental loan purchase commitments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 569 | 0 | 709 | 0 |
Mortgage Banking Activities, Net | Residential bridge loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 1,012 | 0 | 1,098 | 0 |
Mortgage Banking Activities, Net | Risk management derivatives, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (7,431) | 6,150 | (12,415) | 34,582 |
Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 3,138 | 889 | 23,297 | 2,498 |
Investment Fair Value Changes, Net | Risk management derivatives, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (64,740) | 16,742 | (107,115) | 60,524 |
Investment Fair Value Changes, Net | Residential loans held-for-investment, at Redwood | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 35,548 | (15,010) | 63,656 | (53,995) |
Investment Fair Value Changes, Net | Residential bridge loans held-for-investment | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (318) | 0 | (621) | 0 |
Investment Fair Value Changes, Net | Trading securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 18,442 | (930) | 40,302 | (3,885) |
Investment Fair Value Changes, Net | Servicer advance investments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 432 | 0 | 1,440 | 0 |
Investment Fair Value Changes, Net | Excess MSRs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (65) | 0 | (502) | 0 |
Investment Fair Value Changes, Net | REO | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (139) | 0 | (139) | 0 |
Investment Fair Value Changes, Net | Legacy Sequoia | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (123) | (720) | (497) | (728) |
Investment Fair Value Changes, Net | Sequoia Choice | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 2,879 | 1,072 | 6,144 | 986 |
Investment Fair Value Changes, Net | Freddie Mac SLST | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 8,037 | 0 | 14,402 | 0 |
Investment Fair Value Changes, Net | Freddie Mac K-Series | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 3,246 | 0 | 6,365 | 0 |
Investment Fair Value Changes, Net | Risk-sharing investments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | (61) | (209) | (138) | (348) |
Investment Fair Value Changes, Net | Impairments on AFS securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Market valuations gains and losses, net | 0 | (56) | 0 | (56) |
Other Income (Expense), Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total other income, net | (2,136) | (1,867) | (2,545) | (4,114) |
Other Income (Expense), Net | Risk management derivatives, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total other income, net | 6,517 | (1,122) | 8,768 | (6,261) |
Gain on re-measurement of 5 Arches investment | 0 | 0 | 2,440 | 0 |
Other Income (Expense), Net | MSRs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total other income, net | $ (8,653) | $ (745) | $ (13,753) | $ 2,147 |
Fair Value of Financial Instruments - Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value (Details) $ in Thousands |
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2019
USD ($)
|
Jun. 30, 2019 |
Jun. 30, 2019
$ / loan
|
Dec. 31, 2018
USD ($)
|
|
Liabilities | ||||
Contingent consideration | $ | $ 24,932 | $ 0 | ||
ABS Issued | ||||
Liabilities | ||||
ABS issued | $ | 2,378,306 | |||
ABS Issued | Prepayment rate (annual CPR) | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.08 | |||
ABS Issued | Prepayment rate (annual CPR) | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.49 | |||
ABS Issued | Prepayment rate (annual CPR) | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.19 | |||
ABS Issued | Discount rate | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.03 | |||
ABS Issued | Discount rate | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.15 | |||
ABS Issued | Discount rate | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.04 | |||
ABS Issued | Default rate | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0 | |||
ABS Issued | Default rate | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.09 | |||
ABS Issued | Default rate | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.02 | |||
ABS Issued | Loss severity | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.20 | |||
ABS Issued | Loss severity | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.22 | |||
ABS Issued | Loss severity | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.21 | |||
Freddie Mac SLST | ||||
Liabilities | ||||
ABS issued | $ | 991,766 | |||
Freddie Mac SLST | Prepayment rate (annual CPR) | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.06 | |||
Freddie Mac SLST | Prepayment rate (annual CPR) | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.06 | |||
Freddie Mac SLST | Prepayment rate (annual CPR) | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.06 | |||
Freddie Mac SLST | Discount rate | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.03 | |||
Freddie Mac SLST | Discount rate | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.08 | |||
Freddie Mac SLST | Discount rate | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.03 | |||
Freddie Mac SLST | Default rate | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.02 | |||
Freddie Mac SLST | Default rate | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.02 | |||
Freddie Mac SLST | Default rate | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.02 | |||
Freddie Mac SLST | Loss severity | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.30 | |||
Freddie Mac SLST | Loss severity | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.30 | |||
Freddie Mac SLST | Loss severity | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.30 | |||
Freddie Mac K-Series | ||||
Liabilities | ||||
ABS issued | $ | 3,543,057 | |||
Freddie Mac K-Series | Prepayment rate (annual CPR) | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0 | |||
Freddie Mac K-Series | Prepayment rate (annual CPR) | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0 | |||
Freddie Mac K-Series | Prepayment rate (annual CPR) | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0 | |||
Freddie Mac K-Series | Discount rate | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.02 | |||
Freddie Mac K-Series | Discount rate | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.09 | |||
Freddie Mac K-Series | Discount rate | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.03 | |||
Freddie Mac K-Series | Default rate | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.01 | |||
Freddie Mac K-Series | Default rate | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.01 | |||
Freddie Mac K-Series | Default rate | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.01 | |||
Freddie Mac K-Series | Loss severity | Minimum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.20 | |||
Freddie Mac K-Series | Loss severity | Maximum | ||||
Liabilities | ||||
ABS issued, measurement input | 0.20 | |||
Freddie Mac K-Series | Loss severity | Weighted Average | ||||
Liabilities | ||||
ABS issued, measurement input | 0.20 | |||
Loan purchase commitments | ||||
Assets | ||||
Loan purchase commitments, net | $ | 4,707 | |||
Loan purchase commitments | Prepayment rate (annual CPR) | Minimum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.15 | |||
Loan purchase commitments | Prepayment rate (annual CPR) | Maximum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.20 | |||
Loan purchase commitments | Prepayment rate (annual CPR) | Weighted Average | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.18 | |||
Loan purchase commitments | Whole loan spread to TBA price | Minimum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.61 | |||
Loan purchase commitments | Whole loan spread to TBA price | Maximum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 1.55 | |||
Loan purchase commitments | Whole loan spread to TBA price | Weighted Average | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 1.54 | |||
Loan purchase commitments | MSR multiple | Minimum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.7 | |||
Loan purchase commitments | MSR multiple | Maximum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 4.6 | |||
Loan purchase commitments | MSR multiple | Weighted Average | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 2.2 | |||
Loan purchase commitments | Pull-through rate | Minimum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.07 | |||
Loan purchase commitments | Pull-through rate | Maximum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 1 | |||
Loan purchase commitments | Pull-through rate | Weighted Average | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.70 | |||
Loan purchase commitments | Mortgage servicing amount | Minimum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.0095 | 0.0006 | ||
Loan purchase commitments | Mortgage servicing amount | Maximum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.0365 | 0.0014 | ||
Loan purchase commitments | Mortgage servicing amount | Weighted Average | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.0228 | 0.001 | ||
Loan purchase commitments | Whole loan spread to swap - hybrid | Minimum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.0085 | |||
Loan purchase commitments | Whole loan spread to swap - hybrid | Maximum | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.0345 | |||
Loan purchase commitments | Whole loan spread to swap - hybrid | Weighted Average | ||||
Assets | ||||
Loan purchase commitments, net, measurement input | 0.0129 | |||
Contingent consideration | ||||
Liabilities | ||||
Contingent consideration | $ | 24,932 | |||
Contingent consideration | Discount rate | Minimum | ||||
Liabilities | ||||
Contingent consideration, measurement input | 0.23 | |||
Contingent consideration | Discount rate | Maximum | ||||
Liabilities | ||||
Contingent consideration, measurement input | 0.23 | |||
Contingent consideration | Discount rate | Weighted Average | ||||
Liabilities | ||||
Contingent consideration, measurement input | 0.23 | |||
Contingent consideration | Probability of outcomes | Minimum | ||||
Liabilities | ||||
Contingent consideration, measurement input | 0 | |||
Contingent consideration | Probability of outcomes | Maximum | ||||
Liabilities | ||||
Contingent consideration, measurement input | 1 | |||
Contingent consideration | Probability of outcomes | Weighted Average | ||||
Liabilities | ||||
Contingent consideration, measurement input | 0.90 | |||
Jumbo fixed-rate loans | ||||
Assets | ||||
Residential loans, at fair value | $ | 2,724,429 | |||
Jumbo fixed-rate loans | Prepayment rate (annual CPR) | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 0.20 | |||
Jumbo fixed-rate loans | Prepayment rate (annual CPR) | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 0.20 | |||
Jumbo fixed-rate loans | Prepayment rate (annual CPR) | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 0.20 | |||
Jumbo fixed-rate loans | Whole loan spread to TBA price | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 1.55 | |||
Jumbo fixed-rate loans | Whole loan spread to TBA price | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 1.55 | |||
Jumbo fixed-rate loans | Whole loan spread to TBA price | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 1.55 | |||
Jumbo fixed-rate loans | Whole loan spread to swap rate | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 0.0080 | |||
Jumbo fixed-rate loans | Whole loan spread to swap rate | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 0.0365 | |||
Jumbo fixed-rate loans | Whole loan spread to swap rate | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 0.0180 | |||
Jumbo hybrid loans | ||||
Assets | ||||
Residential loans, at fair value | $ | 344,151 | |||
Jumbo hybrid loans | Prepayment rate (annual CPR) | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 0.15 | |||
Jumbo hybrid loans | Prepayment rate (annual CPR) | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 0.15 | |||
Jumbo hybrid loans | Prepayment rate (annual CPR) | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 0.15 | |||
Jumbo hybrid loans | Whole loan spread to swap rate | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 0.0065 | |||
Jumbo hybrid loans | Whole loan spread to swap rate | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 0.0360 | |||
Jumbo hybrid loans | Whole loan spread to swap rate | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 0.0141 | |||
Jumbo loans committed to sell | ||||
Assets | ||||
Residential loans, at fair value | $ | 374,481 | |||
Jumbo loans committed to sell | Whole loan committed sales price | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 101.84 | |||
Jumbo loans committed to sell | Whole loan committed sales price | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 103.08 | |||
Jumbo loans committed to sell | Whole loan committed sales price | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 102.12 | |||
Legacy Sequoia | ||||
Assets | ||||
Residential loans, at fair value | $ | 457,750 | |||
Sequoia Choice | ||||
Assets | ||||
Residential loans, at fair value | $ | 2,147,356 | |||
Freddie Mac SLST | ||||
Assets | ||||
Residential loans, at fair value | $ | 1,235,089 | |||
Business purpose residential loans, at fair value | ||||
Assets | ||||
Residential loans, at fair value | $ | 91,501 | |||
Business purpose residential loans, at fair value | Prepayment rate (annual CPR) | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 0.02 | |||
Business purpose residential loans, at fair value | Prepayment rate (annual CPR) | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 0.10 | |||
Business purpose residential loans, at fair value | Prepayment rate (annual CPR) | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 0.05 | |||
Business purpose residential loans, at fair value | Discount rate | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 0.12 | |||
Business purpose residential loans, at fair value | Discount rate | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 0.12 | |||
Business purpose residential loans, at fair value | Discount rate | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 0.12 | |||
Business purpose residential loans, at fair value | Senior credit spread | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 0.0095 | |||
