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 |
Maryland | 68-0329422 | |||||||
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) |
One Belvedere Place, | Suite 300 | ||||||||||
Mill Valley, | California | 94941 | |||||||||
(Address of Principal Executive Offices) | (Zip Code) |
Large accelerated filer | Accelerated filer | |||||||||||||
Non-accelerated filer | Smaller reporting company | |||||||||||||
Emerging growth company |
Title of each class | Trading symbol(s) | Name of each exchange on which registered | ||||||
Common stock, par value $0.01 per share | RWT | New York Stock Exchange | ||||||
10% Series A Fixed-Rate Reset Cumulative Redeemable Preferred Stock, par value $0.01 per share | RWT PRA | New York Stock Exchange |
Common Stock, $0.01 par value per share | shares outstanding as of November |
Page | |||||||||||
PART I — | FINANCIAL INFORMATION | ||||||||||
Item 1. | |||||||||||
Item 2. | |||||||||||
Item 3. | |||||||||||
Item 4. | |||||||||||
PART II — | OTHER INFORMATION | ||||||||||
Item 1. | |||||||||||
Item 1A. | |||||||||||
Item 2. | |||||||||||
Item 3. | |||||||||||
Item 4. | |||||||||||
Item 5. | |||||||||||
Item 6. | |||||||||||
(In Thousands, except Share Data) (Unaudited) | September 30, 2017 | December 31, 2016 | ||||||
ASSETS (1) | ||||||||
Residential loans, held-for-sale, at fair value | $ | 925,681 | $ | 835,399 | ||||
Residential loans, held-for-investment, at fair value | 3,259,239 | 3,052,652 | ||||||
Real estate securities, at fair value | 1,356,272 | 1,018,439 | ||||||
Mortgage servicing rights, at fair value | 62,928 | 118,526 | ||||||
Cash and cash equivalents | 257,611 | 212,844 | ||||||
Total earning assets | 5,861,731 | 5,237,860 | ||||||
Restricted cash | 26,258 | 8,623 | ||||||
Accrued interest receivable | 21,256 | 18,454 | ||||||
Derivative assets | 11,948 | 36,595 | ||||||
Other assets | 209,506 | 181,945 | ||||||
Total Assets | $ | 6,130,699 | $ | 5,483,477 | ||||
LIABILITIES AND EQUITY (1) | ||||||||
Liabilities | ||||||||
Short-term debt (2) | $ | 1,238,196 | $ | 791,539 | ||||
Accrued interest payable | 18,836 | 9,608 | ||||||
Derivative liabilities | 65,238 | 66,329 | ||||||
Accrued expenses and other liabilities | 81,062 | 72,428 | ||||||
Asset-backed securities issued, at fair value | 944,288 | 773,462 | ||||||
Long-term debt, net | 2,574,439 | 2,620,683 | ||||||
Total liabilities | 4,922,059 | 4,334,049 | ||||||
Equity | ||||||||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 77,122,687 and 76,834,663 issued and outstanding | 771 | 768 | ||||||
Additional paid-in capital | 1,681,968 | 1,676,486 | ||||||
Accumulated other comprehensive income | 82,316 | 71,853 | ||||||
Cumulative earnings | 1,259,408 | 1,149,935 | ||||||
Cumulative distributions to stockholders | (1,815,823 | ) | (1,749,614 | ) | ||||
Total equity | 1,208,640 | 1,149,428 | ||||||
Total Liabilities and Equity | $ | 6,130,699 | $ | 5,483,477 |
(In Thousands, except Share Data) (Unaudited) | September 30, 2023 | December 31, 2022 | ||||||||||||
ASSETS (1) | ||||||||||||||
Residential loans, held-for-sale, at fair value | $ | 610,946 | $ | 780,781 | ||||||||||
Residential loans, held-for-investment, at fair value | 5,236,391 | 4,832,407 | ||||||||||||
Business purpose loans, held-for-sale, at fair value | 102,777 | 364,073 | ||||||||||||
Business purpose loans, held-for-investment, at fair value | 5,146,553 | 4,968,513 | ||||||||||||
Consolidated Agency multifamily loans, at fair value | 420,554 | 424,551 | ||||||||||||
Real estate securities, at fair value | 129,445 | 240,475 | ||||||||||||
Home equity investments, at fair value | 431,272 | 403,462 | ||||||||||||
Other investments | 340,361 | 390,938 | ||||||||||||
Cash and cash equivalents | 203,622 | 258,894 | ||||||||||||
Restricted cash | 56,101 | 70,470 | ||||||||||||
Goodwill | 23,373 | 23,373 | ||||||||||||
Intangible assets | 31,570 | 40,892 | ||||||||||||
Derivative assets | 37,686 | 20,830 | ||||||||||||
Other assets | 250,487 | 211,240 | ||||||||||||
Total Assets | $ | 13,021,138 | $ | 13,030,899 | ||||||||||
LIABILITIES AND EQUITY (1) | ||||||||||||||
Liabilities | ||||||||||||||
Short-term debt, net | $ | 1,476,654 | $ | 2,029,679 | ||||||||||
Derivative liabilities | 8,781 | 16,855 | ||||||||||||
Accrued expenses and other liabilities | 208,294 | 180,203 | ||||||||||||
Asset-backed securities issued (includes $7,910,345 and $7,424,132 at fair value), net | 8,392,050 | 7,986,752 | ||||||||||||
Long-term debt, net | 1,829,560 | 1,733,425 | ||||||||||||
Total liabilities | 11,915,339 | 11,946,914 | ||||||||||||
Commitments and Contingencies (see Note 17) | ||||||||||||||
Equity | ||||||||||||||
Preferred stock, par value $0.01 per share, 2,800,000 shares authorized; 2,800,000 and zero issued and outstanding | 66,923 | — | ||||||||||||
Common stock, par value $0.01 per share, 395,000,000 shares authorized; 118,503,762 and 113,484,675 issued and outstanding | 1,185 | 1,135 | ||||||||||||
Additional paid-in capital | 2,395,247 | 2,349,845 | ||||||||||||
Accumulated other comprehensive loss | (64,738) | (68,868) | ||||||||||||
Cumulative earnings | 1,125,126 | 1,153,370 | ||||||||||||
Cumulative distributions to stockholders | (2,417,944) | (2,351,497) | ||||||||||||
Total equity | 1,105,799 | 1,083,985 | ||||||||||||
Total Liabilities and Equity | $ | 13,021,138 | $ | 13,030,899 |
(In Thousands, except Share Data) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
(Unaudited) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Interest Income | ||||||||||||||||
Residential loans | $ | 38,541 | $ | 35,595 | $ | 109,538 | $ | 102,149 | ||||||||
Commercial loans | — | 6,453 | 345 | 28,834 | ||||||||||||
Real estate securities | 23,425 | 18,600 | 65,068 | 58,112 | ||||||||||||
Other interest income | 771 | 258 | 1,638 | 926 | ||||||||||||
Total interest income | 62,737 | 60,906 | 176,589 | 190,021 | ||||||||||||
Interest Expense | ||||||||||||||||
Short-term debt | (10,182 | ) | (5,405 | ) | (23,985 | ) | (17,439 | ) | ||||||||
Asset-backed securities issued | (3,956 | ) | (3,193 | ) | (11,191 | ) | (11,457 | ) | ||||||||
Long-term debt | (13,305 | ) | (12,999 | ) | (37,532 | ) | (39,095 | ) | ||||||||
Total interest expense | (27,443 | ) | (21,597 | ) | (72,708 | ) | (67,991 | ) | ||||||||
Net Interest Income | 35,294 | 39,309 | 103,881 | 122,030 | ||||||||||||
Reversal of provision for loan losses | — | 859 | — | 7,102 | ||||||||||||
Net Interest Income after Provision | 35,294 | 40,168 | 103,881 | 129,132 | ||||||||||||
Non-interest Income | ||||||||||||||||
Mortgage banking activities, net | 21,200 | 9,766 | 50,850 | 24,712 | ||||||||||||
Mortgage servicing rights income, net | 1,615 | 3,770 | 6,106 | 12,834 | ||||||||||||
Investment fair value changes, net | 324 | 11,918 | 9,990 | (18,686 | ) | |||||||||||
Other income | 1,197 | 1,643 | 3,367 | 4,157 | ||||||||||||
Realized gains, net | 1,734 | 6,615 | 8,809 | 26,037 | ||||||||||||
Total non-interest income, net | 26,070 | 33,712 | 79,122 | 49,054 | ||||||||||||
Operating expenses | (19,922 | ) | (20,355 | ) | (56,789 | ) | (70,962 | ) | ||||||||
Net Income before Provision for Income Taxes | 41,442 | 53,525 | 126,214 | 107,224 | ||||||||||||
Provision for income taxes | (5,262 | ) | (972 | ) | (16,741 | ) | (1,327 | ) | ||||||||
Net Income | $ | 36,180 | $ | 52,553 | $ | 109,473 | $ | 105,897 | ||||||||
Basic earnings per common share | $ | 0.46 | $ | 0.67 | $ | 1.39 | $ | 1.34 | ||||||||
Diluted earnings per common share | $ | 0.41 | $ | 0.58 | $ | 1.26 | $ | 1.23 | ||||||||
Regular dividends declared per common share | $ | 0.28 | $ | 0.28 | $ | 0.84 | $ | 0.84 | ||||||||
Basic weighted average shares outstanding | 76,850,830 | 76,680,183 | 76,803,324 | 76,827,026 | ||||||||||||
Diluted weighted average shares outstanding | 102,703,108 | 97,831,617 | 99,397,866 | 97,991,678 |
(In Thousands, except Share Data) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(Unaudited) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Interest Income | ||||||||||||||||||||||||||
Residential loans | $ | 62,512 | $ | 61,002 | $ | 177,137 | $ | 191,252 | ||||||||||||||||||
Business purpose loans | 93,020 | 95,197 | 288,580 | 270,430 | ||||||||||||||||||||||
Consolidated Agency multifamily loans | 4,677 | 4,762 | 13,992 | 14,247 | ||||||||||||||||||||||
Real estate securities | 5,111 | 6,989 | 17,762 | 30,772 | ||||||||||||||||||||||
Other interest income | 11,754 | 9,712 | 37,100 | 27,816 | ||||||||||||||||||||||
Total interest income | 177,074 | 177,662 | 534,571 | 534,517 | ||||||||||||||||||||||
Interest Expense | ||||||||||||||||||||||||||
Short-term debt | (27,323) | (23,944) | (87,862) | (49,093) | ||||||||||||||||||||||
Asset-backed securities issued | (91,323) | (90,910) | (268,881) | (285,464) | ||||||||||||||||||||||
Long-term debt | (38,077) | (27,873) | (104,944) | (71,435) | ||||||||||||||||||||||
Total interest expense | (156,723) | (142,727) | (461,687) | (405,992) | ||||||||||||||||||||||
Net Interest Income | 20,351 | 34,935 | 72,884 | 128,525 | ||||||||||||||||||||||
Non-Interest (Loss) Income | ||||||||||||||||||||||||||
Mortgage banking activities, net | 19,440 | 16,535 | 52,663 | 2,833 | ||||||||||||||||||||||
Investment fair value changes, net | (31,430) | (57,697) | (36,153) | (151,789) | ||||||||||||||||||||||
Other income, net | 2,346 | 4,027 | 11,060 | 17,016 | ||||||||||||||||||||||
Realized gains, net | 50 | — | 1,104 | 2,581 | ||||||||||||||||||||||
Total non-interest (loss) income, net | (9,594) | (37,135) | 28,674 | (129,359) | ||||||||||||||||||||||
General and administrative expenses | (29,697) | (38,244) | (96,057) | (101,719) | ||||||||||||||||||||||
Portfolio management costs | (3,661) | (1,863) | (10,271) | (5,208) | ||||||||||||||||||||||
Loan acquisition costs | (1,880) | (2,426) | (4,613) | (10,371) | ||||||||||||||||||||||
Other expenses | (4,633) | (4,261) | (13,292) | (11,814) | ||||||||||||||||||||||
Net Loss before (Provision for) Benefit from Income Taxes | (29,114) | (48,994) | (22,675) | (129,946) | ||||||||||||||||||||||
(Provision for) benefit from income taxes | (1,696) | (1,417) | (642) | 10,484 | ||||||||||||||||||||||
Net Loss | $ | (30,810) | $ | (50,411) | $ | (23,317) | $ | (119,462) | ||||||||||||||||||
Dividends on preferred stock | (1,750) | — | (4,927) | — | ||||||||||||||||||||||
Net Loss related to common stockholders | $ | (32,560) | $ | (50,411) | $ | (28,244) | $ | (119,462) | ||||||||||||||||||
Net loss related to common stockholders - Basic | $ | (0.29) | $ | (0.44) | $ | (0.27) | $ | (1.04) | ||||||||||||||||||
Net loss related to common stockholders - Diluted | $ | (0.29) | $ | (0.44) | $ | (0.27) | $ | (1.04) | ||||||||||||||||||
Basic weighted average common shares outstanding | 115,465,977 | 116,087,890 | 114,381,548 | 118,530,172 | ||||||||||||||||||||||
Diluted weighted average common shares outstanding | 115,465,977 | 116,087,890 | 114,381,548 | 118,530,172 |
(In Thousands) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
(Unaudited) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Net Income | $ | 36,180 | $ | 52,553 | $ | 109,473 | $ | 105,897 | ||||||||
Other comprehensive income (loss): | ||||||||||||||||
Net unrealized gain on available-for-sale securities (1) | 13,158 | 9,038 | 17,899 | 5,195 | ||||||||||||
Reclassification of unrealized gain on available-for-sale securities to net income | (853 | ) | (1,319 | ) | (7,103 | ) | (19,983 | ) | ||||||||
Net unrealized gain (loss) on interest rate agreements | 321 | 647 | (375 | ) | (22,545 | ) | ||||||||||
Reclassification of unrealized loss on interest rate agreements to net income | 14 | 18 | 42 | 55 | ||||||||||||
Total other comprehensive income (loss) | 12,640 | 8,384 | 10,463 | (37,278 | ) | |||||||||||
Total Comprehensive Income | $ | 48,820 | $ | 60,937 | $ | 119,936 | $ | 68,619 |
(In Thousands) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(Unaudited) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Net (Loss) Income | $ | (30,810) | $ | (50,411) | $ | (23,317) | $ | (119,462) | ||||||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||
Net unrealized (loss) gain on available-for-sale securities | (3,921) | (8,731) | 398 | (60,013) | ||||||||||||||||||||||
Reclassification of unrealized loss on available-for-sale securities to net income (loss) | 234 | 544 | 645 | 918 | ||||||||||||||||||||||
Reclassification of unrealized loss on interest rate agreements to net income (loss) | 1,040 | 1,040 | 3,087 | 3,087 | ||||||||||||||||||||||
Total other comprehensive (loss) income | (2,647) | (7,147) | 4,130 | (56,008) | ||||||||||||||||||||||
Comprehensive (Loss) Income | $ | (33,457) | $ | (57,558) | $ | (19,187) | $ | (175,470) | ||||||||||||||||||
Dividends on preferred stock | $ | (1,750) | $ | — | $ | (4,927) | $ | — | ||||||||||||||||||
Comprehensive Loss Related to Common Stockholders | $ | (35,207) | $ | (57,558) | $ | (24,114) | $ | (175,470) |
(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, 2016 | 76,834,663 | $ | 768 | $ | 1,676,486 | $ | 71,853 | $ | 1,149,935 | $ | (1,749,614 | ) | $ | 1,149,428 | |||||||||||||
Net income | — | — | — | — | 109,473 | — | 109,473 | ||||||||||||||||||||
Other comprehensive income | — | — | — | 10,463 | — | — | 10,463 | ||||||||||||||||||||
Employee stock purchase and incentive plans | 288,024 | 3 | (2,315 | ) | — | — | — | (2,312 | ) | ||||||||||||||||||
Non-cash equity award compensation | — | — | 7,797 | — | — | — | 7,797 | ||||||||||||||||||||
Common dividends declared | — | — | — | — | — | (66,209 | ) | (66,209 | ) | ||||||||||||||||||
September 30, 2017 | 77,122,687 | $ | 771 | $ | 1,681,968 | $ | 82,316 | $ | 1,259,408 | $ | (1,815,823 | ) | $ | 1,208,640 |
(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, 2015 | 78,162,765 | $ | 782 | $ | 1,695,956 | $ | 91,993 | $ | 1,018,683 | $ | (1,661,149 | ) | $ | 1,146,265 | |||||||||||||
Net income | — | — | — | — | 105,897 | — | 105,897 | ||||||||||||||||||||
Other comprehensive loss | — | — | — | (37,278 | ) | — | — | (37,278 | ) | ||||||||||||||||||
Employee stock purchase and incentive plans | 437,441 | 4 | (4,183 | ) | — | — | — | (4,179 | ) | ||||||||||||||||||
Non-cash equity award compensation | — | — | 10,595 | — | — | — | 10,595 | ||||||||||||||||||||
Share repurchases | (1,917,873 | ) | (19 | ) | (24,745 | ) | — | — | — | (24,764 | ) | ||||||||||||||||
Common dividends declared | — | — | — | — | — | (66,406 | ) | (66,406 | ) | ||||||||||||||||||
September 30, 2016 | 76,682,333 | $ | 767 | $ | 1,677,623 | $ | 54,715 | $ | 1,124,580 | $ | (1,727,555 | ) | $ | 1,130,130 |
(In Thousands, except Share Data) | Preferred Stock | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | Shares | Par Value | ||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2023 | $ | 66,923 | 114,177,992 | $ | 1,142 | $ | 2,358,675 | $ | (62,091) | $ | 1,157,686 | $ | (2,398,197) | $ | 1,124,138 | |||||||||||||||||||||||||||||||||||
Net (loss) | — | — | — | — | — | (30,810) | — | (30,810) | ||||||||||||||||||||||||||||||||||||||||||
Other comprehensive (loss) | — | — | — | — | (2,647) | — | — | (2,647) | ||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock | 4,244,580 | 42 | 33,286 | — | — | — | 33,328 | |||||||||||||||||||||||||||||||||||||||||||
Employee stock purchase and incentive plans | — | 81,190 | 1 | (124) | — | — | — | (123) | ||||||||||||||||||||||||||||||||||||||||||
Non-cash equity award compensation | — | — | — | 3,410 | — | — | — | 3,410 | ||||||||||||||||||||||||||||||||||||||||||
Preferred dividends declared ($0.625 per share) | — | — | — | — | — | (1,750) | — | (1,750) | ||||||||||||||||||||||||||||||||||||||||||
Common dividends declared ($0.16 per share)(1) | — | — | — | — | — | — | (19,747) | (19,747) | ||||||||||||||||||||||||||||||||||||||||||
September 30, 2023 | $ | 66,923 | 118,503,762 | $ | 1,185 | $ | 2,395,247 | $ | (64,738) | $ | 1,125,126 | $ | (2,417,944) | $ | 1,105,799 |
(In Thousands, except Share Data) | Preferred Stock | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | Shares | Par Value | ||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2022 | $ | — | 113,484,675 | $ | 1,135 | $ | 2,349,845 | $ | (68,868) | $ | 1,153,370 | $ | (2,351,497) | $ | 1,083,985 | |||||||||||||||||||||||||||||||||||
Net (loss) | — | — | — | — | — | (23,317) | — | (23,317) | ||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income | — | — | — | — | 4,130 | — | — | 4,130 | ||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock | — | 4,244,580 | 42 | 33,286 | — | — | — | 33,328 | ||||||||||||||||||||||||||||||||||||||||||
Employee stock purchase and incentive plans | — | 774,507 | 8 | (2,836) | — | — | — | (2,828) | ||||||||||||||||||||||||||||||||||||||||||
Non-cash equity award compensation | — | — | — | 14,952 | — | — | — | 14,952 | ||||||||||||||||||||||||||||||||||||||||||
Issuance of preferred stock | 66,923 | — | — | — | — | — | — | 66,923 | ||||||||||||||||||||||||||||||||||||||||||
Preferred dividends declared ($1.85417 per share) | — | — | — | — | — | (4,927) | — | (4,927) | ||||||||||||||||||||||||||||||||||||||||||
Common dividends declared ($0.55 per share)(1) | — | — | — | — | — | — | (66,447) | (66,447) | ||||||||||||||||||||||||||||||||||||||||||
September 30, 2023 | $ | 66,923 | 118,503,762 | $ | 1,185 | $ | 2,395,247 | $ | (64,738) | $ | 1,125,126 | $ | (2,417,944) | $ | 1,105,799 |
(In Thousands) (Unaudited) | Nine Months Ended September 30, | |||||||
2017 | 2016 | |||||||
Cash Flows From Operating Activities: | ||||||||
Net income | $ | 109,473 | $ | 105,897 | ||||
Adjustments to reconcile net income to net cash used in operating activities: | ||||||||
Amortization of premiums, discounts, and securities issuance costs, net | (14,246 | ) | (20,251 | ) | ||||
Depreciation and amortization of non-financial assets | 909 | 849 | ||||||
Purchases of held-for-sale loans | (3,760,110 | ) | (3,817,445 | ) | ||||
Proceeds from sales of held-for-sale loans | 3,079,877 | 2,930,641 | ||||||
Principal payments on held-for-sale loans | 38,500 | 55,694 | ||||||
Net settlements of derivatives | (10,570 | ) | (13,914 | ) | ||||
Provision for loan losses | — | (7,102 | ) | |||||
Non-cash equity award compensation expense | 7,797 | 10,595 | ||||||
Market valuation adjustments | (50,352 | ) | 9,238 | |||||
Realized gains, net | (8,809 | ) | (26,037 | ) | ||||
Net change in: | ||||||||
Accrued interest receivable and other assets | (19,868 | ) | 7,983 | |||||
Accrued interest payable and accrued expenses and other liabilities | (1,677 | ) | 7,728 | |||||
Net cash used in operating activities | (629,076 | ) | (756,124 | ) | ||||
Cash Flows From Investing Activities: | ||||||||
Purchases of loans held-for-investment | — | — | ||||||
Proceeds from sales of loans held-for-investment | — | 219,639 | ||||||
Principal payments on loans held-for-investment | 370,595 | 574,037 | ||||||
Purchases of real estate securities | (396,721 | ) | (212,364 | ) | ||||
Proceeds from sales of real estate securities | 142,931 | 482,716 | ||||||
Principal payments on real estate securities | 55,544 | 60,978 | ||||||
Purchase of mortgage servicing rights | (574 | ) | (15,286 | ) | ||||
Proceeds from sales of mortgage servicing rights | 51,279 | 35,717 | ||||||
Net change in restricted cash | (17,635 | ) | 3,523 | |||||
Net cash provided by investing activities | 205,419 | 1,148,960 | ||||||
Cash Flows From Financing Activities: | ||||||||
Proceeds from borrowings on short-term debt | 3,126,949 | 3,156,642 | ||||||
Repayments on short-term debt | (2,968,050 | ) | (3,894,240 | ) | ||||
Proceeds from issuance of asset-backed securities | 286,898 | — | ||||||
Repayments on asset-backed securities issued | (146,357 | ) | (208,801 | ) | ||||
Proceeds from issuance of long-term debt | 245,000 | 771,287 | ||||||
Deferred long-term debt issuance costs | (7,380 | ) | — | |||||
Repayments on long-term debt | — | (118,146 | ) | |||||
Net settlements of derivatives | (115 | ) | (119 | ) | ||||
Net proceeds from issuance of common stock | 224 | 220 | ||||||
Net payments on repurchase of common stock | — | (27,731 | ) | |||||
Taxes paid on equity award distributions | (2,536 | ) | (4,399 | ) | ||||
Dividends paid | (66,209 | ) | (66,406 | ) | ||||
Net cash provided by (used in) financing activities | 468,424 | (391,693 | ) | |||||
Net increase in cash and cash equivalents | 44,767 | 1,143 | ||||||
Cash and cash equivalents at beginning of period | 212,844 | 220,229 | ||||||
Cash and cash equivalents at end of period | $ | 257,611 | $ | 221,372 | ||||
Supplemental Cash Flow Information: | ||||||||
Cash paid during the period for: | ||||||||
Interest | $ | 67,339 | $ | 62,053 | ||||
Taxes | 1,476 | 826 | ||||||
Supplemental Noncash Information: | ||||||||
Real estate securities retained from loan securitizations | $ | 67,083 | $ | 3,673 | ||||
Retention of mortgage servicing rights from loan securitizations and sales | 7,387 | 7,679 | ||||||
Transfers from loans held-for-sale to loans held-for-investment | 643,876 | 877,744 | ||||||
Transfers from loans held-for-investment to loans held-for-sale | 98,853 | 359,005 | ||||||
Transfers from residential loans to real estate owned | 3,177 | 8,479 |
(In Thousands, except Share Data) | Preferred Stock | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | Shares | Par Value | ||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | — | 116,753,174 | $ | 1,168 | $ | 2,363,709 | $ | (57,788) | $ | 1,247,839 | $ | (2,296,837) | $ | 1,258,091 | ||||||||||||||||||||||||||||||||||||
Net (loss) | — | — | — | — | — | (50,411) | — | (50,411) | ||||||||||||||||||||||||||||||||||||||||||
Other comprehensive (loss) | — | — | — | — | (7,147) | — | — | (7,147) | ||||||||||||||||||||||||||||||||||||||||||
Employee stock purchase and incentive plans | — | 38,698 | — | 34 | — | — | — | 34 | ||||||||||||||||||||||||||||||||||||||||||
Non-cash equity award compensation | — | — | — | 5,068 | — | — | — | 5,068 | ||||||||||||||||||||||||||||||||||||||||||
Share repurchases | (3,448,858) | (35) | (23,659) | — | — | — | (23,694) | |||||||||||||||||||||||||||||||||||||||||||
Common dividends declared ($0.23 per share)(1) | — | — | — | — | — | — | (27,699) | (27,699) | ||||||||||||||||||||||||||||||||||||||||||
September 30, 2022 | — | 113,343,014 | $ | 1,133 | $ | 2,345,152 | $ | (64,935) | $ | 1,197,428 | $ | (2,324,536) | $ | 1,154,242 |
(In Thousands, except Share Data) | Preferred Stock | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||||||||||||||||||||||
(Unaudited) | Shares | Amount | ||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | — | 114,892,309 | $ | 1,149 | $ | 2,316,799 | $ | (8,927) | $ | 1,316,890 | $ | (2,239,824) | $ | 1,386,087 | ||||||||||||||||||||||||||||||||||||
Net (loss) | — | — | — | — | — | (119,462) | — | (119,462) | ||||||||||||||||||||||||||||||||||||||||||
Other comprehensive (loss) | — | — | — | — | (56,008) | — | — | (56,008) | ||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock | — | 5,232,869 | 52 | 67,424 | — | — | — | 67,476 | ||||||||||||||||||||||||||||||||||||||||||
Employee stock purchase and incentive plans | — | 346,727 | 3 | (1,151) | — | — | — | (1,148) | ||||||||||||||||||||||||||||||||||||||||||
Non-cash equity award compensation | — | — | — | 18,505 | — | — | — | 18,505 | ||||||||||||||||||||||||||||||||||||||||||
Share repurchases | (7,128,891) | (71) | (56,425) | — | — | — | (56,496) | |||||||||||||||||||||||||||||||||||||||||||
Common dividends declared (0.69 per share)(1) | — | — | — | — | — | — | (84,712) | (84,712) | ||||||||||||||||||||||||||||||||||||||||||
September 30, 2022 | — | 113,343,014 | $ | 1,133 | $ | 2,345,152 | $ | (64,935) | $ | 1,197,428 | $ | (2,324,536) | $ | 1,154,242 |
(In Thousands) (Unaudited) | Nine Months Ended September 30, | |||||||||||||
2023 | 2022 | |||||||||||||
Cash Flows From Operating Activities: | ||||||||||||||
Net income (loss) | $ | (23,317) | $ | (119,462) | ||||||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||||||||
Amortization of premiums, discounts, and debt issuance costs, net | 14,137 | 2,041 | ||||||||||||
Depreciation and amortization of non-financial assets | 11,082 | 12,115 | ||||||||||||
Originations of held-for-sale loans | (577,098) | (913,477) | ||||||||||||
Purchases of held-for-sale loans | (1,051,236) | (3,734,972) | ||||||||||||
Proceeds from sales of held-for-sale loans | 692,392 | 4,110,949 | ||||||||||||
Principal payments on held-for-sale loans | 45,326 | 160,985 | ||||||||||||
Net settlements of derivatives | (5,023) | 158,868 | ||||||||||||
Non-cash equity award compensation expense | 14,952 | 18,505 | ||||||||||||
Market valuation adjustments | (1,275) | 183,487 | ||||||||||||
Realized (gains) losses, net | (1,104) | (2,581) | ||||||||||||
Net change in: | ||||||||||||||
Other assets | 14,687 | 56,156 | ||||||||||||
Accrued expenses and other liabilities | (984) | (62,046) | ||||||||||||
Net cash used in operating activities | (867,461) | (129,432) | ||||||||||||
Cash Flows From Investing Activities: | ||||||||||||||
Originations of loan investments | (674,500) | (1,377,714) | ||||||||||||
Purchases of loan investments | — | (22,006) | ||||||||||||
Proceeds from sales of loans | 5,351 | — | ||||||||||||
Principal payments on loan investments | 1,126,609 | 1,666,514 | ||||||||||||
Purchases of real estate securities | (9,855) | (15,006) | ||||||||||||
Proceeds from sales of real estate securities | 138,111 | 27,471 | ||||||||||||
Principal payments on real estate securities | 950 | 26,584 | ||||||||||||
Repayments from servicer advance investments, net | 55,828 | 65,772 | ||||||||||||
Acquisition of Riverbend, net of cash acquired | — | (40,636) | ||||||||||||
Purchases of HEI | (25,626) | (176,439) | ||||||||||||
Repayments on HEI | 26,153 | 35,187 | ||||||||||||
Other investing activities, net | (3,787) | (20,768) | ||||||||||||
Net cash provided by investing activities | 639,234 | 168,959 | ||||||||||||
Cash Flows From Financing Activities: | ||||||||||||||
Proceeds from borrowings on short-term debt | 1,956,373 | 4,149,726 | ||||||||||||
Repayments on short-term debt | (2,393,313) | (5,192,165) | ||||||||||||
Proceeds from issuance of asset-backed securities | 1,240,121 | 1,420,289 | ||||||||||||
Repayments on asset-backed securities issued | (657,638) | (1,288,294) | ||||||||||||
Proceeds from borrowings on long-term debt | 442,039 | 1,678,805 | ||||||||||||
Deferred long-term debt issuance costs paid | (1,640) | (17,925) | ||||||||||||
Repayments on long-term debt | (451,253) | (873,820) | ||||||||||||
Payments on repurchase of common stock | — | (56,496) | ||||||||||||
Taxes paid on equity award distributions | (3,288) | (1,571) | ||||||||||||
Net proceeds from issuance of common stock | 33,788 | 67,899 | ||||||||||||
Net proceeds from issuance of preferred stock | 66,923 | — | ||||||||||||
Dividends paid on common stock | (66,447) | (84,712) | ||||||||||||
Dividends paid on preferred stock | (3,449) | — | ||||||||||||
Other financing activities, net | (3,630) | (3,659) | ||||||||||||
Net cash provided by (used in) financing activities | 158,586 | (201,923) | ||||||||||||
Net decrease in cash, cash equivalents and restricted cash | (69,641) | (162,396) | ||||||||||||
Cash, cash equivalents and restricted cash at beginning of period (1) | 329,364 | 531,484 | ||||||||||||
Cash, cash equivalents and restricted cash at end of period (1) | $ | 259,723 | $ | 369,088 |
(In Thousands) (Unaudited) | Nine Months Ended September 30, | |||||||||||||
2023 | 2022 | |||||||||||||
Supplemental Cash Flow Information: | ||||||||||||||
Cash paid during the period for: | ||||||||||||||
Interest | $ | 436,879 | $ | 378,691 | ||||||||||
Taxes (refunded) paid | (1,034) | 3,894 | ||||||||||||
Supplemental Noncash Information: | ||||||||||||||
Dividends declared but not paid on preferred stock | 1,478 | — | ||||||||||||
Retention of mortgage servicing rights from loan securitizations and sales | — | 4,543 | ||||||||||||
Transfers from loans held-for-sale to loans held-for-investment | 2,009,030 | 2,643,027 | ||||||||||||
Transfers from residential loans to real estate owned | 53,906 | 4,033 | ||||||||||||
Operating lease right-of-use assets obtained in exchange for operating lease liabilities | 337 | — | ||||||||||||
Reduction in operating lease liabilities due to lease modification | 274 | — | ||||||||||||
Transfers from short-term debt to long-term debt | 325,173 | — | ||||||||||||
Transfers from long-term debt to short-term debt | 427,021 | 908,627 | ||||||||||||
Intangible Assets at Acquisition | Accumulated Amortization at September 30, 2023 | Carrying Value at September 30, 2023 | Weighted Average Amortization Period (in years) | |||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||
Borrower network | $ | 56,300 | $ | (27,580) | $ | 28,720 | 7 | |||||||||||||||||||
Broker network | 18,100 | (16,592) | 1,508 | 5 | ||||||||||||||||||||||
Non-compete agreements | 11,400 | (10,292) | 1,108 | 3 | ||||||||||||||||||||||
Tradenames | 4,400 | (4,166) | 234 | 3 | ||||||||||||||||||||||
Developed technology | 1,800 | (1,800) | — | 2 | ||||||||||||||||||||||
Loan administration fees on existing loan assets | 2,600 | (2,600) | — | 1 | ||||||||||||||||||||||
Total | $ | 94,600 | $ | (63,030) | $ | 31,570 | 6 |
(In Thousands) | September 30, 2023 | |||||||||||||||||||||||||
2023 (3 months) | $ | 3,109 | ||||||||||||||||||||||||
2024 | 9,412 | |||||||||||||||||||||||||
2025 | 8,426 | |||||||||||||||||||||||||
2026 | 6,694 | |||||||||||||||||||||||||
2027 | 1,571 | |||||||||||||||||||||||||
2028 and thereafter | 2,358 | |||||||||||||||||||||||||
Total Future Intangible Asset Amortization | $ | 31,570 |
Three Months Ended September 30, 2022 | Nine Months Ended September 30, 2022 | |||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||
Supplementary pro forma information: | ||||||||||||||||||||||||||
Net interest income | $ | 34,935 | $ | 132,475 | ||||||||||||||||||||||
Non-interest (loss) income | (37,135) | (121,614) | ||||||||||||||||||||||||
Net (loss) income | (50,411) | (117,090) |
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 | ||||||||||||||||||||||||||||||||||
September 30, 2023 (In Thousands) | Financial Instruments | Cash Collateral (Received) Pledged | ||||||||||||||||||||||||||||||||||||
Assets (2) | ||||||||||||||||||||||||||||||||||||||
Interest rate agreements | $ | 13,819 | $ | — | $ | 13,819 | $ | — | $ | (9,428) | $ | 4,391 | ||||||||||||||||||||||||||
TBAs | 16,613 | — | 16,613 | (1,169) | (14,032) | 1,412 | ||||||||||||||||||||||||||||||||
Futures | 2,187 | — | 2,187 | (199) | (146) | 1,842 | ||||||||||||||||||||||||||||||||
Total Assets | $ | 32,619 | $ | — | $ | 32,619 | $ | (1,368) | $ | (23,606) | $ | 7,645 | ||||||||||||||||||||||||||
Liabilities (2) | ||||||||||||||||||||||||||||||||||||||
TBAs | $ | (5,495) | $ | — | $ | (5,495) | $ | 1,169 | $ | 4,326 | $ | — | ||||||||||||||||||||||||||
Futures | (199) | — | (199) | 199 | — | — | ||||||||||||||||||||||||||||||||
Loan warehouse debt | (325,880) | — | (325,880) | 325,880 | — | — | ||||||||||||||||||||||||||||||||
Total Liabilities | $ | (331,574) | $ | — | $ | (331,574) | $ | 327,248 | $ | 4,326 | $ | — |
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, 2022 (In Thousands) | Financial Instruments | Cash Collateral (Received) Pledged | ||||||||||||||||||||||||||||||||||||
Assets (2) | ||||||||||||||||||||||||||||||||||||||
Interest rate agreements | $ | 14,625 | $ | — | $ | 14,625 | $ | — | $ | (5,944) | $ | 8,681 | ||||||||||||||||||||||||||
TBAs | 1,893 | — | 1,893 | (1,873) | — | 20 | ||||||||||||||||||||||||||||||||
Futures | 3,976 | — | 3,976 | (57) | — | 3,919 | ||||||||||||||||||||||||||||||||
Total Assets | $ | 20,494 | $ | — | $ | 20,494 | $ | (1,930) | $ | (5,944) | $ | 12,620 | ||||||||||||||||||||||||||
Liabilities (2) | ||||||||||||||||||||||||||||||||||||||
TBAs | $ | (16,784) | $ | — | $ | (16,784) | $ | 1,873 | $ | 4,518 | $ | (10,393) | ||||||||||||||||||||||||||
Futures | (57) | — | (57) | 57 | — | — | ||||||||||||||||||||||||||||||||
Loan warehouse debt | (224,695) | — | (224,695) | 224,695 | — | — | ||||||||||||||||||||||||||||||||
Total Liabilities | $ | (241,536) | $ | — | $ | (241,536) | $ | 226,625 | $ | 4,518 | $ | (10,393) |
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 | ||||||||||||||||||||
September 30, 2017 (In Thousands) | Financial Instruments | Cash Collateral (Received) Pledged | ||||||||||||||||||||||
Assets (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | 3,942 | $ | — | $ | 3,942 | $ | (3,644 | ) | $ | (298 | ) | $ | — | ||||||||||
TBAs | 2,875 | — | 2,875 | (2,806 | ) | — | 69 | |||||||||||||||||
Futures | 135 | — | 135 | — | — | 135 | ||||||||||||||||||
Total Assets | $ | 6,952 | $ | — | $ | 6,952 | $ | (6,450 | ) | $ | (298 | ) | $ | 204 | ||||||||||
Liabilities (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | (57,994 | ) | $ | — | $ | (57,994 | ) | $ | 3,644 | $ | 54,350 | $ | — | ||||||||||
TBAs | (3,946 | ) | — | (3,946 | ) | 2,807 | 976 | (163 | ) | |||||||||||||||
Futures | (423 | ) | — | (423 | ) | — | 423 | — | ||||||||||||||||
Loan warehouse debt | (438,243 | ) | — | (438,243 | ) | 438,243 | — | — | ||||||||||||||||
Security repurchase agreements | (549,811 | ) | — | (549,811 | ) | 549,811 | — | — | ||||||||||||||||
Total Liabilities | $ | (1,050,417 | ) | $ | — | $ | (1,050,417 | ) | $ | 994,505 | $ | 55,749 | $ | (163 | ) |
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, 2016 (In Thousands) | Financial Instruments | Cash Collateral (Received) Pledged | ||||||||||||||||||||||
Assets (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | 24,980 | $ | — | $ | 24,980 | $ | (7,736 | ) | $ | (4,784 | ) | $ | 12,460 | ||||||||||
TBAs | 8,300 | — | 8,300 | (3,936 | ) | (4,364 | ) | — | ||||||||||||||||
Total Assets | $ | 33,280 | $ | — | $ | 33,280 | $ | (11,672 | ) | $ | (9,148 | ) | $ | 12,460 | ||||||||||
Liabilities (2) | ||||||||||||||||||||||||
Interest rate agreements | $ | (56,919 | ) | $ | — | $ | (56,919 | ) | $ | 7,736 | $ | 49,183 | $ | — | ||||||||||
TBAs | (4,681 | ) | — | (4,681 | ) | 3,936 | — | (745 | ) | |||||||||||||||
Futures | (928 | ) | — | (928 | ) | — | 928 | — | ||||||||||||||||
Loan warehouse debt | (485,544 | ) | — | (485,544 | ) | 485,544 | — | — | ||||||||||||||||
Security repurchase agreements | (305,995 | ) | — | (305,995 | ) | 305,995 | — | — | ||||||||||||||||
Total Liabilities | $ | (854,067 | ) | $ | — | $ | (854,067 | ) | $ | 803,211 | $ | 50,111 | $ | (745 | ) |
September 30, 2017 | Legacy Sequoia | Sequoia Choice | Total Consolidated VIEs | |||||||||
(Dollars in Thousands) | ||||||||||||
Residential loans, held-for-investment | $ | 673,134 | $ | 317,303 | $ | 990,437 | ||||||
Restricted cash | 147 | — | 147 | |||||||||
Accrued interest receivable | 898 | 1,266 | 2,164 | |||||||||
REO | 3,020 | — | 3,020 | |||||||||
Total Assets | $ | 677,199 | $ | 318,569 | $ | 995,768 | ||||||
Accrued interest payable | $ | 540 | $ | 1,045 | $ | 1,585 | ||||||
Asset-backed securities issued | 657,960 | 286,328 | 944,288 | |||||||||
Total Liabilities | $ | 658,500 | $ | 287,373 | $ | 945,873 | ||||||
Number of VIEs | 20 | 1 | 21 |
December 31, 2016 | Legacy Sequoia | Sequoia Choice | Total Consolidated VIEs | |||||||||
(Dollars in Thousands) | ||||||||||||
Residential loans, held-for-investment | $ | 791,636 | $ | — | $ | 791,636 | ||||||
Restricted cash | 148 | — | 148 | |||||||||
Accrued interest receivable | 1,000 | — | 1,000 | |||||||||
REO | 5,533 | — | 5,533 | |||||||||
Total Assets | $ | 798,317 | $ | — | $ | 798,317 | ||||||
Accrued interest payable | $ | 518 | $ | — | $ | 518 | ||||||
Asset-backed securities issued | 773,462 | — | 773,462 | |||||||||
Total Liabilities | $ | 773,980 | $ | — | $ | 773,980 | ||||||
Number of VIEs | 20 | — | 20 |
September 30, 2023 | Legacy Sequoia | Sequoia | CAFL(1) | Freddie Mac SLST(1) | Freddie Mac K-Series | Servicing Investment | HEI | Total Consolidated VIEs | ||||||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Residential loans, held-for-investment | $ | 150,152 | $ | 3,774,090 | $ | — | $ | 1,312,149 | $ | — | $ | — | $ | — | $ | 5,236,391 | ||||||||||||||||||||||||||||||||||
Business purpose loans, held-for-investment | — | — | 3,494,669 | — | — | — | — | 3,494,669 | ||||||||||||||||||||||||||||||||||||||||||
Consolidated Agency multifamily loans | — | — | — | — | 420,554 | — | — | 420,554 | ||||||||||||||||||||||||||||||||||||||||||
Home equity investments | — | — | — | — | — | — | 129,150 | 129,150 | ||||||||||||||||||||||||||||||||||||||||||
Other investments | — | — | — | — | — | 252,650 | — | 252,650 | ||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | — | — | — | — | — | 15,198 | — | 15,198 | ||||||||||||||||||||||||||||||||||||||||||
Restricted cash | 67 | 76 | 24,127 | — | — | — | 4,015 | 28,285 | ||||||||||||||||||||||||||||||||||||||||||
Accrued interest receivable | 333 | 15,263 | 19,267 | 4,900 | 1,275 | 2,232 | — | 43,270 | ||||||||||||||||||||||||||||||||||||||||||
Other assets | — | — | 8,062 | 2,865 | — | 7,973 | 50 | 18,950 | ||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 150,552 | $ | 3,789,429 | $ | 3,546,125 | $ | 1,319,914 | $ | 421,829 | $ | 278,053 | $ | 133,215 | $ | 9,639,117 | ||||||||||||||||||||||||||||||||||
Short-term debt | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 154,128 | $ | — | $ | 154,128 | ||||||||||||||||||||||||||||||||||
Accrued interest payable | 310 | 12,695 | 11,181 | 3,398 | 1,150 | 385 | — | 29,119 | ||||||||||||||||||||||||||||||||||||||||||
Accrued expenses and other liabilities | (106) | 80 | 2,736 | — | — | 32,062 | 25,627 | 60,399 | ||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities issued | 149,202 | 3,568,505 | 3,134,929 | 1,058,991 | 387,650 | — | 92,773 | 8,392,050 | ||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 149,406 | $ | 3,581,280 | $ | 3,148,846 | $ | 1,062,389 | $ | 388,800 | $ | 186,575 | $ | 118,400 | $ | 8,635,696 | ||||||||||||||||||||||||||||||||||
Value of our investments in VIEs(1) | $ | 950 | $ | 205,581 | $ | 394,184 | $ | 256,023 | $ | 32,904 | $ | 91,478 | $ | 14,815 | $ | 995,935 | ||||||||||||||||||||||||||||||||||
Number of VIEs | 20 | 20 | 20 | 2 | 1 | 3 | 1 | 67 |
December 31, 2022 | Legacy Sequoia | Sequoia | CAFL(1) | Freddie Mac SLST(1) | Freddie Mac K-Series | Servicing Investment | HEI | Total Consolidated VIEs | ||||||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Residential loans, held-for-investment | $ | 184,932 | $ | 3,190,417 | $ | — | $ | 1,457,058 | $ | — | $ | — | $ | — | $ | 4,832,407 | ||||||||||||||||||||||||||||||||||
Business purpose loans, held-for-investment | — | — | 3,461,367 | — | — | — | — | 3,461,367 | ||||||||||||||||||||||||||||||||||||||||||
Consolidated Agency multifamily loans | — | — | — | — | 424,551 | — | — | 424,551 | ||||||||||||||||||||||||||||||||||||||||||
Home equity investments | — | — | — | — | — | — | 132,627 | 132,627 | ||||||||||||||||||||||||||||||||||||||||||
Other investments | — | — | — | — | — | 301,213 | — | 301,213 | ||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | — | — | 710 | — | — | 12,765 | — | 13,475 | ||||||||||||||||||||||||||||||||||||||||||
Restricted cash | 69 | 73 | 26,296 | — | — | — | 3,424 | 29,862 | ||||||||||||||||||||||||||||||||||||||||||
Accrued interest receivable | 284 | 11,227 | 18,102 | 5,144 | 1,293 | 342 | — | 36,392 | ||||||||||||||||||||||||||||||||||||||||||
Other assets | 637 | — | 14,265 | 2,898 | — | 7,547 | 50 | 25,397 | ||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 185,922 | $ | 3,201,717 | $ | 3,520,740 | $ | 1,465,100 | $ | 425,844 | $ | 321,867 | $ | 136,101 | $ | 9,257,291 | ||||||||||||||||||||||||||||||||||
Short-term debt | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 206,510 | $ | — | $ | 206,510 | ||||||||||||||||||||||||||||||||||
Accrued interest payable | 282 | 8,880 | 10,918 | 3,561 | 1,167 | 492 | — | 25,300 | ||||||||||||||||||||||||||||||||||||||||||
Accrued expenses and other liabilities | — | 81 | 4,559 | — | — | 24,745 | 22,329 | 51,714 | ||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities issued | 184,191 | 2,971,109 | 3,115,807 | 1,222,150 | 392,785 | — | 100,710 | 7,986,752 | ||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 184,473 | $ | 2,980,070 | $ | 3,131,284 | $ | 1,225,711 | $ | 393,952 | $ | 231,747 | $ | 123,039 | $ | 8,270,276 | ||||||||||||||||||||||||||||||||||
Value of our investments in VIEs(1) | $ | 1,285 | $ | 219,299 | $ | 385,927 | $ | 237,807 | $ | 31,767 | $ | 90,120 | $ | 13,062 | $ | 979,267 | ||||||||||||||||||||||||||||||||||
Number of VIEs | 20 | 17 | 19 | 3 | 1 | 3 | 1 | 64 |
Three Months Ended September 30, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Legacy Sequoia | Sequoia | CAFL | Freddie Mac SLST | Freddie Mac K-Series | Servicing Investment | HEI | Total Consolidated VIEs | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | $ | 2,596 | $ | 40,180 | $ | 52,940 | $ | 15,065 | $ | 4,677 | $ | 8,069 | $ | — | $ | 123,527 | ||||||||||||||||||||||||||||||||||
Interest expense | (2,487) | (35,810) | (38,273) | (10,523) | (4,290) | (3,410) | — | (94,793) | ||||||||||||||||||||||||||||||||||||||||||
Net interest income | 109 | 4,370 | 14,667 | 4,542 | 387 | 4,659 | — | 28,734 | ||||||||||||||||||||||||||||||||||||||||||
Non-interest income | ||||||||||||||||||||||||||||||||||||||||||||||||||
Investment fair value changes, net | (215) | (4,966) | (6,562) | (32,388) | 390 | 3,059 | 968 | (39,714) | ||||||||||||||||||||||||||||||||||||||||||
Other income | — | — | 377 | — | — | — | — | 377 | ||||||||||||||||||||||||||||||||||||||||||
Total non-interest income, net | (215) | (4,966) | (6,185) | (32,388) | 390 | 3,059 | 968 | (39,337) | ||||||||||||||||||||||||||||||||||||||||||
General and administrative expenses | — | — | — | — | — | (89) | — | (89) | ||||||||||||||||||||||||||||||||||||||||||
Other expenses | — | — | — | — | — | (1,526) | — | (1,526) | ||||||||||||||||||||||||||||||||||||||||||
Income (loss) from Consolidated VIEs | $ | (106) | $ | (596) | $ | 8,482 | $ | (27,846) | $ | 777 | $ | 6,103 | $ | 968 | $ | (12,218) |
Nine Months Ended September 30, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Legacy Sequoia | Sequoia | CAFL | Freddie Mac SLST | Freddie Mac K-Series | Servicing Investment | HEI | Total Consolidated VIEs | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | $ | 7,879 | $ | 112,302 | $ | 161,960 | $ | 45,831 | $ | 13,993 | $ | 23,794 | $ | — | $ | 365,759 | ||||||||||||||||||||||||||||||||||
Interest expense | (7,650) | (99,859) | (116,360) | (32,392) | (12,842) | (11,054) | — | (280,157) | ||||||||||||||||||||||||||||||||||||||||||
Net interest income | 229 | 12,443 | 45,600 | 13,439 | 1,151 | 12,740 | — | 85,602 | ||||||||||||||||||||||||||||||||||||||||||
Non-interest income | ||||||||||||||||||||||||||||||||||||||||||||||||||
Investment fair value changes, net | (319) | (1,596) | (4,643) | (40,017) | 1,138 | 7,265 | 1,846 | (36,326) | ||||||||||||||||||||||||||||||||||||||||||
Other income | — | — | 761 | — | — | — | — | 761 | ||||||||||||||||||||||||||||||||||||||||||
Total non-interest income, net | (319) | (1,596) | (3,882) | (40,017) | 1,138 | 7,265 | 1,846 | (35,565) | ||||||||||||||||||||||||||||||||||||||||||
General and administrative expenses | — | — | — | — | — | (82) | — | (82) | ||||||||||||||||||||||||||||||||||||||||||
Other expenses | — | — | — | — | — | (4,007) | — | (4,007) | ||||||||||||||||||||||||||||||||||||||||||
Income (loss) from Consolidated VIEs | $ | (90) | $ | 10,847 | $ | 41,718 | $ | (26,578) | $ | 2,289 | $ | 15,916 | $ | 1,846 | $ | 45,948 |
Three Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Legacy Sequoia | Sequoia | CAFL | Freddie Mac SLST | Freddie Mac K-Series | Servicing Investment | HEI | Total Consolidated VIEs | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | $ | 1,475 | $ | 31,587 | $ | 61,439 | $ | 16,098 | $ | 4,762 | $ | 7,800 | $ | — | $ | 123,161 | ||||||||||||||||||||||||||||||||||
Interest expense | (1,486) | (27,541) | (44,804) | (12,829) | (4,377) | (2,606) | — | (93,643) | ||||||||||||||||||||||||||||||||||||||||||
Net interest income | (11) | 4,046 | 16,635 | 3,269 | 385 | 5,194 | — | 29,518 | ||||||||||||||||||||||||||||||||||||||||||
Non-interest income | ||||||||||||||||||||||||||||||||||||||||||||||||||
Investment fair value changes, net | (328) | (10,936) | (4,527) | (41,892) | 316 | (3,286) | (584) | (61,237) | ||||||||||||||||||||||||||||||||||||||||||
Other income | — | — | 286 | — | — | — | — | 286 | ||||||||||||||||||||||||||||||||||||||||||
Total non-interest income, net | (328) | (10,936) | (4,241) | (41,892) | 316 | (3,286) | (584) | (60,951) | ||||||||||||||||||||||||||||||||||||||||||
General and administrative expenses | — | — | — | — | — | (55) | — | (55) | ||||||||||||||||||||||||||||||||||||||||||
Other expenses | — | — | — | — | — | (372) | — | (372) | ||||||||||||||||||||||||||||||||||||||||||
Income (loss) from Consolidated VIEs | $ | (339) | $ | (6,890) | $ | 12,394 | $ | (38,623) | $ | 701 | $ | 1,481 | $ | (584) | $ | (31,860) |
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Legacy Sequoia | Sequoia | CAFL | Freddie Mac SLST | Freddie Mac K-Series | Servicing Investment | HEI | Total Consolidated VIEs | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | $ | 3,595 | $ | 95,608 | $ | 195,381 | $ | 49,851 | $ | 14,247 | $ | 23,287 | $ | — | $ | 381,969 | ||||||||||||||||||||||||||||||||||
Interest expense | (3,154) | (84,041) | (145,207) | (40,286) | (13,099) | (6,110) | — | (291,897) | ||||||||||||||||||||||||||||||||||||||||||
Net interest income | 441 | 11,567 | 50,174 | 9,565 | 1,148 | 17,177 | — | 90,072 | ||||||||||||||||||||||||||||||||||||||||||
Non-interest income | ||||||||||||||||||||||||||||||||||||||||||||||||||
Investment fair value changes, net | (1,378) | (20,644) | (23,972) | (74,796) | 390 | (11,259) | 4,028 | (127,631) | ||||||||||||||||||||||||||||||||||||||||||
Other income | — | — | 631 | — | — | — | — | 631 | ||||||||||||||||||||||||||||||||||||||||||
Total non-interest income, net | (1,378) | (20,644) | (23,341) | (74,796) | 390 | (11,259) | 4,028 | (127,000) | ||||||||||||||||||||||||||||||||||||||||||
General and administrative expenses | — | — | — | — | — | (130) | — | (130) | ||||||||||||||||||||||||||||||||||||||||||
Other expenses | — | — | — | — | — | (1,158) | — | (1,158) | ||||||||||||||||||||||||||||||||||||||||||
Income (loss) from Consolidated VIEs | $ | (937) | $ | (9,077) | $ | 26,833 | $ | (65,231) | $ | 1,538 | $ | 4,630 | $ | 4,028 | $ | (38,216) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Principal balance of loans transferred | $ | 839,264 | $ | 348,537 | $ | 2,223,387 | $ | 693,427 | ||||||||
Trading securities retained, at fair value | 24,617 | — | 55,607 | — | ||||||||||||
AFS securities retained, at fair value | 4,416 | 1,839 | 11,476 | 3,673 | ||||||||||||
MSRs recognized | — | 1,971 | 7,123 | 4,102 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Proceeds from new transfers | $ | 839,642 | $ | 356,497 | $ | 2,213,151 | $ | 708,539 | ||||||||
MSR fees received | 3,631 | 3,473 | 10,804 | 10,397 | ||||||||||||
Funding of compensating interest, net | (35 | ) | (98 | ) | (114 | ) | (254 | ) | ||||||||
Cash flows received on retained securities | 6,882 | 6,384 | 19,843 | 24,314 |
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | |||||||||||||
At Date of Securitization | MSRs | Senior IO Securities | Subordinate Securities | MSRs | Subordinate Securities | |||||||||
Prepayment rates | N/A | 11 | % | 10 | % | 24 | % | 15 | % | |||||
Discount rates | N/A | 14 | % | 5 | % | 11 | % | 7 | % | |||||
Credit loss assumptions | N/A | 0.25 | % | 0.25 | % | N/A | 0.25 | % |
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | ||||||||||||||
At Date of Securitization | MSRs | Senior IO Securities | Subordinate Securities | MSRs | Subordinate Securities | ||||||||||
Prepayment rates | 9 | % | 10 | % | 10 | % | 20 | % | 15 | % | |||||
Discount rates | 11 | % | 13 | % | 5 | % | 11 | % | 7 | % | |||||
Credit loss assumptions | N/A | 0.25 | % | 0.25 | % | N/A | 0.25 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
MSR fees received | $ | 664 | $ | 737 | $ | 2,020 | $ | 2,365 | ||||||||||||||||||
Funding of compensating interest, net | (1) | (11) | (3) | (41) | ||||||||||||||||||||||
Cash flows received on retained securities | 3,254 | 3,096 | 8,938 | 20,380 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
On-balance sheet assets, at fair value: | ||||||||||||||
Interest-only, senior and subordinate securities, classified as trading | $ | 32,772 | $ | 28,722 | ||||||||||
Subordinate securities, classified as AFS | 73,160 | 74,367 | ||||||||||||
Mortgage servicing rights | 11,562 | 11,589 | ||||||||||||
Maximum loss exposure (1) | $ | 117,494 | $ | 114,678 | ||||||||||
Assets transferred: | ||||||||||||||
Principal balance of loans outstanding | $ | 3,830,002 | $ | 4,052,922 | ||||||||||
Principal balance of loans 30+ days delinquent | 18,498 | 27,739 |
(In Thousands) | September 30, 2017 | December 31, 2016 | ||||||
On-balance sheet assets, at fair value: | ||||||||
Interest-only, senior and subordinate securities, classified as trading | $ | 94,491 | $ | 41,909 | ||||
Subordinate securities, classified as AFS | 228,764 | 234,025 | ||||||
Mortgage servicing rights | 60,377 | 58,800 | ||||||
Maximum loss exposure (1) | $ | 383,632 | $ | 334,734 | ||||
Assets transferred: | ||||||||
Principal balance of loans outstanding | $ | 8,329,635 | $ | 6,870,398 | ||||
Principal balance of loans 30+ days delinquent | 12,651 | 21,427 |
September 30, 2023 | MSRs | Senior Securities (1) | Subordinate Securities | |||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||
Fair value at September 30, 2023 | $ | 11,562 | $ | 32,772 | $ | 73,160 | ||||||||||||||
Expected life (in years) (2) | 8 | 10 | 15 | |||||||||||||||||
Prepayment speed assumption (annual CPR) (2) | 6 | % | 5 | % | 8 | % | ||||||||||||||
Decrease in fair value from: | ||||||||||||||||||||
10% adverse change | $ | 207 | $ | 589 | $ | 458 | ||||||||||||||
25% adverse change | 513 | 1,400 | 1,086 | |||||||||||||||||
Discount rate assumption (2) | 13 | % | 14 | % | 9 | % | ||||||||||||||
Decrease in fair value from: | ||||||||||||||||||||
100 basis point increase | $ | 405 | $ | 1,547 | $ | 6,878 | ||||||||||||||
200 basis point increase | 827 | 2,782 | 12,831 | |||||||||||||||||
Credit loss assumption (2) | N/A | 0.03 | % | 0.03 | % | |||||||||||||||
Decrease in fair value from: | ||||||||||||||||||||
10% higher losses | N/A | N/A | $ | 31 | ||||||||||||||||
25% higher losses | N/A | N/A | 80 |
September 30, 2017 | MSRs | Senior Securities (1) | Subordinate Securities | |||||||||||||||||||||||||||||
December 31, 2022 | December 31, 2022 | MSRs | Senior Securities (1) | Subordinate Securities | ||||||||||||||||||||||||||||
(Dollars in Thousands) | MSRs | Senior Securities (1) | Subordinate Securities | (Dollars in Thousands) | ||||||||||||||||||||||||||||
Fair value at September 30, 2017 | ||||||||||||||||||||||||||||||||
Fair value at December 31, 2022 | Fair value at December 31, 2022 | $ | 11,589 | $ | 28,722 | $ | 74,367 | |||||||||||||||||||||||||
Expected life (in years) (2) | 7 | 5 | 13 | Expected life (in years) (2) | 7 | 7 | 16 | |||||||||||||||||||||||||
Prepayment speed assumption (annual CPR) (2) | 9 | % | 10 | % | 11 | % | Prepayment speed assumption (annual CPR) (2) | 8 | % | 10 | % | 8 | % | |||||||||||||||||||
Decrease in fair value from: | Decrease in fair value from: | |||||||||||||||||||||||||||||||
10% adverse change | $ | 1,694 | $ | 1,575 | $ | 667 | 10% adverse change | $ | 311 | $ | 970 | $ | 386 | |||||||||||||||||||
25% adverse change | 4,278 | 3,734 | 1,683 | 25% adverse change | 779 | 2,344 | 907 | |||||||||||||||||||||||||
Discount rate assumption (2) | 11 | % | 9 | % | 5 | % | Discount rate assumption (2) | 11 | % | 12 | % | 9 | % | |||||||||||||||||||
Decrease in fair value from: | Decrease in fair value from: | |||||||||||||||||||||||||||||||
100 basis point increase | $ | 2,311 | $ | 1,281 | $ | 25,377 | 100 basis point increase | $ | 430 | $ | 980 | $ | 7,198 | |||||||||||||||||||
200 basis point increase | 4,453 | 2,472 | 47,107 | 200 basis point increase | 832 | 1,894 | 13,394 | |||||||||||||||||||||||||
Credit loss assumption (2) | N/A | 0.25 | % | 0.25 | % | Credit loss assumption (2) | N/A | 0.03 | % | 0.03 | % | |||||||||||||||||||||
Decrease in fair value from: | Decrease in fair value from: | |||||||||||||||||||||||||||||||
10% higher losses | N/A | $ | 4 | $ | 1,505 | 10% higher losses | N/A | N/A | $ | 31 | ||||||||||||||||||||||
25% higher losses | N/A | 9 | 3,764 | 25% higher losses | N/A | N/A | 76 |
December 31, 2016 | MSRs | Senior Securities (1) | Subordinate Securities | |||||||||
(Dollars in Thousands) | ||||||||||||
Fair value at December 31, 2016 | $ | 58,800 | $ | 26,618 | $ | 249,317 | ||||||
Expected life (in years) (2) | 7 | 6 | 12 | |||||||||
Prepayment speed assumption (annual CPR) (2) | 11 | % | 8 | % | 12 | % | ||||||
Decrease in fair value from: | ||||||||||||
10% adverse change | $ | 2,226 | $ | 1,075 | $ | 997 | ||||||
25% adverse change | 5,284 | 2,569 | 2,494 | |||||||||
Discount rate assumption (2) | 11 | % | 8 | % | 6 | % | ||||||
Decrease in fair value from: | ||||||||||||
100 basis point increase | $ | 2,088 | $ | 1,105 | $ | 19,574 | ||||||
200 basis point increase | 4,032 | 2,128 | 36,574 | |||||||||
Credit loss assumption (2) | N/A | 0.25 | % | 0.25 | % | |||||||
Decrease in fair value from: | ||||||||||||
10% higher losses | N/A | $ | 19 | $ | 1,174 | |||||||
25% higher losses | N/A | 49 | 2,933 |
(Dollars in Thousands) | September 30, 2017 | |||||||||||||||||
(In Thousands) | (In Thousands) | September 30, 2023 | December 31, 2022 | |||||||||||||||
Mortgage-Backed Securities | Mortgage-Backed Securities | |||||||||||||||||
Senior | $ | 181,723 | Senior | $ | 8,397 | $ | 145 | |||||||||||
Re-REMIC | 39,033 | |||||||||||||||||
Subordinate | 812,260 | Subordinate | 15,116 | 137,241 | ||||||||||||||
Total Mortgage-Backed Securities | Total Mortgage-Backed Securities | 23,513 | 137,386 | |||||||||||||||
Excess MSR | Excess MSR | 5,590 | 7,082 | |||||||||||||||
Total Investments in Third-Party Sponsored VIEs | $ | 1,033,016 | Total Investments in Third-Party Sponsored VIEs | $ | 29,103 | $ | 144,468 |
September 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||
Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Residential loans, held-for-sale, at fair value | $ | 610,918 | $ | 610,918 | $ | 780,781 | $ | 780,781 | ||||||||||||||||||
Residential loans, held-for-investment, at fair value | 5,236,391 | 5,236,391 | 4,832,407 | 4,832,407 | ||||||||||||||||||||||
Business purpose loans, held-for-sale, at fair value | 102,777 | 102,777 | 364,073 | 364,073 | ||||||||||||||||||||||
Business purpose loans, held-for-investment, at fair value | 5,146,553 | 5,146,553 | 4,968,513 | 4,968,513 | ||||||||||||||||||||||
Consolidated Agency multifamily loans, at fair value | 420,554 | 420,554 | 424,551 | 424,551 | ||||||||||||||||||||||
Real estate securities, at fair value | 129,445 | 129,445 | 240,475 | 240,475 | ||||||||||||||||||||||
HEI | 431,272 | 431,272 | 403,462 | 403,462 | ||||||||||||||||||||||
Servicer advance investments (1) | 219,813 | 219,813 | 269,259 | 269,259 | ||||||||||||||||||||||
MSRs (1) | 26,033 | 26,033 | 25,421 | 25,421 | ||||||||||||||||||||||
Excess MSRs (1) | 38,427 | 38,427 | 39,035 | 39,035 | ||||||||||||||||||||||
Other investments (1) | 5,583 | 5,583 | 6,155 | 6,155 | ||||||||||||||||||||||
Cash and cash equivalents | 203,622 | 203,622 | 258,894 | 258,894 | ||||||||||||||||||||||
Restricted cash | 56,101 | 56,101 | 70,470 | 70,470 | ||||||||||||||||||||||
Derivative assets | 37,686 | 37,686 | 20,830 | 20,830 | ||||||||||||||||||||||
Margin receivable (2) | 10,536 | 10,536 | 13,802 | 13,802 | ||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Short-term debt (3) | $ | 1,329,017 | $ | 1,327,134 | $ | 1,853,664 | $ | 1,853,664 | ||||||||||||||||||
Margin payable (4) | 25,210 | 25,210 | 5,944 | 5,944 | ||||||||||||||||||||||
Guarantee obligations (4) | 5,913 | 3,734 | 6,344 | 4,738 | ||||||||||||||||||||||
HEI securitization non-controlling interest | 25,627 | 25,627 | 22,329 | 22,329 | ||||||||||||||||||||||
Derivative liabilities | 8,781 | 8,781 | 16,855 | 16,855 | ||||||||||||||||||||||
ABS issued, net | ||||||||||||||||||||||||||
at fair value | 7,910,345 | 7,910,345 | 7,424,132 | 7,424,132 | ||||||||||||||||||||||
at amortized cost | 481,705 | 454,973 | 562,620 | 524,768 | ||||||||||||||||||||||
Other long-term debt, net (5) | 1,320,733 | 1,315,014 | 1,077,200 | 1,069,946 | ||||||||||||||||||||||
Convertible notes, net (5) | 517,662 | 489,828 | 693,473 | 638,049 | ||||||||||||||||||||||
Trust preferred securities and subordinated notes, net (5) | 138,802 | 97,650 | 138,767 | 83,700 |
September 30, 2017 | December 31, 2016 | |||||||||||||||
Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||
(In Thousands) | ||||||||||||||||
Assets | ||||||||||||||||
Residential loans, held-for-sale | ||||||||||||||||
At fair value | $ | 924,594 | $ | 924,594 | $ | 834,193 | $ | 834,193 | ||||||||
At lower of cost or fair value | 1,087 | 1,227 | 1,206 | 1,365 | ||||||||||||
Residential loans, held-for-investment | ||||||||||||||||
At fair value | 3,259,239 | 3,259,239 | 3,052,652 | 3,052,652 | ||||||||||||
Trading securities | 820,134 | 820,134 | 445,687 | 445,687 | ||||||||||||
Available-for-sale securities | 536,138 | 536,138 | 572,752 | 572,752 | ||||||||||||
MSRs | 62,928 | 62,928 | 118,526 | 118,526 | ||||||||||||
Cash and cash equivalents | 257,611 | 257,611 | 212,844 | 212,844 | ||||||||||||
Restricted cash | 26,258 | 26,258 | 8,623 | 8,623 | ||||||||||||
Accrued interest receivable | 21,256 | 21,256 | 18,454 | 18,454 | ||||||||||||