Business purpose residential loans, at fair value | Senior credit spread | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 0.0095 | |||
Business purpose residential loans, at fair value | Senior credit spread | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 0.0095 | |||
Business purpose residential loans, at fair value | Subordinate credit spread | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 0.0140 | |||
Business purpose residential loans, at fair value | Subordinate credit spread | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 0.1200 | |||
Business purpose residential loans, at fair value | Subordinate credit spread | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 0.0306 | |||
Business purpose residential loans, at fair value | Senior credit support | Minimum | ||||
Assets | ||||
MSR, measurement input | 0.35 | |||
Business purpose residential loans, at fair value | Senior credit support | Maximum | ||||
Assets | ||||
MSR, measurement input | 0.35 | |||
Business purpose residential loans, at fair value | Senior credit support | Weighted Average | ||||
Assets | ||||
MSR, measurement input | 0.35 | |||
Residential bridge loans | ||||
Assets | ||||
Residential loans, at fair value | $ | 159,353 | |||
Residential bridge loans | Discount rate | Minimum | ||||
Assets | ||||
Residential loans, measurement input | 0.07 | |||
Residential bridge loans | Discount rate | Maximum | ||||
Assets | ||||
Residential loans, measurement input | 0.08 | |||
Residential bridge loans | Discount rate | Weighted Average | ||||
Assets | ||||
Residential loans, measurement input | 0.07 | |||
Freddie Mac K-Series | ||||
Assets | ||||
Residential loans, at fair value | $ | 3,749,657 | |||
Trading and AFS securities | ||||
Assets | ||||
Trading and AFS securities | $ | 1,477,486 | |||
Trading and AFS securities | Prepayment rate (annual CPR) | Minimum | ||||
Assets | ||||
Trading and AFS securities | 0 | |||
Trading and AFS securities | Prepayment rate (annual CPR) | Maximum | ||||
Assets | ||||
Trading and AFS securities | 0.60 | |||
Trading and AFS securities | Prepayment rate (annual CPR) | Weighted Average | ||||
Assets | ||||
Trading and AFS securities | 0.10 | |||
Trading and AFS securities | Discount rate | Minimum | ||||
Assets | ||||
Trading and AFS securities | 0.03 | |||
Trading and AFS securities | Discount rate | Maximum | ||||
Assets | ||||
Trading and AFS securities | 0.14 | |||
Trading and AFS securities | Discount rate | Weighted Average | ||||
Assets | ||||
Trading and AFS securities | 0.05 | |||
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 | 0.20 | |||
Trading and AFS securities | Default rate | Weighted Average | ||||
Assets | ||||
Trading and AFS securities | 0.02 | |||
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 | 0.40 | |||
Trading and AFS securities | Loss severity | Weighted Average | ||||
Assets | ||||
Trading and AFS securities | 0.21 | |||
Servicer advance investments | ||||
Assets | ||||
Mortgage servicing rights | $ | $ 259,222 | |||
Servicer advance investments | Minimum | ||||
Assets | ||||
Expected remaining life | 2 years | |||
Servicer advance investments | Maximum | ||||
Assets | ||||
Expected remaining life | 2 years | |||
Servicer advance investments | Weighted Average | ||||
Assets | ||||
Expected remaining life | 2 years | |||
Servicer advance investments | Prepayment rate (annual CPR) | Minimum | ||||
Assets | ||||
MSR, measurement input | 0.08 | |||
Servicer advance investments | Prepayment rate (annual CPR) | Maximum | ||||
Assets | ||||
MSR, measurement input | 0.15 | |||
Servicer advance investments | Prepayment rate (annual CPR) | Weighted Average | ||||
Assets | ||||
MSR, measurement input | 0.14 | |||
Servicer advance investments | Discount rate | Minimum | ||||
Assets | ||||
MSR, measurement input | 0.04 | |||
Servicer advance investments | Discount rate | Maximum | ||||
Assets | ||||
MSR, measurement input | 0.04 | |||
Servicer advance investments | Discount rate | Weighted Average | ||||
Assets | ||||
MSR, measurement input | 0.04 | |||
MSRs | ||||
Assets | ||||
Mortgage servicing rights | $ | $ 47,396 | |||
MSRs | Prepayment rate (annual CPR) | Minimum | ||||
Assets | ||||
MSR, measurement input | 0.05 | |||
MSRs | Prepayment rate (annual CPR) | Maximum | ||||
Assets | ||||
MSR, measurement input | 0.45 | |||
MSRs | Prepayment rate (annual CPR) | Weighted Average | ||||
Assets | ||||
MSR, measurement input | 0.12 | |||
MSRs | Discount rate | Minimum | ||||
Assets | ||||
MSR, measurement input | 0.11 | |||
MSRs | Discount rate | Maximum | ||||
Assets | ||||
MSR, measurement input | 0.17 | |||
MSRs | Discount rate | Weighted Average | ||||
Assets | ||||
MSR, measurement input | 0.11 | |||
MSRs | Per loan annual cost to service | Minimum | ||||
Assets | ||||
MSR, measurement input | 82 | |||
MSRs | Per loan annual cost to service | Maximum | ||||
Assets | ||||
MSR, measurement input | 82 | |||
MSRs | Per loan annual cost to service | Weighted Average | ||||
Assets | ||||
MSR, measurement input | 82 | |||
Excess MSRs | ||||
Assets | ||||
Mortgage servicing rights | $ | 33,620 | |||
Excess MSRs | Prepayment rate (annual CPR) | Minimum | ||||
Assets | ||||
MSR, measurement input | 0.08 | |||
Excess MSRs | Prepayment rate (annual CPR) | Maximum | ||||
Assets | ||||
MSR, measurement input | 0.14 | |||
Excess MSRs | Prepayment rate (annual CPR) | Weighted Average | ||||
Assets | ||||
MSR, measurement input | 0.11 | |||
Excess MSRs | Discount rate | Minimum | ||||
Assets | ||||
MSR, measurement input | 0.11 | |||
Excess MSRs | Discount rate | Maximum | ||||
Assets | ||||
MSR, measurement input | 0.16 | |||
Excess MSRs | Discount rate | Weighted Average | ||||
Assets | ||||
MSR, measurement input | 0.14 | |||
Excess MSRs | Excess mortgage servicing income | Minimum | ||||
Assets | ||||
MSR, measurement input | 0.0007 | |||
Excess MSRs | Excess mortgage servicing income | Maximum | ||||
Assets | ||||
MSR, measurement input | 0.0017 | |||
Excess MSRs | Excess mortgage servicing income | Weighted Average | ||||
Assets | ||||
MSR, measurement input | 0.0012 | |||
Guarantee asset | ||||
Assets | ||||
Guarantee asset | $ | 1,999 | |||
Guarantee asset | Prepayment rate (annual CPR) | Minimum | ||||
Assets | ||||
Guarantee asset | 0.15 | |||
Guarantee asset | Prepayment rate (annual CPR) | Maximum | ||||
Assets | ||||
Guarantee asset | 0.15 | |||
Guarantee asset | Prepayment rate (annual CPR) | Weighted Average | ||||
Assets | ||||
Guarantee asset | 0.15 | |||
Guarantee asset | Discount rate | Minimum | ||||
Assets | ||||
Guarantee asset | 0.11 | |||
Guarantee asset | Discount rate | Maximum | ||||
Assets | ||||
Guarantee asset | 0.11 | |||
Guarantee asset | Discount rate | Weighted Average | ||||
Assets | ||||
Guarantee asset | 0.11 | |||
REO | ||||
Assets | ||||
REO | $ | $ 5,732 | |||
REO | Loss severity | Minimum | ||||
Assets | ||||
REO, measurement input | 0.03 | |||
REO | Loss severity | Maximum | ||||
Assets | ||||
REO, measurement input | 0.52 | |||
REO | Loss severity | Weighted Average | ||||
Assets | ||||
REO, measurement input | 0.07 |
Residential Loans - Summary of Classifications and Carrying Value of Residential Loans (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
||
---|---|---|---|---|
At fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | $ 1,060,000 | $ 1,050,000 | ||
At lower of cost or fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 100 | 100 | ||
Total held-for-sale | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | [1] | 1,056,287 | 1,048,801 | |
Legacy Sequoia | Held-for-investment at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 458,000 | 520,000 | ||
Sequoia Choice | Held-for-investment at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 2,150,000 | 2,080,000 | ||
Freddie Mac SLST | Held-for-investment at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 1,240,000 | 1,220,000 | ||
Redwood | Held-for-investment at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 2,380,000 | |||
Residential Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 7,283,365 | 7,254,742 | ||
Residential Loans | At fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 1,056,178 | 1,048,690 | ||
Residential Loans | At lower of cost or fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 109 | 111 | ||
Residential Loans | Total held-for-sale | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 1,056,287 | 1,048,801 | ||
Residential Loans | Held-for-investment at fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 6,227,078 | 6,205,941 | ||
Residential Loans | Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 457,750 | 519,958 | ||
Residential Loans | Legacy Sequoia | At fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 0 | 0 | ||
Residential Loans | Legacy Sequoia | At lower of cost or fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 0 | 0 | ||
Residential Loans | Legacy Sequoia | Total held-for-sale | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 0 | 0 | ||
Residential Loans | Legacy Sequoia | Held-for-investment at fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 457,750 | 519,958 | ||
Residential Loans | Sequoia Choice | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 2,147,356 | 2,079,382 | ||
Residential Loans | Sequoia Choice | At fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 0 | 0 | ||
Residential Loans | Sequoia Choice | At lower of cost or fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 0 | 0 | ||
Residential Loans | Sequoia Choice | Total held-for-sale | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 0 | 0 | ||
Residential Loans | Sequoia Choice | Held-for-investment at fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 2,147,356 | 2,079,382 | ||
Residential Loans | Freddie Mac SLST | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 1,235,089 | 1,222,669 | ||
Residential Loans | Freddie Mac SLST | At fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 0 | 0 | ||
Residential Loans | Freddie Mac SLST | At lower of cost or fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 0 | 0 | ||
Residential Loans | Freddie Mac SLST | Total held-for-sale | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 0 | 0 | ||
Residential Loans | Freddie Mac SLST | Held-for-investment at fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 1,235,089 | 1,222,669 | ||
Residential Loans | Redwood | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 3,443,170 | 3,432,733 | ||
Residential Loans | Redwood | At fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 1,056,178 | 1,048,690 | ||
Residential Loans | Redwood | At lower of cost or fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 109 | 111 | ||
Residential Loans | Redwood | Total held-for-sale | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | 1,056,287 | 1,048,801 | ||
Residential Loans | Redwood | Held-for-investment at fair value | Jumbo Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Residential loans | $ 2,386,883 | $ 2,383,932 | ||
|
Residential Loans - Additional Information (Details) |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2019
USD ($)
loan
|
Dec. 31, 2018
USD ($)
loan
|
Jun. 30, 2019
USD ($)
loan
|
Jun. 30, 2018
USD ($)
|
Jun. 30, 2019
USD ($)
loan
|
Jun. 30, 2018
USD ($)
|
|
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 | $ 518,521,000 | $ 1,069,326,000 | ||||
Transfers from loans held-for-investment to loans held-for-sale | 22,808,000 | 0 | ||||
Held-for-sale residential loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | $ 7,283,365,000 | $ 7,254,742,000 | $ 7,283,365,000 | 7,283,365,000 | ||
Held-for-sale residential loans | Legacy Sequoia | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 457,750,000 | 519,958,000 | 457,750,000 | 457,750,000 | ||
Held-for-sale residential loans | Sequoia Choice | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 2,147,356,000 | 2,079,382,000 | 2,147,356,000 | 2,147,356,000 | ||
Held-for-sale residential loans | Freddie Mac SLST | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 1,235,089,000 | 1,222,669,000 | 1,235,089,000 | 1,235,089,000 | ||
Redwood | Held-for-sale residential loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | $ 3,443,170,000 | $ 3,432,733,000 | $ 3,443,170,000 | $ 3,443,170,000 | ||
Redwood | Fixed rate residential mortgage | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Weighted average coupon rate | 4.16% | 4.16% | 4.16% | |||
Residential Loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Number of loans | loan | 1,484 | 1,417 | ||||
Loan principal | $ 1,030,000,000.00 | $ 1,030,000,000.00 | $ 1,030,000,000.00 | $ 1,030,000,000.00 | ||
Residential loans | $ 1,060,000,000.00 | $ 1,050,000,000.00 | $ 1,060,000,000.00 | $ 1,060,000,000.00 | ||
Number of loans in foreclosure | loan | 0 | 0 | 0 | 0 | ||
Principal value of loans purchased | $ 1,530,000,000 | $ 1,930,000,000 | $ 2,490,000,000 | 3,730,000,000 | ||
Principal balance of loans sold during period | 1,230,000,000 | 1,920,000,000 | 2,390,000,000 | 3,930,000,000 | ||
Gain (loss) on assets measured at fair value on a non-recurring basis | 3,000,000 | 6,000,000 | 7,000,000 | 11,000,000 | ||
Loan pledged as collateral | $ 712,000,000 | $ 935,000,000 | 712,000,000 | 712,000,000 | ||
Loans held-for-investment, in foreclosure | 2,000,000 | 2,000,000 | 2,000,000 | |||
Residential Loans | Jumbo Loans | Held-for-sale residential loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 1,056,178,000 | 1,048,690,000 | 1,056,178,000 | 1,056,178,000 | ||
Residential Loans | Jumbo Loans | Held-for-sale residential loans | Legacy Sequoia | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 0 | 0 | 0 | 0 | ||
Residential Loans | Jumbo Loans | Held-for-sale residential loans | Sequoia Choice | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 0 | 0 | 0 | 0 | ||
Residential Loans | Jumbo Loans | Held-for-sale residential loans | Freddie Mac SLST | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 0 | 0 | 0 | 0 | ||
Residential Loans | Jumbo Loans | Redwood | Held-for-sale residential loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | $ 1,056,178,000 | $ 1,048,690,000 | $ 1,056,178,000 | $ 1,056,178,000 | ||
Residential Loans | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Number of loans past due | loan | 1 | 1 | 1 | 1 | ||
Loans held-for-investment, delinquent greater than 90 days | $ 600,000 | $ 600,000 | $ 600,000 | $ 600,000 | ||
At lower of cost or fair value | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Number of loans | loan | 2 | 2 | ||||
Loan principal | 100,000 | $ 100,000 | 100,000 | $ 100,000 | ||
Residential loans | 100,000 | 100,000 | 100,000 | 100,000 | ||
At lower of cost or fair value | Held-for-sale residential loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 109,000 | 111,000 | 109,000 | 109,000 | ||
At lower of cost or fair value | Held-for-sale residential loans | Legacy Sequoia | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 0 | 0 | 0 | 0 | ||
At lower of cost or fair value | Held-for-sale residential loans | Sequoia Choice | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 0 | 0 | 0 | 0 | ||
At lower of cost or fair value | Held-for-sale residential loans | Freddie Mac SLST | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 0 | 0 | 0 | 0 | ||
At lower of cost or fair value | Redwood | Held-for-sale residential loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | $ 109,000 | $ 111,000 | $ 109,000 | $ 109,000 | ||
At lower of cost or fair value | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Number of loans past due | loan | 0 | 0 | 0 | 0 | ||
Held-for-investment at fair value | Legacy Sequoia | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Valuation adjustment gain (loss) | $ 1,000,000 | 4,000,000 | $ 5,000,000 | 33,000,000 | ||
Held-for-investment at fair value | Sequoia Choice | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Transfers from loans held-for-sale to loans held-for-investment | 0 | 350,000,000 | ||||
Held-for-investment at fair value | Legacy Sequoia | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Number of loans | loan | 2,400 | 2,641 | ||||
Loan principal | $ 475,000,000 | $ 545,000,000 | 475,000,000 | 475,000,000 | ||
Residential loans | 458,000,000 | 520,000,000 | 458,000,000 | 458,000,000 | ||
Loans held-for-investment, delinquent greater than 90 days | $ 13,000,000 | 14,000,000 | $ 13,000,000 | $ 13,000,000 | ||
Weighted average original Fair Isaac Corporation (FICO) score | 727 | 727 | 727 | |||
Weighted average original loan-to-value (LTV) | 66.00% | 66.00% | 66.00% | |||
Loans held-for-investment, in foreclosure | $ 5,000,000 | $ 5,000,000 | $ 5,000,000 | $ 5,000,000 | ||
Held-for-investment at fair value | Sequoia Choice | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Number of loans | loan | 2,912 | 2,800 | ||||
Loan principal | $ 2,080,000,000.00 | $ 2,040,000,000.00 | 2,080,000,000.00 | 2,080,000,000.00 | ||
Residential loans | $ 2,150,000,000 | $ 2,080,000,000.00 | $ 2,150,000,000 | $ 2,150,000,000 | ||
Number of loans past due | loan | 6 | 3 | 6 | 6 | ||
Loans held-for-investment, delinquent greater than 90 days | $ 3,000,000 | $ 2,000,000 | $ 3,000,000 | $ 3,000,000 | ||
Number of loans in foreclosure | loan | 0 | 0 | 0 | 0 | ||
Weighted average original Fair Isaac Corporation (FICO) score | 745 | 745 | 745 | |||
Weighted average original loan-to-value (LTV) | 75.00% | 75.00% | 75.00% | |||
Valuation adjustment gain (loss) | $ 6,000,000 | $ 16,000,000 | ||||
Held-for-investment at fair value | Freddie Mac SLST | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Number of loans | loan | 7,900 | 7,744 | ||||
Loan principal | $ 1,270,000,000 | $ 1,310,000,000 | 1,270,000,000 | $ 1,270,000,000 | ||
Residential loans | $ 1,240,000,000 | $ 1,220,000,000 | $ 1,240,000,000 | $ 1,240,000,000 | ||
Number of loans past due | loan | 301 | 306 | 301 | 301 | ||
Loans held-for-investment, delinquent greater than 90 days | $ 78,000,000 | $ 51,000,000 | $ 78,000,000 | $ 78,000,000 | ||
Number of loans in foreclosure | loan | 101 | 0 | 101 | 101 | ||
Weighted average original Fair Isaac Corporation (FICO) score | 597 | 597 | 597 | |||
Weighted average original loan-to-value (LTV) | 69.00% | 69.00% | 69.00% | |||
Valuation adjustment gain (loss) | $ 31,000,000 | $ 55,000,000 | ||||
Held-for-investment at fair value | Redwood | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Number of loans | loan | 3,262 | 3,296 | ||||
Loan principal | $ 2,320,000,000 | $ 2,390,000,000 | $ 2,320,000,000 | $ 2,320,000,000 | ||
Residential loans | $ 2,380,000,000 | |||||
Number of loans in foreclosure | loan | 0 | 0 | 0 | 0 | ||
Principal value of loans purchased | $ 0 | $ 39,000,000 | ||||
Gain (loss) on assets measured at fair value on a non-recurring basis | 36,000,000 | (15,000,000) | 64,000,000 | (54,000,000) | ||
Transfers from loans held-for-sale to loans held-for-investment | 30,000,000 | 32,000,000 | 69,000,000 | 88,000,000 | ||
Transfers from loans held-for-investment to loans held-for-sale | $ 0 | $ 0 | $ 23,000,000 | $ 0 | ||
Weighted average original Fair Isaac Corporation (FICO) score | 768 | 768 | 768 | |||
Weighted average original loan-to-value (LTV) | 66.00% | 66.00% | 66.00% | |||
Percentage of fixed-rate loans | 88.00% | 88.00% | 88.00% | |||
Held-for-investment at fair value | Redwood | Originated Between 2013 and 2019 | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Percentage of loan portfolio originated in year | 90.00% | 90.00% | 90.00% | |||
Held-for-investment at fair value | Redwood | Originated 2012 and prior years | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Percentage of loan portfolio originated in year | 1.00% | 1.00% | 1.00% | |||
Held-for-investment at fair value | Redwood | Hybrid or ARM Loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Weighted average coupon rate | 4.20% | 4.20% | 4.20% | |||
Held-for-investment at fair value | Jumbo Loans | Held-for-sale residential loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | $ 6,227,078,000 | $ 6,205,941,000 | $ 6,227,078,000 | $ 6,227,078,000 | ||
Held-for-investment at fair value | Jumbo Loans | Held-for-sale residential loans | Legacy Sequoia | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 457,750,000 | 519,958,000 | 457,750,000 | 457,750,000 | ||
Held-for-investment at fair value | Jumbo Loans | Held-for-sale residential loans | Sequoia Choice | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 2,147,356,000 | 2,079,382,000 | 2,147,356,000 | 2,147,356,000 | ||
Held-for-investment at fair value | Jumbo Loans | Held-for-sale residential loans | Freddie Mac SLST | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 1,235,089,000 | 1,222,669,000 | 1,235,089,000 | 1,235,089,000 | ||
Held-for-investment at fair value | Jumbo Loans | Redwood | Held-for-sale residential loans | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Residential loans | 2,386,883,000 | 2,383,932,000 | 2,386,883,000 | 2,386,883,000 | ||
Held-for-investment at fair value | Financing Receivables, Equal to Greater than 90 Days Past Due | Redwood | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Loan principal | $ 1,000,000 | $ 1,000,000 | $ 1,000,000 | $ 1,000,000 | ||
Number of loans past due | loan | 2 | 2 | 2 | 2 | ||
MSRs | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Mortgage servicing rights, at amortized cost | $ 2,650,000,000 | $ 2,650,000,000 | $ 2,650,000,000 | |||
Residential Real Estate | Redwood | Held-for-sale residential loans | FHLB Chicago | ||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||||
Loans pledged as collateral under borrowing agreement with FHLBC | $ 2,390,000,000 | $ 2,390,000,000 | $ 2,390,000,000 |
Business Purpose Residential Loans (Details) |
2 Months Ended | 3 Months Ended | 4 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|---|---|
Jun. 30, 2019
USD ($)
loan
|
Dec. 31, 2018
USD ($)
loan
|
Feb. 28, 2019
USD ($)
|
Jun. 30, 2019
USD ($)
loan
|
Jun. 30, 2019
USD ($)
loan
|
Jun. 30, 2019
USD ($)
loan
|
Jun. 30, 2018
USD ($)
|
|
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||
Purchases of held-for-sale loans | $ 2,534,886,000 | $ 3,772,494,000 | |||||
Proceeds from sales of held-for-sale loans | 2,123,794,000 | 2,966,508,000 | |||||
Transfer to REO | 5,098,000 | $ 1,835,000 | |||||
Total Business Purpose Residential Loans | |||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||
Proceeds from loan originations | $ 134,000,000 | ||||||
Proceeds from loan originations to third parties | 23,000,000 | ||||||
Market valuations gains and losses, net | $ 1,000,000 | ||||||
Fee income | 3,000,000 | ||||||
Residential loans | $ 250,854,000 | $ 141,258,000 | 250,854,000 | 250,854,000 | 250,854,000 | ||
Single-family rental loans, held-for-sale at fair value | |||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||
Residential loans | $ 91,501,000 | $ 28,460,000 | 91,501,000 | 91,501,000 | 91,501,000 | ||
Number of loans | loan | 43 | 11 | |||||
Loan principal | $ 87,000,000 | $ 28,000,000 | $ 87,000,000 | $ 87,000,000 | $ 87,000,000 | ||
Number of loans past due | loan | 0 | 0 | 0 | 0 | |||
Purchases of held-for-sale loans | $ 19,000,000 | $ 33,000,000 | $ 41,000,000 | ||||
Proceeds from sales of held-for-sale loans | 0 | ||||||
Gain (loss) on investments | 1,000,000 | $ 2,000,000 | |||||
Collateral amounts | $ 71,000,000 | $ 28,000,000 | $ 71,000,000 | $ 71,000,000 | $ 71,000,000 | ||
Weighted average coupon rate | 5.54% | 5.54% | 5.54% | 5.54% | |||
Contract maturities | 6 years | ||||||
Weighted average original loan-to-value (LTV) | 66.00% | 66.00% | 66.00% | 66.00% | |||
Weighted-average debt service coverage ratio | 1.33 | ||||||
Number of loans in foreclosure | loan | 0 | ||||||
Residential bridge loans, held-for-investment at fair value | |||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||
Residential loans | $ 159,353,000 | $ 112,798,000 | $ 159,353,000 | $ 159,353,000 | $ 159,353,000 | ||
Number of loans | loan | 274 | 157 | |||||
Loan principal | $ 158,000,000 | $ 112,000,000 | $ 158,000,000 | $ 158,000,000 | $ 158,000,000 | ||
Number of loans past due | loan | 11 | 7 | 11 | 11 | 11 | ||
Purchases of held-for-sale loans | $ 10,000,000 | $ 79,000,000 | $ 86,000,000 | ||||
Gain (loss) on investments | (300,000) | $ (600,000) | |||||
Collateral amounts | $ 144,000,000 | $ 98,000,000 | $ 144,000,000 | $ 144,000,000 | $ 144,000,000 | ||
Weighted average coupon rate | 9.08% | 9.08% | 9.08% | 9.08% | |||
Weighted average original loan-to-value (LTV) | 74.00% | 74.00% | 74.00% | 74.00% | |||
Unpaid principal balance on delinquent or foreclosure loans | $ 12,000,000 | $ 12,000,000 | $ 12,000,000 | $ 12,000,000 | $ 12,000,000 | ||
Number of loans in foreclosure | loan | 9 | 4 | 9 | 9 | 9 | ||
Loans in foreclosure amount | $ 7,000,000 | $ 11,000,000 | $ 7,000,000 | $ 7,000,000 | $ 7,000,000 | ||
Number of loans transferred | loan | 1 | ||||||
Transfer to REO | $ 5,000,000 | ||||||
Weighted average original Fair Isaac Corporation (FICO) score | 690 | 690 | 690 | 690 | |||
Residential bridge loans, held-for-investment at fair value | Minimum | |||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||
Contract maturities | 6 months | ||||||
Residential bridge loans, held-for-investment at fair value | Maximum | |||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||
Contract maturities | 24 months | ||||||
Residential Bridge Loans Held-for-investment Transferred To REO | |||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||
Gain (loss) on investments | $ (100,000) | $ (400,000) | |||||
Commitment To Fund Residential Bridge Loan | |||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||
Commitment to fund loan | $ 33,000,000 | $ 33,000,000 | $ 33,000,000 | $ 33,000,000 | |||
Total Business Purpose Residential Loans | |||||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||||
Proceeds from loan originations | 170,000,000 | ||||||
Proceeds from loan originations to third parties | $ 44,000,000 |
Multifamily Loans (Details) - Multifamily loans, held-for-investment, at fair value $ in Millions |
3 Months Ended | 6 Months Ended | 12 Months Ended |
---|---|---|---|
Jun. 30, 2019
USD ($)
loan
|
Jun. 30, 2019
USD ($)
loan
|
Dec. 31, 2018
USD ($)
loan
|
|
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Number of loans | loan | 250 | 162 | |
Loan principal | $ | $ 3,550 | $ 3,550 | $ 2,130 |
Residential loans | $ | $ 3,750 | $ 3,750 | $ 2,140 |
Weighted average original loan-to-value (LTV) | 69.00% | 69.00% | |
Weighted average coupon rate | 4.19% | 4.19% | |
Contract maturities | 6 years | ||
Number of loans past due | loan | 0 | 0 | 0 |
Number of loans in foreclosure | loan | 0 | 0 | 0 |
Valuation adjustment gain (loss) | $ | $ 97 | $ 131 | |
Minimum | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Weighted average maturity (in years) | 7 years | ||
Maximum | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Weighted average maturity (in years) | 10 years |
Real Estate Securities - Fair Values of Real Estate Securities (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
||
---|---|---|---|---|
Investments, Debt and Equity Securities [Abstract] | ||||
Trading | $ 1,205,389 | $ 1,118,612 | ||
Available-for-sale | 272,097 | 333,882 | ||
Total Real Estate Securities | [1] | $ 1,477,486 | $ 1,452,494 | |
|
Real Estate Securities - Trading Securities by Collateral Type (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Investment Holdings [Line Items] | ||
Trading securities | $ 1,205,389 | $ 1,118,612 |
Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Trading securities | 170,731 | 158,670 |
Subordinate Securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Trading securities | 748,282 | 610,819 |
Subordinate Securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Trading securities | $ 286,376 | $ 349,123 |
Real Estate Securities - Additional Information (Details) |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2019
USD ($)
investment
|
Jun. 30, 2018
USD ($)
|
Jun. 30, 2019
USD ($)
investment
|
Jun. 30, 2018
USD ($)
|
Dec. 31, 2018
USD ($)
investment
|
|
Investment Holdings [Line Items] | |||||
Trading securities pledged as collateral | $ 874,000,000 | $ 874,000,000 | |||
Trading securities | 1,205,389,000 | 1,205,389,000 | $ 1,118,612,000 | ||
Trading securities acquired | 115,000,000 | $ 233,000,000 | 269,000,000 | $ 378,000,000 | |
Trading securities sold | 132,000,000 | 62,000,000 | 161,000,000 | 244,000,000 | |
Increase (decrease) in valuation of trading securities | 18,000,000 | (1,000,000) | 40,000,000 | (4,000,000) | |