Derivative assets | 11,948 | 11,948 | 36,595 | 36,595 | ||||||||||||
REO (1) | 3,020 | 3,441 | 5,533 | 5,560 | ||||||||||||
Margin receivable (1) | 93,679 | 93,679 | 68,038 | 68,038 | ||||||||||||
FHLBC stock (1) | 43,393 | 43,393 | 43,393 | 43,393 | ||||||||||||
Guarantee asset (1) | 3,049 | 3,049 | 4,092 | 4,092 | ||||||||||||
Commercial loans (1) | — | — | 2,700 | 2,700 | ||||||||||||
Pledged collateral (1) | 42,933 | 42,933 | 42,875 | 42,875 | ||||||||||||
Liabilities | ||||||||||||||||
Short-term debt facilities | $ | 988,054 | $ | 988,054 | $ | 791,539 | $ | 791,539 | ||||||||
Accrued interest payable | 18,836 | 18,836 | 9,608 | 9,608 | ||||||||||||
Margin payable | 841 | 841 | 12,783 | 12,783 | ||||||||||||
Guarantee obligation | 20,101 | 19,682 | 21,668 | 22,181 | ||||||||||||
Derivative liabilities | 65,238 | 65,238 | 66,329 | 66,329 | ||||||||||||
ABS issued at fair value, net | 944,288 | 944,288 | 773,462 | 773,462 | ||||||||||||
FHLBC long-term borrowings | 1,999,999 | 1,999,999 | 1,999,999 | 1,999,999 | ||||||||||||
Convertible notes, net | 686,058 | 705,703 | 482,195 | 493,365 | ||||||||||||
Trust preferred securities and subordinated notes, net | 138,524 | 101,138 | 138,489 | 96,255 |
September 30, 2023 | Carrying Value | Fair Value Measurements Using | ||||||||||||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | |||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Residential loans | $ | 5,847,309 | $ | — | $ | — | $ | 5,847,309 | ||||||||||||||||||
Business purpose loans | 5,249,330 | — | — | 5,249,330 | ||||||||||||||||||||||
Consolidated Agency multifamily loans | 420,554 | — | — | 420,554 | ||||||||||||||||||||||
Real estate securities | 129,445 | — | — | 129,445 | ||||||||||||||||||||||
HEI | 431,272 | — | — | 431,272 | ||||||||||||||||||||||
Servicer advance investments | 219,813 | — | — | 219,813 | ||||||||||||||||||||||
MSRs | 26,033 | — | — | 26,033 | ||||||||||||||||||||||
Excess MSRs | 38,427 | — | — | 38,427 | ||||||||||||||||||||||
Other investments | 5,583 | — | — | 5,583 | ||||||||||||||||||||||
Derivative assets | 37,686 | 18,800 | 13,819 | 5,067 | ||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
HEI securitization non-controlling interest | $ | 25,627 | $ | — | $ | — | $ | 25,627 | ||||||||||||||||||
Derivative liabilities | 8,781 | 5,694 | — | 3,087 | ||||||||||||||||||||||
ABS issued | 7,910,345 | — | — | 7,910,345 |
September 30, 2017 | Carrying Value | Fair Value Measurements Using | ||||||||||||||||||||||||||||||||||||||||
December 31, 2022 | December 31, 2022 | Carrying Value | Fair Value Measurements Using | |||||||||||||||||||||||||||||||||||||||
(In Thousands) | Carrying Value | Level 1 | Level 2 | Level 3 | (In Thousands) | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||||||||||||||||
Assets | Assets | |||||||||||||||||||||||||||||||||||||||||
Residential loans | $ | 4,183,833 | $ | — | $ | — | $ | 4,183,833 | Residential loans | $ | 5,613,157 | $ | — | $ | — | $ | 5,613,157 | |||||||||||||||||||||||||
Trading securities | 820,134 | — | — | 820,134 | ||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | 536,138 | — | — | 536,138 | ||||||||||||||||||||||||||||||||||||||
Business purpose loans | Business purpose loans | 5,332,586 | — | — | 5,332,586 | |||||||||||||||||||||||||||||||||||||
Consolidated Agency multifamily loans | Consolidated Agency multifamily loans | 424,551 | — | — | 424,551 | |||||||||||||||||||||||||||||||||||||
Real estate securities | Real estate securities | 240,475 | — | — | 240,475 | |||||||||||||||||||||||||||||||||||||
HEI | HEI | 403,462 | — | — | 403,462 | |||||||||||||||||||||||||||||||||||||
Servicer advance investments | Servicer advance investments | 269,259 | — | — | 269,259 | |||||||||||||||||||||||||||||||||||||
MSRs | MSRs | 25,421 | — | — | 25,421 | |||||||||||||||||||||||||||||||||||||
Excess MSRs | Excess MSRs | 39,035 | — | — | 39,035 | |||||||||||||||||||||||||||||||||||||
Other investments | Other investments | 6,155 | — | — | 6,155 | |||||||||||||||||||||||||||||||||||||
Derivative assets | 11,948 | 3,010 | 3,942 | 4,996 | Derivative assets | 20,830 | 5,869 | 14,625 | 336 | |||||||||||||||||||||||||||||||||
MSRs | 62,928 | — | — | 62,928 | ||||||||||||||||||||||||||||||||||||||
Pledged collateral | 42,933 | 42,933 | — | — | ||||||||||||||||||||||||||||||||||||||
FHLBC stock | 43,393 | — | 43,393 | — | ||||||||||||||||||||||||||||||||||||||
Guarantee asset | 3,049 | — | — | 3,049 | ||||||||||||||||||||||||||||||||||||||
Liabilities | Liabilities | |||||||||||||||||||||||||||||||||||||||||
HEI securitization non-controlling interest | HEI securitization non-controlling interest | $ | 22,329 | $ | — | $ | — | $ | 22,329 | |||||||||||||||||||||||||||||||||
Derivative liabilities | $ | 65,238 | $ | 4,369 | $ | 57,994 | $ | 2,875 | Derivative liabilities | 16,855 | 16,841 | — | 14 | |||||||||||||||||||||||||||||
ABS issued | 944,288 | — | — | 944,288 | ABS issued | 7,424,132 | — | — | 7,424,132 |
December 31, 2016 | Carrying Value | Fair Value Measurements Using | ||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | |||||||||||||
Assets | ||||||||||||||||
Residential loans | $ | 3,886,845 | $ | — | $ | — | $ | 3,886,845 | ||||||||
Trading securities | 445,687 | — | — | 445,687 | ||||||||||||
Available-for-sale securities | 572,752 | — | — | 572,752 | ||||||||||||
Derivative assets | 36,595 | 8,300 | 24,980 | 3,315 | ||||||||||||
MSRs | 118,526 | — | — | 118,526 | ||||||||||||
Pledged collateral | 42,875 | 42,875 | — | — | ||||||||||||
FHLBC stock | 43,393 | — | 43,393 | — | ||||||||||||
Guarantee asset | 4,092 | — | — | 4,092 | ||||||||||||
Liabilities | ||||||||||||||||
Derivative liabilities | $ | 66,329 | $ | 5,609 | $ | 56,919 | $ | 3,801 | ||||||||
ABS issued | 773,462 | — | — | 773,462 |
Assets | Liabilities | Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Loans | Trading Securities | AFS Securities | MSRs | Guarantee Asset | Derivatives(1) | ABS Issued | Residential Loans | Business Purpose Loans | Consolidated Agency Multifamily Loans | Trading Securities | AFS Securities | HEI | Servicer Advance Investments | Excess MSRs | MSRs and Other Investments | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In Thousands) | (In Thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Beginning balance - December 31, 2016 | $ | 3,886,845 | $ | 445,687 | $ | 572,752 | $ | 118,526 | $ | 4,092 | $ | (486 | ) | $ | 773,462 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Beginning balance - December 31, 2022 | Beginning balance - December 31, 2022 | $ | 5,613,157 | $ | 5,332,586 | $ | 424,552 | $ | 108,329 | $ | 132,146 | $ | 403,462 | $ | 269,259 | $ | 39,035 | $ | 31,576 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Acquisitions | 3,791,471 | 444,073 | 31,654 | 7,957 | — | — | 286,898 | Acquisitions | 1,050,444 | — | — | 7,883 | 1,979 | 25,626 | — | — | 500 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Originations | Originations | — | 1,255,680 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sales | (3,147,707 | ) | (87,092 | ) | (60,801 | ) | (52,966 | ) | — | — | — | Sales | (226,646) | (471,336) | — | (82,270) | (54,339) | — | — | — | (272) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Principal paydowns | (405,888 | ) | (13,219 | ) | (42,325 | ) | — | — | — | (146,358 | ) | Principal paydowns | (363,128) | (802,610) | (6,198) | (324) | (632) | (26,153) | (55,828) | — | (114) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) in net income, net | 62,290 | 30,685 | 24,011 | (10,589 | ) | (1,043 | ) | 33,686 | 30,286 | Gains (losses) in net income, net | (224,162) | (17,809) | 2,200 | 14,423 | 946 | 28,337 | 6,382 | (608) | 426 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized losses in OCI, net | — | — | 10,847 | — | — | — | — | Unrealized losses in OCI, net | — | — | — | — | 1,304 | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other settlements, net | (3,178 | ) | — | — | — | — | (31,079 | ) | — | (2,356) | (47,181) | — | — | — | — | — | — | (500) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ending Balance - September 30, 2017 | $ | 4,183,833 | $ | 820,134 | $ | 536,138 | $ | 62,928 | $ | 3,049 | $ | 2,121 | $ | 944,288 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ending balance - September 30, 2023 | Ending balance - September 30, 2023 | $ | 5,847,309 | $ | 5,249,330 | $ | 420,554 | $ | 48,041 | $ | 81,404 | $ | 431,272 | $ | 219,813 | $ | 38,427 | $ | 31,616 |
Liabilities | ||||||||||||||||||||
Derivatives (2) | HEI Securitization Non-Controlling Interest | ABS Issued | ||||||||||||||||||
(In Thousands) | ||||||||||||||||||||
Beginning balance - December 31, 2022 | $ | 322 | $ | 22,329 | $ | 7,424,132 | ||||||||||||||
Acquisitions | — | — | 1,240,120 | |||||||||||||||||
Principal paydowns | — | — | (571,883) | |||||||||||||||||
Gains (losses) in net income, net | 10,086 | 3,298 | (182,023) | |||||||||||||||||
Other settlements, net (1) | (8,428) | — | — | |||||||||||||||||
Ending balance - September 30, 2023 | $ | 1,980 | $ | 25,627 | $ | 7,910,346 |
Included in Net Income (loss) | ||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Residential loans at Redwood | $ | (3,963) | $ | (28,762) | $ | (4,404) | $ | (42,952) | ||||||||||||||||||
Business purpose loans at Redwood and CAFL Bridge | (15,646) | (10,967) | (25,876) | (39,019) | ||||||||||||||||||||||
Net investments in consolidated Sequoia entities (1) | (4,471) | (11,264) | (1,952) | (22,467) | ||||||||||||||||||||||
Net investments in consolidated Freddie Mac SLST entities (1) | (32,397) | (41,969) | (40,398) | (75,043) | ||||||||||||||||||||||
Net investments in consolidated Freddie Mac K-Series entities (1) | 390 | 316 | 1,138 | 390 | ||||||||||||||||||||||
Net investments in consolidated CAFL Term entities (1) | (3,800) | (6,585) | (1,903) | (24,365) | ||||||||||||||||||||||
Net investment in consolidated HEI securitization entity (1) | 2,700 | (1,652) | 5,145 | 11,348 | ||||||||||||||||||||||
Trading securities | 4,408 | (12,668) | 5,795 | (34,104) | ||||||||||||||||||||||
Available-for-sale securities | 66 | — | (32) | — | ||||||||||||||||||||||
HEI at Redwood | 8,705 | (4,903) | 19,592 | (2,272) | ||||||||||||||||||||||
Servicer advance investments | 4,069 | (3,905) | 6,383 | (10,218) | ||||||||||||||||||||||
MSRs | 160 | 1,653 | 1,425 | 9,118 | ||||||||||||||||||||||
Excess MSRs | (1,450) | (351) | (608) | (3,779) | ||||||||||||||||||||||
Loan purchase and interest rate lock commitments | 5,061 | 723 | 5,067 | 744 | ||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Non-controlling interest in consolidated HEI entity | $ | (1,732) | $ | 1,068 | $ | (3,298) | $ | (7,320) | ||||||||||||||||||
Loan purchase commitments | (3,087) | (212) | (3,087) | (212) | ||||||||||||||||||||||
Included in Net Income | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Assets | ||||||||||||||||
Residential loans at Redwood | $ | 14,359 | $ | 3,818 | $ | 24,227 | $ | 32,202 | ||||||||
Residential loans at consolidated Sequoia entities | 3,497 | 9,200 | 22,949 | (18,864 | ) | |||||||||||
Trading securities | (36 | ) | 8,646 | 24,452 | 978 | |||||||||||
Available-for-sale securities | (3 | ) | — | (248 | ) | (305 | ) | |||||||||
MSRs | 317 | 6,549 | (1,005 | ) | (36,738 | ) | ||||||||||
Loan purchase commitments | 2,117 | 5,381 | 2,121 | 5,896 | ||||||||||||
Other assets - Guarantee asset | (239 | ) | 307 | (1,043 | ) | (2,070 | ) | |||||||||
Liabilities | ||||||||||||||||
ABS issued | $ | (7,771 | ) | $ | 10,522 | $ | (30,286 | ) | $ | (14,419 | ) |
Gain (Loss) for | ||||||||||||||||||||||||||||||||||||||
September 30, 2023 | Carrying Value | Fair Value Measurements Using | Three Months Ended | Nine Months Ended | ||||||||||||||||||||||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | September 30, 2023 | September 30, 2023 | |||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||
Strategic investments | $ | 6,750 | $ | — | $ | — | $ | 6,750 | $ | 100 | $ | (2,550) | ||||||||||||||||||||||||||
REO | 423 | — | — | 423 | (65) | (65) | ||||||||||||||||||||||||||||||||
Gain (Loss) for | ||||||||||||||||||||||||
September 30, 2017 | Carrying Value | Fair Value Measurements Using | Three Months Ended | Nine Months Ended | ||||||||||||||||||||
(In Thousands) | Level 1 | Level 2 | Level 3 | September 30, 2017 | September 30, 2017 | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Residential loans, at lower of cost or fair value | $ | 866 | $ | — | $ | — | $ | 866 | $ | 18 | $ | 21 | ||||||||||||
REO | 1,725 | — | — | 1,725 | — | (81 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Mortgage Banking Activities, Net | ||||||||||||||||||||||||||
Residential loans held-for-sale | $ | (8,683) | $ | (20,060) | $ | (2,774) | $ | (71,776) | ||||||||||||||||||
Residential loan purchase commitments | 5,864 | (2,716) | 8,045 | (53,236) | ||||||||||||||||||||||
BPL term loans held-for-sale | 1,600 | (19,325) | 13,214 | (83,827) | ||||||||||||||||||||||
BPL term loan interest rate lock commitments | — | 19 | — | (666) | ||||||||||||||||||||||
BPL bridge loans | 1,438 | (9) | 4,808 | 2,242 | ||||||||||||||||||||||
Trading securities (1) | (482) | 148 | 2,188 | 4,249 | ||||||||||||||||||||||
Risk management derivatives, net | 15,591 | 48,363 | 11,802 | 164,137 | ||||||||||||||||||||||
Total mortgage banking activities, net (2) | $ | 15,328 | $ | 6,420 | $ | 37,283 | $ | (38,877) | ||||||||||||||||||
Investment Fair Value Changes, Net | ||||||||||||||||||||||||||
Residential loans held-for-investment, at Redwood (called Sequoia loans) | $ | — | $ | (6,614) | $ | 183 | $ | (18,876) | ||||||||||||||||||
BPL term loans held-for-sale | — | — | (14,430) | — | ||||||||||||||||||||||
BPL bridge loans held-for-investment | (16,899) | 2,482 | (22,867) | (9,220) | ||||||||||||||||||||||
Trading securities | 5,738 | (12,668) | 12,271 | (34,268) | ||||||||||||||||||||||
Servicer advance investments | 4,069 | (3,905) | 6,382 | (10,217) | ||||||||||||||||||||||
Excess MSRs | (1,450) | (351) | (608) | (3,779) | ||||||||||||||||||||||
Net investments in Legacy Sequoia entities (3) | (215) | (328) | (319) | (1,378) | ||||||||||||||||||||||
Net investments in Sequoia entities (3) | (4,256) | (10,936) | (886) | (20,644) | ||||||||||||||||||||||
Net investments in Freddie Mac SLST entities (3) | (32,388) | (41,892) | (40,017) | (74,796) | ||||||||||||||||||||||
Net investment in Freddie Mac K-Series entity (3) | 390 | 316 | 1,138 | 390 | ||||||||||||||||||||||
Net investments in CAFL Term entities (3) | (3,800) | (6,585) | (1,903) | (24,365) | ||||||||||||||||||||||
Net investments in HEI securitization entities (3) | 968 | (584) | 1,846 | 4,028 | ||||||||||||||||||||||
HEI at Redwood | 9,290 | (4,774) | 21,598 | (1,986) | ||||||||||||||||||||||
Other investments | (414) | 1,445 | (4,208) | 12,028 | ||||||||||||||||||||||
Risk management derivatives, net | 7,471 | 27,241 | 6,446 | 33,609 | ||||||||||||||||||||||
Credit losses on AFS securities, net | 66 | (544) | (33) | (2,315) | ||||||||||||||||||||||
Other | — | — | (746) | — | ||||||||||||||||||||||
Total investment fair value changes, net | $ | (31,430) | $ | (57,697) | $ | (36,153) | $ | (151,789) | ||||||||||||||||||
Other Income | ||||||||||||||||||||||||||
MSRs | $ | (209) | $ | 1,236 | $ | 612 | $ | 8,031 | ||||||||||||||||||
Other | (7) | (852) | (467) | (852) | ||||||||||||||||||||||
Total other income (4) | $ | (216) | $ | 384 | $ | 145 | $ | 7,179 | ||||||||||||||||||
Total Market Valuation Gains (Losses), Net | $ | (16,318) | $ | (50,893) | $ | 1,275 | $ | (183,487) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Mortgage Banking Activities, Net | ||||||||||||||||
Residential loans held-for-sale, at fair value | $ | 14,859 | $ | 650 | $ | 29,175 | $ | 11,948 | ||||||||
Residential loan purchase commitments | 13,276 | 12,021 | 33,947 | 35,508 | ||||||||||||
Commercial loans, at fair value | — | — | — | 433 | ||||||||||||
Sequoia securities | — | — | — | 1,455 | ||||||||||||
Risk management derivatives, net | (7,077 | ) | (3,287 | ) | (13,787 | ) | (25,281 | ) | ||||||||
Total mortgage banking activities, net (1) | $ | 21,058 | $ | 9,384 | $ | 49,335 | $ | 24,063 | ||||||||
Investment Fair Value Changes, Net | ||||||||||||||||
Residential loans held-for-investment, at Redwood | $ | 2,881 | $ | (655 | ) | $ | 8,902 | $ | 22,161 | |||||||
Trading securities | 607 | 8,898 | 30,676 | 3,728 | ||||||||||||
Valuation adjustments on commercial loans held-for-sale | — | (307 | ) | 300 | (307 | ) | ||||||||||
Net investments in Legacy Sequoia entities (2) | (1,045 | ) | (255 | ) | (3,842 | ) | (2,086 | ) | ||||||||
Net investment in Sequoia Choice entity (2) | (256 | ) | — | (256 | ) | — | ||||||||||
Risk sharing investments | (267 | ) | 15 | (985 | ) | (689 | ) | |||||||||
Risk management derivatives, net | (1,592 | ) | 4,222 | (24,557 | ) | (41,188 | ) | |||||||||
Impairments on AFS securities | (4 | ) | — | (248 | ) | (305 | ) | |||||||||
Total investment fair value changes, net | $ | 324 | $ | 11,918 | $ | 9,990 | $ | (18,686 | ) | |||||||
MSR Income (Loss), Net | ||||||||||||||||
MSRs | $ | (1,351 | ) | $ | 1,380 | $ | (10,842 | ) | $ | (70,489 | ) | |||||
Risk management derivatives, net | (422 | ) | (6,336 | ) | 1,869 | 55,874 | ||||||||||
Total MSR loss, net (3) | $ | (1,773 | ) | $ | (4,956 | ) | $ | (8,973 | ) | $ | (14,615 | ) | ||||
Total Market Valuation Gains (Losses), Net | $ | 19,609 | $ | 16,346 | $ | 50,352 | $ | (9,238 | ) |
September 30, 2023 | Fair Value | Input Values | ||||||||||||||||||||||||||||||||||||
(Dollars in Thousands, except Input Values) | Unobservable Input | Range | Weighted Average(1) | |||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||
Residential loans, at fair value: | ||||||||||||||||||||||||||||||||||||||
Jumbo loans | $ | 540,782 | Senior credit spread to TBA price(2) | $ | 1.63 | $ | 2.63 | $ | 1.71 | |||||||||||||||||||||||||||||
Subordinate credit spread(2) | 275 | 1020 | bps | 438 | bps | |||||||||||||||||||||||||||||||||
Senior credit support(2) | 7 | 7 | % | 7 | % | |||||||||||||||||||||||||||||||||
IO discount rate(2) | 10 | 10 | % | 10 | % | |||||||||||||||||||||||||||||||||
Prepayment rate (annual CPR)(2) | 15 | 15 | % | 15 | % | |||||||||||||||||||||||||||||||||
Jumbo loans committed to sell | 70,136 | Whole loan committed sales price | $ | 98 | - | $ | 101 | $ | 98 | |||||||||||||||||||||||||||||
Loans held by Legacy Sequoia (3) | 150,152 | Liability price | N/A | N/A | ||||||||||||||||||||||||||||||||||
Loans held by Sequoia (3) | 3,774,090 | Liability price | N/A | N/A | ||||||||||||||||||||||||||||||||||
Loans held by Freddie Mac SLST (3) | 1,312,149 | Liability price | N/A | N/A | ||||||||||||||||||||||||||||||||||
Business purpose loans: | ||||||||||||||||||||||||||||||||||||||
BPL term loans | 72,149 | Senior credit spread(2) | 185 | - | 185 | bps | 185 | bps | ||||||||||||||||||||||||||||||
Subordinate credit spread(2) | 325 | - | 818 | bps | 468 | bps | ||||||||||||||||||||||||||||||||
Senior credit support(2) | 35 | - | 35 | % | 35 | % | ||||||||||||||||||||||||||||||||
IO discount rate(2) | 8 | - | 9 | % | 8 | % | ||||||||||||||||||||||||||||||||
Prepayment rate (annual CPR)(2) | — | - | 3 | % | 3 | % | ||||||||||||||||||||||||||||||||
Dollar price of non-performing loans | $ | 60 | - | $ | 100 | $ | 61 | |||||||||||||||||||||||||||||||
BPL term loans held by CAFL (3) | 2,969,217 | Liability price | N/A | N/A | ||||||||||||||||||||||||||||||||||
BPL bridge loans | 2,207,964 | Whole loan discount rate | 6 | - | 12 | % | 9 | % | ||||||||||||||||||||||||||||||
Whole loan spread | 520 | - | 520 | bps | 520 | bps | ||||||||||||||||||||||||||||||||
Dollar price of non-performing loans | $48 | - | $ | 100 | $ | 91 | ||||||||||||||||||||||||||||||||
Multifamily loans held by Freddie Mac K-Series (3) | 420,554 | Liability price | N/A | N/A | ||||||||||||||||||||||||||||||||||
Trading and AFS securities | 129,445 | Discount rate | 6 | - | 18 | % | 11 | % | ||||||||||||||||||||||||||||||
Prepayment rate (annual CPR) | 4 | - | 65 | % | 10 | % | ||||||||||||||||||||||||||||||||
Default rate | — | - | 14 | % | 0.1 | % | ||||||||||||||||||||||||||||||||
Loss severity | — | - | 50 | % | 22 | % | ||||||||||||||||||||||||||||||||
HEI | 302,122 | Discount rate | 10 | - | 11 | % | 10 | % | ||||||||||||||||||||||||||||||
Prepayment rate (annual CPR) | 1 | - | 20 | % | 15 | % | ||||||||||||||||||||||||||||||||
Home price appreciation (depreciation) | (1) | - | 3 | % | 3 | % | ||||||||||||||||||||||||||||||||
HEI held by HEI securitization entity(3) | 129,150 | Liability price | N/A | N/A | ||||||||||||||||||||||||||||||||||
Servicer advance investments | 219,813 | Discount rate | 3 | - | 5 | % | 4 | % | ||||||||||||||||||||||||||||||
Prepayment rate (annual CPR) | 11 | - | 30 | % | 14 | % | ||||||||||||||||||||||||||||||||
Expected remaining life (4) | 6 | - | 6 | yrs | 6 | yrs | ||||||||||||||||||||||||||||||||
Mortgage servicing income | — | - | 18 | bps | 4 | bps | ||||||||||||||||||||||||||||||||
September 30, 2017 | 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 | $ | 2,450,845 | Whole loan spread to TBA price | $ | 2.13 | - | $ | 3.15 | $ | 3.13 | ||||||||||
Whole loan spread to swap rate | 180 | - | 270 | bps | 265 | bps | ||||||||||||||
Jumbo hybrid loans | 168,138 | Prepayment rate (annual CPR) | 15 | - | 15 | % | 15 | % | ||||||||||||
Whole loan spread to swap rate | 100 | - | 190 | bps | 163 | bps | ||||||||||||||
Jumbo loans committed to sell | 574,413 | Whole loan committed sales price | $ | 102.42 | - | $ | 103.08 | $ | 102.89 | |||||||||||
Loans held by Legacy Sequoia (1) | 673,134 | Liability price | N/A | N/A | ||||||||||||||||
Loans held by Sequoia Choice (1) | 317,303 | Liability price | N/A | N/A | ||||||||||||||||
Residential loans, at lower of cost or fair value | 866 | Loss severity | 13 | - | 30 | % | 18 | % | ||||||||||||
Trading and AFS securities | 1,356,272 | Discount rate | 2 | - | 25 | % | 5 | % | ||||||||||||
Prepayment rate (annual CPR) | — | - | 50 | % | 10 | % | ||||||||||||||
Default rate | — | - | 32 | % | 3 | % | ||||||||||||||
Loss severity | — | - | 40 | % | 22 | % | ||||||||||||||
MSRs | 62,928 | Discount rate | 10 | - | 35 | % | 11 | % | ||||||||||||
Prepayment rate (annual CPR) | 5 | - | 31 | % | 9 | % | ||||||||||||||
Per loan annual cost to service | $ | 82 | - | $ | 84 | $ | 82 | |||||||||||||
Guarantee asset | 3,049 | Discount rate | 11 | - | 11 | % | 11 | % | ||||||||||||
Prepayment rate (annual CPR) | 14 | - | 14 | % | 14 | % | ||||||||||||||
REO | 1,725 | Loss severity | 4 | - | 39 | % | 18 | % | ||||||||||||
Loan purchase commitments, net (2) | 2,121 | MSR multiple | 1.9 | - | 5.1 | x | 3.8 | x | ||||||||||||
Pull-through rate | 13 | - | 100 | % | 72 | % | ||||||||||||||
Whole loan spread to TBA price | $ | 2.13 | - | $ | 3.10 | $ | 3.07 | |||||||||||||
Whole loan spread to swap rate - fixed rate | 180 | - | 270 | bps | 268 | bps | ||||||||||||||
Prepayment rate (annual CPR) | 15 | - | 15 | % | 15 | % | ||||||||||||||
Whole loan spread to swap rate - hybrid | 100 | - | 190 | bps | 133 | bps | ||||||||||||||
Liabilities | ||||||||||||||||||||
ABS issued: (1) | 944,288 | Discount rate | 3 | - | 15 | % | 4 | % | ||||||||||||
Prepayment rate (annual CPR) | 11 | - | 20 | % | 18 | % | ||||||||||||||
Default rate | — | - | 12 | % | 5 | % | ||||||||||||||
Loss severity | 20 | - | 32 | % | 26 | % | ||||||||||||||
September 30, 2023 | Fair Value | Input Values | ||||||||||||||||||||||||||||||||||||
(Dollars in Thousands, except Input Values) | Unobservable Input | Range | Weighted Average (1) | |||||||||||||||||||||||||||||||||||
Assets (continued) | ||||||||||||||||||||||||||||||||||||||
MSRs | $ | 26,033 | Discount rate | 12 | - | 73 | % | 13 | % | |||||||||||||||||||||||||||||
Prepayment rate (annual CPR) | 3 | - | 21 | % | 6 | % | ||||||||||||||||||||||||||||||||
Per loan annual cost to service | $ | 93 | - | $ | 93 | $ | 93 | |||||||||||||||||||||||||||||||
Excess MSRs | 38,427 | Discount rate | 13 | - | 19 | % | 18 | % | ||||||||||||||||||||||||||||||
Prepayment rate (annual CPR) | 10 | - | 100 | % | 17 | % | ||||||||||||||||||||||||||||||||
Excess mortgage servicing amount | 8 | - | 20 | bps | 11 | bps | ||||||||||||||||||||||||||||||||
Residential loan purchase commitments, net | 1,980 | Senior credit spread to TBA price(2) | $ | 1.63 | $ | 2.63 | $ | 1.71 | ||||||||||||||||||||||||||||||
Subordinate credit spread(2) | 275 | - | 1020 | bps | 438 | bps | ||||||||||||||||||||||||||||||||
Senior credit support(2) | 7 | - | 7 | % | 7 | % | ||||||||||||||||||||||||||||||||
IO discount rate(2) | 10 | - | 10 | % | 10 | % | ||||||||||||||||||||||||||||||||
Prepayment rate (annual CPR)(2) | 15 | - | 15 | % | 15 | % | ||||||||||||||||||||||||||||||||
Pull-through rate | 22 | - | 100 | % | 68 | % | ||||||||||||||||||||||||||||||||
Committed sales price | $ | 102 | - | $ | 103 | $ | 102 | |||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||
ABS issued (3): | ||||||||||||||||||||||||||||||||||||||
At consolidated Sequoia entities | 3,717,707 | Discount rate | 4 | - | 19 | % | 8 | % | ||||||||||||||||||||||||||||||
Prepayment rate (annual CPR) | 3 | - | 25 | % | 8 | % | ||||||||||||||||||||||||||||||||
Default rate | — | - | 16 | % | 1 | % | ||||||||||||||||||||||||||||||||
Loss severity | 25 | - | 50 | % | 31 | % | ||||||||||||||||||||||||||||||||
At consolidated CAFL Term entities | 2,653,224 | Discount rate | 6 | - | 12 | % | 7 | % | ||||||||||||||||||||||||||||||
Prepayment rate (annual CPR) | — | - | 3 | % | 0.1 | % | ||||||||||||||||||||||||||||||||
Default rate | 5 | - | 14 | % | 7 | % | ||||||||||||||||||||||||||||||||
Loss severity | 30 | - | 40 | % | 30 | % | ||||||||||||||||||||||||||||||||
At consolidated Freddie Mac SLST entities | 1,058,991 | Discount rate | 6 | - | 16 | % | 7 | % | ||||||||||||||||||||||||||||||
Prepayment rate (annual CPR) | 6 | - | 6 | % | 6 | % | ||||||||||||||||||||||||||||||||
Default rate | 12 | - | 14 | % | 13 | % | ||||||||||||||||||||||||||||||||
Loss severity | 25 | - | 25 | % | 25 | % | ||||||||||||||||||||||||||||||||
At consolidated Freddie Mac K-Series entities (3) | 387,650 | Discount rate | 3 | - | 10 | % | 6 | % | ||||||||||||||||||||||||||||||
At consolidated HEI entities | 92,773 | Discount rate | 10 | - | 16 | % | 11 | % | ||||||||||||||||||||||||||||||
Prepayment rate (annual CPR) | 20 | - | 20 | % | 20 | % | ||||||||||||||||||||||||||||||||
Home price appreciation (depreciation) | (1) | - | 3 | % | 3 | % | ||||||||||||||||||||||||||||||||
September 30, 2023 | Legacy | Freddie Mac | ||||||||||||||||||||||||||||||
(In Thousands) | Redwood | Sequoia | Sequoia | SLST | Total | |||||||||||||||||||||||||||
Held-for-sale at fair value | $ | 610,946 | $ | — | $ | — | $ | — | $ | 610,946 | ||||||||||||||||||||||
Held-for-investment at fair value | — | 150,152 | 3,774,090 | 1,312,149 | 5,236,391 | |||||||||||||||||||||||||||
Total Residential Loans | $ | 610,946 | $ | 150,152 | $ | 3,774,090 | $ | 1,312,149 | $ | 5,847,337 |
September 30, 2017 | Legacy | Sequoia | ||||||||||||||
(In Thousands) | Redwood | Sequoia | Choice | Total | ||||||||||||
Held-for-sale | ||||||||||||||||
At fair value | $ | 924,594 | $ | — | $ | — | $ | 924,594 | ||||||||
At lower of cost or fair value | 1,087 | — | — | 1,087 | ||||||||||||
Total held-for-sale | 925,681 | — | — | 925,681 | ||||||||||||
Held-for-investment at fair value | 2,268,802 | 673,134 | 317,303 | 3,259,239 | ||||||||||||
Total Residential Loans | $ | 3,194,483 | $ | 673,134 | $ | 317,303 | $ | 4,184,920 |
December 31, 2022 | Legacy | Freddie Mac | ||||||||||||||||||||||||||||||
(In Thousands) | Redwood | Sequoia | Sequoia | SLST | Total | |||||||||||||||||||||||||||
Held-for-sale at fair value | $ | 780,781 | $ | — | $ | — | $ | — | $ | 780,781 | ||||||||||||||||||||||
Held-for-investment at fair value | — | 184,932 | 3,190,417 | 1,457,058 | 4,832,407 | |||||||||||||||||||||||||||
Total Residential Loans | $ | 780,781 | $ | 184,932 | $ | 3,190,417 | $ | 1,457,058 | $ | 5,613,188 |
December 31, 2016 | Legacy | Sequoia | ||||||||||||||
(In Thousands) | Redwood | Sequoia | Choice | Total | ||||||||||||
Held-for-sale | ||||||||||||||||
At fair value | $ | 834,193 | $ | — | $ | — | $ | 834,193 | ||||||||
At lower of cost or fair value | 1,206 | — | — | 1,206 | ||||||||||||
Total held-for-sale | 835,399 | — | — | 835,399 | ||||||||||||
Held-for-investment at fair value | 2,261,016 | 791,636 | — | 3,052,652 | ||||||||||||
Total Residential Loans | $ | 3,096,415 | $ | 791,636 | $ | — | $ | 3,888,051 |
(Dollars in Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Number of loans | 665 | 994 | ||||||||||||
Unpaid principal balance | $ | 658,540 | $ | 822,063 | ||||||||||
Fair value of loans | $ | 610,946 | $ | 780,781 | ||||||||||
Market value of loans pledged as collateral under short-term borrowing agreements | $ | 608,649 | $ | 775,545 | ||||||||||
Weighted average coupon | 5.43 | % | 5.12 | % | ||||||||||