Available-for-sale securities purchased | 4,000,000 | 2,000,000 | 9,000,000 | 6,000,000 | |
Available-for-sale securities sold | 25,000,000 | 41,000,000 | 67,000,000 | 92,000,000 | |
Net realized gains on AFS securities | $ 3,000,000 | 5,000,000 | $ 9,000,000 | 14,000,000 | |
Number of AFS securities (in investments) | investment | 114 | 114 | 128 | ||
Number of securities in unrealized loss position | investment | 1 | 1 | 7 | ||
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer (in investments) | investment | 1 | 1 | 3 | ||
Other than temporary impairment | $ 200,000 | $ 200,000 | |||
Reclassification out of Accumulated Other Comprehensive Income | Net Unrealized Gains on Available-for-Sale Securities | |||||
Investment Holdings [Line Items] | |||||
Other than temporary impairment | $ 0 | $ 0 | |||
Residential | |||||
Investment Holdings [Line Items] | |||||
Securities pledged as collateral | 945,000,000 | 945,000,000 | $ 844,000,000 | ||
Gross unrealized losses (less than) | (12,000) | (12,000) | (548,000) | ||
Subordinate Securities | Residential | |||||
Investment Holdings [Line Items] | |||||
Gross unrealized losses (less than) | 0 | 0 | (499,000) | ||
Sequoia securities | Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 73,000,000 | 73,000,000 | 68,000,000 | ||
Sequoia securities | Sequoia Choice | |||||
Investment Holdings [Line Items] | |||||
Trading securities pledged as collateral | 148,000,000 | 148,000,000 | 130,000,000 | ||
Sequoia securities | Freddie Mac SLST | |||||
Investment Holdings [Line Items] | |||||
Trading securities pledged as collateral | 203,000,000 | 203,000,000 | 229,000,000 | ||
Sequoia securities | Freddie Mac K-Series | |||||
Investment Holdings [Line Items] | |||||
Trading securities pledged as collateral | 207,000,000 | 207,000,000 | 18,000,000 | ||
Interest-only Senior Trading Securities | |||||
Investment Holdings [Line Items] | |||||
Debt securities, trading | 66,000,000 | 66,000,000 | 82,000,000 | ||
Unpaid principal balance | 102,000,000 | 102,000,000 | 78,000,000 | ||
Interest-only Senior Trading Securities | Certificated Servicing Strips | |||||
Investment Holdings [Line Items] | |||||
Debt securities, trading | 35,000,000 | 35,000,000 | 43,000,000 | ||
Trading securities | Residential Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Unpaid principal balance | 1,190,000,000 | 1,190,000,000 | 1,120,000,000 | ||
CRT securities | Mezzanine Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 1,030,000,000.00 | 1,030,000,000.00 | 960,000,000 | ||
CRT securities | Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 201,000,000 | 201,000,000 | 277,000,000 | ||
Other third party securities | Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 233,000,000 | 233,000,000 | 186,000,000 | ||
Third-party multifamily mortgage-backed securities | Subordinate Securities | |||||
Investment Holdings [Line Items] | |||||
Trading securities | 528,000,000 | 528,000,000 | $ 429,000,000 | ||
Residential | |||||
Investment Holdings [Line Items] | |||||
Marketable securities, due from five to ten years | 3,000,000 | 3,000,000 | |||
Residential | AFS securities retained, at fair value | |||||
Investment Holdings [Line Items] | |||||
Securities pledged as collateral | $ 70,000,000 | $ 70,000,000 |
Real Estate Securities - Available for Sale Securities by Collateral Type (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Investment Holdings [Line Items] | ||
Available-for-sale | $ 272,097 | $ 333,882 |
Senior IO Securities | ||
Investment Holdings [Line Items] | ||
Available-for-sale | 44,467 | 87,615 |
Subordinate Securities | Mezzanine | ||
Investment Holdings [Line Items] | ||
Available-for-sale | 8,976 | 36,407 |
Subordinate Securities | Subordinate | ||
Investment Holdings [Line Items] | ||
Available-for-sale | $ 218,654 | $ 209,860 |
Real Estate Securities - Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Carrying Value | $ 272,097 | $ 333,882 |
Senior | ||
Debt Securities, Available-for-sale [Line Items] | ||
Carrying Value | 44,467 | 87,615 |
Residential | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | 345,922 | 431,112 |
Credit reserve | (34,849) | (41,370) |
Unamortized discount, net | (137,282) | (151,200) |
Amortized cost | 173,791 | 238,542 |
Gross unrealized gains | 98,318 | 95,888 |
Gross unrealized losses | (12) | (548) |
Carrying Value | 272,097 | 333,882 |
Residential | Senior | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | 45,147 | 91,736 |
Credit reserve | (1,323) | (7,790) |
Unamortized discount, net | (15,009) | (18,460) |
Amortized cost | 28,815 | 65,486 |
Gross unrealized gains | 15,664 | 22,178 |
Gross unrealized losses | (12) | (49) |
Carrying Value | 44,467 | 87,615 |
Residential | Mezzanine | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | 8,778 | 36,852 |
Credit reserve | 0 | 0 |
Unamortized discount, net | (576) | (3,697) |
Amortized cost | 8,202 | 33,155 |
Gross unrealized gains | 774 | 3,252 |
Gross unrealized losses | 0 | 0 |
Carrying Value | 8,976 | 36,407 |
Residential | Subordinate Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal balance | 291,997 | 302,524 |
Credit reserve | (33,526) | (33,580) |
Unamortized discount, net | (121,697) | (129,043) |
Amortized cost | 136,774 | 139,901 |
Gross unrealized gains | 81,880 | 70,458 |
Gross unrealized losses | 0 | (499) |
Carrying Value | $ 218,654 | $ 209,860 |
Real Estate Securities - Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Details) - Residential - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended |
---|---|---|
Jun. 30, 2019 |
Jun. 30, 2019 |
|
Credit Reserve | ||
Beginning balance | $ 34,834 | $ 41,370 |
Amortization of net discount | 0 | 0 |
Realized credit losses | (1,014) | (1,180) |
Acquisitions | 787 | 1,464 |
Sales, calls, other | (5) | (6,397) |
(Release of) transfers to credit reserves, net | 247 | (408) |
Ending Balance | 34,849 | 34,849 |
Unamortized Discount, Net | ||
Beginning balance | 142,013 | 151,200 |
Amortization of net discount | (2,059) | (3,989) |
Realized credit losses | 0 | 0 |
Acquisitions | 350 | 704 |
Sales, calls, other | (2,775) | (11,041) |
(Release of) transfers to credit reserves, net | (247) | 408 |
Ending Balance | $ 137,282 | $ 137,282 |
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Details) - Residential - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Consecutive Months, Amortized Cost | $ 0 | $ 12,923 |
Less Than 12 Consecutive Months, Unrealized Losses | 0 | (499) |
Less Than 12 Consecutive Months, Fair Value | 0 | 12,424 |
12 Consecutive Months or Longer, Amortized Cost | 6,445 | 7,464 |
12 Consecutive Months or Longer, Unrealized Losses | (12) | (49) |
12 Consecutive Months or Longer, Fair Value | $ 6,433 | $ 7,415 |
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities (Details) - Prime |
6 Months Ended |
---|---|
Jun. 30, 2019 | |
Minimum | |
Debt Securities, Available-for-sale [Line Items] | |
Prepayment rates | 15.00% |
Projected losses | 1.00% |
Maximum | |
Debt Securities, Available-for-sale [Line Items] | |
Prepayment rates | 15.00% |
Projected losses | 1.00% |
Real Estate Securities - Activity of Credit Component of Other-than-Temporary Impairments (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Activity of the Credit Component of Other-than-Temporary Impairments | ||||
Balance at beginning of period | $ 18,652 | $ 20,924 | $ 18,652 | $ 21,037 |
Additions | ||||
Initial credit impairments | 0 | 43 | 0 | 43 |
Reductions | ||||
Securities sold, or expected to sell | (14) | 0 | (14) | (99) |
Securities with no outstanding principal at period end | (58) | 0 | (58) | (14) |
Balance at End of Period | $ 18,580 | $ 20,967 | $ 18,580 | $ 20,967 |
Real Estate Securities - Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized losses | $ 3,000 | $ 5,000 | $ 9,000 | $ 14,000 |
Total Realized Gains on Sales and Calls of AFS Securities, net | 2,827 | 4,714 | 13,513 | 14,077 |
Sales | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized losses | 2,827 | 4,674 | 9,487 | 14,037 |
Gross realized losses - sales | 0 | (3) | 0 | (3) |
Calls | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized losses | $ 0 | $ 43 | $ 4,026 | $ 43 |
Other Investments - Summary of Other Investments (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Mar. 31, 2019 |
Dec. 31, 2018 |
Jun. 30, 2018 |
Mar. 31, 2018 |
Dec. 31, 2017 |
||
---|---|---|---|---|---|---|---|---|
Investment [Line Items] | ||||||||
Servicing asset, fair value | $ 236,632 | $ 286,778 | ||||||
Loan held-for-investment, amount | 0 | 39,703 | ||||||
Other Investments | [1] | 372,130 | 438,518 | |||||
5 Arches, LLC | ||||||||
Investment [Line Items] | ||||||||
Investment in 5 Arches | 0 | 10,754 | ||||||
Mortgage servicing rights | ||||||||
Investment [Line Items] | ||||||||
Servicing asset, fair value | 47,396 | $ 55,284 | 60,281 | $ 64,674 | $ 66,496 | $ 63,598 | ||
Multifamily loans, held-for-investment, at fair value | ||||||||
Investment [Line Items] | ||||||||
Loan held-for-investment, amount | 28,678 | 0 | ||||||
Other notes receivable | ||||||||
Investment [Line Items] | ||||||||
Loan held-for-investment, amount | 3,214 | 0 | ||||||
Residential Loans | ||||||||
Investment [Line Items] | ||||||||
Servicing asset, fair value | 259,222 | 300,468 | ||||||
Excess MSRs | ||||||||
Investment [Line Items] | ||||||||
Servicing asset, fair value | $ 33,620 | $ 27,312 | ||||||
|
Other Investments - Additional Information (Details) - USD ($) $ in Thousands |
1 Months Ended | 2 Months Ended | 3 Months Ended | 6 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2019 |
Jan. 31, 2019 |
May 31, 2018 |
Feb. 28, 2019 |
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
Dec. 31, 2018 |
Mar. 31, 2018 |
Dec. 31, 2017 |
|
Investment [Line Items] | |||||||||||
Commitment to fund partnership | $ 66,000 | ||||||||||
Commitment to fund partnership, funded amount | $ 6,000 | 6,000 | |||||||||
Servicing asset, fair value | 236,632 | 236,632 | $ 286,778 | ||||||||
Equity method investment earnings | 3,000 | 5,000 | |||||||||
Investment fair value changes, net | 3,138 | $ 889 | 23,297 | $ 2,498 | |||||||
Interest income | 148,542 | 82,976 | 279,583 | 159,595 | |||||||
Equity investment loss | 96 | 0 | 5 | 0 | |||||||
Other income, net | 2,407 | 3,322 | 5,994 | 5,440 | |||||||
Light-Renovation Multifamily Loans | |||||||||||
Investment [Line Items] | |||||||||||
Commitment to fund partnership | $ 78,000 | ||||||||||
Commitment to fund partnership, funded amount | 29,000 | 29,000 | |||||||||
Equity method investments, carrying value | 29,000 | 29,000 | |||||||||
Equity investment loss | 100 | ||||||||||
5 Arches, LLC | |||||||||||
Investment [Line Items] | |||||||||||
Equity method investment earnings | $ 300 | ||||||||||
Payments to acquire equity method investment | $ 10,000 | ||||||||||
Option to purchase additional equity, term | 1 year | ||||||||||
Option to purchase additional equity, amount | $ 40,000 | ||||||||||
Option to purchase additional equity, percent | 80.00% | ||||||||||
Amortization of certain intangibles | $ 100 | ||||||||||
MSRs | |||||||||||
Investment [Line Items] | |||||||||||
Servicing asset, fair value | $ 55,284 | 47,396 | $ 64,674 | 47,396 | 64,674 | 60,281 | $ 66,496 | $ 63,598 | |||
Servicing asset | 4,830,000 | 4,830,000 | 4,930,000 | ||||||||
Servicer advance financing | |||||||||||
Investment [Line Items] | |||||||||||
Collateral amounts | 237,000 | 237,000 | |||||||||
Investment fair value changes, net | 400 | 1,000 | |||||||||
Residential Loans | |||||||||||
Investment [Line Items] | |||||||||||
Servicing asset, fair value | 259,222 | 259,222 | 300,468 | ||||||||
Servicing asset, unpaid principal balance on underlying loan | 8,340,000 | 8,340,000 | |||||||||
Excess MSRs | |||||||||||
Investment [Line Items] | |||||||||||
Servicing asset, fair value | 33,620 | 33,620 | $ 27,312 | ||||||||
Investment fair value changes, net | (100) | $ (500) | |||||||||
Interest income | $ 2,000 | $ 4,000 | |||||||||
5 Arches, LLC | |||||||||||
Investment [Line Items] | |||||||||||
Minority interest, percentage | 20.00% |
Other Investments - Servicing Advance Investments (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Investment [Line Items] | ||
Total Servicer Advance Receivables | $ 236,632 | $ 286,778 |
Residential Loans | ||
Investment [Line Items] | ||
Principal and interest advances | 91,707 | 144,336 |
Escrow advances (taxes and insurance advances) | 95,071 | 94,828 |
Corporate advances | $ 49,854 | $ 47,614 |
Other Investments - Mortgage Servicing Rights (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Balance at beginning of period | $ 286,778 | |||
Additions | 868 | $ 0 | ||
Changes in fair value due to: | ||||
Balance at End of Period | $ 236,632 | 236,632 | ||
Mortgage servicing rights | ||||
Servicing Asset at Fair Value, Amount [Roll Forward] | ||||
Balance at beginning of period | 55,284 | $ 66,496 | 60,281 | 63,598 |
Additions | 764 | 0 | 868 | 0 |
Sales | 0 | (1,077) | 0 | (1,077) |
Changes in fair value due to: | ||||
Changes in assumptions | (6,555) | 943 | (10,141) | 5,289 |
Other changes | (2,097) | (1,688) | (3,612) | (3,136) |
Balance at End of Period | 47,396 | 64,674 | 47,396 | 64,674 |
Servicing income | 3,850 | 3,802 | 7,460 | 7,597 |
Cost of sub-servicer | (268) | (338) | (771) | (930) |
Net servicing fee income | 3,582 | 3,464 | 6,689 | 6,667 |
Market valuation changes of MSRs | (8,652) | (745) | (13,753) | 2,147 |
Market valuation changes of associated derivatives | 6,517 | (1,122) | 8,768 | (6,261) |
MSR reversal of provision for repurchases | 207 | 277 | 207 | 277 |
MSR Income, Net | $ 1,654 | $ 1,874 | $ 1,911 | $ 2,830 |
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Derivative [Line Items] | ||
Fair Value | $ (147,238) | $ (49,066) |
Notional Amount | 7,597,742 | 5,911,385 |
TBAs | ||
Derivative [Line Items] | ||
Notional Amount | 2,100,000 | 1,460,000 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (173,847) | (84,855) |
Notional Amount | 4,618,911 | 2,953,724 |
Derivative Liabilities | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | (118,609) | (36,416) |
Notional Amount | 3,084,300 | 1,742,000 |
Derivative Liabilities | Interest rate swaps | Cash Flow Hedging | ||
Derivative [Line Items] | ||
Fair Value | (49,827) | (34,492) |
Notional Amount | 139,500 | 139,500 |
Derivative Liabilities | TBAs | ||
Derivative [Line Items] | ||
Fair Value | (4,639) | (13,215) |
Notional Amount | 1,150,000 | 935,000 |
Derivative Liabilities | Loan purchase commitments | ||
Derivative [Line Items] | ||
Fair Value | (772) | (732) |
Notional Amount | 245,111 | 137,224 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 26,609 | 35,789 |
Notional Amount | 2,978,831 | 2,957,661 |
Derivative Assets | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | 18,576 | 28,211 |
Notional Amount | 1,053,000 | 2,106,500 |
Derivative Assets | TBAs | ||
Derivative [Line Items] | ||
Fair Value | 1,784 | 4,665 |
Notional Amount | 950,000 | 520,000 |
Derivative Assets | Swaptions | ||
Derivative [Line Items] | ||
Fair Value | 682 | 0 |
Notional Amount | 200,000 | 0 |
Derivative Assets | Loan purchase commitments | ||
Derivative [Line Items] | ||
Fair Value | 5,567 | 2,913 |
Notional Amount | $ 775,831 | $ 331,161 |
Derivative Financial Instruments - Additional Information (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Jun. 30, 2019
USD ($)
counterparty
|
Jun. 30, 2018
USD ($)
|
Jun. 30, 2019
USD ($)
counterparty
|
Jun. 30, 2018
USD ($)
|
Mar. 31, 2019
USD ($)
|
Dec. 31, 2018
USD ($)
|
Mar. 31, 2018
USD ($)
|
Dec. 31, 2017
USD ($)
|
|
Derivative [Line Items] | ||||||||
Notional amount | $ 7,597,742 | $ 7,597,742 | $ 5,911,385 | |||||
Accumulated other comprehensive income (loss) | $ 1,564,032 | $ 1,228,955 | $ 1,564,032 | $ 1,228,955 | $ 1,549,927 | 1,348,794 | $ 1,219,983 | $ 1,212,287 |
Number of counterparties | counterparty | 3 | 3 | ||||||
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||
Derivative [Line Items] | ||||||||
Accumulated other comprehensive income (loss) | $ (49,384) | $ (49,384) | $ (39,883) | (34,045) | ||||
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||
Derivative [Line Items] | ||||||||
Accumulated other comprehensive income (loss) | (31,105) | (31,105) | (34,000) | $ (34,522) | $ (42,953) | |||
Derivative Liabilities | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 4,618,911 | 4,618,911 | 2,953,724 | |||||
Mortgage Banking Activities, Net | ||||||||
Derivative [Line Items] | ||||||||
Market valuations gains (losses), net | 15,730 | 9,514 | 27,420 | 35,752 | ||||
Loan purchase commitments and forward sales commitments | Mortgage Banking Activities, Net | ||||||||
Derivative [Line Items] | ||||||||
Market valuations gains (losses), net | 17,000 | (3,000) | 29,000 | (10,000) | ||||
Interest rate contract | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 4,340,000 | 4,340,000 | 3,850,000 | |||||
TBAs | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 2,100,000 | 2,100,000 | 1,460,000 | |||||
TBAs | Derivative Liabilities | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 1,150,000 | 1,150,000 | 935,000 | |||||
Unsecuritized Residential and Commercial Loans | ||||||||
Derivative [Line Items] | ||||||||
Derivative gain (loss) | (66,000) | 22,000 | (111,000) | 89,000 | ||||
Interest rate swaps | Cash Flow Hedging | ||||||||
Derivative [Line Items] | ||||||||
Derivative gain (loss) | (10,000) | $ 3,000 | (15,000) | $ 12,000 | ||||
Interest rate swaps | Derivative Liabilities | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 3,084,300 | 3,084,300 | 1,742,000 | |||||
Interest rate swaps | Derivative Liabilities | Cash Flow Hedging | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | $ 139,500 | $ 139,500 | $ 139,500 |
Derivative Financial Instruments - Impact on Interest Expense of Interest Rate Agreements Accounted for as Cash Flow Hedges (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Derivative [Line Items] | ||||
Interest expense | $ (116,220) | $ (48,213) | $ (215,496) | $ (89,727) |
Cash Flow Hedging | Interest rate contract | ||||
Derivative [Line Items] | ||||
Net interest expense on cash flows hedges | (640) | (804) | (1,277) | (1,802) |
Interest expense | $ (640) | $ (804) | $ (1,277) | $ (1,802) |
Other Assets and Liabilities - Components of Other Assets (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
||
---|---|---|---|---|
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||
Margin receivable | $ 211,199 | $ 100,773 | ||
FHLBC stock | 43,393 | 43,393 | ||
Pledged collateral | 42,913 | 42,433 | ||
Right-of-use asset | 11,573 | 0 | ||
REO | 6,305 | 3,943 | ||
Fixed assets and leasehold improvements | 5,093 | 5,106 | ||
Investment receivable | 1,697 | 6,959 | ||
Other | 11,950 | 15,218 | ||
Total Other Assets | [1] | 334,123 | $ 217,825 | |
Fixed assets | 11,000 | |||
Accumulated depreciation | $ 6,000 | |||
|
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
||
---|---|---|---|---|
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||||
Contingent consideration | $ 24,932 | $ 0 | ||
Payable to minority partner | 16,937 | 14,331 | ||
Guarantee obligations | 15,744 | 16,711 | ||
Accrued compensation | 13,671 | 19,769 | ||
Lease liability | 13,082 | 0 | ||
Deferred tax liabilities | 11,986 | 9,022 | ||
Residential bridge loan holdbacks | 6,016 | 0 | ||
Residential loan and MSR repurchase reserve | 3,769 | 4,189 | ||
Accrued operating expenses | 3,149 | 3,122 | ||
Legal reserve | 2,000 | 2,000 | ||
Accrued income taxes payable | 764 | 423 | ||
Margin payable | 0 | 835 | ||
Other | 5,378 | 8,317 | ||
Total Accrued Expenses and Other Liabilities | [1] | $ 117,428 | $ 78,719 | |
|
Other Assets and Liabilities - Additional Information (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | 12 Months Ended | |
---|---|---|---|---|
Jun. 30, 2019
USD ($)
property
|
Dec. 31, 2018
USD ($)
partnership
property
|
Jun. 30, 2019
USD ($)
property
|
Dec. 31, 2018
USD ($)
partnership
property
|
|
Other Assets and Other Liabilities [Line Items] | ||||
Real estate owned (REO) | $ 6,305 | $ 3,943 | $ 6,305 | $ 3,943 |
REO liquidations | 3,000 | |||
Unrealized gain resulting from market valuation adjustments on REO | 500 | |||
Number of partnerships consolidated | partnership | 2 | 2 | ||
Payable to minority partner | 16,937 | $ 14,331 | 16,937 | $ 14,331 |
Net income (loss) allocated to Limited Partners | (200) | (500) | ||
Legacy Sequoia | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Real estate owned (REO) | $ 1,000 | 1,000 | ||
Amount related to transfers into REO (less than) | $ 100 | |||
Number of REO properties recorded on balance sheet (in properties) | property | 7 | 13 | 7 | 13 |
Bridge Loan | Debt Securities | ||||
Other Assets and Other Liabilities [Line Items] | ||||
Real estate owned (REO) | $ 5,000 | $ 5,000 | ||
Amount related to transfers into REO (less than) | $ 5,000 | |||
Number of REO properties recorded on balance sheet (in properties) | property | 1 | 1 |
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Details) |
6 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2019
USD ($)
facility
|
Dec. 31, 2018
USD ($)
facility
|
|||||
Short-term Debt [Line Items] | ||||||
Outstanding Balance | [1],[2] | $ 2,462,885,000 | $ 2,400,279,000 | |||
Facilities | ||||||
Short-term Debt [Line Items] | ||||||
Number of Facilities | facility | 21 | 17 | ||||
Outstanding Balance | $ 2,026,418,000 | $ 1,937,920,000 | ||||
Facilities | Residential loan warehouse | ||||||
Short-term Debt [Line Items] | ||||||
Number of Facilities | facility | 4 | 4 | ||||
Outstanding Balance | $ 638,055,000 | $ 860,650,000 | ||||
Limit | $ 1,425,000,000 | $ 1,425,000,000 | ||||
Weighted Average Interest Rate | 3.90% | 4.10% | ||||
Weighted Average Days Until Maturity | 166 days | 178 days | ||||
Facilities | Real estate securities repo | ||||||
Short-term Debt [Line Items] | ||||||
Number of Facilities | facility | 10 | 9 | ||||
Outstanding Balance | $ 1,213,920,000 | $ 988,890,000 | ||||
Limit | $ 0 | $ 0 | ||||
Weighted Average Interest Rate | 3.48% | 3.47% | ||||
Weighted Average Days Until Maturity | 27 days | 26 days | ||||
Facilities | Single-family rental loan warehouse | ||||||
Short-term Debt [Line Items] | ||||||
Number of Facilities | facility | 2 | 2 | ||||
Outstanding Balance | $ 53,998,000 | $ 22,053,000 | ||||
Limit | $ 400,000,000 | $ 400,000,000 | ||||
Weighted Average Interest Rate | 4.67% | 4.77% | ||||
Weighted Average Days Until Maturity | 426 days | 560 days | ||||
Facilities | Residential bridge loan warehouse | ||||||
Short-term Debt [Line Items] | ||||||
Number of Facilities | facility | 4 | 2 | ||||
Outstanding Balance | $ 120,445,000 | $ 66,327,000 | ||||
Limit | $ 330,000,000 | $ 80,000,000 | ||||
Weighted Average Interest Rate | 4.93% | 5.20% | ||||
Weighted Average Days Until Maturity | 821 days | 629 days | ||||
Facilities | Business purpose loan working capital | ||||||
Short-term Debt [Line Items] | ||||||
Number of Facilities | facility | 1 | |||||
Outstanding Balance | $ 0 | |||||
Limit | $ 15,000,000 | |||||
Weighted Average Interest Rate | 5.00% | |||||
Servicer advance financing | ||||||
Short-term Debt [Line Items] | ||||||
Number of Facilities | facility | 1 | 1 | ||||
Outstanding Balance | $ 236,231,000 | $ 262,740,000 | ||||
Limit | $ 350,000,000 | $ 350,000,000 | ||||
Weighted Average Interest Rate | 4.23% | 4.32% | ||||
Weighted Average Days Until Maturity | 152 days | 333 days | ||||
Convertible notes, net | ||||||
Short-term Debt [Line Items] | ||||||
Outstanding Balance | $ 200,236,000 | $ 199,619,000 | ||||
Weighted Average Interest Rate | 5.63% | 5.63% | ||||
Weighted Average Days Until Maturity | 138 days | 319 days | ||||
Servicer advance financing | ||||||
Short-term Debt [Line Items] | ||||||
Outstanding Balance | $ 236,231,000 | |||||
|
Short-Term Debt - Additional Information (Details) - USD ($) |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2019 |
Dec. 31, 2018 |
Nov. 15, 2018 |
Nov. 30, 2014 |
|
Short-term Debt [Line Items] | |||||
Trading securities pledged as collateral | $ 874,000,000 | $ 874,000,000 | |||
Average balance of short-term debt | 1,860,000,000 | 1,730,000,000 | |||
Accrued interest payable on short-term debt | 5,000,000 | 5,000,000 | $ 4,000,000 | ||
Convertible notes | $ 201,000,000 | ||||
Committed line of credit | 10,000,000 | 10,000,000 | |||
Fair value of mortgage backed securities securing loan (in excess) | 4,000,000 | 4,000,000 | |||
Committed line of credit with financial institutions, outstanding | 0 | 0 | $ 0 | ||
Convertible Debt | Exchangeable Senior Notes Due 2019 | |||||
Short-term Debt [Line Items] | |||||
Accrued interest payable on short-term debt | 1,000,000 | 1,000,000 | |||
Debt Instrument interest rate | 5.625% | 5.625% | |||
Unamortized deferred issuance costs | $ 1,000,000 | ||||
Sequoia securities | Sequoia Choice | |||||
Short-term Debt [Line Items] | |||||
Trading securities pledged as collateral | 148,000,000 | 148,000,000 | 130,000,000 | ||
Sequoia securities | Freddie Mac SLST | |||||
Short-term Debt [Line Items] | |||||
Trading securities pledged as collateral | 203,000,000 | 203,000,000 | 229,000,000 | ||
Sequoia securities | Freddie Mac K-Series | |||||
Short-term Debt [Line Items] | |||||
Trading securities pledged as collateral | 207,000,000 | 207,000,000 | 18,000,000 | ||
Residential | |||||
Short-term Debt [Line Items] | |||||
Securities pledged as collateral | 945,000,000 | 945,000,000 | 844,000,000 | ||
Single-family rental loans, held-for-sale at fair value | |||||
Short-term Debt [Line Items] | |||||
Collateral amounts | 71,000,000 | 71,000,000 | 28,000,000 | ||
Residential bridge loans, held-for-investment at fair value | |||||
Short-term Debt [Line Items] | |||||
Collateral amounts | 144,000,000 | 144,000,000 | 98,000,000 | ||
Residential Loans | |||||
Short-term Debt [Line Items] | |||||
Servicing Asset at Fair Value, Amount | 265,000,000 | 265,000,000 | |||
Residential Loans | |||||
Short-term Debt [Line Items] | |||||
Loan pledged as collateral | 712,000,000 | 712,000,000 | $ 935,000,000 | ||
Servicer advance financing | |||||
Short-term Debt [Line Items] | |||||
Collateral amounts | 237,000,000 | 237,000,000 | |||
Accrued interest payable on short-term debt | 300,000 | 300,000 | |||
Unamortized capitalized commitment costs | $ 1,000,000 | $ 1,000,000 |
Short-Term Debt - Remaining Maturities of Short Term Debt (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
||||
---|---|---|---|---|---|---|
Short-term Debt [Line Items] | ||||||
Short-term debt | [1],[2] | $ 2,462,885 | $ 2,400,279 | |||
Within 30 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 871,520 | |||||
31 to 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 532,198 | |||||
Over 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 1,059,167 | |||||
Facilities | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 2,026,418 | 1,937,920 | ||||
Facilities | Within 30 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 871,520 | |||||
Facilities | 31 to 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 532,198 | |||||
Facilities | Over 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 622,700 | |||||
Facilities | Held-for-sale residential loans | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 638,055 | 860,650 | ||||
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 | 189,798 | |||||
Facilities | Held-for-sale residential loans | Over 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 448,257 | |||||
Facilities | Real estate securities | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 1,213,920 | |||||
Facilities | Real estate securities | Within 30 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 871,520 | |||||
Facilities | Real estate securities | 31 to 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 342,400 | |||||
Facilities | Real estate securities | Over 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 0 | |||||
Facilities | Single-family rental loans | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 53,998 | 22,053 | ||||
Facilities | Single-family rental loans | Within 30 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 0 | |||||
Facilities | Single-family rental loans | 31 to 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 0 | |||||
Facilities | Single-family rental loans | Over 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 53,998 | |||||
Facilities | Residential bridge loans | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 120,445 | 66,327 | ||||
Facilities | Residential bridge loans | Within 30 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 0 | |||||