Delinquency information | ||||||||||||||
Number of loans with 90+ day delinquencies | — | 1 | ||||||||||||
Unpaid principal balance of loans with 90+ day delinquencies | $ | — | $ | 208 | ||||||||||
Fair value of loans with 90+ day delinquencies | $ | — | $ | 170 | ||||||||||
Number of loans in foreclosure | — | — | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Principal balance of loans acquired (1) | $ | 857,974 | $ | 336,698 | $ | 1,092,992 | $ | 3,597,339 | ||||||||||||||||||
Principal balance of loans sold | 53,743 | 662,302 | 235,821 | 3,727,993 | ||||||||||||||||||||||
Principal balance of loans transferred to HFI | 337,752 | — | 995,047 | 687,192 | ||||||||||||||||||||||
Net market valuation gains (losses) recorded (2) | (8,683) | (26,674) | (2,590) | (90,652) |
September 30, 2023 | Legacy | Freddie Mac | ||||||||||||||||||||||||
(Dollars in Thousands) | Sequoia | Sequoia | SLST | |||||||||||||||||||||||
Number of loans | 1,098 | 5,460 | 10,448 | |||||||||||||||||||||||
Unpaid principal balance | $ | 164,904 | $ | 4,624,113 | $ | 1,641,178 | ||||||||||||||||||||
Fair value of loans (2) | $ | 150,152 | $ | 3,774,090 | $ | 1,312,149 | ||||||||||||||||||||
Weighted average coupon | 6.35 | % | 3.73 | % | 4.50 | % | ||||||||||||||||||||
Delinquency information | ||||||||||||||||||||||||||
Number of loans with 90+ day delinquencies (1) | 24 | 9 | 818 | |||||||||||||||||||||||
Unpaid principal balance of loans with 90+ day delinquencies (1) | $ | 5,460 | $ | 7,599 | $ | 139,349 | ||||||||||||||||||||
Fair value of loans with 90+ day delinquencies | N/A | N/A | N/A | |||||||||||||||||||||||
Number of loans in foreclosure | 14 | 6 | 317 | |||||||||||||||||||||||
Unpaid principal balance of loans in foreclosure | $ | 2,742 | $ | 4,842 | $ | 52,918 | ||||||||||||||||||||
December 31, 2022 | Legacy | Freddie Mac | ||||||||||||||||||||||||
(Dollars in Thousands) | Sequoia | Sequoia | SLST | |||||||||||||||||||||||
Number of loans | 1,304 | 4,624 | 10,882 | |||||||||||||||||||||||
Unpaid principal balance | $ | 204,404 | $ | 3,847,091 | $ | 1,719,236 | ||||||||||||||||||||
Fair value of loans (2) | $ | 184,932 | $ | 3,190,417 | $ | 1,457,058 | ||||||||||||||||||||
Weighted average coupon | 4.51 | % | 3.25 | % | 4.50 | % | ||||||||||||||||||||
Delinquency information | ||||||||||||||||||||||||||
Number of loans with 90+ day delinquencies (1) | 30 | 10 | 1,211 | |||||||||||||||||||||||
Unpaid principal balance of loans with 90+ day delinquencies (1) | $ | 6,824 | $ | 7,799 | $ | 209,397 | ||||||||||||||||||||
Fair value of loans with 90+ day delinquencies | N/A | N/A | N/A | |||||||||||||||||||||||
Number of loans in foreclosure | 11 | 5 | 427 | |||||||||||||||||||||||
Unpaid principal balance of loans in foreclosure | $ | 1,166 | $ | 4,654 | $ | 72,440 | ||||||||||||||||||||
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||||||||||||||||||||||||||||||||
Legacy | Freddie Mac | Legacy | Freddie Mac | |||||||||||||||||||||||||||||||||||
(In Thousands) | Sequoia | Sequoia | SLST | Sequoia | Sequoia | SLST | ||||||||||||||||||||||||||||||||
Fair value of loans transferred from HFS to HFI (1) | N/A | $ | 337,752 | N/A | N/A | $ | — | N/A | ||||||||||||||||||||||||||||||
Net market valuation gains (losses) recorded | (2,242) | (175,011) | (51,046) | 5,182 | (202,825) | (104,040) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||||||||||||||||||||||||||||||||
Legacy | Freddie Mac | Legacy | Freddie Mac | |||||||||||||||||||||||||||||||||||
(In Thousands) | Sequoia | Sequoia | SLST | Sequoia | Sequoia | SLST | ||||||||||||||||||||||||||||||||
Fair value of loans transferred from HFS to HFI (1) | N/A | $ | 995,047 | N/A | N/A | $ | 684,491 | N/A | ||||||||||||||||||||||||||||||
Net market valuation gains (losses) recorded | 4,014 | (166,909) | (62,756) | 12,286 | (685,042) | (224,543) |
September 30, 2023 | BPL Term | BPL Bridge | ||||||||||||||||||||||||||||||
(In Thousands) | Redwood | CAFL | Redwood | CAFL | Total | |||||||||||||||||||||||||||
Held-for-sale at fair value | $ | 72,149 | — | $ | 30,628 | $ | — | $ | 102,777 | |||||||||||||||||||||||
Held-for-investment at fair value | — | 2,969,217 | 1,651,883 | 525,453 | 5,146,553 | |||||||||||||||||||||||||||
Total Business Purpose Loans | $ | 72,149 | $ | 2,969,217 | $ | 1,682,511 | $ | 525,453 | $ | 5,249,330 |
December 31, 2022 | BPL Term | BPL Bridge | ||||||||||||||||||||||||||||||
(In Thousands) | Redwood | CAFL | Redwood | CAFL | Total | |||||||||||||||||||||||||||
Held-for-sale at fair value | $ | 358,791 | $ | — | $ | 5,282 | $ | — | $ | 364,073 | ||||||||||||||||||||||
Held-for-investment at fair value | — | 2,944,984 | 1,507,146 | 516,383 | 4,968,513 | |||||||||||||||||||||||||||
Total Business Purpose Loans | $ | 358,791 | $ | 2,944,984 | $ | 1,512,428 | $ | 516,383 | $ | 5,332,586 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||||||||||||||||||||
(In Thousands) | BPL Term at Redwood | BPL Bridge at Redwood | BPL Term at Redwood | BPL Bridge at Redwood | ||||||||||||||||||||||
Principal balance of loans originated | $ | 105,777 | $ | 303,284 | $ | 99,281 | $ | 470,425 | ||||||||||||||||||
Principal balance of loans acquired | — | 1,820 | — | 59,977 | ||||||||||||||||||||||
Principal balance of loans sold to third parties | 27,436 | 34,061 | 37,202 | 48,279 | ||||||||||||||||||||||
Fair value of loans transferred (1) | (278,751) | (116,679) | 266,181 | (77,362) | ||||||||||||||||||||||
Mortgage banking activities income (loss) recorded (3) | 1,600 | 1,438 | (19,325) | (110) | ||||||||||||||||||||||
Investment fair value changes recorded (4) | — | (16,899) | — | (679) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||||||||||||||||||||
(In Thousands) | BPL Term at Redwood | BPL Bridge at Redwood | BPL Term at Redwood | BPL Bridge at Redwood | ||||||||||||||||||||||
Principal balance of loans originated | $ | 408,477 | $ | 828,149 | $ | 865,253 | $ | 1,424,604 | ||||||||||||||||||
Principal balance of loans acquired | — | 19,054 | 100,349 | 81,983 | ||||||||||||||||||||||
Principal balance of loans sold to third parties | 425,542 | 65,868 | 368,704 | 48,279 | ||||||||||||||||||||||
Fair value of loans transferred (1)(2) | (278,751) | (337,657) | 561,218 | (465,966) | ||||||||||||||||||||||
Mortgage banking activities income (loss) recorded (3) | 13,214 | 4,808 | (83,827) | 1,129 | ||||||||||||||||||||||
Investment fair value changes recorded (2)(4) | (14,430) | (22,867) | — | (6,747) |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||||||||||||||||||||
(In Thousands) | BPL Term at CAFL | BPL Bridge at CAFL | BPL Term at CAFL | BPL Bridge at CAFL | ||||||||||||||||||||||
Net market valuation gains (losses) recorded(1) | $ | (1,360) | $ | (2,560) | $ | (108,980) | $ | 1,906 | ||||||||||||||||||
Transfers | 278,751 | 116,679 | — | — |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||||||||||||||||||||
(In Thousands) | BPL Term at CAFL | BPL Bridge at CAFL | BPL Term at CAFL | BPL Bridge at CAFL | ||||||||||||||||||||||
Net market valuation gains (losses) recorded(1) | $ | (1,961) | $ | (1,960) | $ | (419,182) | $ | 50 | ||||||||||||||||||
Transfers | 278,751 | 337,657 | — | — |
September 30, 2023 | BPL Term at Redwood | BPL Term at CAFL(1) | BPL Bridge at Redwood | BPL Bridge at CAFL | ||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||
Number of loans | 45 | 1,093 | 1,853 | 1,344 | ||||||||||||||||||||||
Unpaid principal balance | $ | 83,300 | $ | 3,283,186 | $ | 1,704,418 | $ | 521,214 | ||||||||||||||||||
Fair value of loans | $ | 72,149 | $ | 2,969,217 | $ | 1,682,511 | $ | 525,453 | ||||||||||||||||||
Weighted average coupon | 6.98 | % | 5.35 | % | 10.46 | % | 10.79 | % | ||||||||||||||||||
Weighted average remaining loan term (years) | 8 | 5 | 1 | 1 | ||||||||||||||||||||||
Market value of loans pledged as collateral under short-term debt facilities | $ | 789 | N/A | $ | 91,561 | N/A | ||||||||||||||||||||
Market value of loans pledged as collateral under long-term debt facilities | $ | 46,915 | N/A | $ | 1,497,589 | N/A | ||||||||||||||||||||
Delinquency information | ||||||||||||||||||||||||||
Number of loans with 90+ day delinquencies (2) | 2 | 43 | 45 | 56 | ||||||||||||||||||||||
Unpaid principal balance of loans with 90+ day delinquencies(2) | $ | 27,836 | $ | 102,676 | $ | 80,924 | $ | 7,656 | ||||||||||||||||||
Fair value of loans with 90+ day delinquencies | $ | 16,822 | N/A | $ | 71,277 | $ | 7,656 | |||||||||||||||||||
Number of loans in foreclosure | 2 | 6 | 42 | 49 | ||||||||||||||||||||||
Unpaid principal balance of loans in foreclosure | $ | 27,836 | $ | 4,557 | $ | 56,272 | $ | 4,424 | ||||||||||||||||||
Fair value of loans in foreclosure | $ | 16,822 | N/A | $ | 49,886 | $ | 4,424 |
December 31, 2022 | BPL Term at Redwood | BPL Term at CAFL(1) | BPL Bridge at Redwood | BPL Bridge at CAFL | ||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||
Number of loans | 91 | 1,131 | 1,601 | 1,875 | ||||||||||||||||||||||
Unpaid principal balance | $ | 389,846 | $ | 3,263,421 | $ | 1,518,427 | $ | 514,666 | ||||||||||||||||||
Fair value of loans | $ | 358,791 | $ | 2,944,984 | $ | 1,512,428 | $ | 516,383 | ||||||||||||||||||
Weighted average coupon | 5.98 | % | 5.22 | % | 9.61 | % | 9.67 | % | ||||||||||||||||||
Weighted average remaining loan term (years) | 10 | 6 | 2 | 1 | ||||||||||||||||||||||
Market value of loans pledged as collateral under short-term debt facilities | $ | 291,406 | N/A | $ | 579,666 | N/A | ||||||||||||||||||||
Market value of loans pledged as collateral under long-term debt facilities | $ | 66,567 | N/A | $ | 897,782 | N/A | ||||||||||||||||||||
Delinquency information | ||||||||||||||||||||||||||
Number of loans with 90+ day delinquencies (2) | 1 | 16 | 49 | 48 | ||||||||||||||||||||||
Unpaid principal balance of loans with 90+ day delinquencies(2) | $ | 536 | $ | 37,072 | $ | 34,264 | $ | 7,328 | ||||||||||||||||||
Fair value of loans with 90+ day delinquencies | $ | 536 | N/A | $ | 29,663 | $ | 7,438 | |||||||||||||||||||
Number of loans in foreclosure | 1 | 9 | 48 | 48 | ||||||||||||||||||||||
Unpaid principal balance of loans in foreclosure | $ | 536 | $ | 13,686 | $ | 34,039 | $ | 7,328 | ||||||||||||||||||
Fair value of loans in foreclosure | $ | 536 | N/A | $ | 29,438 | $ | 7,438 |
(Dollars in Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Number of loans | 28 | 28 | ||||||||||||
Unpaid principal balance | $ | 440,996 | $ | 447,193 | ||||||||||
Fair value of loans | $ | 420,554 | $ | 424,551 | ||||||||||
Weighted average coupon | 4.25 | % | 4.25 | % | ||||||||||
Weighted average remaining loan term (years) | 2 | 3 | ||||||||||||
Delinquency information | ||||||||||||||
Number of loans with 90+ day delinquencies | — | — | ||||||||||||
Number of loans in foreclosure | — | — | ||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Net market valuation gains (losses) recorded (1) | $ | 2,512 | $ | (13,691) | $ | 2,200 | $ | (40,120) |
(In Thousands) | September 30, 2017 | December 31, 2016 | (In Thousands) | September 30, 2023 | December 31, 2022 | |||||||||||||||||
Trading | $ | 820,134 | $ | 445,687 | Trading | $ | 48,041 | $ | 108,329 | |||||||||||||
Available-for-sale | 536,138 | 572,752 | Available-for-sale | 81,404 | 132,146 | |||||||||||||||||
Total Real Estate Securities | $ | 1,356,272 | $ | 1,018,439 | Total Real Estate Securities | $ | 129,445 | $ | 240,475 |
(In Thousands) | September 30, 2017 | December 31, 2016 | ||||||
Senior Securities | $ | 62,767 | $ | 37,067 | ||||
Subordinate Securities | ||||||||
Mezzanine | 458,299 | 256,226 | ||||||
Subordinate | 299,068 | 152,394 | ||||||
Total Subordinate Securities | 757,367 | 408,620 | ||||||
Total Trading Securities | $ | 820,134 | $ | 445,687 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Senior | ||||||||||||||
Interest-only securities (1) | $ | 41,169 | $ | 28,867 | ||||||||||
Total Senior | 41,169 | 28,867 | ||||||||||||
Subordinate | ||||||||||||||
RPL securities | — | 29,002 | ||||||||||||
Multifamily securities | 5,239 | 5,027 | ||||||||||||
Other third-party residential securities | 1,633 | 45,433 | ||||||||||||
Total Subordinate | 6,872 | 79,462 | ||||||||||||
Total Trading Securities | $ | 48,041 | $ | 108,329 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Senior (1) | $ | — | $ | — | ||||||||||
Subordinate | 19,354 | 215,592 | ||||||||||||
Total Trading Securities | $ | 19,354 | $ | 215,592 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Fair value of securities acquired | $ | — | $ | — | $ | 7,883 | $ | 5,006 | ||||||||||||||||||
Fair value of securities sold | 27,183 | 4,142 | 82,270 | 27,471 | ||||||||||||||||||||||
Net market valuation gains (losses) recorded (1) | 5,967 | (12,521) | 14,423 | (30,019) |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Subordinate | ||||||||||||||
Sequoia securities | $ | 73,160 | $ | 74,367 | ||||||||||
Multifamily securities | 4,448 | 7,647 | ||||||||||||
Other third-party residential securities | 3,796 | 50,132 | ||||||||||||
Total Subordinate | 81,404 | 132,146 | ||||||||||||
Total AFS Securities | $ | 81,404 | $ | 132,146 |
(In Thousands) | September 30, 2017 | December 31, 2016 | ||||||
Senior Securities | $ | 153,232 | $ | 136,546 | ||||
Re-REMIC Securities | 39,033 | 85,479 | ||||||
Subordinate Securities | ||||||||
Mezzanine | 119,687 | 163,715 | ||||||
Subordinate | 224,186 | 187,012 | ||||||
Total Subordinate Securities | 343,873 | 350,727 | ||||||
Total AFS Securities | $ | 536,138 | $ | 572,752 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Fair value of securities acquired | $ | — | $ | — | $ | 1,979 | $ | 10,000 | ||||||||||||||||||
Fair value of securities sold | 12,590 | — | 55,842 | — | ||||||||||||||||||||||
Principal balance of securities called | — | — | — | 14,486 | ||||||||||||||||||||||
Net unrealized gains (losses) on AFS securities (1) | (3,921) | (8,731) | 398 | (60,013) |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||||||||||
Principal balance | $ | 149,991 | $ | 221,933 | ||||||||||||||||||||||||||||
Credit reserve | (23,890) | (28,739) | ||||||||||||||||||||||||||||||
Unamortized discount, net | (46,603) | (61,650) | ||||||||||||||||||||||||||||||
Amortized cost | 79,498 | 131,544 | ||||||||||||||||||||||||||||||
Gross unrealized gains | 13,463 | 16,269 | ||||||||||||||||||||||||||||||
Gross unrealized losses | (8,984) | (13,127) | ||||||||||||||||||||||||||||||
CECL allowance | (2,573) | (2,540) | ||||||||||||||||||||||||||||||
Carrying Value | $ | 81,404 | $ | 132,146 |
September 30, 2017 | ||||||||||||||||
(In Thousands) | Senior | Re-REMIC | Subordinate | Total | ||||||||||||
Principal balance | $ | 156,936 | $ | 44,896 | $ | 442,219 | $ | 644,051 | ||||||||
Credit reserve | (3,024 | ) | (5,810 | ) | (38,041 | ) | (46,875 | ) | ||||||||
Unamortized discount, net | (36,575 | ) | (10,412 | ) | (142,405 | ) | (189,392 | ) | ||||||||
Amortized cost | 117,337 | 28,674 | 261,773 | 407,784 | ||||||||||||
Gross unrealized gains | 37,155 | 10,359 | 83,185 | 130,699 | ||||||||||||
Gross unrealized losses | (1,260 | ) | — | (1,085 | ) | (2,345 | ) | |||||||||
Carrying Value | $ | 153,232 | $ | 39,033 | $ | 343,873 | $ | 536,138 |
December 31, 2016 | ||||||||||||||||
(In Thousands) | Senior | Re-REMIC | Subordinate | Total | ||||||||||||
Principal balance | $ | 148,862 | $ | 95,608 | $ | 456,359 | $ | 700,829 | ||||||||
Credit reserve | (4,814 | ) | (6,857 | ) | (35,802 | ) | (47,473 | ) | ||||||||
Unamortized discount, net | (41,877 | ) | (19,613 | ) | (136,622 | ) | (198,112 | ) | ||||||||
Amortized cost | 102,171 | 69,138 | 283,935 | 455,244 | ||||||||||||
Gross unrealized gains | 36,304 | 16,341 | 68,032 | 120,677 | ||||||||||||
Gross unrealized losses | (1,929 | ) | — | (1,240 | ) | (3,169 | ) | |||||||||
Carrying Value | $ | 136,546 | $ | 85,479 | $ | 350,727 | $ | 572,752 |
Three Months Ended September 30, 2023 | Nine Months Ended September 30, 2023 | |||||||||||||||||||||||||
Credit Reserve | Unamortized Discount, Net | Credit Reserve | Unamortized Discount, Net | |||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||
Beginning balance | $ | 25,615 | $ | 46,948 | $ | 28,739 | $ | 61,650 | ||||||||||||||||||
Amortization of net discount | — | (296) | — | (946) | ||||||||||||||||||||||
Realized credit recoveries (losses), net | 101 | — | 106 | — | ||||||||||||||||||||||
Acquisitions | — | — | 1,106 | 754 | ||||||||||||||||||||||
Sales, calls, other | (1,207) | (668) | (5,331) | (15,585) | ||||||||||||||||||||||
Transfers to (release of) credit reserves, net | (619) | 619 | (730) | 730 | ||||||||||||||||||||||
Ending Balance | $ | 23,890 | $ | 46,603 | $ | 23,890 | $ | 46,603 |
Three Months Ended September 30, 2017 | Nine Months Ended September 30, 2017 | |||||||||||||||
Credit Reserve | Unamortized Discount, Net | Credit Reserve | Unamortized Discount, Net | |||||||||||||
(In Thousands) | ||||||||||||||||
Beginning balance | $ | 47,588 | $ | 192,063 | $ | 47,473 | $ | 198,112 | ||||||||
Amortization of net discount | — | (4,631 | ) | — | (14,697 | ) | ||||||||||
Realized credit losses | (795 | ) | — | (3,232 | ) | — | ||||||||||
Acquisitions | 1,665 | 2,732 | 8,256 | 11,375 | ||||||||||||
Sales, calls, other | (144 | ) | (2,214 | ) | (3,405 | ) | (7,863 | ) | ||||||||
Impairments | 3 | — | 248 | — | ||||||||||||
Transfers to (release of) credit reserves, net | (1,442 | ) | 1,442 | (2,465 | ) | 2,465 | ||||||||||
Ending Balance | $ | 46,875 | $ | 189,392 | $ | 46,875 | $ | 189,392 |
Less Than 12 Consecutive Months | 12 Consecutive Months or Longer | |||||||||||||||||||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | |||||||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||||
September 30, 2023 | $ | 9,459 | $ | (585) | $ | 28,630 | $ | (8,399) | ||||||||||||||||||||||||||||||
December 31, 2022 | 72,679 | (12,940) | 1,414 | (186) |
Less Than 12 Consecutive Months | 12 Consecutive Months or Longer | |||||||||||||||||||||||
Amortized Cost | Unrealized Losses | Fair Value | Amortized Cost | Unrealized Losses | Fair Value | |||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||
September 30, 2017 | $ | 10,164 | $ | (694 | ) | $ | 9,470 | $ | 31,001 | $ | (1,651 | ) | $ | 29,350 | ||||||||||
December 31, 2016 | 15,772 | (330 | ) | 15,442 | 60,035 | (2,839 | ) | 57,196 |
September 30, 2023 | Subordinate Securities | |||||||||||||
Default rate | 0.8% | |||||||||||||
Loss severity | 20% |
September 30, 2017 | Range for Securities | |||
Prepayment rates | 8% | - | 15% | |
Projected losses | 0.25% | - | 8% |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Balance at beginning of period | $ | 25,802 | $ | 28,198 | $ | 28,261 | $ | 28,277 | ||||||||
Additions | ||||||||||||||||
Initial credit impairments | — | — | 178 | 291 | ||||||||||||
Subsequent credit impairments | — | — | 47 | — | ||||||||||||
Reductions | ||||||||||||||||
Securities sold, or expected to sell | — | — | (2,282 | ) | (261 | ) | ||||||||||
Securities with no outstanding principal at period end | (42 | ) | — | (444 | ) | (109 | ) | |||||||||
Balance at End of Period | $ | 25,760 | $ | 28,198 | $ | 25,760 | $ | 28,198 |
Three Months Ended September 30, 2023 | Nine Months Ended September 30, 2023 | |||||||||||||
(In Thousands) | ||||||||||||||
Beginning balance allowance for credit losses | $ | 2,639 | $ | 2,540 | ||||||||||
Additions to allowance for credit losses on securities for which credit losses were not previously recorded | 48 | 278 | ||||||||||||
Additional increases (or decreases) to the allowance for credit losses on securities that had an allowance recorded in a previous period | 17 | 63 | ||||||||||||
Reduction to allowance for securities sold during the period | (131) | (308) | ||||||||||||
Ending balance of allowance for credit losses | $ | 2,573 | $ | 2,573 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Gross realized gains - sales | $ | 103 | $ | — | $ | 3,917 | $ | — | ||||||||||||||||||
Gross realized gains - calls | — | — | — | 1,914 | ||||||||||||||||||||||
Gross realized losses - sales | (77) | — | (2,415) | — | ||||||||||||||||||||||
Gross realized losses - calls | — | — | — | — | ||||||||||||||||||||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ | 26 | $ | — | $ | 1,502 | $ | 1,914 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Gross realized gains - sales | $ | 1,734 | $ | 1,990 | $ | 9,381 | $ | 22,395 | ||||||||
Gross realized gains - calls | — | — | 677 | 1,210 | ||||||||||||
Gross realized losses - sales | — | — | — | (2,293 | ) | |||||||||||
Gross realized losses - calls | — | — | (497 | ) | — | |||||||||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ | 1,734 | $ | 1,990 | $ | 9,561 | $ | 21,312 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
HEI at Redwood | $ | 302,122 | $ | 270,835 | ||||||||||
HEI held at consolidated HEI securitization entity | 129,150 | 132,627 | ||||||||||||
Total Home Equity Investments | $ | 431,272 | $ | 403,462 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||||||||||||||||||||
(In Thousands) | HEI at Redwood | Securitized HEI | HEI at Redwood | Securitized HEI | ||||||||||||||||||||||
Fair value of HEI purchased and originated | $ | 113 | $ | — | $ | 79,050 | $ | — | ||||||||||||||||||
Net market valuation gains (losses) recorded (1) | 9,290 | 4,212 | (4,774) | (724) |
Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||||||||||||||||||||
(In Thousands) | HEI at Redwood | Securitized HEI | HEI at Redwood | Securitized HEI | ||||||||||||||||||||||
Fair value of HEI purchased and originated | $ | 25,626 | $ | — | $ | 176,439 | $ | — | ||||||||||||||||||
Net market valuation gains (losses) recorded (1) | 21,598 | 8,418 | (1,986) | 8,587 |
September 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||
(Dollars in Thousands) | HEI at Redwood | Securitized HEI | HEI at Redwood | Securitized HEI | ||||||||||||||||||||||
Number of HEI contracts | 2,644 | 929 | 2,599 | 1,007 | ||||||||||||||||||||||
Average initial amount of contract | $ | 103 | $ | 95 | $ | 101 | $ | 94 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Servicer advance investments | $ | 219,813 | $ | 269,259 | ||||||||||
Strategic investments | 55,854 | 56,518 | ||||||||||||
Excess MSRs | 38,427 | 39,035 | ||||||||||||
Mortgage servicing rights | 26,033 | 25,421 | ||||||||||||
Other | 234 | 705 | ||||||||||||
Total Other Investments | $ | 340,361 | $ | 390,938 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Principal and interest advances | $ | 65,365 | $ | 81,447 | ||||||||||
Escrow advances (taxes and insurance advances) | 86,980 | 123,541 | ||||||||||||
Corporate advances | 32,191 | 35,377 | ||||||||||||
Total Servicer Advance Receivables | $ | 184,536 | $ | 240,365 |
September 30, 2017 | December 31, 2016 | |||||||||||||||
(In Thousands) | MSR Fair Value | Associated Principal | MSR Fair Value | Associated Principal | ||||||||||||
Mortgage Servicing Rights | ||||||||||||||||
Conforming Loans | $ | 1,125 | $ | 107,298 | $ | 58,523 | $ | 4,989,720 | ||||||||
Jumbo Loans | 61,803 | 5,639,708 | 60,003 | 5,467,169 | ||||||||||||
Total Mortgage Servicing Rights | $ | 62,928 | $ | 5,747,006 | $ | 118,526 | $ | 10,456,889 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Balance at beginning of period | $ | 63,770 | $ | 110,046 | $ | 118,526 | $ | 191,976 | ||||||||
Additions | 256 | 3,443 | 7,957 | 22,941 | ||||||||||||
Sales | — | (8,860 | ) | (52,966 | ) | (38,419 | ) | |||||||||
Changes in fair value due to: | ||||||||||||||||
Changes in assumptions (1) | 563 | 7,085 | (3,450 | ) | (52,723 | ) | ||||||||||
Other changes (2) | (1,661 | ) | (5,705 | ) | (7,139 | ) | (17,766 | ) | ||||||||
Balance at End of Period | $ | 62,928 | $ | 106,009 | $ | 62,928 | $ | 106,009 |
Three Months Ended September 30, 2017 | Nine Months Ended September 30, 2017 | |||||||||||||||
(In Thousands) | MSR Fair Value | Associated Principal | MSR Fair Value | Associated Principal | ||||||||||||
Jumbo MSR additions: | ||||||||||||||||
From securitization | $ | — | $ | — | $ | 7,123 | $ | 654,605 | ||||||||
From loan sales | — | — | 263 | 31,658 | ||||||||||||
Total jumbo MSR additions | — | — | 7,386 | 686,263 | ||||||||||||
Conforming MSR additions: | ||||||||||||||||
From purchases | 256 | 41,263 | 571 | 95,595 | ||||||||||||
Total MSR Additions | $ | 256 | $ | 41,263 | $ | 7,957 | $ | 781,858 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Servicing income | $ | 3,872 | $ | 9,943 | $ | 17,290 | $ | 32,199 | ||||||||
Cost of sub-servicer | (476 | ) | (1,217 | ) | (2,515 | ) | (4,958 | ) | ||||||||
Net servicing fee income | 3,396 | 8,726 | 14,775 | 27,241 | ||||||||||||
Market valuation changes of MSRs | (1,351 | ) | 1,380 | (10,842 | ) | (70,489 | ) | |||||||||
Market valuation changes of associated derivatives | (422 | ) | (6,336 | ) | 1,869 | 55,874 | ||||||||||
MSR provision for repurchases | (8 | ) | — | 304 | 208 | |||||||||||
MSR Income, Net | $ | 1,615 | $ | 3,770 | $ | 6,106 | $ | 12,834 |
September 30, 2017 | December 31, 2016 | September 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||||||||||||||||
Fair Value | Notional Amount | Fair Value | Notional Amount | Fair Value | Notional Amount | Fair Value | Notional Amount | |||||||||||||||||||||||||||||||||||
(In Thousands) | (In Thousands) | |||||||||||||||||||||||||||||||||||||||||
Assets - Risk Management Derivatives | Assets - Risk Management Derivatives | |||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | $ | 3,645 | $ | 509,000 | $ | 19,859 | $ | 1,009,000 | Interest rate swaps | $ | 13,819 | $ | 190,000 | $ | 14,625 | $ | 285,000 | |||||||||||||||||||||||||
TBAs | 2,875 | 985,000 | 8,300 | 850,000 | TBAs | 16,613 | 1,560,000 | 1,893 | 220,000 | |||||||||||||||||||||||||||||||||
Futures | 135 | 7,500 | — | — | ||||||||||||||||||||||||||||||||||||||
Swaptions | 297 | 300,000 | 5,121 | 345,000 | ||||||||||||||||||||||||||||||||||||||
Interest rate futures | Interest rate futures | 2,187 | 136,200 | 3,976 | 350,600 | |||||||||||||||||||||||||||||||||||||
Assets - Other Derivatives | Assets - Other Derivatives | |||||||||||||||||||||||||||||||||||||||||
Loan purchase commitments | 4,996 | 802,550 | 3,315 | 352,981 | ||||||||||||||||||||||||||||||||||||||
Loan purchase and interest rate lock commitments | Loan purchase and interest rate lock commitments | 5,067 | 288,637 | 336 | 8,166 | |||||||||||||||||||||||||||||||||||||
Total Assets | $ | 11,948 | $ | 2,604,050 | $ | 36,595 | $ | 2,556,981 | Total Assets | $ | 37,686 | $ | 2,174,837 | $ | 20,830 | $ | 863,766 | |||||||||||||||||||||||||
Liabilities - Cash Flow Hedges | ||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | $ | (45,093 | ) | $ | 139,500 | $ | (44,822 | ) | $ | 139,500 | ||||||||||||||||||||||||||||||||
Liabilities - Risk Management Derivatives | Liabilities - Risk Management Derivatives | |||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | (12,901 | ) | 1,838,500 | (12,097 | ) | 1,101,500 | ||||||||||||||||||||||||||||||||||||
TBAs | (3,946 | ) | 950,000 | (4,681 | ) | 510,000 | TBAs | $ | (5,495) | $ | 425,000 | $ | (16,784) | $ | 845,000 | |||||||||||||||||||||||||||
Futures | (423 | ) | 29,000 | (928 | ) | 87,500 | ||||||||||||||||||||||||||||||||||||
Interest rate futures | Interest rate futures | (199) | 67,700 | (57) | 60,000 | |||||||||||||||||||||||||||||||||||||
Liabilities - Other Derivatives | Liabilities - Other Derivatives | |||||||||||||||||||||||||||||||||||||||||
Loan purchase commitments | (2,875 | ) | 683,709 | (3,801 | ) | 584,862 | ||||||||||||||||||||||||||||||||||||
Loan purchase and interest rate lock commitments | Loan purchase and interest rate lock commitments | (3,087) | 606,170 | (14) | 3,532 | |||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | (65,238 | ) | $ | 3,640,709 | $ | (66,329 | ) | $ | 2,423,362 | Total Liabilities | $ | (8,781) | $ | 1,098,870 | $ | (16,855) | $ | 908,532 | |||||||||||||||||||||||
Total Derivative Financial Instruments, Net | $ | (53,290 | ) | $ | 6,244,759 | $ | (29,734 | ) | $ | 4,980,343 | Total Derivative Financial Instruments, Net | $ | 28,905 | $ | 3,273,707 | $ | 3,975 | $ | 1,772,298 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Net interest expense on cash flows hedges | $ | (1,119 | ) | $ | (1,314 | ) | $ | (3,516 | ) | $ | (4,049 | ) | ||||
Realized net losses reclassified from other comprehensive income | (14 | ) | (18 | ) | (42 | ) | (55 | ) | ||||||||
Total Interest Expense | $ | (1,133 | ) | $ | (1,332 | ) | $ | (3,558 | ) | $ | (4,104 | ) |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Accrued interest receivable | $ | 60,762 | $ | 60,893 | ||||||||||
REO | 54,123 | 6,455 | ||||||||||||
Deferred tax asset | 41,931 | 41,931 | ||||||||||||
Investment receivable | 36,816 | 36,623 | ||||||||||||
Operating lease right-of-use assets | 13,367 | 16,177 | ||||||||||||
Margin receivable | 10,536 | 13,802 | ||||||||||||
Fixed assets and leasehold improvements (1) | 8,453 | 12,616 | ||||||||||||
Income tax receivables | 1,654 | 3,399 | ||||||||||||
Other | 22,845 | 19,344 | ||||||||||||