Facilities | Residential bridge loans | 31 to 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 0 | |||||
Facilities | Residential bridge loans | Over 90 days | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 120,445 | |||||
Servicer advance financing | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 236,231 | 262,740 | ||||
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 | 236,231 | |||||
Convertible notes, net | ||||||
Short-term Debt [Line Items] | ||||||
Short-term debt | 200,236 | $ 199,619 | ||||
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 | $ 200,236 | |||||
|
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Details) $ in Thousands |
Jun. 30, 2019
USD ($)
series
|
Dec. 31, 2018
USD ($)
series
|
||
---|---|---|---|---|
Debt Instrument [Line Items] | ||||
Total FHLBC Borrowings | [1] | $ 2,573,173 | $ 2,572,158 | |
Asset-backed securities issued | ||||
Debt Instrument [Line Items] | ||||
Market valuation adjustments | 160,428 | (58,290) | ||
Total FHLBC Borrowings | 6,913,129 | 5,410,073 | ||
Asset-backed securities issued | Certificates with principal balance | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | 6,526,073 | 5,309,564 | ||
Asset-backed securities issued | Interest-only certificates | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | 226,628 | 158,799 | ||
Asset-backed securities issued | Legacy Sequoia | ||||
Debt Instrument [Line Items] | ||||
Market valuation adjustments | (20,968) | (29,753) | ||
Total FHLBC Borrowings | $ 448,862 | $ 512,240 | ||
Number of series | series | 20 | 20 | ||
Asset-backed securities issued | Legacy Sequoia | Minimum | ||||
Debt Instrument [Line Items] | ||||
Weighted average interest rates, by series | 2.55% | 1.36% | ||
Asset-backed securities issued | Legacy Sequoia | Maximum | ||||
Debt Instrument [Line Items] | ||||
Weighted average interest rates, by series | 3.68% | 3.60% | ||
Asset-backed securities issued | Legacy Sequoia | Certificates with principal balance | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | $ 468,193 | $ 540,456 | ||
Asset-backed securities issued | Legacy Sequoia | Interest-only certificates | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | 1,637 | 1,537 | ||
Asset-backed securities issued | Sequoia Choice | ||||
Debt Instrument [Line Items] | ||||
Market valuation adjustments | 49,323 | 20,590 | ||
Total FHLBC Borrowings | $ 1,929,444 | $ 1,885,010 | ||
Number of series | series | 7 | 6 | ||
Asset-backed securities issued | Sequoia Choice | Minimum | ||||
Debt Instrument [Line Items] | ||||
Weighted average interest rates, by series | 4.42% | 4.46% | ||
Asset-backed securities issued | Sequoia Choice | Maximum | ||||
Debt Instrument [Line Items] | ||||
Weighted average interest rates, by series | 5.08% | 4.97% | ||
Asset-backed securities issued | Sequoia Choice | Certificates with principal balance | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | $ 1,862,408 | $ 1,838,758 | ||
Asset-backed securities issued | Sequoia Choice | Interest-only certificates | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | 17,713 | 25,662 | ||
Asset-backed securities issued | Freddie Mac SLST | ||||
Debt Instrument [Line Items] | ||||
Market valuation adjustments | 91,381 | 89 | ||
Total FHLBC Borrowings | $ 991,766 | $ 993,748 | ||
Weighted average interest rates, by series | 3.50% | 3.51% | ||
Number of series | series | 1 | 1 | ||
Asset-backed securities issued | Freddie Mac SLST | Certificates with principal balance | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | $ 3,244,398 | $ 993,659 | ||
Asset-backed securities issued | Freddie Mac SLST | Interest-only certificates | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | 207,278 | 0 | ||
Asset-backed securities issued | Freddie Mac K-Series | ||||
Debt Instrument [Line Items] | ||||
Market valuation adjustments | 40,692 | (49,216) | ||
Total FHLBC Borrowings | $ 3,543,057 | $ 2,019,075 | ||
Number of series | series | 4 | 3 | ||
Asset-backed securities issued | Freddie Mac K-Series | Minimum | ||||
Debt Instrument [Line Items] | ||||
Weighted average interest rates, by series | 3.39% | 3.39% | ||
Asset-backed securities issued | Freddie Mac K-Series | Maximum | ||||
Debt Instrument [Line Items] | ||||
Weighted average interest rates, by series | 4.20% | 4.08% | ||
Asset-backed securities issued | Freddie Mac K-Series | Certificates with principal balance | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | $ 951,074 | $ 1,936,691 | ||
Asset-backed securities issued | Freddie Mac K-Series | Interest-only certificates | ||||
Debt Instrument [Line Items] | ||||
Certificates with principal balance | $ 0 | $ 131,600 | ||
|
Asset-Backed Securities Issued - Additional Information (Details) |
6 Months Ended |
---|---|
Jun. 30, 2019 | |
Asset-backed securities issued | Contractual maturities of over five years | |
Debt Instrument [Line Items] | |
Contractual maturities of securities (in years) | 5 years |
Asset-Backed Securities Issued - Accrued Interest Payable (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
|
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | $ 21,437 | $ 16,897 |
Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | 2,774 | 2,907 |
Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | 10,822 | 6,239 |
Asset-backed securities issued | Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | 519 | 571 |
Asset-backed securities issued | Sequoia Choice | ||
Debt Instrument [Line Items] | ||
Amortization of debt issuance costs | $ 7,322 | $ 7,180 |
Asset-Backed Securities Issued - Summary of Carrying Value Components of Collateral for Asset-Backed Securities Issued and Outstanding (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 7,616,278 | $ 5,992,049 |
Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 3,840,195 | 3,822,009 |
Multifamily loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 3,749,657 | 2,144,598 |
Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 158 | 1,168 |
Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 24,820 | 20,331 |
REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,448 | 3,943 |
Legacy Sequoia | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 460,113 | 524,869 |
Legacy Sequoia | Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 457,750 | 519,958 |
Legacy Sequoia | Multifamily loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Legacy Sequoia | Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 144 | 146 |
Legacy Sequoia | Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 771 | 822 |
Legacy Sequoia | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,448 | 3,943 |
Sequoia Choice | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 2,156,316 | 2,089,392 |
Sequoia Choice | Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 2,147,356 | 2,079,382 |
Sequoia Choice | Multifamily loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Sequoia Choice | Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 14 | 1,022 |
Sequoia Choice | Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 8,946 | 8,988 |
Sequoia Choice | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Freddie Mac SLST | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,238,875 | 1,226,595 |
Freddie Mac SLST | Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 1,235,089 | 1,222,669 |
Freddie Mac SLST | Multifamily loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Freddie Mac SLST | Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Freddie Mac SLST | Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 3,786 | 3,926 |
Freddie Mac SLST | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Freddie Mac K-Series | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 3,760,974 | 2,151,193 |
Freddie Mac K-Series | Residential loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Freddie Mac K-Series | Multifamily loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 3,749,657 | 2,144,598 |
Freddie Mac K-Series | Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 0 | 0 |
Freddie Mac K-Series | Accrued interest receivable | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | 11,317 | 6,595 |
Freddie Mac K-Series | REO | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Collateral for ABS Issued | $ 0 | $ 0 |
Long-Term Debt - Additional Information (Details) |
1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2018
USD ($)
|
Jun. 30, 2018
USD ($)
$ / shares
|
Aug. 31, 2017
USD ($)
$ / shares
|
Jan. 31, 2016 |
Nov. 30, 2014
USD ($)
$ / shares
|
Jun. 30, 2019
USD ($)
|
Jun. 30, 2019
USD ($)
|
Dec. 31, 2016
USD ($)
|
Nov. 15, 2018
USD ($)
|
Dec. 31, 2013
USD ($)
|
||||
Debt Instrument [Line Items] | |||||||||||||
Transition period for subsidiary to be a FHLB-member (in years) | 5 years | ||||||||||||
Existing debt | $ 0 | $ 0 | $ 0 | ||||||||||
Federal home loan bank stock | 43,393,000 | 43,393,000 | 43,393,000 | ||||||||||
Accrued interest payable | 4,000,000 | 5,000,000 | 5,000,000 | ||||||||||
Convertible notes | $ 201,000,000 | ||||||||||||
Debt instrument face amount | [1] | 2,572,158,000 | 2,573,173,000 | 2,573,173,000 | |||||||||
Notional amount | 5,911,385,000 | 7,597,742,000 | 7,597,742,000 | ||||||||||
Accrued interest payable | [1] | 42,528,000 | 47,092,000 | 47,092,000 | |||||||||
Trust Preferred Securities | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Debt instrument face amount | 100,000,000 | 100,000,000 | |||||||||||
Subordinated Notes | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Debt instrument face amount | $ 40,000,000 | $ 40,000,000 | |||||||||||
Trust Preferred Securities And Subordinated Notes | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Weighted average interest rates, by series | 6.90% | 6.90% | |||||||||||
Accrued interest payable | $ 1,000,000 | $ 1,000,000 | $ 1,000,000 | ||||||||||
Trust Preferred Securities And Subordinated Notes | Interest rate swaps | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Notional amount | $ 140,000,000 | ||||||||||||
Trust Preferred Securities And Subordinated Notes | LIBOR | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Basis spread on variable rate | 2.25% | ||||||||||||
Senior Notes Due 2024 | Convertible Debt | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Convertible notes | $ 200,000,000 | 200,000,000 | $ 200,000,000 | ||||||||||
Debt Instrument interest rate | 5.625% | ||||||||||||
Debt instrument, percent of par | 99.50% | ||||||||||||
Net proceeds from issuance of convertible debt | $ 194,000,000 | ||||||||||||
Interest expense yield | 6.20% | ||||||||||||
Convertible senior notes conversion rate | 0.0547645 | ||||||||||||
Convertible senior notes conversion per share (in dollars per share) | $ / shares | $ 18.26 | ||||||||||||
Accrued interest payable | 5,000,000 | $ 5,000,000 | |||||||||||
Unamortized debt issuance costs | 4,000,000 | 4,000,000 | |||||||||||
Unamortized discount | 1,000,000 | 1,000,000 | |||||||||||
Senior Notes Due 2023 | Convertible Debt | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Convertible notes | $ 245,000,000 | 245,000,000 | $ 245,000,000 | ||||||||||
Debt Instrument interest rate | 4.75% | ||||||||||||
Net proceeds from issuance of convertible debt | $ 238,000,000 | ||||||||||||
Interest expense yield | 5.30% | ||||||||||||
Convertible senior notes conversion rate | 0.0539060 | ||||||||||||
Convertible senior notes conversion per share (in dollars per share) | $ / shares | $ 18.55 | ||||||||||||
Accrued interest payable | 4,000,000 | $ 4,000,000 | |||||||||||
Unamortized debt issuance costs | 5,000,000 | 5,000,000 | |||||||||||
Exchangeable Senior Notes Due 2019 | Convertible Debt | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Convertible notes | $ 205,000,000 | 201,000,000 | $ 201,000,000 | ||||||||||
Debt Instrument interest rate | 5.625% | 5.625% | |||||||||||
Net proceeds from issuance of convertible debt | $ 198,000,000 | ||||||||||||
Interest expense yield | 6.30% | ||||||||||||
Convertible senior notes conversion rate | 0.0462370 | ||||||||||||
Convertible senior notes conversion per share (in dollars per share) | $ / shares | $ 21.63 | ||||||||||||
Accrued interest payable | 1,000,000 | $ 1,000,000 | |||||||||||
Unamortized debt issuance costs | 1,000,000 | $ 1,000,000 | |||||||||||
Amount of debt repurchased | $ 4,000,000 | ||||||||||||
Unamortized deferred issuance costs | $ 1,000,000 | ||||||||||||
Exchangeable Senior Notes Due 2019 | Convertible Debt | Gain (loss) on investments | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Gain on extinguishment of debt | $ 300,000 | ||||||||||||
FHLB Chicago | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Interest rate margin reset period | 91 days | ||||||||||||
FHLB Chicago | FHLB Member Subsidiary | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Maximum borrowing limit | 2,000,000,000.00 | $ 2,000,000,000.00 | |||||||||||
Additional borrowings from FHLBC | 0 | 0 | |||||||||||
Existing debt | 2,000,000,000.00 | 2,000,000,000.00 | |||||||||||
Federal home loan bank advances outstanding | $ 2,000,000,000.00 | $ 2,000,000,000.00 | $ 2,000,000,000.00 | ||||||||||
Weighted average interest rate | 2.52% | 2.57% | 2.57% | ||||||||||
Weighted average maturity (in years) | 7 years | 6 years | |||||||||||
Debt instrument face amount | $ 1,999,999,000 | $ 1,999,999,000 | |||||||||||
FHLB Chicago | Redwood | Held-for-sale residential loans | Residential Real Estate | |||||||||||||
Debt Instrument [Line Items] | |||||||||||||
Loans pledged as collateral under borrowing agreement with FHLBC | $ 2,390,000,000 | $ 2,390,000,000 | |||||||||||
|
Long-Term Debt - FHLBC Borrowings (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
||
---|---|---|---|---|
Debt Instrument [Line Items] | ||||
Total FHLBC Borrowings | [1] | $ 2,573,173 | $ 2,572,158 | |
FHLB Chicago | FHLB Member Subsidiary | ||||
Debt Instrument [Line Items] | ||||
2024 | 470,171 | |||
2025 | 887,639 | |||
2026 | 642,189 | |||
Total FHLBC Borrowings | $ 1,999,999 | |||
|
Commitments and Contingencies - Additional Information (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | 12 Months Ended | 48 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2019
USD ($)
lease
|
Jul. 15, 2010
plaintiff
|
Jun. 30, 2019
USD ($)
lease
|
Dec. 31, 2018
USD ($)
partnership
|
Jun. 30, 2018
USD ($)
|
Jun. 30, 2019
USD ($)
loan
lease
certificate
repurchase_request
|
Jun. 30, 2018
USD ($)
|
Dec. 31, 2007
certificate
|
Dec. 31, 2004
certificate
|
Dec. 31, 2007
certificate
|
Mar. 01, 2019
USD ($)
|
Dec. 31, 2016
USD ($)
|
Dec. 31, 2015
USD ($)
|
|
Loss Contingencies [Line Items] | |||||||||||||
Lessee, number of leases | lease | 5 | 5 | 5 | ||||||||||
Present value of remaining lease payments | $ 16,178 | $ 16,178 | $ 16,178 | ||||||||||
Operating lease expense | $ 1,000 | $ 1,000 | |||||||||||
Number of noncancelable leases | lease | 4 | 4 | 4 | ||||||||||
Number of leases qualified as short-term lease | lease | 1 | ||||||||||||
Lease liability | $ 13,082 | $ 13,082 | $ 0 | $ 13,082 | |||||||||
Right-of-use asset | $ 11,573 | $ 11,573 | $ 0 | $ 11,573 | |||||||||
Number of leases without implicit interest rate | lease | 4 | ||||||||||||
Weighted average remaining lease term | 8 years | 8 years | 8 years | ||||||||||
Discount rate | 5.30% | 5.30% | 5.30% | ||||||||||
Number of partnerships, committed to fund | partnership | 2 | ||||||||||||
Commitment to fund partnership, funded amount | $ 6,000 | $ 6,000 | $ 6,000 | ||||||||||
Commitment to fund partnership | 66,000 | ||||||||||||
Contingent consideration | 24,932 | 24,932 | $ 0 | 24,932 | |||||||||
Other income related to risk sharing agreement | 800 | $ 1,020 | 1,446 | 1,799 | |||||||||
Guarantee obligations | 15,744 | 15,744 | 16,711 | 15,744 | |||||||||
Guarantee obligations, credit reserve | 5,000 | 5,000 | 5,000 | ||||||||||
Special Purpose Entities (SPEs) assets | 48,000 | 48,000 | 47,000 | 48,000 | |||||||||
Special Purpose Entities (SPEs) liabilities | 16,000 | 16,000 | 17,000 | 16,000 | |||||||||
Residential repurchase reserve | 3,769 | 3,769 | 4,189 | $ 3,769 | |||||||||
Number of residential repurchase requests (in repurchase requests) | repurchase_request | 7 | ||||||||||||
Number of loans repurchased | loan | 0 | ||||||||||||
Residential repurchase provisions recorded | $ (400) | ||||||||||||
Reversal of repurchase provision | (500) | ||||||||||||
Aggregate amount of loss contingency reserves | 2,000 | 2,000 | 2,000 | $ 2,000 | |||||||||
Morgan Stanley And Company | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Number of mortgage pass-through certificates issued (in certificates) | certificate | 28 | ||||||||||||
Sequoia Residential Funding | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Number of mortgage pass-through certificates issued (in certificates) | certificate | 2 | 2 | 4 | ||||||||||
Number of certificated withdrawn | certificate | 1 | 8 | |||||||||||
Schwab | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Number of other named defendants along with SRF (in plaintiffs) | plaintiff | 26 | ||||||||||||
Residential Loans | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Loan principal | 1,030,000 | 1,030,000 | $ 1,030,000 | $ 1,030,000 | |||||||||
Loans held-for-investment, in foreclosure | 2,000 | 2,000 | 2,000 | ||||||||||
Other income | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Other income related to risk sharing agreement | 1,000 | 1,000 | 1,000 | 2,000 | |||||||||
Mortgage banking and investment activities | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Market valuation changes in fair value of guarantee asset (less than for three months ending June 30, 2015) | (100) | $ (200) | 100 | $ (300) | |||||||||
Guarantee Obligations | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Original unpaid balance of loans subject to risk sharing agreements | $ 3,190,000 | $ 3,190,000 | |||||||||||
Potential future payments on loans | 44,000 | 44,000 | 44,000 | ||||||||||
Loan principal | $ 1,740,000 | $ 1,740,000 | $ 1,740,000 | ||||||||||
Weighted average original Fair Isaac Corporation (FICO) score | 759 | 759 | 759 | ||||||||||
Weighted average original loan-to-value (LTV) | 76.00% | 76.00% | 76.00% | ||||||||||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Balance of loans 90 days or more delinquent | $ 6,000 | $ 6,000 | $ 6,000 | ||||||||||
Residential | Sequoia | FHLB Seattle | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Principal value | 133,000 | 133,000 | 133,000 | ||||||||||
Debt instrument principal payment amount | 127,000 | ||||||||||||
Debt instrument interest payment amount | 12,000 | ||||||||||||
Residential | Sequoia | Schwab | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Principal value | 15,000 | 15,000 | 15,000 | ||||||||||
Principal balance of securities | 14,000 | 14,000 | 14,000 | ||||||||||
Debt instrument interest amount | 1,000 | 1,000 | 1,000 | ||||||||||
Financial Guarantee | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Commitment to fund partnership | 49,000 | ||||||||||||
Guarantor obligations, current carrying value | 100 | 100 | 100 | ||||||||||
Guarantor obligations, maximum exposure, undiscounted | 135,000 | 135,000 | 135,000 | ||||||||||
ASU 2016-02 | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Lease liability | 13,000 | 13,000 | 13,000 | ||||||||||
Right-of-use asset | 12,000 | 12,000 | 12,000 | ||||||||||
Commitment To Fund Residential Bridge Loan | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Commitments to fund temporary advances | 33,000 | 33,000 | 33,000 | ||||||||||
Commitment To Fund Temporary Advances On Residential Bridge Loans | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Commitments to fund temporary advances | $ 80,000 | $ 80,000 | $ 80,000 | ||||||||||
5 Arches, LLC | |||||||||||||
Loss Contingencies [Line Items] | |||||||||||||
Contingent consideration maximum amount | $ 27,000 | ||||||||||||
Contingent consideration | $ 24,621 |
Commitments and Contingencies - Future Lease Commitments (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Commitments and Contingencies Disclosure [Abstract] | ||
2019 (6 months) | $ 1,376 | |
2020 | 2,721 | |
2021 | 1,864 | |
2022 | 1,468 | |
2023 and thereafter | 8,749 | |
Total Lease Commitments | 16,178 | |
Less: Imputed interest | (3,096) | |
Lease liability | $ 13,082 | $ 0 |
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | $ 1,549,927 | $ 1,219,983 | $ 1,348,794 | $ 1,212,287 |
Total other comprehensive loss | (3,761) | (4,435) | (12,374) | (9,628) |
Balance at End of Period | 1,564,032 | 1,228,955 | 1,564,032 | 1,228,955 |
Net Unrealized Gains on Available-for-Sale Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | 92,567 | 114,577 | 95,342 | 128,201 |
Other comprehensive income (loss) before reclassifications | 8,562 | (3,104) | 15,280 | (7,341) |
Amounts reclassified from other accumulated comprehensive income | (2,822) | (4,748) | (12,315) | (14,135) |
Total other comprehensive loss | 5,740 | (7,852) | 2,965 | (21,476) |
Balance at End of Period | 98,307 | 106,725 | 98,307 | 106,725 |
Other comprehensive income (loss) before reclassifications, tax | 200 | 100 | ||
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | (39,883) | (34,045) | ||
Other comprehensive income (loss) before reclassifications | (9,501) | (15,339) | ||
Amounts reclassified from other accumulated comprehensive income | 0 | 0 | ||
Total other comprehensive loss | (9,501) | (15,339) | ||
Balance at End of Period | $ (49,384) | (49,384) | ||
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | (34,522) | $ (34,000) | (42,953) | |
Other comprehensive income (loss) before reclassifications | 3,417 | 11,848 | ||
Amounts reclassified from other accumulated comprehensive income | 0 | 0 | ||
Total other comprehensive loss | 3,417 | 11,848 | ||
Balance at End of Period | $ (31,105) | $ (31,105) |
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Investment fair value changes, net | $ (3,138,000) | $ (889,000) | $ (23,297,000) | $ (2,498,000) |
Realized gains, net | (2,827,000) | (4,714,000) | (13,513,000) | (14,077,000) |
Net Income before Provision for Income Taxes | (33,599,000) | (35,275,000) | (88,946,000) | (87,016,000) |
Other than temporary impairments | 0 | 300,000 | 0 | 300,000 |
Other than temporary impairments recognized in income | 100,000 | |||
Other than temporary impairments recognized in Accumulated other comprehensive income | 200,000 | 200,000 | ||
Reclassification out of Accumulated Other Comprehensive Income | Net Unrealized Gains on Available-for-Sale Securities | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Investment fair value changes, net | 0 | 56,000 | 0 | 56,000 |
Realized gains, net | (2,822,000) | (4,804,000) | (12,315,000) | (14,191,000) |
Net Income before Provision for Income Taxes | (2,822,000) | $ (4,748,000) | (12,315,000) | (14,135,000) |
Other than temporary impairments recognized in income | $ (100,000) | |||
Other than temporary impairments recognized in Accumulated other comprehensive income | $ 0 | $ 0 |
Equity - Additional Information (Details) - USD ($) |
3 Months Ended | 6 Months Ended | |||||
---|---|---|---|---|---|---|---|
Jan. 29, 2019 |
Jun. 30, 2019 |
Dec. 31, 2018 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
Feb. 28, 2018 |
|
Stockholders Equity Note [Line Items] | |||||||
Issuance of common stock (in shares) | 11,500,000 | ||||||
Net proceeds from issuance of common stock | $ 198,333,000 | $ 177,000 | |||||
Issuance of common stock | $ 177,000,000 | $ 12,511,000 | 190,108,000 | ||||
Direct stock purchase and dividend reinvestment plan | 0 | 6,307,000 | |||||
Share Repurchase Plan, February 2018 | |||||||
Stockholders Equity Note [Line Items] | |||||||
Common stock authorized to repurchase by Board | $ 100,000,000 | ||||||
Available authorization remaining for repurchase | $ 100,000,000 | $ 100,000,000 | |||||
Equity awards | |||||||
Stockholders Equity Note [Line Items] | |||||||
Securities excluded in the calculation of diluted earnings per share (in shares) | 8,996 | 7,091 | 8,186 | 6,965 | |||
At The Market Offerings | Common Stock | |||||||
Stockholders Equity Note [Line Items] | |||||||
Stock issuance program, authorized amount | $ 150,000,000 | ||||||
Issuance of common stock (in shares) | 791,191 | 1,550,819 | 791,191 | ||||
Net proceeds from issuance of common stock | $ 13,000,000 | $ 25,000,000 | $ 13,000,000 | ||||
Remaining outstanding | $ 112,000,000 | $ 112,000,000 | |||||
Common Stock | |||||||
Stockholders Equity Note [Line Items] | |||||||
Issuance of common stock (in shares) | 791,191 | 12,291,191 | |||||
Issuance of common stock | $ 8,000 | $ 123,000 | |||||
Direct stock purchase and dividend reinvestment plan (in shares) | 0 | 399,838 | |||||
Direct stock purchase and dividend reinvestment plan | $ 0 | $ 4,000 |
Equity - Basic and Diluted Earnings Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Basic Earnings per Common Share: | ||||
Net income attributable to Redwood | $ 31,266 | $ 32,747 | $ 85,730 | $ 79,592 |
Less: Dividends and undistributed earnings allocated to participating securities | (877) | (1,074) | (2,417) | (2,535) |
Net income allocated to common shareholders | $ 30,389 | $ 31,673 | $ 83,313 | $ 77,057 |
Basic weighted average common shares outstanding (in shares) | 96,983,764 | 75,380,715 | 94,846,431 | 75,388,638 |
Basic Earnings per Common Share (in dollars per share) | $ 0.31 | $ 0.42 | $ 0.88 | $ 1.02 |
Diluted Earnings per Common Share: | ||||
Net income attributable to Redwood | $ 31,266 | $ 32,747 | $ 85,730 | $ 79,592 |
Less: Dividends and undistributed earnings allocated to participating securities | (1,053) | (1,156) | (2,595) | (2,584) |
Add back: Interest expense on convertible notes for the period, net of tax | 8,698 | 6,335 | 17,385 | 14,976 |
Net income allocated to common shareholders | $ 38,911 | $ 37,926 | $ 100,520 | $ 91,984 |
Weighted average common shares outstanding (in shares) | 96,983,764 | 75,380,715 | 94,846,431 | 75,388,638 |
Net effect of dilutive equity awards (in shares) | 270,550 | 277,788 | 210,360 | 156,307 |
Net effect of assumed convertible notes conversion to common shares (in shares) | 33,442,640 | 24,773,490 | 33,442,640 | 28,746,235 |
Diluted weighted average common shares outstanding (in shares) | 130,696,954 | 100,431,993 | 128,499,431 | 104,291,180 |
Diluted Earnings per Common Share (in dollars per share) | $ 0.30 | $ 0.38 | $ 0.78 | $ 0.88 |
Equity Compensation Plans - Additional Information (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Shares of common stock available for grant under Redwood's Incentive Plan (in shares) | 4,202,935 | 4,616,776 |
Unrecognized compensation cost | $ 26,619 | $ 25,122 |
Weighted average amortization period remaining for equity awards (less than) | 2 years | |
Shares of common stock to be purchased in aggregate for all employees (in shares) | 600,000 | |
Number of shares purchased by employees (in shares) | 406,941 | 390,569 |
Restricted Stock Awards | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards (in shares) | 218,022 | 334,606 |
Number of stock awards granted (in shares) | 0 | |
Number of stock awards vested (in shares) | 116,584 | |
Number of stock awards forfeited (in shares) | 0 | |
Restricted Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards (in shares) | 229,943 | 4,876 |
Number of stock awards granted (in shares) | 225,067 | |
Number of stock awards vested (in shares) | 0 | |
Number of stock awards forfeited (in shares) | 0 | |
Deferred Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards (in shares) | 2,405,497 | 2,336,720 |
Number of stock awards granted (in shares) | 329,228 | |
Number of stock awards vested (in shares) | 1,249,606 | 1,181,622 |
Number of stock awards forfeited (in shares) | 0 | |
Stock units distributed (in shares) | 260,451 | |
Performance Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unvested outstanding stock awards (in shares) | 725,616 | 725,616 |
Share-based compensation, vesting period (in years) | 3 years |
Equity Compensation Plans - Unrecognized Compensation Cost (Details) $ in Thousands |
6 Months Ended |
---|---|
Jun. 30, 2019
USD ($)
| |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | $ 25,122 |
Equity grants | 8,474 |
Equity grant forfeitures | 0 |
Equity compensation expense | (6,977) |
Unrecognized Compensation Cost at End of Period | 26,619 |
Incentive Plans | Restricted Stock Awards | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 3,498 |
Equity grants | 0 |
Equity grant forfeitures | 0 |
Equity compensation expense | (766) |
Unrecognized Compensation Cost at End of Period | 2,732 |
Incentive Plans | Restricted Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 74 |