Total Other Assets | $ | 250,487 | $ | 211,240 |
(In Thousands) | September 30, 2017 | December 31, 2016 | ||||||
Margin receivable | $ | 93,679 | $ | 68,038 | ||||
FHLBC stock | 43,393 | 43,393 | ||||||
Pledged collateral | 42,933 | 42,875 | ||||||
MSR holdback receivable | 9,754 | 1,862 | ||||||
Investment receivable | 6,095 | 1,068 | ||||||
Guarantee asset | 3,049 | 4,092 | ||||||
REO | 3,020 | 5,533 | ||||||
Fixed assets and leasehold improvements (1) | 2,852 | 2,750 | ||||||
Other | 4,731 | 12,334 | ||||||
Total Other Assets | $ | 209,506 | $ | 181,945 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Accrued interest payable | $ | 51,849 | $ | 46,612 | ||||||||||
Payable to noncontrolling interests | 48,496 | 44,859 | ||||||||||||
Margin payable | 25,210 | 5,944 | ||||||||||||
Accrued compensation | 23,249 | 30,929 | ||||||||||||
Operating lease liabilities | 15,630 | 18,563 | ||||||||||||
Unsettled trades | 6,110 | — | ||||||||||||
Accrued operating expenses | 6,063 | 5,740 | ||||||||||||
Guarantee obligations | 5,913 | 6,344 | ||||||||||||
Residential loan and MSR repurchase reserve | 4,611 | 7,051 | ||||||||||||
Current accounts payable | 4,588 | 4,234 | ||||||||||||
Bridge loan holdbacks | 1,973 | 3,301 | ||||||||||||
Preferred stock dividends payable | 1,478 | — | ||||||||||||
Other | 13,124 | 6,626 | ||||||||||||
Total Accrued Expenses and Other Liabilities | $ | 208,294 | $ | 180,203 |
(In Thousands) | September 30, 2017 | December 31, 2016 | ||||||
Guarantee obligations | $ | 20,101 | $ | 21,668 | ||||
Accrued compensation | 18,978 | 18,830 | ||||||
Accrued taxes payable | 15,835 | 525 | ||||||
Unsettled trades | 12,005 | 24 | ||||||
Residential loan and MSR repurchase reserve | 4,755 | 5,432 | ||||||
Legal reserve | 2,000 | 2,000 | ||||||
Current accounts payable | 1,920 | 1,151 | ||||||
Accrued operating expenses | 1,097 | 4,493 | ||||||
Deferred tax liability | 898 | 898 | ||||||
Margin payable | 841 | 12,783 | ||||||
Other | 2,632 | 4,624 | ||||||
Total Other Liabilities | $ | 81,062 | $ | 72,428 |
Nine Months Ended September 30, 2023 | ||||||||||||||||||||||||||||||||
(In Thousands) | BPL Bridge | Legacy Sequoia | Freddie Mac SLST | BPL Term at CAFL | Total | |||||||||||||||||||||||||||
Balance at beginning of period | $ | 3,012 | $ | 544 | $ | 2,899 | $ | — | $ | 6,455 | ||||||||||||||||||||||
Transfers to REO | 48,864 | 18 | 2,340 | 2,684 | 53,906 | |||||||||||||||||||||||||||
Liquidations (1) | (2,310) | (562) | (2,754) | — | (5,626) | |||||||||||||||||||||||||||
Changes in fair value, net | (992) | — | 380 | — | (612) | |||||||||||||||||||||||||||
Balance at End of Period | $ | 48,574 | $ | — | $ | 2,865 | $ | 2,684 | $ | 54,123 |
Number of REO assets | Redwood Bridge | Legacy Sequoia | Freddie Mac SLST | BPL Term at CAFL | Total | |||||||||||||||||||||||||||
At September 30, 2023 | 9 | — | 25 | 1 | 35 | |||||||||||||||||||||||||||
At December 31, 2022 | 2 | 2 | 24 | — | 28 |
September 30, 2023 | ||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding Balance | Limit | Weighted Average Interest Rate (1) | Maturity (2) | Weighted Average Days Until Maturity | ||||||||||||||||||||||||||||||||
Facilities | ||||||||||||||||||||||||||||||||||||||
Residential loan warehouse | 4 | $ | 548,334 | $ | 1,050,000 | 7.28 | % | 10/2023-5/2024 | 132 | |||||||||||||||||||||||||||||
Business purpose loan warehouse | 2 | 70,424 | 455,000 | 8.12 | % | 5/2024-6/2024 | 259 | |||||||||||||||||||||||||||||||
Real estate securities repo | 5 | 237,835 | — | 6.99 | % | 10/2023-1/2024 | 54 | |||||||||||||||||||||||||||||||
Residential MSR warehouse | 1 | 48,470 | 50,000 | 8.57 | % | 10/2023 | 30 | |||||||||||||||||||||||||||||||
HEI warehouse | 1 | 126,803 | 150,000 | 9.92 | % | 8/2024 | 306 | |||||||||||||||||||||||||||||||
Total Short-Term Debt Facilities | 13 | 1,031,866 | ||||||||||||||||||||||||||||||||||||
Servicer advance financing | 1 | 154,127 | 240,000 | 7.67 | % | 11/2023 | 32 | |||||||||||||||||||||||||||||||
Subordinate securities financing | 1 | 126,506 | — | 5.71 | % | 9/2024 | 358 | |||||||||||||||||||||||||||||||
Promissory notes | N/A | 16,518 | — | 6.94 | % | N/A | N/A | |||||||||||||||||||||||||||||||
Convertible notes, net | N/A | 147,637 | — | 5.63 | % | 7/2024 | 289 | |||||||||||||||||||||||||||||||
Total Short-Term Debt | $ | 1,476,654 |
September 30, 2017 | December 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding Balance | Limit | Weighted Average Interest Rate | Maturity | Weighted Average Days Until Maturity | (Dollars in Thousands) | Number of Facilities | Outstanding Balance | Limit | Weighted Average Interest Rate (1) | Maturity | Weighted Average Days Until Maturity | |||||||||||||||||||||||||||||||||||||||||||
Facilities | Facilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential loan warehouse | 4 | $ | 438,243 | $ | 1,325,000 | 2.80 | % | 12/2017-8/2018 | 150 | Residential loan warehouse | 7 | $ | 703,406 | $ | 2,550,000 | 6.16 | % | 3/2023 - 12/2023 | 267 | |||||||||||||||||||||||||||||||||||||
Business purpose loan warehouse | Business purpose loan warehouse | 4 | 680,100 | 1,650,000 | 6.93 | % | 3/2023 - 9/2023 | 179 | ||||||||||||||||||||||||||||||||||||||||||||||||
Real estate securities repo | 8 | 549,811 | — | 2.46 | % | 10/2017-12/2017 | 28 | Real estate securities repo | 7 | 124,909 | — | 5.22 | % | 1/2023 - 3/2023 | 27 | |||||||||||||||||||||||||||||||||||||||||
HEI warehouse | HEI warehouse | 1 | 111,681 | 150,000 | 8.54 | % | 11/2023 | 306 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total Short-Term Debt Facilities | 12 | 988,054 | Total Short-Term Debt Facilities | 19 | 1,620,096 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Servicer advance financing | Servicer advance financing | 1 | 206,510 | 290,000 | 6.67 | % | 11/2023 | 305 | ||||||||||||||||||||||||||||||||||||||||||||||||
Promissory notes | Promissory notes | N/A | 27,058 | — | 6.64 | % | N/A | N/A | ||||||||||||||||||||||||||||||||||||||||||||||||
Convertible notes, net | N/A | 250,142 | — | 4.63 | % | 4/2018 | 197 | Convertible notes, net | N/A | 176,015 | — | 4.75 | % | 8/2023 | 227 | |||||||||||||||||||||||||||||||||||||||||
Total Short-Term Debt | $ | 1,238,196 | Total Short-Term Debt | $ | 2,029,679 |
December 31, 2016 | ||||||||||||||||||
(Dollars in Thousands) | Number of Facilities | Outstanding Balance | Limit | Weighted Average Interest Rate | Maturity | Weighted Average Days Until Maturity | ||||||||||||
Facilities | ||||||||||||||||||
Residential loan warehouse | 4 | $ | 485,544 | $ | 1,325,000 | 2.40 | % | 1/2017-12/2017 | 206 | |||||||||
Real estate securities repo | 7 | 305,995 | — | 1.91 | % | 1/2017-3/2017 | 24 | |||||||||||
Total Short-Term Debt | 11 | $ | 791,539 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Collateral Type | ||||||||||||||
Held-for-sale residential loans | $ | 608,649 | $ | 775,545 | ||||||||||
MSRs (1) | 79,809 | — | ||||||||||||
Business purpose loans | 92,350 | 871,072 | ||||||||||||
HEI | 229,625 | 191,278 | ||||||||||||
Real estate securities | ||||||||||||||
On balance sheet | 4,448 | 72,133 | ||||||||||||
Sequoia securitizations (2) | 51,542 | 74,170 | ||||||||||||
Freddie Mac SLST securitizations (2) | 214,443 | — | ||||||||||||
Freddie Mac K-Series securitization (2) | 32,904 | 31,767 | ||||||||||||
CAFL securitizations (2) | 32,317 | — | ||||||||||||
Total real estate securities owned | 335,654 | 178,070 | ||||||||||||
Restricted cash and other assets | 4,128 | 1,097 | ||||||||||||
Total Collateral for Short-Term Debt Facilities | 1,350,215 | 2,017,062 | ||||||||||||
Cash | 15,162 | 12,713 | ||||||||||||
Subordinate securities financing | 169,565 | — | ||||||||||||
Servicer advances | 219,813 | 269,259 | ||||||||||||
Total Collateral for Short-Term Debt | $ | 1,754,755 | $ | 2,299,034 |
September 30, 2023 | ||||||||||||||||||||||||||
(In Thousands) | Within 30 days | 31 to 90 days | Over 90 days | Total | ||||||||||||||||||||||
Collateral Type | ||||||||||||||||||||||||||
Held-for-sale residential loans | $ | 46,844 | $ | 314,269 | $ | 187,221 | $ | 548,334 | ||||||||||||||||||
Business purpose loans | — | — | 70,424 | 70,424 | ||||||||||||||||||||||
Real estate securities | 38,786 | 182,275 | 143,280 | 364,341 | ||||||||||||||||||||||
MSRs | 48,470 | — | — | 48,470 | ||||||||||||||||||||||
HEI | — | — | 126,803 | 126,803 | ||||||||||||||||||||||
Servicer advances | — | 154,127 | — | 154,127 | ||||||||||||||||||||||
Total Secured Short-Term Debt Facilities | 134,100 | 650,671 | 527,728 | 1,312,499 | ||||||||||||||||||||||
Promissory notes (unsecured) | — | 16,518 | — | 16,518 | ||||||||||||||||||||||
Convertible notes, net (unsecured) | — | — | 147,637 | 147,637 | ||||||||||||||||||||||
Total Short-Term Debt | $ | 134,100 | $ | 667,189 | $ | 675,365 | $ | 1,476,654 |
September 30, 2017 | ||||||||||||||||
(In Thousands) | Within 30 days | 31 to 90 days | Over 90 days | Total | ||||||||||||
Collateral Type | ||||||||||||||||
Held-for-sale residential loans | $ | — | $ | 120,219 | $ | 318,024 | $ | 438,243 | ||||||||
Real estate securities | 422,300 | 127,511 | — | 549,811 | ||||||||||||
Total Secured Short-Term Debt | 422,300 | 247,730 | 318,024 | 988,054 | ||||||||||||
Convertible notes, net | — | — | 250,142 | 250,142 | ||||||||||||
Total Short-Term Debt | $ | 422,300 | $ | 247,730 | $ | 568,166 | $ | 1,238,196 |
September 30, 2023 | ||||||||||||||||||||||||||||||||||||||||||||
Legacy Sequoia | Sequoia | CAFL (1) | Freddie Mac SLST | Freddie Mac K-Series | HEI | Total | ||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Certificates with principal balance | $ | 159,990 | $ | 4,384,081 | $ | 3,330,287 | $ | 1,165,093 | $ | 404,528 | $ | 100,753 | $ | 9,544,732 | ||||||||||||||||||||||||||||||
Interest-only certificates | 127 | 50,992 | 105,883 | 13,905 | 5,300 | — | 176,207 | |||||||||||||||||||||||||||||||||||||
Market valuation adjustments | (10,915) | (866,568) | (301,241) | (120,007) | (22,178) | (7,980) | (1,328,889) | |||||||||||||||||||||||||||||||||||||
ABS Issued, Net | $ | 149,202 | $ | 3,568,505 | $ | 3,134,929 | $ | 1,058,991 | $ | 387,650 | $ | 92,773 | $ | 8,392,050 | ||||||||||||||||||||||||||||||
Range of weighted average interest rates, by series(3) | 3.73% to 7.26% | 2.67% to 6.01% | 2.34% to 6.18% | 3.50% | 3.41 | % | 3.83 | % | ||||||||||||||||||||||||||||||||||||
Stated maturities(3) | 2024-2036 | 2047-2053 | 2027-2033 | 2028-2029 | 2025 | 2052 | ||||||||||||||||||||||||||||||||||||||
Number of series | 20 | 20 | 20 | 2 | 1 | 1 |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Legacy Sequoia | Sequoia | CAFL(1) | Freddie Mac SLST (2) | Freddie Mac K-Series | HEI | Total | ||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Certificates with principal balance | $ | 200,047 | $ | 3,595,715 | $ | 3,322,250 | $ | 1,306,652 | $ | 410,725 | $ | 108,962 | $ | 8,944,351 | ||||||||||||||||||||||||||||||
Interest-only certificates | 180 | 57,871 | 124,928 | 15,328 | 7,379 | — | 205,686 | |||||||||||||||||||||||||||||||||||||
Market valuation adjustments | (16,036) | (682,477) | (331,371) | (99,830) | (25,319) | (8,252) | (1,163,285) | |||||||||||||||||||||||||||||||||||||
ABS Issued, Net | $ | 184,191 | $ | 2,971,109 | $ | 3,115,807 | $ | 1,222,150 | $ | 392,785 | $ | 100,710 | $ | 7,986,752 | ||||||||||||||||||||||||||||||
Range of weighted average interest rates, by series(3) | 2.69% to 5.19% | 2.57% to 6.13% | 2.34% to 5.92% | 3.50% to 4.75% | 3.41 | % | 3.78 | % | ||||||||||||||||||||||||||||||||||||
Stated maturities(3) | 2024 - 2036 | 2047-2052 | 2027-2032 | 2028-2059 | 2025 | 2052 | ||||||||||||||||||||||||||||||||||||||
Number of series | 20 | 17 | 19 | 3 | 1 | 1 |
September 30, 2017 | Legacy Sequoia | Sequoia Choice | Total | |||||||||
(Dollars in Thousands) | ||||||||||||
Certificates with principal balance | $ | 730,312 | $ | 276,873 | $ | 1,007,185 | ||||||
Interest-only certificates | 2,829 | 4,153 | 6,982 | |||||||||
Market valuation adjustments | (75,181 | ) | 5,302 | (69,879 | ) | |||||||
ABS Issued, Net | $ | 657,960 | $ | 286,328 | $ | 944,288 | ||||||
Range of weighted average interest rates, by series | 1.20% to 2.56% | 4.53% | ||||||||||
Stated maturities | 2024 - 2036 | 2047 | ||||||||||
Number of series | 20 | 1 |
December 31, 2016 | Legacy Sequoia | Sequoia Choice | Total | |||||||||
(Dollars in Thousands) | ||||||||||||
Certificates with principal balance | $ | 880,517 | $ | — | $ | 880,517 | ||||||
Interest-only certificates | 3,774 | — | 3,774 | |||||||||
Market valuation adjustments | (110,829 | ) | — | (110,829 | ) | |||||||
ABS Issued, Net | $ | 773,462 | $ | — | $ | 773,462 | ||||||
Range of weighted average interest rates, by series | 0.74% to 2.23% | — | % | |||||||||
Stated maturities | 2024 - 2036 | N/A | ||||||||||
Number of series | 20 | — |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Legacy Sequoia | $ | 310 | $ | 282 | ||||||||||
Sequoia | 12,695 | 8,880 | ||||||||||||
CAFL | 11,181 | 10,918 | ||||||||||||
Freddie Mac SLST (1) | 3,398 | 3,561 | ||||||||||||
Freddie Mac K-Series | 1,150 | 1,167 | ||||||||||||
Total Accrued Interest Payable on ABS Issued | $ | 28,734 | $ | 24,808 |
September 30, 2017 | Legacy Sequoia | Sequoia Choice | Total | |||||||||
(In Thousands) | ||||||||||||
Residential loans | $ | 673,134 | $ | 317,303 | $ | 990,437 | ||||||
Restricted cash | 147 | — | 147 | |||||||||
Accrued interest receivable | 898 | 1,266 | 2,164 | |||||||||
REO | 3,020 | — | 3,020 | |||||||||
Total Collateral for ABS Issued | $ | 677,199 | $ | 318,569 | $ | 995,768 |
December 31, 2016 | Legacy Sequoia | Sequoia Choice | Total | |||||||||
(In Thousands) | ||||||||||||
Residential loans | $ | 791,636 | $ | — | $ | 791,636 | ||||||
Restricted cash | 148 | — | 148 | |||||||||
Accrued interest receivable | 1,000 | — | 1,000 | |||||||||
REO | 5,533 | — | 5,533 | |||||||||
Total Collateral for ABS Issued | $ | 798,317 | $ | — | $ | 798,317 |
September 30, 2023 | ||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Borrowings | Unamortized Deferred Issuance Costs / Discount | Net Carrying Value | Limit | Weighted Average Interest Rate (1) | Final Maturity | ||||||||||||||||||||||||||||||||
Facilities | ||||||||||||||||||||||||||||||||||||||
Recourse Subordinate Securities Financing | ||||||||||||||||||||||||||||||||||||||
Facility B | $ | 101,247 | $ | — | $ | 101,247 | N/A | 5.71 | % | 2/2025 | ||||||||||||||||||||||||||||
Facility C | 60,657 | — | 60,657 | N/A | 4.75 | % | 6/2026 | |||||||||||||||||||||||||||||||
Non-Recourse BPL Financing | ||||||||||||||||||||||||||||||||||||||
Facility D | 486,099 | (596) | 485,503 | $ | 750,000 | SOFR + 2.89% | N/A | |||||||||||||||||||||||||||||||
Facility E | 225,865 | (844) | 225,021 | 335,000 | SOFR + 3.25% | 12/2025 | ||||||||||||||||||||||||||||||||
Recourse BPL Financing | ||||||||||||||||||||||||||||||||||||||
Facility F | 21,293 | (9) | 21,284 | 500,000 | SOFR + 2.35%-2.60% | 9/2025 | ||||||||||||||||||||||||||||||||
Facility H | 234,014 | — | 234,014 | 450,000 | SOFR + 2.40%-2.60% | 7/2025 | ||||||||||||||||||||||||||||||||
Facility I | 193,007 | — | 193,007 | 450,000 | SOFR + 2.25%-2.77% | 3/2025 | ||||||||||||||||||||||||||||||||
Total Long-Term Debt Facilities | 1,322,182 | (1,449) | 1,320,733 | |||||||||||||||||||||||||||||||||||
Convertible notes | ||||||||||||||||||||||||||||||||||||||
5.75% exchangeable senior notes | 162,092 | (1,793) | 160,299 | N/A | 5.75 | % | 10/2025 | |||||||||||||||||||||||||||||||
7.75% convertible senior notes | 215,000 | (5,274) | 209,726 | N/A | 7.75 | % | 6/2027 | |||||||||||||||||||||||||||||||
Trust preferred securities and subordinated notes | 139,500 | (698) | 138,802 | N/A | SOFR + 2.51% | 7/2037 | ||||||||||||||||||||||||||||||||
Total Long-Term Debt | $ | 1,838,774 | $ | (9,214) | $ | 1,829,560 |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Borrowings | Unamortized Deferred Issuance Costs / Discount | Net Carrying Value | Limit | Weighted Average Interest Rate (1) | Final Maturity | ||||||||||||||||||||||||||||||||
Facilities | ||||||||||||||||||||||||||||||||||||||
Recourse Subordinate Securities Financing | ||||||||||||||||||||||||||||||||||||||
Facility A | $ | 130,408 | $ | — | $ | 130,408 | N/A | 5.71 | % | 9/2024 | ||||||||||||||||||||||||||||
Facility B | 101,706 | (50) | 101,656 | N/A | 4.21 | % | 2/2025 | |||||||||||||||||||||||||||||||
Facility C | 68,995 | (125) | 68,870 | N/A | 4.75 | % | 6/2026 | |||||||||||||||||||||||||||||||
Non-Recourse BPL Financing | ||||||||||||||||||||||||||||||||||||||
Facility D | 404,622 | (667) | 403,955 | $ | 750,000 | SOFR + 2.87% | N/A | |||||||||||||||||||||||||||||||
Facility E | 308,933 | (838) | 308,095 | 335,000 | SOFR + 3.25% | 12/2025 | ||||||||||||||||||||||||||||||||
Recourse BPL Financing | ||||||||||||||||||||||||||||||||||||||
Facility F | 64,689 | (473) | 64,216 | 500,000 | SOFR + 2.25%-2.50% | 9/2024 | ||||||||||||||||||||||||||||||||
Total Long-Term Debt Facilities | 1,079,353 | (2,153) | 1,077,200 | |||||||||||||||||||||||||||||||||||
Convertible notes | ||||||||||||||||||||||||||||||||||||||
5.625% convertible senior notes | 150,200 | (1,282) | 148,918 | N/A | 5.625 | % | 7/2024 | |||||||||||||||||||||||||||||||
5.75% exchangeable senior notes | 162,092 | (2,410) | 159,682 | N/A | 5.75 | % | 10/2025 | |||||||||||||||||||||||||||||||
7.75% convertible senior notes | 215,000 | (6,142) | 208,858 | N/A | 7.75 | % | 6/2027 | |||||||||||||||||||||||||||||||
Trust preferred securities and subordinated notes | 139,500 | (733) | 138,767 | N/A | L + 2.25% | 7/2037 | ||||||||||||||||||||||||||||||||
Total Long-Term Debt | $ | 1,746,145 | $ | (12,720) | $ | 1,733,425 |
(In Thousands) | September 30, 2017 | |||
2024 | $ | 470,171 | ||
2025 | 887,639 | |||
2026 | 642,189 | |||
Total FHLBC Borrowings | $ | 1,999,999 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Collateral Type | ||||||||||||||
BPL bridge loans | $ | 1,497,589 | $ | 897,782 | ||||||||||
BPL term loans | 46,915 | 66,567 | ||||||||||||
Real estate securities | ||||||||||||||
Sequoia securitizations (1) | — | 178,439 | ||||||||||||
CAFL securitizations (1) | 231,473 | 237,068 | ||||||||||||
Total Collateral for Long-Term Debt | $ | 1,775,977 | $ | 1,379,856 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Long-term debt facilities | $ | 5,535 | $ | 3,364 | ||||||||||
Convertible notes | ||||||||||||||
5.625% exchangeable senior notes | — | 3,896 | ||||||||||||
5.75% exchangeable senior notes | 4,659 | 2,332 | ||||||||||||
7.75% convertible senior notes | 4,906 | 741 | ||||||||||||
Trust preferred securities and subordinated notes | 1,924 | 1,633 | ||||||||||||
Total Accrued Interest Payable on Long-Term Debt | $ | 17,024 | $ | 11,966 |
(In Thousands) | September 30, 2023 | |||||||
2023 (3 months) | $ | 1,253 | ||||||
2024 | 4,554 | |||||||
2025 | 3,629 | |||||||
2026 | 3,520 | |||||||
2027 | 2,588 | |||||||
2028 and thereafter | 1,991 | |||||||
Total Lease Commitments | 17,535 | |||||||
Less: Imputed interest | (1,905) | |||||||
Operating Lease Liabilities | $ | 15,630 |
(In Thousands) | September 30, 2017 | |||
2017 (3 months) | $ | 387 | ||
2018 | 1,948 | |||
2019 | 1,987 | |||
2020 | 1,965 | |||
2021 and thereafter | 11,691 | |||
Total Lease Commitments | $ | 17,978 |
Three Months Ended September 30, 2023 | Three Months Ended September 30, 2022 | |||||||||||||||||||||||||
(In Thousands) | Available-for-Sale Securities | Interest Rate Agreements Accounted for as Cash Flow Hedges | Available-for-Sale Securities | Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||||||||||||||||
Balance at beginning of period | $ | 8,165 | $ | (70,256) | $ | 16,595 | $ | (74,383) | ||||||||||||||||||
Other comprehensive loss before reclassifications | (3,921) | — | (8,731) | — | ||||||||||||||||||||||
Amounts reclassified from other accumulated comprehensive income (loss) | 234 | 1,040 | 544 | 1,040 | ||||||||||||||||||||||
Net current-period other comprehensive income (loss) | (3,687) | 1,040 | (8,187) | 1,040 | ||||||||||||||||||||||
Balance at End of Period | $ | 4,478 | $ | (69,216) | $ | 8,408 | $ | (73,343) |
Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Nine Months Ended September 30, 2023 | Nine Months Ended September 30, 2022 | |||||||||||||||||||||||||||||||||||||||
(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 | (In Thousands) | Available-for-Sale Securities | Interest Rate Agreements Accounted for as Cash Flow Hedges | Available-for-Sale Securities | Interest Rate Agreements Accounted for as Cash Flow Hedges | |||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | 114,364 | $ | (44,688 | ) | $ | 116,849 | $ | (70,518 | ) | Balance at beginning of period | $ | 3,435 | $ | (72,303) | $ | 67,503 | $ | (76,430) | |||||||||||||||||||||||
Other comprehensive income (loss) before reclassifications (1) | 13,158 | 321 | 9,038 | 647 | ||||||||||||||||||||||||||||||||||||||
Amounts reclassified from other accumulated comprehensive income | (853 | ) | 14 | (1,319 | ) | 18 | ||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) before reclassifications | Other comprehensive income (loss) before reclassifications | 398 | — | (60,013) | — | |||||||||||||||||||||||||||||||||||||
Amounts reclassified from other accumulated comprehensive income (loss) | Amounts reclassified from other accumulated comprehensive income (loss) | 645 | 3,087 | 918 | 3,087 | |||||||||||||||||||||||||||||||||||||
Net current-period other comprehensive income (loss) | 12,305 | 335 | 7,719 | 665 | Net current-period other comprehensive income (loss) | 1,043 | 3,087 | (59,095) | 3,087 | |||||||||||||||||||||||||||||||||
Balance at End of Period | $ | 126,669 | $ | (44,353 | ) | $ | 124,568 | $ | (69,853 | ) | Balance at End of Period | $ | 4,478 | $ | (69,216) | $ | 8,408 | $ | (73,343) |
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 | |||||||||||||||
(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 | $ | 115,873 | $ | (44,020 | ) | $ | 139,356 | $ | (47,363 | ) | ||||||
Other comprehensive income (loss) before reclassifications (1) | 17,899 | (375 | ) | 5,195 | (22,545 | ) | ||||||||||
Amounts reclassified from other accumulated comprehensive income | (7,103 | ) | 42 | (19,983 | ) | 55 | ||||||||||
Net current-period other comprehensive income (loss) | 10,796 | (333 | ) | (14,788 | ) | (22,490 | ) | |||||||||
Balance at End of Period | $ | 126,669 | $ | (44,353 | ) | $ | 124,568 | $ | (69,853 | ) |
Amount Reclassified From Accumulated Other Comprehensive Income | ||||||||||
Affected Line Item in the | Three Months Ended September 30, | |||||||||
(In Thousands) | Income Statement | 2017 | 2016 | |||||||
Net Realized (Gain) Loss on AFS Securities | ||||||||||
Other than temporary impairment (1) | Investment fair value changes, net | $ | 3 | $ | — | |||||
Gain on sale of AFS securities | Realized gains, net | (856 | ) | (1,319 | ) | |||||
$ | (853 | ) | $ | (1,319 | ) | |||||
Net Realized Loss on Interest Rate Agreements Designated as Cash Flow Hedges | ||||||||||
Amortization of deferred loss | Interest expense | $ | 14 | $ | 18 | |||||
$ | 14 | $ | 18 |
Amount Reclassified From Accumulated Other Comprehensive (Loss) | ||||||||||||||||||||
Affected Line Item in the | Three Months Ended September 30, | |||||||||||||||||||
(In Thousands) | Income Statement | 2023 | 2022 | |||||||||||||||||
Net Realized Loss on AFS Securities | ||||||||||||||||||||
(Decrease) increase in allowance for credit losses on AFS securities | Investment fair value changes, net | $ | (66) | $ | 544 | |||||||||||||||
Loss on sale of AFS securities | Realized gains, net | 300 | — | |||||||||||||||||
$ | 234 | $ | 544 | |||||||||||||||||
Net Realized Loss on Interest Rate Agreements Designated as Cash Flow Hedges | ||||||||||||||||||||
Amortization of deferred loss | Interest expense | $ | 1,040 | $ | 1,040 | |||||||||||||||
$ | 1,040 | $ | 1,040 |
Amount Reclassified From Accumulated Other Comprehensive (Loss) | ||||||||||||||||||||
Affected Line Item in the | Nine Months Ended September 30, | |||||||||||||||||||
(In Thousands) | Income Statement | 2023 | 2022 | |||||||||||||||||
Net Realized (Gain) Loss on AFS Securities | ||||||||||||||||||||
Increase in allowance for credit losses on AFS securities | Investment fair value changes, net | $ | 33 | $ | 2,315 | |||||||||||||||
Loss (gain) on sale of AFS securities | Realized gains, net | 612 | (1,397) | |||||||||||||||||
$ | 645 | $ | 918 | |||||||||||||||||
Net Realized Loss on Interest Rate Agreements Designated as Cash Flow Hedges | ||||||||||||||||||||
Amortization of deferred loss | Interest expense | $ | 3,087 | $ | 3,087 | |||||||||||||||
$ | 3,087 | $ | 3,087 |
Amount Reclassified From Accumulated Other Comprehensive Income | ||||||||||
Affected Line Item in the | Nine Months Ended September 30, | |||||||||
(In Thousands) | Income Statement | 2017 | 2016 | |||||||
Net Realized (Gain) Loss on AFS Securities | ||||||||||
Other than temporary impairment (1) | Investment fair value changes, net | $ | 248 | $ | 305 | |||||
Gain on sale of AFS securities | Realized gains, net | (7,351 | ) | (20,288 | ) | |||||
$ | (7,103 | ) | $ | (19,983 | ) | |||||
Net Realized Loss on Interest Rate Agreements Designated as Cash Flow Hedges | ||||||||||
Amortization of deferred loss | Interest expense | $ | 42 | $ | 55 | |||||
$ | 42 | $ | 55 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||||||||||
(In Thousands, except Share Data) | 2017 | 2016 | 2017 | 2016 | (In Thousands, except Share Data) | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||||||||||||||
Basic Earnings per Common Share: | ||||||||||||||||||||||||||||||||||||||||||
Net income attributable to Redwood | $ | 36,180 | $ | 52,553 | $ | 109,473 | $ | 105,897 | ||||||||||||||||||||||||||||||||||
Basic Loss per Common Share: | Basic Loss per Common Share: | |||||||||||||||||||||||||||||||||||||||||
Net loss related to common stockholders | Net loss related to common stockholders | $ | (32,560) | $ | (50,411) | $ | (28,244) | $ | (119,462) | |||||||||||||||||||||||||||||||||
Less: Dividends and undistributed earnings allocated to participating securities | (948 | ) | (1,485 | ) | (2,800 | ) | (3,040 | ) | Less: Dividends and undistributed earnings allocated to participating securities | (792) | (1,158) | (3,072) | (3,445) | |||||||||||||||||||||||||||||
Net income allocated to common shareholders | $ | 35,232 | $ | 51,068 | $ | 106,673 | $ | 102,857 | ||||||||||||||||||||||||||||||||||
Net loss related to to common stockholders | Net loss related to to common stockholders | $ | (33,352) | $ | (51,569) | $ | (31,316) | $ | (122,907) | |||||||||||||||||||||||||||||||||
Basic weighted average common shares outstanding | 76,850,830 | 76,680,183 | 76,803,324 | 76,827,026 | Basic weighted average common shares outstanding | 115,465,977 | 116,087,890 | 114,381,548 | 118,530,172 | |||||||||||||||||||||||||||||||||
Basic Earnings per Common Share | $ | 0.46 | $ | 0.67 | $ | 1.39 | $ | 1.34 | ||||||||||||||||||||||||||||||||||
Diluted Earnings per Common Share: | ||||||||||||||||||||||||||||||||||||||||||
Net income attributable to Redwood | $ | 36,180 | $ | 52,553 | $ | 109,473 | $ | 105,897 | ||||||||||||||||||||||||||||||||||
Basic Loss per Common Share | Basic Loss per Common Share | $ | (0.29) | $ | (0.44) | $ | (0.27) | $ | (1.04) | |||||||||||||||||||||||||||||||||
Diluted Loss per Common Share: | Diluted Loss per Common Share: | |||||||||||||||||||||||||||||||||||||||||
Net loss related to common stockholders | Net loss related to common stockholders | $ | (32,560) | $ | (50,411) | $ | (28,244) | $ | (119,462) | |||||||||||||||||||||||||||||||||
Less: Dividends and undistributed earnings allocated to participating securities | (986 | ) | (1,439 | ) | (2,926 | ) | (3,226 | ) | Less: Dividends and undistributed earnings allocated to participating securities | (792) | (1,158) | (3,072) | (3,445) | |||||||||||||||||||||||||||||
Add back: Interest expense on convertible notes for the period, net of tax | 6,564 | 6,115 | 18,639 | 18,263 | Add back: Interest expense on convertible notes for the period, net of tax | — | — | — | — | |||||||||||||||||||||||||||||||||
Net income allocated to common shareholders | $ | 41,758 | $ | 57,229 | $ | 125,186 | $ | 120,934 | ||||||||||||||||||||||||||||||||||
Net loss related to common stockholders | Net loss related to common stockholders | $ | (33,352) | $ | (51,569) | $ | (31,316) | $ | (122,907) | |||||||||||||||||||||||||||||||||
Weighted average common shares outstanding | 76,850,830 | 76,680,183 | 76,803,324 | 76,827,026 | Weighted average common shares outstanding | 115,465,977 | 116,087,890 | 114,381,548 | 118,530,172 | |||||||||||||||||||||||||||||||||
Net effect of dilutive equity awards | 298,955 | 54,696 | 215,141 | 18,665 | Net effect of dilutive equity awards | — | — | — | — | |||||||||||||||||||||||||||||||||
Net effect of assumed convertible notes conversion to common shares | 25,553,323 | 21,096,738 | 22,379,401 | 21,145,987 | Net effect of assumed convertible notes conversion to common shares | — | — | — | — | |||||||||||||||||||||||||||||||||
Diluted weighted average common shares outstanding | 102,703,108 | 97,831,617 | 99,397,866 | 97,991,678 | Diluted weighted average common shares outstanding | 115,465,977 | 116,087,890 | 114,381,548 | 118,530,172 | |||||||||||||||||||||||||||||||||
Diluted Earnings per Common Share | $ | 0.41 | $ | 0.58 | $ | 1.26 | $ | 1.23 | ||||||||||||||||||||||||||||||||||
Diluted Loss per Common Share | Diluted Loss per Common Share | $ | (0.29) | $ | (0.44) | $ | (0.27) | $ | (1.04) |
Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In Thousands) | Restricted Stock | Deferred Stock Units | Performance Stock Units | Employee Stock Purchase Plan | Total | (In Thousands) | Restricted Stock Units | Deferred Stock Units | Performance Stock Units | Employee Stock Purchase Plan | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Unrecognized compensation cost at beginning of period | $ | 2,091 | $ | 11,506 | $ | 4,549 | $ | — | $ | 18,146 | Unrecognized compensation cost at beginning of period | $ | 5,068 | $ | 19,849 | $ | 15,271 | $ | — | $ | 40,188 | |||||||||||||||||||||||||||||||||||||||||||
Equity grants | 2,237 | 5,747 | — | 129 | 8,113 | Equity grants | 2,092 | 6,865 | — | 422 | 9,379 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Performance-based valuation adjustment | Performance-based valuation adjustment | — | — | (3,205) | — | (3,205) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity grant forfeitures | (174 | ) | (472 | ) | — | — | (646 | ) | Equity grant forfeitures | (1,088) | (719) | — | — | (1,807) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Equity compensation expense | (934 | ) | (4,866 | ) | (1,738 | ) | (96 | ) | (7,634 | ) | Equity compensation expense | (2,411) | (8,911) | (2,895) | (318) | (14,535) | ||||||||||||||||||||||||||||||||||||||||||||||||
Unrecognized Compensation Cost at End of Period | $ | 3,220 | $ | 11,915 | $ | 2,811 | $ | 33 | $ | 17,979 | Unrecognized Compensation Cost at End of Period | $ | 3,661 | $ | 17,084 | $ | 9,171 | $ | 104 | $ | 30,020 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
Residential Mortgage Banking Activities, Net | ||||||||||||||||||||||||||
Changes in fair value of: | ||||||||||||||||||||||||||
Residential loans, at fair value (1) | $ | (2,819) | $ | (22,776) | $ | 5,272 | $ | (125,012) | ||||||||||||||||||
Trading securities (2) | (482) | 148 | 2,188 | 4,249 | ||||||||||||||||||||||
Risk management derivatives (3) | 12,158 | 24,319 | 10,508 | 107,573 | ||||||||||||||||||||||
Other income, net (4) | 107 | 467 | 1,422 | 5,496 | ||||||||||||||||||||||
Total residential mortgage banking activities, net | 8,964 | 2,158 | 19,390 | (7,694) | ||||||||||||||||||||||
Business Purpose Mortgage Banking Activities, Net: | ||||||||||||||||||||||||||
Changes in fair value of: | ||||||||||||||||||||||||||
BPL term loans, at fair value (1) | 1,600 | (19,306) | 13,214 | (84,493) | ||||||||||||||||||||||
BPL bridge loans, at fair value | 1,438 | (9) | 4,808 | 2,242 | ||||||||||||||||||||||
Risk management derivatives (3) | 3,434 | 24,044 | 1,295 | 56,564 | ||||||||||||||||||||||
Other income, net (5) | 4,004 | 9,648 | 13,956 | 36,214 | ||||||||||||||||||||||
Total business purpose mortgage banking activities, net | 10,476 | 14,377 | 33,273 | 10,527 | ||||||||||||||||||||||
Mortgage Banking Activities, Net | $ | 19,440 | $ | 16,535 | $ | 52,663 | $ | 2,833 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Residential Mortgage Banking Activities, Net | ||||||||||||||||
Changes in fair value of: | ||||||||||||||||
Residential loans, at fair value (1) | $ | 28,135 | $ | 12,671 | $ | 63,122 | $ | 47,456 | ||||||||
Sequoia securities | — | — | — | 1,455 | ||||||||||||
Risk management derivatives (2) | (7,077 | ) | (3,287 | ) | (13,787 | ) | (22,743 | ) | ||||||||
Other income, net (3) | 142 | 382 | 1,515 | 606 | ||||||||||||
Total residential mortgage banking activities, net | 21,200 | 9,766 | 50,850 | 26,774 | ||||||||||||
Commercial Mortgage Banking Activities, Net | — | — | — | (2,062 | ) | |||||||||||
Mortgage Banking Activities, Net | $ | 21,200 | $ | 9,766 | $ | 50,850 | $ | 24,712 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
MSR income, net (1) | $ | 1,747 | $ | 2,890 | $ | 6,173 | $ | 12,569 | ||||||||||||||||||
Bridge loan fees (2) | 1,895 | 1,489 | 6,757 | 3,952 | ||||||||||||||||||||||
Other (3) | (1,296) | (352) | (1,870) | 495 | ||||||||||||||||||||||
Other Income, Net | $ | 2,346 | $ | 4,027 | $ | 11,060 | $ | 17,016 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Investment Fair Value Changes, Net | ||||||||||||||||
Changes in fair value of: | ||||||||||||||||
Residential loans held-for-investment, at Redwood | $ | 2,881 | $ | (655 | ) | $ | 8,902 | $ | 22,161 | |||||||
Trading securities | 607 | 8,898 | 30,676 | 3,728 | ||||||||||||
Net investments in Legacy Sequoia entities (1) | (1,045 | ) | (255 | ) | (3,842 | ) | (2,086 | ) | ||||||||
Net investment in Sequoia Choice entity (1) | (256 | ) | — | (256 | ) | — | ||||||||||
Risk sharing investments | (267 | ) | 15 | (985 | ) | (689 | ) | |||||||||
Risk management derivatives, net | (1,592 | ) | 4,222 | (24,557 | ) | (41,188 | ) | |||||||||
Valuation adjustments on commercial loans held-for-sale | — | (307 | ) | 300 | (307 | ) | ||||||||||
Impairments on AFS securities | (4 | ) | — | (248 | ) | (305 | ) | |||||||||
Investment Fair Value Changes, Net | $ | 324 | $ | 11,918 | $ | 9,990 | $ | (18,686 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||
General and Administrative Expenses | ||||||||||||||||||||||||||
Fixed compensation expense (1) | $ | 12,579 | $ | 18,626 | $ | 40,724 | $ | 45,364 | ||||||||||||||||||
Annual variable compensation expense | 3,383 | 3,521 | 10,575 | 8,689 | ||||||||||||||||||||||
Long-term incentive award expense (1) (2) | 5,013 | 4,998 | 19,192 | 16,190 | ||||||||||||||||||||||
Systems and consulting | 3,108 | 3,909 | 9,074 | 10,796 | ||||||||||||||||||||||
Office costs | 2,131 | 2,381 | 6,460 | 6,489 | ||||||||||||||||||||||
Accounting and legal | 1,307 | 1,775 | 3,402 | 5,026 | ||||||||||||||||||||||
Corporate costs | 959 | 928 | 2,845 | 2,792 | ||||||||||||||||||||||
Other | 1,217 | 2,106 | 3,785 | 6,373 | ||||||||||||||||||||||
Total General and Administrative Expenses | 29,697 | 38,244 | 96,057 | 101,719 | ||||||||||||||||||||||
Portfolio Management Costs | 3,661 | 1,863 | 10,271 | 5,208 | ||||||||||||||||||||||
Loan Acquisition Costs | 1,880 | 2,426 | 4,613 | 10,371 | ||||||||||||||||||||||
Other Expenses | ||||||||||||||||||||||||||
Amortization of purchase-related intangible assets | 3,107 | 3,891 | 9,321 | 10,731 | ||||||||||||||||||||||
Other | 1,526 | 370 | 3,971 | 1,083 | ||||||||||||||||||||||
Total Other Expenses | 4,633 | 4,261 | 13,292 | 11,814 | ||||||||||||||||||||||
Total Operating Expenses | $ | 39,871 | $ | 46,794 | $ | 124,233 | $ | 129,112 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Fixed compensation expense | $ | 5,233 | $ | 5,253 | $ | 16,556 | $ | 19,022 | ||||||||
Variable compensation expense | 6,467 | 5,802 | 14,713 | 11,824 | ||||||||||||
Equity compensation expense | 2,337 | 2,031 | 7,634 | 7,117 | ||||||||||||
Total compensation expense | 14,037 | 13,086 | 38,903 | 37,963 | ||||||||||||
Systems and consulting | 1,856 | 2,692 | 5,183 | 7,274 | ||||||||||||
Loan acquisition costs (1) | 1,187 | 1,393 | 3,397 | 4,680 | ||||||||||||
Office costs | 988 | 1,056 | 3,231 | 3,501 | ||||||||||||
Accounting and legal | 519 | 721 | 2,322 | 3,043 | ||||||||||||
Corporate costs | 415 | 478 | 1,363 | 1,589 | ||||||||||||
Other operating expenses | 920 | 925 | 2,390 | 2,367 | ||||||||||||
Operating expenses before restructuring charges | 19,922 | 20,351 | 56,789 | 60,417 | ||||||||||||
Restructuring charges (2) | — | 4 | — | 10,545 | ||||||||||||
Total Operating Expenses | $ | 19,922 | $ | 20,355 | $ | 56,789 | $ | 70,962 |
September 30, 2017 | September 30, 2016 | September 30, 2023 | September 30, 2022 | |||||||||||||||||
Federal statutory rate | 34.0 | % | 34.0 | % | Federal statutory rate | 21.0 | % | 21.0 | % | |||||||||||
State statutory rate, net of Federal tax effect | 7.2 | % | 7.2 | % | ||||||||||||||||
State taxes, net of Federal tax effect, as applicable | State taxes, net of Federal tax effect, as applicable | (1.0) | % | 0.5 | % | |||||||||||||||
Differences in taxable (loss) income from GAAP income | (6.8 | )% | (21.7 | )% | Differences in taxable (loss) income from GAAP income | (0.6) | % | — | % | |||||||||||
Change in valuation allowance | (2.8 | )% | 6.6 | % | Change in valuation allowance | — | % | — | % | |||||||||||
Dividends paid deduction | (18.3 | )% | (24.9 | )% | ||||||||||||||||
REIT GAAP income or loss not subject to federal income tax | REIT GAAP income or loss not subject to federal income tax | (22.2) | % | (13.4) | % | |||||||||||||||
Effective Tax Rate | 13.3 | % | 1.2 | % | Effective Tax Rate | (2.8) | % | 8.1 | % |
Three Months Ended September 30, 2023 | ||||||||||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Business Purpose Mortgage Banking | Investment Portfolio | Corporate/ Other | Total | |||||||||||||||||||||||||||
Interest income | $ | 6,063 | $ | 4,618 | $ | 162,251 | $ | 4,142 | $ | 177,074 | ||||||||||||||||||||||
Interest expense | (4,826) | (3,888) | (131,303) | (16,706) | (156,723) | |||||||||||||||||||||||||||
Net interest income (expense) | 1,237 | 730 | 30,948 | (12,564) | 20,351 | |||||||||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||||||||
Mortgage banking activities, net | 8,964 | 10,476 | — | — | 19,440 | |||||||||||||||||||||||||||
Investment fair value changes, net | — | — | (31,315) | (115) | (31,430) | |||||||||||||||||||||||||||
Other income, net | — | 1,278 | 2,622 | (1,554) | 2,346 | |||||||||||||||||||||||||||
Realized gains, net | — | — | 26 | 24 | 50 | |||||||||||||||||||||||||||
Total non-interest income (loss), net | 8,964 | 11,754 | (28,667) | (1,645) | (9,594) | |||||||||||||||||||||||||||
General and administrative expenses | (4,521) | (9,402) | (1,340) | (14,434) | (29,697) | |||||||||||||||||||||||||||
Portfolio management costs | — | — | (3,636) | (25) | (3,661) | |||||||||||||||||||||||||||
Loan acquisition costs | (395) | (1,485) | — | — | (1,880) | |||||||||||||||||||||||||||
Other expenses | — | (3,108) | (1,525) | — | (4,633) | |||||||||||||||||||||||||||
(Provision for) Benefit from income taxes | (813) | 318 | (1,457) | 256 | (1,696) | |||||||||||||||||||||||||||
Segment Contribution | $ | 4,472 | $ | (1,193) | $ | (5,677) | $ | (28,412) | ||||||||||||||||||||||||
Net (Loss) | $ | (30,810) | ||||||||||||||||||||||||||||||
Non-cash amortization (expense), net | $ | (266) | $ | (3,294) | $ | (1,687) | $ | (2,099) | $ | (7,346) | ||||||||||||||||||||||
Three Months Ended September 30, 2017 | ||||||||||||||||
(In Thousands) | Investment Portfolio | Residential Mortgage Banking | Corporate/ Other | Total | ||||||||||||
Interest income | $ | 47,023 | $ | 10,626 | $ | 5,088 | $ | 62,737 | ||||||||
Interest expense | (9,445 | ) | (4,135 | ) | (13,863 | ) | (27,443 | ) | ||||||||
Net interest income (loss) | 37,578 | 6,491 | (8,775 | ) | 35,294 | |||||||||||
Non-interest income | ||||||||||||||||
Mortgage banking activities, net | — | 21,200 | — | 21,200 | ||||||||||||
MSR income, net | 1,615 | — | — | 1,615 | ||||||||||||
Investment fair value changes, net | 1,372 | — | (1,048 | ) | 324 | |||||||||||
Other income | 1,197 | — | — | 1,197 | ||||||||||||
Realized gains, net | 1,734 | — | — | 1,734 | ||||||||||||
Total non-interest income, net | 5,918 | 21,200 | (1,048 | ) | 26,070 | |||||||||||
Direct operating expenses | (1,324 | ) | (6,107 | ) | (12,491 | ) | (19,922 | ) | ||||||||
Provision for income taxes | (433 | ) | (4,829 | ) | — | (5,262 | ) | |||||||||
Segment Contribution | $ | 41,739 | $ | 16,755 | $ | (22,314 | ) | |||||||||
Net Income | $ | 36,180 | ||||||||||||||
Non-cash amortization income (expense) | $ | 5,222 | $ | (25 | ) | $ | (787 | ) | $ | 4,410 |
Nine Months Ended September 30, 2023 | ||||||||||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Business Purpose Mortgage Banking | Investment Portfolio | Corporate/ Other | Total | |||||||||||||||||||||||||||
Interest income | $ | 14,007 | $ | 13,509 | $ | 492,514 | $ | 14,541 | $ | 534,571 | ||||||||||||||||||||||
Interest expense | (13,392) | (11,599) | (384,610) | (52,086) | (461,687) | |||||||||||||||||||||||||||
Net interest income (expense) | 615 | 1,910 | 107,904 | (37,545) | 72,884 | |||||||||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||||||||
Mortgage banking activities, net | 19,390 | 33,273 | — | — | 52,663 | |||||||||||||||||||||||||||
Investment fair value changes, net | 1,076 | — | (34,166) | (3,063) | (36,153) | |||||||||||||||||||||||||||
Other income, net | — | 4,762 | 8,803 | (2,505) | 11,060 | |||||||||||||||||||||||||||
Realized gains, net | — | — | 858 | 246 | 1,104 | |||||||||||||||||||||||||||
Total non-interest income (loss), net | 20,466 | 38,035 | (24,505) | (5,322) | 28,674 | |||||||||||||||||||||||||||
General and administrative expenses | (13,065) | (34,718) | (3,990) | (44,284) | (96,057) | |||||||||||||||||||||||||||
Portfolio management costs | — | — | (10,233) | (38) | (10,271) | |||||||||||||||||||||||||||
Loan acquisition costs | (719) | (3,894) | — | — | (4,613) | |||||||||||||||||||||||||||
Other expenses | — | (9,323) | (3,969) | — | (13,292) | |||||||||||||||||||||||||||
(Provision for) Benefit from income taxes | (887) | 2,427 | (3,135) | 953 | (642) | |||||||||||||||||||||||||||
Segment Contribution | $ | 6,410 | $ | (5,563) | $ | 62,072 | $ | (86,236) | ||||||||||||||||||||||||
Net (Loss) | $ | (23,317) | ||||||||||||||||||||||||||||||
Non-cash amortization (expense), net | $ | (813) | $ | (10,291) | $ | (6,167) | $ | (6,292) | $ | (23,563) | ||||||||||||||||||||||
Three Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Business Purpose Mortgage Banking | Investment Portfolio | Corporate/ Other | Total | |||||||||||||||||||||||||||
Interest income | $ | 9,882 | $ | 9,082 | $ | 156,882 | $ | 1,816 | $ | 177,662 | ||||||||||||||||||||||
Interest expense | (8,083) | (5,971) | (111,876) | (16,797) | (142,727) | |||||||||||||||||||||||||||
Net interest income (expense) | 1,799 | 3,111 | 45,006 | (14,981) | 34,935 | |||||||||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||||||||
Mortgage banking activities, net | 2,158 | 14,377 | — | — | 16,535 | |||||||||||||||||||||||||||
Investment fair value changes, net | — | — | (61,780) | 4,083 | (57,697) | |||||||||||||||||||||||||||
Other income, net | — | 399 | 3,906 | (278) | 4,027 | |||||||||||||||||||||||||||
Realized gains, net | — | — | — | — | — | |||||||||||||||||||||||||||
Total non-interest income (loss), net | 2,158 | 14,776 | (57,874) | 3,805 | (37,135) | |||||||||||||||||||||||||||
General and administrative expenses | (5,735) | (18,535) | (1,639) | (12,335) | (38,244) | |||||||||||||||||||||||||||
Portfolio management costs | — | — | (1,863) | — | (1,863) | |||||||||||||||||||||||||||
Loan acquisition costs | (550) | (1,876) | — | — | (2,426) | |||||||||||||||||||||||||||
Other expenses | — | (3,891) | (370) | — | (4,261) | |||||||||||||||||||||||||||
Benefit from income taxes | 1,688 | 2,559 | (5,664) | — | (1,417) | |||||||||||||||||||||||||||
Segment Contribution | $ | (640) | $ | (3,856) | $ | (22,404) | $ | (23,511) | ||||||||||||||||||||||||
Net (Loss) | $ | (50,411) | ||||||||||||||||||||||||||||||
Non-cash amortization (expense), net | $ | (185) | $ | (3,609) | $ | (3,658) | $ | (2,843) | $ | (10,295) | ||||||||||||||||||||||
Three Months Ended September 30, 2016 | ||||||||||||||||
(In Thousands) | Investment Portfolio | Residential Mortgage Banking | Corporate/ Other | Total | ||||||||||||
Interest income | $ | 47,176 | $ | 8,831 | $ | 4,899 | $ | 60,906 | ||||||||
Interest expense | (5,013 | ) | (3,826 | ) | (12,758 | ) | (21,597 | ) | ||||||||
Net interest income (loss) | 42,163 | 5,005 | (7,859 | ) | 39,309 | |||||||||||
Reversal of provision for loan losses | 859 | — | — | 859 | ||||||||||||
Non-interest income | ||||||||||||||||
Mortgage banking activities, net | — | 9,766 | — | 9,766 | ||||||||||||
MSR income, net | 3,770 | — | — | 3,770 | ||||||||||||
Investment fair value changes, net | 12,176 | — | (258 | ) | 11,918 | |||||||||||
Other income | 1,643 | — | — | 1,643 | ||||||||||||
Realized gains, net | 6,615 | — | — | 6,615 | ||||||||||||
Total non-interest income, net | 24,204 | 9,766 | (258 | ) | 33,712 | |||||||||||
Direct operating expenses | (2,751 | ) | (5,807 | ) | (11,797 | ) | (20,355 | ) | ||||||||
Provision for income taxes | (732 | ) | (240 | ) | — | (972 | ) | |||||||||
Segment Contribution | $ | 63,743 | $ | 8,724 | $ | (19,914 | ) | |||||||||
Net Income | $ | 52,553 | ||||||||||||||
Non-cash amortization income (expense) | $ | 6,123 | $ | (28 | ) | $ | (983 | ) | $ | 5,112 |
Nine Months Ended September 30, 2017 | ||||||||||||||||
(In Thousands) | Investment Portfolio | Residential Mortgage Banking | Corporate/ Other | Total | ||||||||||||
Interest income | $ | 135,106 | $ | 26,515 | $ | 14,968 | $ | 176,589 | ||||||||
Interest expense | (21,940 | ) | (11,462 | ) | (39,306 | ) | (72,708 | ) | ||||||||
Net interest income (loss) | 113,166 | 15,053 | (24,338 | ) | 103,881 | |||||||||||
Non-interest income | ||||||||||||||||
Mortgage banking activities, net | — | 50,850 | — | 50,850 | ||||||||||||
MSR income, net | 6,106 | — | — | 6,106 | ||||||||||||
Investment fair value changes, net | 13,846 | — | (3,856 | ) | 9,990 | |||||||||||
Other income | 3,367 | — | — | 3,367 | ||||||||||||
Realized gains, net | 9,561 | — | (752 | ) | 8,809 | |||||||||||
Total non-interest income, net | 32,880 | 50,850 | (4,608 | ) | 79,122 | |||||||||||
Direct operating expenses | (4,371 | ) | (18,009 | ) | (34,409 | ) | (56,789 | ) | ||||||||
Provision for income taxes | (4,490 | ) | (12,251 | ) | — | (16,741 | ) | |||||||||
Segment Contribution | $ | 137,185 | $ | 35,643 | $ | (63,355 | ) | |||||||||
Net Income | $ | 109,473 | ||||||||||||||
Non-cash amortization income (expense) | $ | 16,263 | $ | (79 | ) | $ | (2,528 | ) | $ | 13,656 |
Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
(In Thousands) | Residential Mortgage Banking | Business Purpose Mortgage Banking | Investment Portfolio | Corporate/ Other | Total | |||||||||||||||||||||||||||
Interest income | $ | 36,048 | $ | 22,509 | $ | 471,932 | $ | 4,028 | $ | 534,517 | ||||||||||||||||||||||
Interest expense | (23,316) | (12,797) | (331,047) | (38,832) | (405,992) | |||||||||||||||||||||||||||
Net interest income (expense) | 12,732 | 9,712 | 140,885 | (34,804) | 128,525 | |||||||||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||||||||
Mortgage banking activities, net | (7,694) | 10,527 | — | — | 2,833 | |||||||||||||||||||||||||||
Investment fair value changes, net | — | — | (165,297) | 13,508 | (151,789) | |||||||||||||||||||||||||||
Other income, net | — | 2,028 | 15,423 | (435) | 17,016 | |||||||||||||||||||||||||||
Realized gains, net | — | — | 2,581 | — | 2,581 | |||||||||||||||||||||||||||
Total non-interest income (loss), net | (7,694) | 12,555 | (147,293) | 13,073 | (129,359) | |||||||||||||||||||||||||||
General and administrative expenses | (17,918) | (40,076) | (4,468) | (39,257) | (101,719) | |||||||||||||||||||||||||||
Portfolio management costs | — | — | (5,208) | — | (5,208) | |||||||||||||||||||||||||||
Loan acquisition costs | (2,848) | (7,523) | — | — | (10,371) | |||||||||||||||||||||||||||
Other expenses | 74 | (10,731) | (1,157) | — | (11,814) | |||||||||||||||||||||||||||
Benefit from (provision for) income taxes | 8,283 | 9,009 | (6,808) | — | 10,484 | |||||||||||||||||||||||||||
Segment Contribution | $ | (7,371) | $ | (27,054) | $ | (24,049) | $ | (60,988) | ||||||||||||||||||||||||
Net (Loss) | $ | (119,462) | ||||||||||||||||||||||||||||||
Non-cash amortization (expense), net | $ | (699) | $ | (11,563) | $ | 4,385 | $ | (6,428) | $ | (14,305) | ||||||||||||||||||||||
Nine Months Ended September 30, 2016 | ||||||||||||||||
(In Thousands) | Investment Portfolio | Residential Mortgage Banking | Corporate/ Other | Total | ||||||||||||
Interest income | $ | 149,985 | $ | 24,610 | $ | 15,426 | $ | 190,021 | ||||||||
Interest expense | (18,679 | ) | (10,719 | ) | (38,593 | ) | (67,991 | ) | ||||||||
Net interest income (loss) | 131,306 | 13,891 | (23,167 | ) | 122,030 | |||||||||||
Reversal of provision for loan losses | 7,102 | — | — | 7,102 | ||||||||||||
Non-interest income | ||||||||||||||||
Mortgage banking activities, net | — | 26,774 | (2,062 | ) | 24,712 | |||||||||||
MSR income, net | 12,834 | — | — | 12,834 | ||||||||||||
Investment fair value changes, net | (16,505 | ) | — | (2,181 | ) | (18,686 | ) | |||||||||
Other income | 4,157 | — | — | 4,157 | ||||||||||||
Realized gains, net | 25,745 | — | 292 | 26,037 | ||||||||||||
Total non-interest income, net | 26,231 | 26,774 | (3,951 | ) | 49,054 | |||||||||||
Direct operating expenses (1) | (7,689 | ) | (17,175 | ) | (46,098 | ) | (70,962 | ) | ||||||||
Provision for income taxes | (1,087 | ) | (240 | ) | — | (1,327 | ) | |||||||||
Segment Contribution | $ | 155,863 | $ | 23,250 | $ | (73,216 | ) | |||||||||
Net Income | $ | 105,897 | ||||||||||||||
Non-cash amortization income (expense) | $ | 20,507 | $ | (102 | ) | $ | (2,978 | ) | $ | 17,427 |
Three Months Ended September 30, | Three Months Ended September 30, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2023 | 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In Thousands) | Legacy Consolidated VIEs (1) | Other | Total | Legacy Consolidated VIEs (1) | Other | Total | (In Thousands) | Legacy Consolidated VIEs (1) | Other | Total | Legacy Consolidated VIEs (1) | Other | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | $ | 4,875 | $ | 213 | $ | 5,088 | $ | 4,837 | $ | 62 | $ | 4,899 | Interest income | $ | 2,596 | $ | 1,546 | $ | 4,142 | $ | 1,473 | $ | 343 | $ | 1,816 | |||||||||||||||||||||||||||||||||||||
Interest expense | (3,838 | ) | (10,025 | ) | (13,863 | ) | (3,274 | ) | (9,484 | ) | (12,758 | ) | Interest expense | (2,487) | (14,219) | (16,706) | (1,486) | (15,311) | (16,797) | |||||||||||||||||||||||||||||||||||||||||||
Net interest income (loss) | 1,037 | (9,812 | ) | (8,775 | ) | 1,563 | (9,422 | ) | (7,859 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-interest income | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income (expense) | Net interest income (expense) | 109 | (12,673) | (12,564) | (13) | (14,968) | (14,981) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-interest income (loss) | Non-interest income (loss) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment fair value changes, net | (1,045 | ) | (3 | ) | (1,048 | ) | (255 | ) | (3 | ) | (258 | ) | Investment fair value changes, net | (215) | 100 | (115) | (329) | 4,412 | 4,083 | |||||||||||||||||||||||||||||||||||||||||||
Total non-interest income, net | (1,045 | ) | (3 | ) | (1,048 | ) | (255 | ) | (3 | ) | (258 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Direct operating expenses | — | (12,491 | ) | (12,491 | ) | — | (11,797 | ) | (11,797 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income, net | Other income, net | — | (1,554) | (1,554) | — | (278) | (278) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gains, net | Realized gains, net | — | 24 | 24 | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total non-interest income (loss), net | Total non-interest income (loss), net | (215) | (1,430) | (1,645) | (329) | 4,134 | 3,805 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
General and administrative expenses | General and administrative expenses | — | (14,434) | (14,434) | — | (12,335) | (12,335) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Portfolio management costs | Portfolio management costs | — | (25) | (25) | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benefit from income taxes | Benefit from income taxes | — | 256 | 256 | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | (8 | ) | $ | (22,306 | ) | $ | (22,314 | ) | $ | 1,308 | $ | (21,222 | ) | $ | (19,914 | ) | Total | $ | (106) | $ | (28,306) | $ | (28,412) | $ | (342) | $ | (23,169) | $ | (23,511) |
Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||
2023 | 2022 | |||||||||||||||||||||||||||||||||||||
(In Thousands) | Legacy Consolidated VIEs(1) | Other | Total | Legacy Consolidated VIEs(1) | Other | Total | ||||||||||||||||||||||||||||||||
Interest income | $ | 7,879 | $ | 6,662 | $ | 14,541 | $ | 3,593 | $ | 435 | $ | 4,028 | ||||||||||||||||||||||||||
Interest expense | (7,650) | (44,436) | (52,086) | (3,154) | (35,678) | (38,832) | ||||||||||||||||||||||||||||||||
Net interest income (expense) | 229 | (37,774) | (37,545) | 439 | (35,243) | (34,804) | ||||||||||||||||||||||||||||||||
Non-interest income (loss) | ||||||||||||||||||||||||||||||||||||||
Investment fair value changes, net | (319) | (2,744) | (3,063) | (1,379) | 14,887 | 13,508 | ||||||||||||||||||||||||||||||||
Other income, net | — | (2,505) | (2,505) | — | (435) | (435) | ||||||||||||||||||||||||||||||||
Realized gains, net | — | 246 | 246 | — | — | — | ||||||||||||||||||||||||||||||||
Total non-interest income, net | (319) | (5,003) | (5,322) | (1,379) | 14,452 | 13,073 | ||||||||||||||||||||||||||||||||
General and administrative expenses | — | (44,284) | (44,284) | — | (39,257) | (39,257) | ||||||||||||||||||||||||||||||||
Portfolio management costs | — | (38) | (38) | — | — | — | ||||||||||||||||||||||||||||||||
Benefit from income taxes | — | 953 | 953 | — | — | — | ||||||||||||||||||||||||||||||||
Total | $ | (90) | $ | (86,146) | $ | (86,236) | $ | (940) | $ | (60,048) | $ | (60,988) |
Nine Months Ended September 30, | ||||||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||||
(In Thousands) | Legacy Consolidated VIEs (1) | Other | Total | Legacy Consolidated VIEs (1) | Other | Total | ||||||||||||||||||
Interest income | $ | 14,576 | $ | 392 | $ | 14,968 | $ | 14,525 | $ | 901 | $ | 15,426 | ||||||||||||
Interest expense | (11,046 | ) | (28,260 | ) | (39,306 | ) | (9,842 | ) | (28,751 | ) | (38,593 | ) | ||||||||||||
Net interest income (loss) | 3,530 | (27,868 | ) | (24,338 | ) | 4,683 | (27,850 | ) | (23,167 | ) | ||||||||||||||
Non-interest income | ||||||||||||||||||||||||
Investment fair value changes, net | (3,842 | ) | (14 | ) | (3,856 | ) | (2,086 | ) | (95 | ) | (2,181 | ) | ||||||||||||
Realized gains, net | — | (752 | ) | (752 | ) | — | 292 | 292 | ||||||||||||||||
Total non-interest income, net | (3,842 | ) | (766 | ) | (4,608 | ) | (2,086 | ) | (1,865 | ) | (3,951 | ) | ||||||||||||
Direct operating expenses | — | (34,409 | ) | (34,409 | ) | — | (46,098 | ) | (46,098 | ) | ||||||||||||||
Total | $ | (312 | ) | $ | (63,043 | ) | $ | (63,355 | ) | $ | 2,597 | $ | (75,813 | ) | $ | (73,216 | ) |
(In Thousands) | Residential Mortgage Banking | Business Purpose Mortgage Banking | Investment Portfolio | Corporate/ Other | Total | |||||||||||||||||||||||||||||||||
September 30, 2023 | ||||||||||||||||||||||||||||||||||||||
Residential loans | $ | 610,946 | $ | — | $ | 5,086,239 | $ | 150,152 | $ | 5,847,337 | ||||||||||||||||||||||||||||
Business purpose loans | — | 102,777 | 5,146,553 | — | 5,249,330 | |||||||||||||||||||||||||||||||||
Consolidated Agency multifamily loans | — | — | 420,554 | — | 420,554 | |||||||||||||||||||||||||||||||||
Real estate securities | 9,054 | — | 120,391 | — | 129,445 | |||||||||||||||||||||||||||||||||
Home equity investments | — | — | 431,159 | 113 | 431,272 | |||||||||||||||||||||||||||||||||
Other investments | — | — | 284,507 | 55,854 | 340,361 | |||||||||||||||||||||||||||||||||
Goodwill | — | 23,373 | — | — | 23,373 | |||||||||||||||||||||||||||||||||
Intangible assets | — | 31,570 | — | — | 31,570 | |||||||||||||||||||||||||||||||||
Total assets | 659,520 | 197,974 | 11,701,939 | 461,705 | 13,021,138 | |||||||||||||||||||||||||||||||||
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||
Residential loans | $ | 628,160 | $ | — | $ | 4,800,096 | $ | 184,932 | $ | 5,613,188 | ||||||||||||||||||||||||||||
Business purpose loans | — | 364,073 | 4,968,513 | — | 5,332,586 | |||||||||||||||||||||||||||||||||
Consolidated Agency multifamily loans | — | — | 424,551 | — | 424,551 | |||||||||||||||||||||||||||||||||
Real estate securities | — | — | 240,475 | — | 240,475 | |||||||||||||||||||||||||||||||||
Home equity investments | — | — | 403,462 | — | 403,462 | |||||||||||||||||||||||||||||||||
Other investments | — | — | 334,420 | 56,518 | 390,938 | |||||||||||||||||||||||||||||||||
Goodwill | — | 23,373 | — | — | 23,373 | |||||||||||||||||||||||||||||||||
Intangible assets | — | 40,892 | — | — | 40,892 | |||||||||||||||||||||||||||||||||
Total assets | 660,916 | 487,159 | 11,303,991 | 578,833 | 13,030,899 |
(In Thousands) | Investment Portfolio | Residential Mortgage Banking | Corporate/ Other | Total | ||||||||||||