Equity grants | 3,483 |
Equity grant forfeitures | 0 |
Equity compensation expense | (277) |
Unrecognized Compensation Cost at End of Period | 3,280 |
Incentive Plans | Deferred Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 14,489 |
Equity grants | 4,831 |
Equity grant forfeitures | 0 |
Equity compensation expense | (4,184) |
Unrecognized Compensation Cost at End of Period | 15,136 |
Incentive Plans | Performance Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 7,061 |
Equity grants | 0 |
Equity grant forfeitures | 0 |
Equity compensation expense | (1,670) |
Unrecognized Compensation Cost at End of Period | 5,391 |
Employee Stock Purchase Plan | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 0 |
Equity grants | 160 |
Equity grant forfeitures | 0 |
Equity compensation expense | (80) |
Unrecognized Compensation Cost at End of Period | $ 80 |
Mortgage Banking Activities, Net - Components of Mortgage Banking Activities (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Other income, net | $ 2,407 | $ 3,322 | $ 5,994 | $ 5,440 |
Mortgage banking activities, net | 19,160 | 10,596 | 31,469 | 37,172 |
Residential Mortgage Banking Activities | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Other income, net | 852 | 1,082 | 973 | 1,420 |
Mortgage banking activities, net | 15,359 | 10,596 | 26,186 | 37,172 |
Residential Mortgage Banking Activities | Residential loans, at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | 20,267 | 3,364 | 35,111 | 1,170 |
Residential Mortgage Banking Activities | Risk management derivatives | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Risk management derivatives | (5,760) | 6,150 | (9,898) | 34,582 |
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 | 1,012 | 0 | 1,098 | 0 |
Other income, net | 2,578 | 0 | 3,076 | 0 |
Mortgage banking activities, net | 3,801 | 0 | 5,283 | 0 |
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 | (1,671) | 0 | (2,517) | 0 |
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 | $ 1,882 | $ 0 | $ 3,626 | $ 0 |
Investment Fair Value Changes, Net - Components of Investment Activities (Details) - Investment Fair Value Changes, Net - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | $ 3,138 | $ 889 | $ 23,297 | $ 2,498 |
Residential loans held-for-investment, at Redwood | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | 35,548 | (15,010) | 63,656 | (53,995) |
Residential bridge loans, held-for-investment at fair value | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | (318) | 0 | (621) | 0 |
Trading securities | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | 18,442 | (930) | 40,302 | (3,885) |
Servicer advance investments | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | 432 | 0 | 1,440 | 0 |
Excess MSRs | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | (65) | 0 | (502) | 0 |
REO | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | (139) | 0 | (139) | 0 |
Legacy Sequoia | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | (123) | (720) | (497) | (728) |
Sequoia Choice | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | 2,879 | 1,072 | 6,144 | 986 |
Freddie Mac SLST | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | 8,037 | 0 | 14,402 | 0 |
Freddie Mac K-Series | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | 3,246 | 0 | 6,365 | 0 |
Risk-sharing investments | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | (61) | (209) | (138) | (348) |
Risk management derivatives, net | ||||
Investment Holdings [Line Items] | ||||
Changes in fair value of assets | $ (64,740) | $ 16,742 | $ (107,115) | $ 60,524 |
Other Income, Net (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Other Income and Expenses [Abstract] | ||||
MSR income, net | $ 1,654 | $ 1,874 | $ 1,911 | $ 2,830 |
Risk share income | 800 | 1,020 | 1,446 | 1,799 |
FHLBC capital stock dividend | 535 | 428 | 1,082 | 811 |
Equity investment losses | (96) | 0 | (5) | 0 |
5 Arches management fee income | 1,488 | 0 | 1,954 | 0 |
Amortization of intangible assets | (1,900) | 0 | (2,532) | 0 |
Gain on re-measurement of investment in 5 Arches | 0 | 0 | 2,441 | 0 |
Other | (74) | 0 | (303) | 0 |
Other Income, Net | $ 2,407 | $ 3,322 | $ 5,994 | $ 5,440 |
Operating Expenses - Components of Operating Expenses (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Other Income and Expenses [Abstract] | ||||
Fixed compensation expense | $ 9,252 | $ 5,775 | $ 17,457 | $ 12,214 |
Variable compensation expense | 4,021 | 1,825 | 8,423 | 8,732 |
Equity compensation expense | 4,024 | 3,835 | 6,977 | 6,532 |
Total compensation expense | 17,297 | 11,435 | 32,857 | 27,478 |
Systems and consulting | 2,536 | 1,774 | 4,364 | 3,640 |
Loan acquisition costs | 1,516 | 2,155 | 2,993 | 3,973 |
Office costs | 1,585 | 1,084 | 2,889 | 2,224 |
Accounting and legal | 960 | 1,074 | 2,085 | 1,908 |
Corporate costs | 545 | 496 | 1,219 | 1,000 |
Other operating expenses | 1,816 | 991 | 3,007 | 1,816 |
Total Operating Expenses | $ 26,255 | $ 19,009 | $ 49,414 | $ 42,039 |
Taxes - Additional Information (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Income Tax Disclosure [Abstract] | ||||
Provision for income taxes | $ 2,333 | $ 2,528 | $ 3,216 | $ 7,424 |
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Details) |
6 Months Ended | |
---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Income Tax Disclosure [Abstract] | ||
Federal statutory rate | 21.00% | 21.00% |
State statutory rate, net of Federal tax effect | 8.60% | 8.60% |
Differences in taxable (loss) income from GAAP income | (4.70%) | (2.90%) |
Change in valuation allowance | (3.60%) | (3.30%) |
Dividends paid deduction | (17.70%) | (14.90%) |
Effective Tax Rate | 3.60% | 8.50% |
Segment Information - Additional Information (Details) |
6 Months Ended |
---|---|
Jun. 30, 2019
segment
| |
Segment Reporting [Abstract] | |
Number of operating segments | 2 |
Segment Information - Financial Information by Segment (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Segment Reporting Information [Line Items] | ||||
Interest income | $ 148,542 | $ 82,976 | $ 279,583 | $ 159,595 |
Interest expense | (116,220) | (48,213) | (215,496) | (89,727) |
Net Interest Income | 32,322 | 34,763 | 64,087 | 69,868 |
Non-interest Income | ||||
Mortgage banking activities, net | 19,160 | 10,596 | 31,469 | 37,172 |
Investment fair value changes, net | 3,138 | 889 | 23,297 | 2,498 |
Other income (expense), net | 2,407 | 3,322 | 5,994 | 5,440 |
Realized gains, net | 2,827 | 4,714 | 13,513 | 14,077 |
Total non-interest income, net | 27,532 | 19,521 | 74,273 | 59,187 |
Direct operating expenses | (26,255) | (19,009) | (49,414) | (42,039) |
Provision for income taxes | (2,333) | (2,528) | (3,216) | (7,424) |
Net Income | 31,266 | 32,747 | 85,730 | 79,592 |
Non-cash amortization income (expense), net | (517) | 3,741 | (172) | 7,382 |
Operating Segments | Investment Portfolio | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 132,048 | 64,569 | 247,500 | 123,326 |
Interest expense | (93,912) | (27,004) | (171,799) | (46,867) |
Net Interest Income | 38,136 | 37,565 | 75,701 | 76,459 |
Non-interest Income | ||||
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | 3,297 | 1,600 | 23,853 | 3,190 |
Other income (expense), net | 2,874 | 3,322 | 4,095 | 5,440 |
Realized gains, net | 2,827 | 4,714 | 13,513 | 14,077 |
Total non-interest income, net | 8,998 | 9,636 | 41,461 | 22,707 |
Direct operating expenses | (2,258) | (1,858) | (4,919) | (3,865) |
Provision for income taxes | (896) | (1,130) | (1,238) | (2,018) |
Net Income | 43,980 | 44,213 | 111,005 | 93,283 |
Non-cash amortization income (expense), net | 2,622 | 4,654 | 4,990 | 9,271 |
Operating Segments | Mortgage Banking | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 11,352 | 13,084 | 21,729 | 25,981 |
Interest expense | (6,595) | (7,629) | (12,159) | (13,766) |
Net Interest Income | 4,757 | 5,455 | 9,570 | 12,215 |
Non-interest Income | ||||
Mortgage banking activities, net | 19,160 | 10,596 | 31,469 | 37,172 |
Investment fair value changes, net | 0 | 0 | 0 | 0 |
Other income (expense), net | (156) | 0 | (323) | 0 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest income, net | 19,004 | 10,596 | 31,146 | 37,172 |
Direct operating expenses | (11,571) | (5,739) | (19,675) | (14,371) |
Provision for income taxes | (1,437) | (1,398) | (1,978) | (5,406) |
Net Income | 10,753 | 8,914 | 19,063 | 29,610 |
Non-cash amortization income (expense), net | (2,014) | (22) | (2,737) | (44) |
Corporate/Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 5,142 | 5,323 | 10,354 | 10,288 |
Interest expense | (15,713) | (13,580) | (31,538) | (29,094) |
Net Interest Income | (10,571) | (8,257) | (21,184) | (18,806) |
Non-interest Income | ||||
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | (159) | (711) | (556) | (692) |
Other income (expense), net | (311) | 0 | 2,222 | 0 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest income, net | (470) | (711) | 1,666 | (692) |
Direct operating expenses | (12,426) | (11,412) | (24,820) | (23,803) |
Provision for income taxes | 0 | 0 | 0 | 0 |
Net Income | (23,467) | (20,380) | (44,338) | (43,301) |
Non-cash amortization income (expense), net | $ (1,125) | $ (891) | $ (2,425) | $ (1,845) |
Segment Information - Components of Corporate/Other (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Segment Reporting Information [Line Items] | ||||
Interest income | $ 148,542 | $ 82,976 | $ 279,583 | $ 159,595 |
Interest expense | (116,220) | (48,213) | (215,496) | (89,727) |
Net Interest Income | 32,322 | 34,763 | 64,087 | 69,868 |
Investment fair value changes, net | 3,138 | 889 | 23,297 | 2,498 |
Total non-interest income, net | 27,532 | 19,521 | 74,273 | 59,187 |
Direct operating expenses | (26,255) | (19,009) | (49,414) | (42,039) |
Net Income | 31,266 | 32,747 | 85,730 | 79,592 |
Corporate/Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 5,142 | 5,323 | 10,354 | 10,288 |
Interest expense | (15,713) | (13,580) | (31,538) | (29,094) |
Net Interest Income | (10,571) | (8,257) | (21,184) | (18,806) |
Investment fair value changes, net | (159) | (711) | (556) | (692) |
Other income | (311) | 0 | 2,222 | 0 |
Total non-interest income, net | (470) | (711) | 1,666 | (692) |
Direct operating expenses | (12,426) | (11,412) | (24,820) | (23,803) |
Net Income | (23,467) | (20,380) | (44,338) | (43,301) |
Corporate/Other | Legacy Consolidated VIEs | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 4,776 | 5,017 | 9,629 | 9,829 |
Interest expense | (3,981) | (4,215) | (8,096) | (8,067) |
Net Interest Income | 795 | 802 | 1,533 | 1,762 |
Investment fair value changes, net | (123) | (720) | (497) | (728) |
Other income | 0 | 0 | 0 | 0 |
Total non-interest income, net | (123) | (720) | (497) | (728) |
Direct operating expenses | 0 | 0 | 0 | 0 |
Net Income | 672 | 82 | 1,036 | 1,034 |
Corporate/Other | Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 366 | 306 | 725 | 459 |
Interest expense | (11,732) | (9,365) | (23,442) | (21,027) |
Net Interest Income | (11,366) | (9,059) | (22,717) | (20,568) |
Investment fair value changes, net | (36) | 9 | (59) | 36 |
Other income | (311) | 0 | 2,222 | 0 |
Total non-interest income, net | (347) | 9 | 2,163 | 36 |
Direct operating expenses | (12,426) | (11,412) | (24,820) | (23,803) |
Net Income | $ (24,139) | $ (20,462) | $ (45,374) | $ (44,335) |
Segment Information - Supplemental Information by Segment (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
|||
---|---|---|---|---|---|
Segment Reporting Information [Line Items] | |||||
Real estate securities | [1] | $ 1,477,486 | $ 1,452,494 | ||
Other investments | [1] | 372,130 | 438,518 | ||
Goodwill and intangible assets | [1] | 50,999 | 0 | ||
Total Assets | [1] | 13,851,586 | 11,937,406 | ||
Residential loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 7,283,365 | 7,254,742 | |||
Business purpose residential loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 250,854 | 141,258 | |||
Multifamily loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 3,749,657 | 2,144,598 | |||
Operating Segments | Investment Portfolio | |||||
Segment Reporting Information [Line Items] | |||||
Real estate securities | 1,477,486 | 1,452,494 | |||
Other investments | 369,900 | 427,764 | |||
Goodwill and intangible assets | 0 | ||||
Total Assets | 11,790,419 | 10,093,993 | |||
Operating Segments | Investment Portfolio | Residential loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 5,777,759 | 5,685,983 | |||
Operating Segments | Investment Portfolio | Business purpose residential loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 159,353 | 112,798 | |||
Operating Segments | Investment Portfolio | Multifamily loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 3,749,657 | 2,144,598 | |||
Operating Segments | Mortgage Banking | |||||
Segment Reporting Information [Line Items] | |||||
Real estate securities | 0 | 0 | |||
Other investments | 2,230 | 0 | |||
Goodwill and intangible assets | 50,999 | ||||
Total Assets | 1,225,117 | 1,103,090 | |||
Operating Segments | Mortgage Banking | Residential loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 1,047,856 | 1,048,801 | |||
Operating Segments | Mortgage Banking | Business purpose residential loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 91,501 | 28,460 | |||
Operating Segments | Mortgage Banking | Multifamily loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 0 | 0 | |||
Corporate/Other | |||||
Segment Reporting Information [Line Items] | |||||
Real estate securities | 0 | 0 | |||
Other investments | 0 | 10,754 | |||
Goodwill and intangible assets | 0 | ||||
Total Assets | 836,050 | 740,323 | |||
Corporate/Other | Residential loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 457,750 | 519,958 | |||
Corporate/Other | Business purpose residential loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | 0 | 0 | |||
Corporate/Other | Multifamily loans | |||||
Segment Reporting Information [Line Items] | |||||
Loans, at fair value | $ 0 | $ 0 | |||
|
Subsequent Events (Details) - Residential - Subsequent Event $ in Millions |
1 Months Ended |
---|---|
Jul. 31, 2019
USD ($)
| |
Subsequent Event [Line Items] | |
Deposit assets | $ 60 |
Payments to acquire mortgage-backed securities | $ 150 |
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