September 30, 2017 | ||||||||||||||||
Residential loans | $ | 2,586,105 | $ | 925,681 | $ | 673,134 | $ | 4,184,920 | ||||||||
Real estate securities | 1,356,272 | — | — | 1,356,272 | ||||||||||||
Mortgage servicing rights | 62,928 | — | — | 62,928 | ||||||||||||
Total assets | 4,236,023 | 947,503 | 947,173 | 6,130,699 | ||||||||||||
December 31, 2016 | ||||||||||||||||
Residential loans | $ | 2,261,016 | $ | 835,399 | $ | 791,636 | $ | 3,888,051 | ||||||||
Real estate securities | 1,018,439 | — | — | 1,018,439 | ||||||||||||
Mortgage servicing rights | 118,526 | — | — | 118,526 | ||||||||||||
Total assets | 3,615,535 | 866,356 | 1,001,586 | 5,483,477 |
Three Months Ended | Nine Months Ended | |||||||||||||
(In Thousands, except per Share Data) | September 30, 2023 | September 30, 2023 | ||||||||||||
Net income (loss) per diluted common share | $ | (0.29) | $ | (0.27) | ||||||||||
Annualized GAAP return on common stockholders' equity | (12.3) | % | (3.5) | % | ||||||||||
Dividends per share | $ | 0.16 | $ | 0.55 | ||||||||||
Book value per share | $ | 8.77 | $ | 8.77 | ||||||||||
Economic return on book value (1) | (3.6)% | (2.4)% |
Three Months Ended | Nine Months Ended | |||||||
(In Thousands, except per Share Data) | September 30, 2017 | September 30, 2017 | ||||||
Net income | $ | 36,180 | $ | 109,473 | ||||
Net income per diluted common share | $ | 0.41 | $ | 1.26 | ||||
Annualized GAAP return on equity | 12 | % | 12 | % | ||||
REIT taxable income per share | $ | 0.26 | $ | 0.73 | ||||
Dividends per share | $ | 0.28 | $ | 0.84 |
Three Months Ended | Nine Months Ended | |||||||
(In Dollars, per share basis) | September 30, 2017 | September 30, 2017 | ||||||
Beginning book value per share | $ | 15.29 | $ | 14.96 | ||||
Net income | 0.41 | 1.26 | ||||||
Changes in unrealized gains on securities, net from: | ||||||||
Realized gains recognized in net income | (0.03 | ) | (0.09 | ) | ||||
Amortization income recognized in net income | (0.05 | ) | (0.15 | ) | ||||
Mark-to-market adjustments, net | 0.27 | 0.47 | ||||||
Total change in unrealized gains on securities, net | 0.19 | 0.23 | ||||||
Dividends | (0.28 | ) | (0.84 | ) | ||||
Equity compensation, net | 0.02 | 0.01 | ||||||
Changes in unrealized losses on derivatives hedging long-term debt | — | (0.01 | ) | |||||
Other, net | 0.04 | 0.06 | ||||||
Ending Book Value per Share | $ | 15.67 | $ | 15.67 |
At September 30, 2017 | |||||||||||||||
(Dollars in Thousands) | Fair Value | Collateralized Debt | Allocated Capital | % of Total Capital | |||||||||||
Investment portfolio | |||||||||||||||
Residential loans/FHLB stock | $ | 2,312,195 | $ | (1,999,999 | ) | $ | 312,196 | 17 | % | ||||||
Residential securities (1) | 1,144,397 | (370,838 | ) | 773,559 | 43 | % | |||||||||
Commercial/Multifamily securities (2) | 243,071 | (178,973 | ) | 64,098 | 4 | % | |||||||||
Mortgage servicing rights | 62,928 | — | 62,928 | 4 | % | ||||||||||
Other assets/(other liabilities) | 187,325 | (53,551 | ) | 133,774 | 7 | % | |||||||||
Cash and liquidity capital | 266,746 | 15 | % | ||||||||||||
Total investment portfolio | $ | 3,949,916 | $ | (2,603,361 | ) | 1,613,301 | 90 | % | |||||||
Residential mortgage banking | 170,000 | 10 | % | ||||||||||||
Total | $ | 1,783,301 | 100 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(In Thousands, except per Share Data) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Net Interest Income | $ | 35,294 | $ | 39,309 | $ | (4,015 | ) | $ | 103,881 | $ | 122,030 | $ | (18,149 | ) | |||||||||||
Reversal of provision for loan losses | — | 859 | (859 | ) | — | 7,102 | (7,102 | ) | |||||||||||||||||
Net Interest Income After Provision | 35,294 | 40,168 | (4,874 | ) | 103,881 | 129,132 | (25,251 | ) | |||||||||||||||||
Non-interest Income | |||||||||||||||||||||||||
Mortgage banking activities, net | 21,200 | 9,766 | 11,434 | 50,850 | 24,712 | 26,138 | |||||||||||||||||||
MSR income, net | 1,615 | 3,770 | (2,155 | ) | 6,106 | 12,834 | (6,728 | ) | |||||||||||||||||
Investment fair value changes, net | 324 | 11,918 | (11,594 | ) | 9,990 | (18,686 | ) | 28,676 | |||||||||||||||||
Other income | 1,197 | 1,643 | (446 | ) | 3,367 | 4,157 | (790 | ) | |||||||||||||||||
Realized gains, net | 1,734 | 6,615 | (4,881 | ) | 8,809 | 26,037 | (17,228 | ) | |||||||||||||||||
Total non-interest income, net | 26,070 | 33,712 | (7,642 | ) | 79,122 | 49,054 | 30,068 | ||||||||||||||||||
Operating expenses | (19,922 | ) | (20,355 | ) | 433 | (56,789 | ) | (70,962 | ) | 14,173 | |||||||||||||||
Net income before income taxes | 41,442 | 53,525 | (12,083 | ) | 126,214 | 107,224 | 18,990 | ||||||||||||||||||
Provision for income taxes | (5,262 | ) | (972 | ) | (4,290 | ) | (16,741 | ) | (1,327 | ) | (15,414 | ) | |||||||||||||
Net Income | $ | 36,180 | $ | 52,553 | $ | (16,373 | ) | $ | 109,473 | $ | 105,897 | $ | 3,576 | ||||||||||||
Diluted earnings per common share | $ | 0.41 | $ | 0.58 | $ | (0.17 | ) | $ | 1.26 | $ | 1.23 | $ | 0.03 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||
(In Thousands, except per Share Data) | 2023 | 2022 | Change | 2023 | 2022 | Change | |||||||||||||||||||||||||||||||||||
Net Interest Income | $ | 20,351 | $ | 34,935 | $ | (14,584) | $ | 72,884 | $ | 128,525 | $ | (55,641) | |||||||||||||||||||||||||||||
Non-interest Income (Loss) | |||||||||||||||||||||||||||||||||||||||||
Mortgage banking activities, net | 19,440 | 16,535 | 2,905 | 52,663 | 2,833 | 49,830 | |||||||||||||||||||||||||||||||||||
Investment fair value changes, net | (31,430) | (57,697) | 26,267 | (36,153) | (151,789) | 115,636 | |||||||||||||||||||||||||||||||||||
Other income, net | 2,346 | 4,027 | (1,681) | 11,060 | 17,016 | (5,956) | |||||||||||||||||||||||||||||||||||
Realized gains, net | 50 | — | 50 | 1,104 | 2,581 | (1,477) | |||||||||||||||||||||||||||||||||||
Total non-interest income (loss), net | (9,594) | (37,135) | 27,541 | 28,674 | (129,359) | 158,033 | |||||||||||||||||||||||||||||||||||
General and administrative expenses | (29,697) | (38,244) | 8,547 | (96,057) | (101,719) | 5,662 | |||||||||||||||||||||||||||||||||||
Portfolio management costs | (3,661) | (1,863) | (1,798) | (10,271) | (5,208) | (5,063) | |||||||||||||||||||||||||||||||||||
Loan acquisition costs | (1,880) | (2,426) | 546 | (4,613) | (10,371) | 5,758 | |||||||||||||||||||||||||||||||||||
Other expenses | (4,633) | (4,261) | (372) | (13,292) | (11,814) | (1,478) | |||||||||||||||||||||||||||||||||||
Net Income (Loss) Before Income Taxes | (29,114) | (48,994) | 19,880 | (22,675) | (129,946) | 107,271 | |||||||||||||||||||||||||||||||||||
(Provision for) benefit from income taxes | (1,696) | (1,417) | (279) | (642) | 10,484 | (11,126) | |||||||||||||||||||||||||||||||||||
Net Income (Loss) | (30,810) | (50,411) | 19,601 | (23,317) | (119,462) | 96,145 | |||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net | (2,647) | (7,147) | 4,500 | 4,130 | (56,008) | 60,138 | |||||||||||||||||||||||||||||||||||
Preferred dividends | (1,750) | — | (1,750) | (4,927) | — | (4,927) | |||||||||||||||||||||||||||||||||||
Total Comprehensive Loss Related to Common Stockholders | $ | (35,207) | $ | (57,558) | $ | 22,351 | $ | (24,114) | $ | (175,470) | $ | 151,356 |
Three Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||
2023 | 2022 | |||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Interest Income/ (Expense) | Average Balance (1) | Yield | Interest Income/ (Expense) | Average Balance (1) | Yield | ||||||||||||||||||||||||||||||||
Interest Income | ||||||||||||||||||||||||||||||||||||||
Residential loans, held-for-sale | $ | 4,673 | $ | 295,050 | 6.3 | % | $ | 11,844 | $ | 984,365 | 4.8 | % | ||||||||||||||||||||||||||
Residential loans - HFI at Legacy Sequoia (2) | 2,594 | 154,710 | 6.7 | % | 1,473 | 199,264 | 3.0 | % | ||||||||||||||||||||||||||||||
Residential loans - HFI at Sequoia (2) | 40,180 | 3,742,871 | 4.3 | % | 31,587 | 3,468,730 | 3.6 | % | ||||||||||||||||||||||||||||||
Residential loans - HFI at Freddie Mac SLST (2) | 15,065 | 1,370,770 | 4.4 | % | 16,098 | 1,600,215 | 4.0 | % | ||||||||||||||||||||||||||||||
BPL loans - HFS | 4,546 | 296,131 | 6.1 | % | 9,070 | 535,017 | 6.8 | % | ||||||||||||||||||||||||||||||
BPL loans - HFI | 35,534 | 1,673,626 | 8.5 | % | 24,688 | 1,257,222 | 7.9 | % | ||||||||||||||||||||||||||||||
BPL term loans - HFI at CAFL (2) | 40,564 | 2,780,552 | 5.8 | % | 50,959 | 2,960,614 | 6.9 | % | ||||||||||||||||||||||||||||||
BPL bridge loans - HFI at CAFL (2) | 12,376 | 499,674 | 9.9 | % | 10,480 | 529,993 | 7.9 | % | ||||||||||||||||||||||||||||||
Multifamily loans - HFI at Freddie Mac K-Series (2) | 4,677 | 419,867 | 4.5 | % | 4,762 | 439,966 | 4.3 | % | ||||||||||||||||||||||||||||||
Trading securities(3) | 3,276 | 50,826 | 25.8 | % | 3,924 | 131,626 | 11.9 | % | ||||||||||||||||||||||||||||||
Available-for-sale securities | 1,835 | 84,796 | 8.7 | % | 3,065 | 136,203 | 9.0 | % | ||||||||||||||||||||||||||||||
Other interest income | 11,754 | 962,736 | 4.9 | % | 9,712 | 898,111 | 4.3 | % | ||||||||||||||||||||||||||||||
Total interest income | 177,074 | 12,331,609 | 5.7 | % | 177,662 | 13,141,326 | 5.4 | % | ||||||||||||||||||||||||||||||
Interest Expense | ||||||||||||||||||||||||||||||||||||||
Short-term debt facilities | (20,915) | 1,021,941 | (8.2) | % | (19,436) | 1,561,146 | (5.0) | % | ||||||||||||||||||||||||||||||
Short-term debt - servicer advance financing | (3,410) | 159,993 | (8.5) | % | (2,606) | 225,002 | (4.6) | % | ||||||||||||||||||||||||||||||
Promissory notes | (308) | 17,865 | (6.9) | % | (572) | 33,302 | (6.9) | % | ||||||||||||||||||||||||||||||
Short-term debt - convertible notes, net | (2,690) | 181,663 | (5.9) | % | (1,330) | 100,895 | (5.3) | % | ||||||||||||||||||||||||||||||
ABS issued - Legacy Sequoia (2) | (2,487) | 153,588 | (6.5) | % | (1,486) | 198,166 | (3.0) | % | ||||||||||||||||||||||||||||||
ABS issued - Sequoia (2) | (35,810) | 3,613,898 | (4.0) | % | (27,541) | 3,233,716 | (3.4) | % | ||||||||||||||||||||||||||||||
ABS issued - Freddie Mac SLST (2) | (10,523) | 1,084,889 | (3.9) | % | (12,829) | 1,325,930 | (3.9) | % | ||||||||||||||||||||||||||||||
ABS issued - Freddie Mac K-Series (2) | (4,290) | 387,263 | (4.4) | % | (4,377) | 408,164 | (4.3) | % | ||||||||||||||||||||||||||||||
ABS issued - CAFL Term (2) | (32,964) | 2,500,163 | (5.3) | % | (39,401) | 2,599,746 | (6.1) | % | ||||||||||||||||||||||||||||||
ABS issued - CAFL Bridge (2) | (5,249) | 481,246 | (4.4) | % | (5,276) | 475,805 | (4.4) | % | ||||||||||||||||||||||||||||||
Long-term debt facilities | (26,855) | 1,342,870 | (8.0) | % | (14,464) | 1,148,700 | (5.0) | % | ||||||||||||||||||||||||||||||
Long-term debt - corporate | (11,222) | 531,376 | (8.4) | % | (13,409) | 761,712 | (7.0) | % | ||||||||||||||||||||||||||||||
Total interest expense | (156,723) | 11,476,755 | (5.5) | % | (142,727) | 12,072,284 | (4.7) | % | ||||||||||||||||||||||||||||||
Net Interest Income | $ | 20,351 | $ | 34,935 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2017 | 2016 | 2023 | 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Interest Income/ (Expense) | Average Balance (1) | Yield | Interest Income/ (Expense) | Average Balance (1) | Yield | (Dollars in Thousands) | Interest Income/ (Expense) | Average Balance (1) | Yield | Interest Income/ (Expense) | Average Balance (1) | Yield | |||||||||||||||||||||||||||||||||||||||||||||||
Interest Income | Interest Income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential loans, held-for-sale | $ | 10,396 | $ | 980,067 | 4.2 | % | $ | 8,835 | $ | 995,136 | 3.6 | % | Residential loans, held-for-sale | $ | 11,133 | $ | 246,699 | 6.0 | % | $ | 42,201 | $ | 1,406,219 | 4.0 | % | |||||||||||||||||||||||||||||||||||
Residential loans - HFI at Redwood (2) | 23,145 | 2,344,427 | 3.9 | % | 21,923 | 2,260,895 | 3.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential loans - HFI at Legacy Sequoia (2) | 4,873 | 682,772 | 2.9 | % | 4,837 | 849,234 | 2.3 | % | Residential loans - HFI at Legacy Sequoia (2) | 7,871 | 163,340 | 6.4 | % | 3,592 | 211,707 | 2.3 | % | |||||||||||||||||||||||||||||||||||||||||||
Residential loans - HFI at Sequoia Choice (2) | 127 | 10,365 | 4.9 | % | — | — | — | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial loans | — | — | — | % | 6,453 | 261,194 | 9.9 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading securities | 12,691 | 737,186 | 6.9 | % | 5,831 | 301,110 | 7.7 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential loans - HFI at Sequoia (2) | Residential loans - HFI at Sequoia (2) | 112,302 | 3,644,384 | 4.1 | % | 95,608 | 3,732,108 | 3.4 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Residential loans - HFI at Freddie Mac SLST (2) | Residential loans - HFI at Freddie Mac SLST (2) | 45,831 | 1,418,494 | 4.3 | % | 49,851 | 1,717,544 | 3.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
BPL loans - HFS | BPL loans - HFS | 12,392 | 273,526 | 6.0 | % | 22,823 | 536,366 | 5.7 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
BPL loans - HFI | BPL loans - HFI | 114,229 | 1,619,863 | 9.4 | % | 52,226 | 1,003,673 | 6.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
BPL term loans - HFI at CAFL (2) | BPL term loans - HFI at CAFL (2) | 124,453 | 2,846,211 | 5.8 | % | 173,630 | 3,070,972 | 7.5 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
BPL bridge loans - HFI at CAFL (2) | BPL bridge loans - HFI at CAFL (2) | 37,506 | 500,348 | 10.0 | % | 21,751 | 412,766 | 7.0 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Multifamily loans - HFI at Freddie Mac K-Series (2) | Multifamily loans - HFI at Freddie Mac K-Series (2) | 13,992 | 422,563 | 4.4 | % | 14,247 | 451,757 | 4.2 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Trading securities(3) | Trading securities(3) | 10,371 | 82,486 | 16.8 | % | 13,520 | 151,898 | 11.9 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | 10,734 | 420,896 | 10.2 | % | 12,769 | 488,842 | 10.4 | % | Available-for-sale securities | 7,391 | 110,729 | 8.9 | % | 17,252 | 137,134 | 16.8 | % | |||||||||||||||||||||||||||||||||||||||||||
Other interest income | 771 | 202,019 | 1.5 | % | 258 | 226,730 | 0.5 | % | Other interest income | 37,100 | 1,050,244 | 4.7 | % | 27,816 | 917,975 | 4.0 | % | |||||||||||||||||||||||||||||||||||||||||||
Total interest income | 62,737 | 5,377,732 | 4.7 | % | 60,906 | 5,383,141 | 4.5 | % | Total interest income | 534,571 | 12,378,887 | 5.8 | % | 534,517 | 13,750,119 | 5.2 | % | |||||||||||||||||||||||||||||||||||||||||||
Interest Expense | Interest Expense | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short-term debt facilities | (7,158 | ) | 1,066,695 | (2.7 | )% | (5,405 | ) | 1,071,757 | (2.0 | )% | Short-term debt facilities | (69,302) | 1,144,228 | (8.1) | % | (41,081) | 1,628,316 | (3.4) | % | |||||||||||||||||||||||||||||||||||||||||
Short-term debt - servicer advance financing | Short-term debt - servicer advance financing | (11,054) | 185,048 | (8.0) | % | (6,110) | 241,582 | (3.4) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Promissory notes | Promissory notes | (1,042) | 20,484 | (6.8) | % | (572) | 11,223 | (6.8) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Short-term debt - convertible notes, net | (3,024 | ) | 250,098 | (4.8 | )% | — | — | — | % | Short-term debt - convertible notes, net | (6,464) | 155,618 | (5.5) | % | (1,330) | 34,001 | (5.2) | % | ||||||||||||||||||||||||||||||||||||||||||
ABS issued - Legacy Sequoia (2) | (3,852 | ) | 667,070 | (2.3 | )% | (3,193 | ) | 828,411 | (1.5 | )% | ABS issued - Legacy Sequoia (2) | (7,650) | 162,348 | (6.3) | % | (3,154) | 209,931 | (2.0) | % | |||||||||||||||||||||||||||||||||||||||||
ABS issued - Sequoia Choice (2) | (104 | ) | 9,349 | (4.4 | )% | — | — | — | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Long-term debt - FHLBC | (6,319 | ) | 1,999,999 | (1.3 | )% | (2,892 | ) | 1,999,999 | (0.6 | )% | ||||||||||||||||||||||||||||||||||||||||||||||||||
Long-term debt - other | (6,986 | ) | 444,440 | (6.3 | )% | (10,107 | ) | 674,131 | (6.0 | )% | ||||||||||||||||||||||||||||||||||||||||||||||||||
ABS issued - Sequoia (2) | ABS issued - Sequoia (2) | (99,859) | 3,448,545 | (3.9) | % | (84,041) | 3,491,194 | (3.2) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
ABS issued - Freddie Mac SLST (2) | ABS issued - Freddie Mac SLST (2) | (32,392) | 1,122,024 | (3.8) | % | (40,287) | 1,424,032 | (3.8) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
ABS issued - Freddie Mac K-Series (2) | ABS issued - Freddie Mac K-Series (2) | (12,842) | 390,307 | (4.4) | % | (13,099) | 419,954 | (4.2) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
ABS issued - CAFL Term (2) | ABS issued - CAFL Term (2) | (100,324) | 2,540,276 | (5.3) | % | (134,244) | 2,734,937 | (6.5) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
ABS issued - CAFL Bridge (2) | ABS issued - CAFL Bridge (2) | (15,814) | 479,899 | (4.4) | % | (10,639) | 370,450 | (3.8) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Long-term debt facilities | Long-term debt facilities | (68,029) | 1,179,131 | (7.7) | % | (37,664) | 1,231,057 | (4.1) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Long-term debt - corporate | Long-term debt - corporate | (36,915) | 614,698 | (8.0) | % | (33,771) | 706,504 | (6.4) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total interest expense | (27,443 | ) | 4,437,651 | (2.5 | )% | (21,597 | ) | 4,574,298 | (1.9 | )% | Total interest expense | (461,687) | 11,442,606 | (5.4) | % | (405,992) | 12,503,181 | (4.3) | % | |||||||||||||||||||||||||||||||||||||||||
Net Interest Income | $ | 35,294 | $ | 39,309 | Net Interest Income | $ | 72,884 | $ | 128,525 |
Nine Months Ended September 30, | ||||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||
(Dollars in Thousands) | Interest Income/ (Expense) | Average Balance (1) | Yield | Interest Income/ (Expense) | Average Balance (1) | Yield | ||||||||||||||||
Interest Income | ||||||||||||||||||||||
Residential loans, held-for-sale | $ | 26,246 | $ | 846,335 | 4.1 | % | $ | 24,062 | $ | 886,777 | 3.6 | % | ||||||||||
Residential loans - HFI at Redwood (2) | 68,591 | 2,318,064 | 3.9 | % | 63,562 | 2,178,997 | 3.9 | % | ||||||||||||||
Residential loans - HFI at Legacy Sequoia (2) | 14,574 | 718,691 | 2.7 | % | 14,525 | 907,617 | 2.1 | % | ||||||||||||||
Residential loans - HFI at Sequoia Choice (2) | 127 | 3,493 | 4.8 | % | — | — | — | % | ||||||||||||||
Commercial loans | 345 | 1,424 | N/A | 28,834 | 338,390 | 11.4 | % | |||||||||||||||
Trading securities | 31,622 | 643,736 | 6.5 | % | 15,639 | 271,758 | 7.7 | % | ||||||||||||||
Available-for-sale securities | 33,446 | 441,038 | 10.1 | % | 42,473 | 553,278 | 10.2 | % | ||||||||||||||
Other interest income | 1,638 | 210,765 | 1.0 | % | 926 | 318,138 | 0.4 | % | ||||||||||||||
Total interest income | 176,589 | 5,183,546 | 4.5 | % | 190,021 | 5,454,955 | 4.6 | % | ||||||||||||||
Interest Expense | ||||||||||||||||||||||
Short-term debt facilities | (18,174 | ) | 967,834 | (2.5 | )% | (17,439 | ) | 1,150,206 | (2.0 | )% | ||||||||||||
Short-term debt - convertible notes, net | (5,811 | ) | 159,744 | (4.9 | )% | — | — | — | % | |||||||||||||
ABS issued - Redwood | — | — | — | % | (1,615 | ) | 28,264 | (7.6 | )% | |||||||||||||
ABS issued - Legacy Sequoia (2) | (11,087 | ) | 702,084 | (2.1 | )% | (9,842 | ) | 885,752 | (1.5 | )% | ||||||||||||
ABS issued - Sequoia Choice (2) | (104 | ) | 3,151 | (4.4 | )% | — | — | — | % | |||||||||||||
Long-term debt - FHLBC | (15,125 | ) | 1,999,999 | (1.0 | )% | (8,634 | ) | 1,974,582 | (0.6 | )% | ||||||||||||
Long-term debt - other | (22,407 | ) | 481,232 | (6.2 | )% | (30,461 | ) | 680,576 | (6.0 | )% | ||||||||||||
Total interest expense | (72,708 | ) | 4,314,044 | (2.2 | )% | (67,991 | ) | 4,719,380 | (1.9 | )% | ||||||||||||
Net Interest Income | $ | 103,881 | $ | 122,030 |
(2)Interest income |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(In Thousands) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Net Interest Income by Segment | |||||||||||||||||||||||||
Investment Portfolio | $ | 37,578 | $ | 42,163 | $ | (4,585 | ) | $ | 113,166 | $ | 131,306 | $ | (18,140 | ) | |||||||||||
Residential Mortgage Banking | 6,491 | 5,005 | 1,486 | 15,053 | 13,891 | 1,162 | |||||||||||||||||||
Corporate/Other | (8,775 | ) | (7,859 | ) | (916 | ) | (24,338 | ) | (23,167 | ) | (1,171 | ) | |||||||||||||
Net Interest Income | $ | 35,294 | $ | 39,309 | $ | (4,015 | ) | $ | 103,881 | $ | 122,030 | $ | (18,149 | ) |
September 30, 2017 | Residential Loans Held-for-Sale | Residential Securities | ||||
Asset yield | 4.09 | % | 5.10 | % | ||
Short-term debt yield | 2.80 | % | 2.46 | % | ||
Net Spread | 1.29 | % | 2.64 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In Thousands) | 2017 | 2016 | Change | 2017 | 2016 | Change | (In Thousands) | 2023 | 2022 | Change | 2023 | 2022 | Change | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Contribution from: | Segment Contribution from: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Banking | Residential Mortgage Banking | $ | 4,472 | $ | (640) | $ | 5,112 | $ | 6,410 | $ | (7,371) | $ | 13,781 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Business Purpose Mortgage Banking | Business Purpose Mortgage Banking | (1,193) | (3,856) | 2,663 | (5,563) | (27,054) | 21,491 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment Portfolio | $ | 41,739 | $ | 63,743 | $ | (22,004 | ) | $ | 137,185 | $ | 155,863 | $ | (18,678 | ) | Investment Portfolio | (5,677) | (22,404) | 16,727 | 62,072 | (24,049) | 86,121 | |||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Banking | 16,755 | 8,724 | 8,031 | 35,643 | 23,250 | 12,393 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate/Other | (22,314 | ) | (19,914 | ) | (2,400 | ) | (63,355 | ) | (73,216 | ) | 9,861 | Corporate/Other | (28,412) | (23,511) | (4,901) | (86,236) | (60,988) | (25,248) | ||||||||||||||||||||||||||||||||||||||||||||||||
Net Income | $ | 36,180 | $ | 52,553 | $ | (16,373 | ) | $ | 109,473 | $ | 105,897 | $ | 3,576 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Income (Loss) | Net Income (Loss) | $ | (30,810) | $ | (50,411) | $ | 19,601 | $ | (23,317) | $ | (119,462) | $ | 96,145 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(In Thousands) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Interest income | $ | 47,023 | $ | 47,176 | $ | (153 | ) | $ | 135,106 | $ | 149,985 | $ | (14,879 | ) | |||||||||||
Interest expense | (9,445 | ) | (5,013 | ) | (4,432 | ) | (21,940 | ) | (18,679 | ) | (3,261 | ) | |||||||||||||
Net interest income | 37,578 | 42,163 | (4,585 | ) | 113,166 | 131,306 | (18,140 | ) | |||||||||||||||||
Reversal of provision for loan losses | — | 859 | (859 | ) | — | 7,102 | (7,102 | ) | |||||||||||||||||
Net Interest Income after Provision | 37,578 | 43,022 | (5,444 | ) | 113,166 | 138,408 | (25,242 | ) | |||||||||||||||||
Non-interest income | |||||||||||||||||||||||||
MSR income, net | 1,615 | 3,770 | (2,155 | ) | 6,106 | 12,834 | (6,728 | ) | |||||||||||||||||
Investment fair value changes, net | 1,372 | 12,176 | (10,804 | ) | 13,846 | (16,505 | ) | 30,351 | |||||||||||||||||
Other income | 1,197 | 1,643 | (446 | ) | 3,367 | 4,157 | (790 | ) | |||||||||||||||||
Realized gains, net | 1,734 | 6,615 | (4,881 | ) | 9,561 | 25,745 | (16,184 | ) | |||||||||||||||||
Total non-interest income, net | 5,918 | 24,204 | (18,286 | ) | 32,880 | 26,231 | 6,649 | ||||||||||||||||||
Direct operating expenses | (1,324 | ) | (2,751 | ) | 1,427 | (4,371 | ) | (7,689 | ) | 3,318 | |||||||||||||||
Segment contribution before income taxes | 42,172 | 64,475 | (22,303 | ) | 141,675 | 156,950 | (15,275 | ) | |||||||||||||||||
Provision for income taxes | (433 | ) | (732 | ) | 299 | (4,490 | ) | (1,087 | ) | (3,403 | ) | ||||||||||||||
Total Segment Contribution | $ | 41,739 | $ | 63,743 | $ | (22,004 | ) | $ | 137,185 | $ | 155,863 | $ | (18,678 | ) |
(In Thousands) | September 30, 2017 | December 31, 2016 | Change | |||||||||
Residential loans held-for-investment at Redwood | $ | 2,268,802 | $ | 2,261,016 | $ | 7,786 | ||||||
Residential securities | 1,113,201 | 926,669 | 186,532 | |||||||||
Commercial/Multifamily securities | 243,071 | 91,770 | 151,301 | |||||||||
Residential loans held-for-investment at Sequoia Choice | 317,303 | — | 317,303 | |||||||||
Mortgage servicing rights | 62,928 | 118,526 | (55,598 | ) | ||||||||
Other assets | 230,718 | 217,554 | 13,164 | |||||||||
Total Assets at Investment Portfolio | $ | 4,236,023 | $ | 3,615,535 | $ | 620,488 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(In Thousands) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Net interest income from: | |||||||||||||||||||||||||
HFI residential loans at Redwood | $ | 16,826 | $ | 19,031 | $ | (2,205 | ) | $ | 53,466 | $ | 54,920 | $ | (1,454 | ) | |||||||||||
HFI residential loans at Sequoia Choice | 23 | — | 23 | 23 | — | 23 | |||||||||||||||||||
Residential securities | 19,105 | 16,279 | 2,826 | 53,969 | 51,013 | 2,956 | |||||||||||||||||||
Commercial/Multifamily securities | 1,298 | 742 | 556 | 4,388 | 1,093 | 3,295 | |||||||||||||||||||
Commercial mezzanine loans | — | 5,911 | (5,911 | ) | 345 | 23,477 | (23,132 | ) | |||||||||||||||||
Other interest income | 326 | 200 | 126 | 975 | 803 | 172 | |||||||||||||||||||
NII from Investment Portfolio | $ | 37,578 | $ | 42,163 | $ | (4,585 | ) | $ | 113,166 | $ | 131,306 | $ | (18,140 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(In Thousands) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Market valuation changes: | |||||||||||||||||||||||||
Residential loans held-for-investment at Redwood | $ | 1,412 | $ | 3,187 | $ | (1,775 | ) | $ | (11,065 | ) | $ | (19,218 | ) | $ | 8,153 | ||||||||||
Net investment in Sequoia Choice entity (1) | (256 | ) | — | (256 | ) | (256 | ) | — | (256 | ) | |||||||||||||||
Residential trading securities | (721 | ) | 8,770 | (9,491 | ) | 13,074 | 3,227 | 9,847 | |||||||||||||||||
Commercial/Multifamily trading securities | 1,210 | 203 | 1,007 | 13,327 | 408 | 12,919 | |||||||||||||||||||
Other valuation changes | (273 | ) | 16 | (289 | ) | (1,234 | ) | (922 | ) | (312 | ) | ||||||||||||||
Investment Portfolio Fair Value Changes, Net | $ | 1,372 | $ | 12,176 | $ | (10,804 | ) | $ | 13,846 | $ | (16,505 | ) | $ | 30,351 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Net servicing fee income | $ | 3,396 | $ | 8,726 | $ | 14,775 | $ | 27,241 | ||||||||
Changes in fair value of MSR from the receipt of expected cash flows | (1,914 | ) | (5,705 | ) | (7,392 | ) | (17,766 | ) | ||||||||
MSR reversal of provision for repurchases | (8 | ) | — | 304 | 208 | |||||||||||
MSR income before the effect of changes in interest rates and other assumptions | 1,474 | 3,021 | 7,687 | 9,683 | ||||||||||||
Changes in fair value of MSRs from interest rates and other assumptions (1) | 563 | 7,085 | (3,450 | ) | (52,723 | ) | ||||||||||
Changes in fair value of associated derivatives | (422 | ) | (6,336 | ) | 1,869 | 55,874 | ||||||||||
Total net effect of changes in assumptions and rates | 141 | 749 | (1,581 | ) | 3,151 | |||||||||||
MSR Income, Net | $ | 1,615 | $ | 3,770 | $ | 6,106 | $ | 12,834 |
Three Months Ended | Nine Months Ended | ||||||||||
(In Thousands) | September 30, 2023 | September 30, 2023 | |||||||||
Balance at beginning of period | $ | 196,737 | $ | 628,160 | |||||||
Acquisitions | 814,964 | 1,050,366 | |||||||||
Sales | (53,845) | (91,721) | |||||||||
Transfers between segments (1) | (334,417) | (952,106) | |||||||||
Principal repayments | (5,210) | (24,653) | |||||||||
Changes in fair value, net | (7,283) | 900 | |||||||||
Balance at End of Period | $ | 610,946 | $ | 610,946 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Fair value at beginning of period | $ | 2,360,234 | $ | 2,277,561 | $ | 2,261,016 | $ | 1,791,195 | ||||||||
Transfers between portfolios (1) | (20,025 | ) | 151,919 | 226,893 | 821,273 | |||||||||||
Principal repayments | (74,550 | ) | (146,151 | ) | (228,271 | ) | (351,955 | ) | ||||||||
Changes in fair value, net | 3,143 | (655 | ) | 9,164 | 22,161 | |||||||||||
Fair Value at End of Period | $ | 2,268,802 | $ | 2,282,674 | $ | 2,268,802 | $ | 2,282,674 |
September 30, 2017 | |||||||
(Dollars in Thousands) | Principal Balance | Weighted Average Coupon | |||||
Fixed - 30 year | $ | 2,031,944 | 4.10 | % | |||
Fixed - 15, 20, & 25 year | 71,138 | 3.64 | % | ||||
Hybrid | 128,343 | 4.00 | % | ||||
Total Outstanding Principal | $ | 2,231,425 |
Three Months Ended September 30, 2017 | Senior | Re-REMIC | Subordinate | Total | ||||||||||||||||
(In Thousands) | Residential | Residential (1) | Residential | Commercial (2) | ||||||||||||||||
Beginning fair value | $ | 176,962 | $ | 73,337 | $ | 797,895 | $ | 170,309 | $ | 1,218,503 | ||||||||||
Transfers | 34,375 | (34,375 | ) | — | — | — | ||||||||||||||
Acquisitions | ||||||||||||||||||||
Sequoia securities | 5,908 | — | 23,125 | — | 29,033 | |||||||||||||||
Third-party securities | 10,475 | — | 74,507 | 74,123 | 159,105 | |||||||||||||||
Sales | ||||||||||||||||||||
Sequoia securities | — | — | — | — | — | |||||||||||||||
Third-party securities | (3,324 | ) | — | (45,486 | ) | — | (48,810 | ) | ||||||||||||
Gains on sales and calls, net | 824 | — | 910 | — | 1,734 | |||||||||||||||
Effect of principal payments (3) | (7,324 | ) | (1,745 | ) | (7,944 | ) | (2,484 | ) | (19,497 | ) | ||||||||||
Change in fair value, net | (1,897 | ) | 1,816 | 15,162 | 1,123 | 16,204 | ||||||||||||||
Ending Fair Value | $ | 215,999 | $ | 39,033 | $ | 858,169 | $ | 243,071 | $ | 1,356,272 |
Nine Months Ended September 30, 2017 | Senior | Re-REMIC | Subordinate | Total | ||||||||||||||||
(In Thousands) | Residential | Residential (1) | Residential | Commercial (2) | ||||||||||||||||
Beginning fair value | $ | 173,613 | $ | 85,479 | $ | 667,577 | $ | 91,770 | $ | 1,018,439 | ||||||||||
Transfers | 46,604 | (46,604 | ) | — | — | — | ||||||||||||||
Acquisitions | ||||||||||||||||||||
Sequoia securities | 11,555 | — | 55,529 | — | 67,084 | |||||||||||||||
Third-party securities | 20,901 | — | 231,494 | 156,248 | 408,643 | |||||||||||||||
Sales | ||||||||||||||||||||
Sequoia securities | — | — | (26,601 | ) | — | (26,601 | ) | |||||||||||||
Third-party securities | (13,399 | ) | — | (92,035 | ) | (15,858 | ) | (121,292 | ) | |||||||||||
Gains on sales and calls, net | 5,327 | — | 4,234 | — | 9,561 | |||||||||||||||
Effect of principal payments (3) | (21,399 | ) | (3,099 | ) | (22,592 | ) | (3,172 | ) | (50,262 | ) | ||||||||||
Change in fair value, net | (7,203 | ) | 3,257 | 40,563 | 14,083 | 50,700 | ||||||||||||||
Ending Fair Value | $ | 215,999 | $ | 39,033 | $ | 858,169 | $ | 243,071 | $ | 1,356,272 |
September 30, 2017 | Real Estate Securities | Repurchase Debt | Allocated Capital | Weighted Average Price(1) | Financing Haircut(2) | ||||||||||||||
(Dollars in Thousands, except Weighted Average Price) | |||||||||||||||||||
Residential Securities | |||||||||||||||||||
Senior | $ | 102,697 | $ | (90,205 | ) | $ | 12,492 | $ | 98 | 13 | % | ||||||||
Subordinate - Mezzanine | 337,153 | (280,633 | ) | 56,520 | 99 | 17 | % | ||||||||||||
Total Residential Securities | 439,850 | (370,838 | ) | 69,012 | 99 | 16 | % | ||||||||||||
Commercial/Multifamily Securities | 223,269 | (178,973 | ) | 44,296 | 96 | 20 | % | ||||||||||||
Total | $ | 663,119 | $ | (549,811 | ) | $ | 113,308 |
September 30, 2017 | Sequoia 2012-2017 | Third Party 2013-2017 | Agency CRT 2013-2017 | Third Party <=2008 | Total Residential Securities | % of Total Residential Securities | |||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||
Senior | $ | 34,276 | $ | 24,574 | $ | — | $ | 157,149 | $ | 215,999 | 19 | % | |||||||||||
Re-REMIC | — | — | — | 39,033 | 39,033 | 4 | % | ||||||||||||||||
Subordinate | |||||||||||||||||||||||
Mezzanine (1) | 157,050 | 177,865 | — | — | 334,915 | 30 | % | ||||||||||||||||
Subordinate | 131,929 | 77,625 | 286,780 | 26,920 | 523,254 | 47 | % | ||||||||||||||||
Total Subordinate | 288,979 | 255,490 | 286,780 | 26,920 | 858,169 | 77 | % | ||||||||||||||||
Total Securities (2) | $ | 323,255 | $ | 280,064 | $ | 286,780 | $ | 223,102 | $ | 1,113,201 | 100 | % |
December 31, 2016 | Sequoia 2012-2016 | Third Party 2013-2016 | Agency CRT 2013-2016 | Third Party <=2008 | Total Residential Securities | % of Total Residential Securities | |||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||
Senior | $ | 26,618 | $ | 5,611 | $ | — | $ | 141,384 | $ | 173,613 | 19 | % | |||||||||||
Re-REMIC | — | — | — | 85,479 | 85,479 | 9 | % | ||||||||||||||||
Subordinate | |||||||||||||||||||||||
Mezzanine (1) | 136,007 | 179,390 | — | — | 315,397 | 34 | % | ||||||||||||||||
Subordinate | 113,310 | 64,450 | 152,126 | 22,294 | 352,180 | 38 | % | ||||||||||||||||
Total Subordinate | 249,317 | 243,840 | 152,126 | 22,294 | 667,577 | 72 | % | ||||||||||||||||
Total Securities | $ | 275,935 | $ | 249,451 | $ | 152,126 | $ | 249,157 | $ | 926,669 | 100 | % |
Three Months Ended September 30, 2017 | 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 | $ | 1,374 | $ | 1,928 | $ | 3,302 | $ | 103,781 | 5.30 | % | 7.43 | % | 12.73 | % | |||||||||||
Re-REMIC | 696 | 734 | 1,430 | 46,646 | 5.97 | % | 6.29 | % | 12.26 | % | |||||||||||||||
Subordinate | |||||||||||||||||||||||||
Mezzanine | 1,136 | 509 | 1,645 | 115,565 | 3.93 | % | 1.76 | % | 5.69 | % | |||||||||||||||
Subordinate | 2,897 | 1,460 | 4,357 | 154,904 | 7.48 | % | 3.77 | % | 11.25 | % | |||||||||||||||
Total AFS Securities | $ | 6,103 | $ | 4,631 | $ | 10,734 | $ | 420,896 | 5.80 | % | 4.40 | % | 10.20 | % |
Three Months Ended September 30, 2016 | 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 | $ | 609 | $ | 529 | $ | 1,138 | $ | 68,219 | 3.57 | % | 3.10 | % | 6.67 | % | |||||||||||
Re-REMIC | 1,799 | 3,596 | 5,395 | 113,638 | 6.33 | % | 12.66 | % | 18.99 | % | |||||||||||||||
Subordinate | |||||||||||||||||||||||||
Mezzanine | 1,764 | 665 | 2,429 | 180,108 | 3.92 | % | 1.48 | % | 5.40 | % | |||||||||||||||
Subordinate | 2,473 | 1,334 | 3,807 | 126,877 | 7.80 | % | 4.21 | % | 12.01 | % | |||||||||||||||
Total AFS Securities | $ | 6,645 | $ | 6,124 | $ | 12,769 | $ | 488,842 | 5.44 | % | 5.01 | % | 10.45 | % |
Nine Months Ended September 30, 2017 | 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 | $ | 3,976 | $ | 5,971 | $ | 9,947 | $ | 100,808 | 5.26 | % | 7.90 | % | 13.16 | % | |||||||||||
Re-REMIC | 2,476 | 2,619 | 5,095 | 57,283 | 5.76 | % | 6.10 | % | 11.86 | % | |||||||||||||||
Subordinate | |||||||||||||||||||||||||
Mezzanine | 3,818 | 1,777 | 5,595 | 131,460 | 3.87 | % | 1.80 | % | 5.67 | % | |||||||||||||||
Subordinate | 8,479 | 4,330 | 12,809 | 151,487 | 7.46 | % | 3.81 | % | 11.27 | % | |||||||||||||||
Total AFS Securities | $ | 18,749 | $ | 14,697 | $ | 33,446 | $ | 441,038 | 5.67 | % | 4.44 | % | 10.11 | % |
Nine Months Ended September 30, 2016 | 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 | $ | 3,594 | $ | 3,832 | $ | 7,426 | $ | 126,592 | 3.79 | % | 4.04 | % | 7.83 | % | |||||||||||
Re-REMIC | 5,484 | 10,400 | 15,884 | 112,029 | 6.53 | % | 12.38 | % | 18.91 | % | |||||||||||||||
Subordinate | |||||||||||||||||||||||||
Mezzanine | 5,745 | 2,038 | 7,783 | 193,643 | 3.96 | % | 1.40 | % | 5.36 | % | |||||||||||||||
Subordinate | 7,119 | 4,261 | 11,380 | 121,014 | 7.84 | % | 4.69 | % | 12.53 | % | |||||||||||||||
Total AFS Securities | $ | 21,942 | $ | 20,531 | $ | 42,473 | $ | 553,278 | 5.29 | % | 4.95 | % | 10.24 | % |
September 30, 2017 | Senior | Re-REMIC | Subordinate | Total | ||||||||||||
(In Thousands) | ||||||||||||||||
Principal balance | $ | 156,936 | $ | 44,896 | $ | 442,219 | $ | 644,051 | ||||||||
Credit reserve | (3,024 | ) | (5,810 | ) | (38,041 | ) | (46,875 | ) | ||||||||
Unamortized discount, net | (36,575 | ) | (10,412 | ) | (142,405 | ) | (189,392 | ) | ||||||||
Amortized cost | 117,337 | 28,674 | 261,773 | 407,784 | ||||||||||||
Gross unrealized gains | 37,155 | 10,359 | 83,185 | 130,699 | ||||||||||||
Gross unrealized losses | (1,260 | ) | — | (1,085 | ) | (2,345 | ) | |||||||||
Carrying Value | $ | 153,232 | $ | 39,033 | $ | 343,873 | $ | 536,138 |
December 31, 2016 | Senior | Re-REMIC | Subordinate | Total | ||||||||||||
(In Thousands) | ||||||||||||||||
Principal balance | $ | 148,862 | $ | 95,608 | $ | 456,359 | $ | 700,829 | ||||||||
Credit reserve | (4,814 | ) | (6,857 | ) | (35,802 | ) | (47,473 | ) | ||||||||
Unamortized discount, net | (41,877 | ) | (19,613 | ) | (136,622 | ) | (198,112 | ) | ||||||||
Amortized cost | 102,171 | 69,138 | 283,935 | 455,244 | ||||||||||||
Gross unrealized gains | 36,304 | 16,341 | 68,032 | 120,677 | ||||||||||||
Gross unrealized losses | (1,929 | ) | — | (1,240 | ) | (3,169 | ) | |||||||||
Carrying Value | $ | 136,546 | $ | 85,479 | $ | 350,727 | $ | 572,752 |
(In Thousands) | September 30, 2017 | December 31, 2016 | ||||||
Residential loans, held-for-investment, at fair value | $ | 317,303 | $ | — | ||||
Other assets | 1,266 | — | ||||||
Total Assets | $ | 318,569 | $ | — | ||||
Other liabilities | $ | 1,045 | $ | — | ||||
Asset-backed securities issued, at fair value | 286,328 | — | ||||||
Total liabilities | 287,373 | — | ||||||
Equity (fair value of Redwood's retained investments in entity) | 31,196 | — | ||||||
Total Liabilities and Equity | $ | 318,569 | $ | — |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Balance at beginning of period | $ | — | $ | — | $ | — | $ | — | ||||||||
New securitization issuance | 318,129 | 318,129 | ||||||||||||||
Changes in fair value, net | (826 | ) | — | (826 | ) | — | ||||||||||
Balance at End of Period | $ | 317,303 | $ | — | $ | 317,303 | $ | — |
Three Months Ended September 30, 2017 | Nine Months Ended September 30, 2017 | |||||||||||||||||||||||
(In Thousands) | Jumbo | Conforming | Total MSRs | Jumbo | Conforming | Total MSRs | ||||||||||||||||||
Balance at beginning of period | $ | 63,084 | $ | 686 | $ | 63,770 | $ | 60,003 | $ | 58,523 | $ | 118,526 | ||||||||||||
Additions | ||||||||||||||||||||||||
MSRs retained from Sequoia securitizations | — | — | — | 7,123 | — | 7,123 | ||||||||||||||||||
MSRs retained from third-party loan sales | — | — | — | 263 | — | 263 | ||||||||||||||||||
Purchased MSRs | — | 256 | 256 | — | 571 | 571 | ||||||||||||||||||
Sold MSRs | — | — | — | — | (52,966 | ) | (52,966 | ) | ||||||||||||||||
Market valuation adjustments | (1,281 | ) | 183 | (1,098 | ) | (5,586 | ) | (5,003 | ) | (10,589 | ) | |||||||||||||
Balance at End of Period | $ | 61,803 | $ | 1,125 | $ | 62,928 | $ | 61,803 | $ | 1,125 | $ | 62,928 |
(Dollars In Thousands) | September 30, 2017 | |||
Unpaid principal balance | $ | 5,747,006 | ||
Fair value of MSRs | $ | 62,928 | ||
MSR values as percent of unpaid principal balance | 1.09 | % | ||
Gross cash yield (1) | 0.26 | % | ||
Number of loans | 8,900 | |||
Average loan size | $ | 646 | ||
Average coupon | 3.96 | % | ||
Average loan age (months) | 38 | |||
Average original loan-to-value | 67 | % | ||
Average original FICO score | 770 | |||
60+ day delinquencies | 0.08 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(In Thousands) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Interest income | |||||||||||||||||||||||||
Loans | $ | 10,626 | $ | 8,831 | $ | 1,795 | $ | 26,515 | $ | 24,038 | $ | 2,477 | |||||||||||||
Sequoia securities | — | — | — | — | 572 | (572 | ) | ||||||||||||||||||
Total interest income | 10,626 | 8,831 | 1,795 | 26,515 | 24,610 | 1,905 | |||||||||||||||||||
Interest expense | (4,135 | ) | (3,826 | ) | (309 | ) | (11,462 | ) | (10,719 | ) | (743 | ) | |||||||||||||
Net interest income | 6,491 | 5,005 | 1,486 | 15,053 | 13,891 | 1,162 | |||||||||||||||||||
Mortgage banking activities, net | 21,200 | 9,766 | 11,434 | 50,850 | 26,774 | 24,076 | |||||||||||||||||||
Direct operating expenses | (6,107 | ) | (5,807 | ) | (300 | ) | (18,009 | ) | (17,175 | ) | (834 | ) | |||||||||||||
Segment contribution before income taxes | 21,584 | 8,964 | 12,620 | 47,894 | 23,490 | 24,404 | |||||||||||||||||||
Provision for income taxes | (4,829 | ) | (240 | ) | (4,589 | ) | (12,251 | ) | (240 | ) | (12,011 | ) | |||||||||||||
Segment Contribution | $ | 16,755 | $ | 8,724 | $ | 8,031 | $ | 35,643 | $ | 23,250 | $ | 12,393 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Balance at beginning of period | $ | 837,371 | $ | 882,380 | $ | 835,399 | $ | 1,115,738 | ||||||||
Acquisitions | 1,462,116 | 1,252,135 | 3,791,471 | 3,812,863 | ||||||||||||
Sales (1) | (1,393,323 | ) | (774,106 | ) | (3,465,835 | ) | (2,874,215 | ) | ||||||||
Transfers between portfolios (2) | 20,025 | (151,919 | ) | (226,893 | ) | (821,273 | ) | |||||||||
Principal repayments | (16,436 | ) | (20,574 | ) | (38,704 | ) | (56,495 | ) | ||||||||
Changes in fair value, net | 15,928 | 598 | 30,243 | 11,896 | ||||||||||||
Balance at End of Period | $ | 925,681 | $ | 1,188,514 | $ | 925,681 | $ | 1,188,514 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | Change | 2023 | 2022 | Change | |||||||||||||||||||||||||||||||||||
Mortgage banking income (loss) | $ | 10,201 | $ | 3,957 | $ | 6,244 | $ | 21,081 | $ | 5,038 | $ | 16,043 | |||||||||||||||||||||||||||||
Operating expenses | (4,916) | (6,285) | 1,369 | (13,784) | (20,692) | 6,908 | |||||||||||||||||||||||||||||||||||
(Provision for) benefit from income taxes | (813) | 1,688 | (2,501) | (887) | 8,283 | (9,170) | |||||||||||||||||||||||||||||||||||
Segment Contribution | $ | 4,472 | $ | (640) | $ | 5,112 | $ | 6,410 | $ | (7,371) | $ | 13,781 | |||||||||||||||||||||||||||||
Loan purchase commitments (loan locks, adjusted for expected fallout) | $ | 1,272,190 | $ | 256,044 | $ | 1,016,146 | $ | 1,777,919 | $ | 2,749,910 | $ | (971,991) |
Three Months Ended September 30, 2023 | Nine Months Ended September 30, 2023 | |||||||||||||||||||||||||||||||||||||
(In Thousands) | BPL Term | BPL Bridge (1) | Total | BPL Term | BPL Bridge (1) | Total | ||||||||||||||||||||||||||||||||
Fair value at beginning of period | $ | 269,886 | $ | 12,950 | $ | 282,836 | $ | 358,791 | $ | 5,282 | $ | 364,073 | ||||||||||||||||||||||||||
Fundings | 105,777 | 305,104 | 410,881 | 408,477 | 847,203 | 1,255,680 | ||||||||||||||||||||||||||||||||
Sales | (27,714) | (31,523) | (59,237) | (405,696) | (63,330) | (469,026) | ||||||||||||||||||||||||||||||||
Transfers between segments/other (2) | (278,523) | (256,653) | (535,176) | (273,952) | (759,744) | (1,033,696) | ||||||||||||||||||||||||||||||||
Principal repayments | (792) | (505) | (1,297) | (16,975) | (2,708) | (19,683) | ||||||||||||||||||||||||||||||||
Changes in fair value, net | 3,515 | 1,255 | 4,770 | 1,504 | 3,925 | 5,429 | ||||||||||||||||||||||||||||||||
Fair Value at End of Period | $ | 72,149 | $ | 30,628 | $ | 102,777 | $ | 72,149 | $ | 30,628 | $ | 102,777 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(In Thousands) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Changes in fair value of: | |||||||||||||||||||||||||
Residential loans, at fair value (1) | $ | 28,135 | $ | 12,671 | $ | 15,464 | $ | 63,122 | $ | 47,456 | $ | 15,666 | |||||||||||||
Sequoia securities | — | — | — | — | 1,455 | (1,455 | ) | ||||||||||||||||||
Risk management derivatives (2) | (7,077 | ) | (3,287 | ) | (3,790 | ) | (13,787 | ) | (22,743 | ) | 8,956 | ||||||||||||||
Other income, net (3) | 142 | 382 | (240 | ) | 1,515 | 606 | 909 | ||||||||||||||||||
Total Residential Mortgage Banking Activities, Net | $ | 21,200 | $ | 9,766 | $ | 11,434 | $ | 50,850 | $ | 26,774 | $ | 24,076 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | Change | 2023 | 2022 | Change | |||||||||||||||||||||||||||||||||||
Mortgage banking income (loss) | $ | 12,484 | $ | 17,887 | $ | (5,403) | $ | 39,945 | $ | 22,267 | $ | 17,678 | |||||||||||||||||||||||||||||
Operating expenses | (13,995) | (24,302) | 10,307 | (47,935) | (58,330) | 10,395 | |||||||||||||||||||||||||||||||||||
Benefit from income taxes | 318 | 2,559 | (2,241) | 2,427 | 9,009 | (6,582) | |||||||||||||||||||||||||||||||||||
Segment Contribution | $ | (1,193) | $ | (3,856) | $ | 2,663 | $ | (5,563) | $ | (27,054) | $ | 21,491 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Organic Residential Investments | ||||||||||||||
Residential loans at Redwood (1) | $ | — | $ | 152,621 | ||||||||||
Residential securities at Redwood | 105,275 | 103,089 | ||||||||||||
Residential securities at consolidated Sequoia entities (2) | 201,004 | 219,299 | ||||||||||||
Other investments (3) | 48,285 | 48,972 | ||||||||||||
Organic Business Purpose Investments | ||||||||||||||
BPL bridge loans | 2,177,336 | 2,023,529 | ||||||||||||
BPL term loan securities at consolidated CAFL Term entities (4) | 315,932 | 303,897 | ||||||||||||
Other investments | — | 705 | ||||||||||||
Third-Party Investments | ||||||||||||||
Residential securities at Redwood | 5,429 | 124,567 | ||||||||||||
Residential securities at consolidated Freddie Mac SLST entities (5) | 256,023 | 322,803 | ||||||||||||
Multifamily securities at Redwood | 9,687 | 12,674 | ||||||||||||
Multifamily securities at consolidated Freddie Mac K-Series entities (6) | 32,904 | 31,767 | ||||||||||||
Servicing investments (7) | 91,478 | 90,120 | ||||||||||||
HEI (8) | 316,824 | 283,897 | ||||||||||||
Other investments | 5,824 | 7,081 | ||||||||||||
Total Segment Investments | $ | 3,566,001 | $ | 3,725,021 |
September 30, 2017 | Principal Value | Weighted Average Coupon | |||||
(Dollars in Thousands) | |||||||
First Lien Prime | |||||||
Fixed - 30 year | $ | 771,172 | 4.34 | % | |||
Fixed - 10, 15, 20, & 25 year | 28,869 | 3.75 | % | ||||
Hybrid | 102,843 | 3.50 | % | ||||
ARM | 703 | 2.53 | % | ||||
Total Outstanding Principal | $ | 903,587 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||
(In Thousands) | 2023 | 2022 | Change | 2023 | 2022 | Change | |||||||||||||||||||||||||||||||||||
Net interest income | $30,948 | $45,006 | $ | (14,058) | $ | 107,904 | $ | 140,885 | $ | (32,981) | |||||||||||||||||||||||||||||||
Investment fair value changes, net | (31,315) | (61,780) | 30,465 | (34,166) | (165,297) | 131,131 | |||||||||||||||||||||||||||||||||||
Other income, net | 2,622 | 3,906 | (1,284) | 8,803 | 15,423 | (6,620) | |||||||||||||||||||||||||||||||||||
Realized gains, net | 26 | — | 26 | 858 | 2,581 | (1,723) | |||||||||||||||||||||||||||||||||||
Operating expenses | (6,501) | (3,872) | (2,629) | (18,192) | (10,833) | (7,359) | |||||||||||||||||||||||||||||||||||
(Provision for) Benefit from income taxes | (1,457) | (5,664) | 4,207 | (3,135) | (6,808) | 3,673 | |||||||||||||||||||||||||||||||||||
Segment Contribution | $ | (5,677) | $ | (22,404) | $ | 16,727 | $ | 62,072 | $ | (24,049) | $ | 86,121 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||
(In Thousands) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||||
Interest income | $ | 4,875 | $ | 4,837 | $ | 38 | $ | 14,576 | $ | 14,525 | $ | 51 | |||||||||||||
Interest expense | (3,838 | ) | (3,274 | ) | (564 | ) | (11,046 | ) | (9,842 | ) | (1,204 | ) | |||||||||||||
Net interest income | 1,037 | 1,563 | (526 | ) | 3,530 | 4,683 | (1,153 | ) | |||||||||||||||||
Investment fair value changes, net | (1,045 | ) | (255 | ) | (790 | ) | (3,842 | ) | (2,086 | ) | (1,756 | ) | |||||||||||||
Net Income from Consolidated Legacy Sequoia Entities | $ | (8 | ) | $ | 1,308 | $ | (1,316 | ) | $ | (312 | ) | $ | 2,597 | $ | (2,909 | ) |
(In Thousands) | September 30, 2017 | December 31, 2016 | ||||||
Residential loans, held-for-investment, at fair value | $ | 673,134 | $ | 791,636 | ||||
Other assets | 4,065 | 6,681 | ||||||
Total Assets | $ | 677,199 | $ | 798,317 | ||||
Other liabilities | $ | 540 | $ | 518 | ||||
Asset-backed securities issued, at fair value | 657,960 | 773,462 | ||||||
Total liabilities | 658,500 | 773,980 | ||||||
Equity (fair value of Redwood's retained investments in entities) | 18,699 | 24,337 | ||||||
Total Liabilities and Equity | $ | 677,199 | $ | 798,317 |
Three Months Ended September 30, 2023 | Residential | Multifamily | Total | |||||||||||||||||||||||||||||
(In Thousands) | Senior | Subordinate | Subordinate | |||||||||||||||||||||||||||||
Beginning fair value | $ | 38,064 | $ | 116,013 | $ | 12,742 | $ | 166,819 | ||||||||||||||||||||||||
Acquisitions | — | — | — | — | ||||||||||||||||||||||||||||
Sales | (1,026) | (35,223) | (3,524) | (39,773) | ||||||||||||||||||||||||||||
Gains on sales and calls, net | — | 103 | (77) | 26 | ||||||||||||||||||||||||||||
Effect of principal payments (2) | — | (163) | — | (163) | ||||||||||||||||||||||||||||
Change in fair value, net | 4,131 | (2,141) | 546 | 2,536 | ||||||||||||||||||||||||||||
Ending Fair Value (3) | $ | 41,169 | $ | 78,589 | $ | 9,687 | $ | 129,445 |
Nine Months Ended September 30, 2023 | Residential | Multifamily | Total | |||||||||||||||||||||||||||||
(In Thousands) | Senior | Subordinate | Subordinate | |||||||||||||||||||||||||||||
Beginning fair value | $ | 28,867 | $ | 198,934 | $ | 12,674 | $ | 240,475 | ||||||||||||||||||||||||
Acquisitions | 7,883 | 1,979 | — | 9,862 | ||||||||||||||||||||||||||||
Sales | (1,026) | (133,561) | (3,524) | (138,111) | ||||||||||||||||||||||||||||
Gains on sales and calls, net | — | 1,579 | (77) | 1,502 | ||||||||||||||||||||||||||||
Effect of principal payments (2) | (6) | (603) | — | (609) | ||||||||||||||||||||||||||||
Change in fair value, net | 5,451 | 10,261 | 614 | 16,326 | ||||||||||||||||||||||||||||
Ending Fair Value (3) | $ | 41,169 | $ | 78,589 | $ | 9,687 | $ | 129,445 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Balance at beginning of period | $ | 707,686 | $ | 880,197 | $ | 791,636 | $ | 1,021,870 | ||||||||
Principal repayments | (37,742 | ) | (46,810 | ) | (139,099 | ) | (147,748 | ) | ||||||||
Transfers to REO | (1,133 | ) | (2,612 | ) | (3,177 | ) | (8,412 | ) | ||||||||
Deconsolidation adjustments | — | — | — | (6,871 | ) | |||||||||||
Changes in fair value, net | 4,323 | 9,201 | 23,774 | (18,863 | ) | |||||||||||
Balance at End of Period | $ | 673,134 | $ | 839,976 | $ | 673,134 | $ | 839,976 |
Three Months Ended September 30, 2023 | Residential Organic | Business Purpose Organic | Third-Party Investments | Total | ||||||||||||||||||||||||||||||||||||||||
Sequoia Securities on Balance Sheet | Consolidated Sequoia Securities | Consolidated CAFL Securities | Consolidated SLST Securities | Consolidated Multifamily Securities | Other Third-Party Securities | |||||||||||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Beginning fair value | $ | 106,915 | $ | 218,357 | $ | 305,794 | $ | 297,587 | $ | 32,515 | $ | 59,904 | $ | 1,021,072 | ||||||||||||||||||||||||||||||
Acquisitions | — | 3,911 | 13,938 | — | — | — | 17,849 | |||||||||||||||||||||||||||||||||||||
Sales | (926) | (8,962) | — | — | — | (38,847) | (48,735) | |||||||||||||||||||||||||||||||||||||
Gains on sales and calls, net | — | — | — | — | — | 26 | 26 | |||||||||||||||||||||||||||||||||||||
Effect of principal payments (1) | (116) | (2,460) | — | (8,738) | — | (47) | (11,361) | |||||||||||||||||||||||||||||||||||||
Change in fair value, net | 58 | (5,265) | (3,800) | (32,826) | 389 | 2,478 | (38,966) | |||||||||||||||||||||||||||||||||||||
Ending Fair Value (2) | $ | 105,931 | $ | 205,581 | $ | 315,932 | $ | 256,023 | $ | 32,904 | $ | 23,514 | $ | 939,885 |
Nine Months Ended September 30, 2023 | Residential Organic | Business Purpose Organic | Third-Party Investments | Total | ||||||||||||||||||||||||||||||||||||||||
Sequoia Securities on Balance Sheet | Consolidated Sequoia Securities | Consolidated CAFL Securities | Consolidated SLST Securities | Consolidated Multifamily Securities | Other Third-Party Securities | |||||||||||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Beginning fair value | $ | 103,089 | $ | 219,299 | $ | 303,897 | $ | 322,803 | $ | 31,767 | $ | 137,386 | $ | 1,118,241 | ||||||||||||||||||||||||||||||
Acquisitions | 1,700 | 44,605 | 13,938 | — | — | 8,162 | 68,405 | |||||||||||||||||||||||||||||||||||||
Sales | (926) | (49,715) | — | — | — | (137,185) | (187,826) | |||||||||||||||||||||||||||||||||||||
Gains on sales and calls, net | — | — | — | — | — | 1,502 | 1,502 | |||||||||||||||||||||||||||||||||||||
Effect of principal payments (1) | (313) | (6,357) | — | (25,692) | — | (296) | (32,658) | |||||||||||||||||||||||||||||||||||||
Change in fair value, net | 2,381 | (2,251) | (1,903) | (41,088) | 1,137 | 13,945 | (27,779) | |||||||||||||||||||||||||||||||||||||
Ending Fair Value (2) | $ | 105,931 | $ | 205,581 | $ | 315,932 | $ | 256,023 | $ | 32,904 | $ | 23,514 | $ | 939,885 |
September 30, 2023 | Weighted Average Values | |||||||||||||||||||||||||||||||||||||||||||
Market Value - IO Securities | Market Value - Non-IO Securities | Principal Balance - Non-IO Securities | Gross Weighted Average Coupon | 90 Day+ Delinquency | 3-Month Prepayment Rate | Investment Thickness(1) | ||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Sequoia securities on balance sheet | $ | 32,771 | $ | 73,160 | $ | 139,694 | 3.8 | % | 0.2 | % | 6 | % | 7 | % | ||||||||||||||||||||||||||||||
Consolidated Sequoia securities | 33,462 | 172,119 | 232,896 | 4.7 | % | 1.2 | % | 8 | % | 39 | % | |||||||||||||||||||||||||||||||||
Total Sequoia Securities | 66,233 | 245,279 | 372,590 | 4.4 | % | 0.9 | % | 7 | % | 28 | % | |||||||||||||||||||||||||||||||||
Consolidated Freddie Mac SLST securities | 16,849 | 239,174 | 461,596 | 4.5 | % | 8.6 | % | 5 | % | 28 | % | |||||||||||||||||||||||||||||||||
RPL securities on balance sheet | — | — | — | — | % | — | % | — | % | — | % | |||||||||||||||||||||||||||||||||
Total RPL Securities | 16,849 | 239,174 | 461,596 | 4.5 | % | 8.6 | % | 5 | % | 28 | % | |||||||||||||||||||||||||||||||||
Consolidated Freddie Mac K-Series securities | — | 32,904 | 36,468 | 4.3 | % | — | % | — | % | 8 | % | |||||||||||||||||||||||||||||||||
Multifamily securities on balance sheet | 12 | 9,675 | 10,178 | 5.2 | % | — | % | 46 | % | 14 | % | |||||||||||||||||||||||||||||||||
Total Multifamily Securities | 12 | 42,579 | 46,646 | 4.5 | % | — | % | 10 | % | 9 | % | |||||||||||||||||||||||||||||||||
Consolidated CAFL securities | 24,244 | 291,688 | 437,838 | 5.4 | % | 3.7 | % | 7 | % | 19 | % | |||||||||||||||||||||||||||||||||
Other third-party securities | 8,409 | 5,418 | 19,473 | 5.9 | % | 0.3 | % | 13 | % | 5 | % | |||||||||||||||||||||||||||||||||
Total Securities (2) | $ | 115,747 | $ | 824,138 | $ | 1,338,143 |
September 30, 2017 | |||||||
(Dollars in Thousands) | Principal Balance | Weighted Average Coupon | |||||
First Lien | |||||||
Hybrid (1) | $ | 15,709 | 3.29 | % | |||
ARM | 722,133 | 2.62 | % | ||||
Total Outstanding Principal | $ | 737,842 |
Three Months Ended | Nine Months Ended | |||||||||||||
(In Thousands) | September 30, 2023 | September 30, 2023 | ||||||||||||
Fair value at beginning of period | $ | 2,160,156 | $ | 2,023,529 | ||||||||||
Sales | (2,310) | (2,310) | ||||||||||||
Transfers between portfolios (1) | 256,654 | 760,235 | ||||||||||||
Transfers to REO | (38,128) | (48,639) | ||||||||||||
Principal repayments | (182,687) | (533,052) | ||||||||||||
Changes in fair value, net | (16,349) | (22,427) | ||||||||||||
Fair Value at End of Period | $ | 2,177,336 | $ | 2,177,336 |
(In Thousands) | September 30, 2023 | December 31, 2022 | ||||||||||||
Multifamily | $ | 993,983 | $ | 1,055,533 | ||||||||||
Renovate / Build to rent | 942,869 | 736,368 | ||||||||||||
Fix and Flip | 91,861 | 105,157 | ||||||||||||
Other | 148,623 | 126,471 | ||||||||||||
Fair Value at End of Period | $ | 2,177,336 | $ | 2,023,529 |
Three Months Ended | Nine Months Ended | |||||||||||||
(In Thousands) | September 30, 2023 | September 30, 2023 | ||||||||||||
Fair value at beginning of period | $ | — | $ | 152,621 | ||||||||||
Acquisitions | — | — | ||||||||||||
Sales | — | (134,848) | ||||||||||||
Transfers between portfolios | — | (17,330) | ||||||||||||
Principal repayments | — | (992) | ||||||||||||
Changes in fair value, net | — | 549 | ||||||||||||
Fair Value at End of Period | $ | — | $ | — |
Home Equity Investments(1) | Three Months Ended | Nine Months Ended | ||||||||||||||||||||||||||||||
(In Thousands) | September 30, 2023 | September 30, 2023 | ||||||||||||||||||||||||||||||
Balance at beginning of period | $ | 427,307 | $ | 403,462 | ||||||||||||||||||||||||||||
New/additional investments | 113 | 113 | 25,626 | |||||||||||||||||||||||||||||
Sales/distribution | — | — | ||||||||||||||||||||||||||||||
Repayments | (9,122) | (26,153) | ||||||||||||||||||||||||||||||
Changes in fair value, net | 12,974 | 28,337 | ||||||||||||||||||||||||||||||
Balance at End of Period | $ | 431,272 | $ | 431,272 |
Three Months Ended September 30, 2023 | Servicing Investments(2) | Strategic Investments | MSRs and Excess Servicing | Other | Total | |||||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | 234,304 | $ | 54,867 | $ | 66,119 | $ | 247 | $ | 355,537 | ||||||||||||||||||||||||||||
New/additional investments | — | 2,441 | — | — | 2,441 | |||||||||||||||||||||||||||||||||
Sales/distribution/repayments | — | — | — | (13) | (13) | |||||||||||||||||||||||||||||||||
Servicer advances (repayments), net | (18,560) | — | — | — | (18,560) | |||||||||||||||||||||||||||||||||
Changes in fair value, net | 4,069 | (1,454) | (1,659) | — | 956 | |||||||||||||||||||||||||||||||||
Other | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Balance at End of Period | $ | 219,813 | $ | 55,854 | $ | 64,460 | $ | 234 | $ | 340,361 |
Nine Months Ended September 30, 2023 | Servicing Investments(2) | Strategic Investments | MSRs and Excess Servicing | Other | Total | |||||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | 269,259 | $ | 56,518 | $ | 64,456 | $ | 705 | $ | 390,938 | ||||||||||||||||||||||||||||
New/additional investments | — | 4,491 | — | — | 4,491 | |||||||||||||||||||||||||||||||||
Sales/distribution/repayments | — | — | — | (385) | (385) | |||||||||||||||||||||||||||||||||
Servicer advances (repayments), net | (55,828) | — | — | — | (55,828) | |||||||||||||||||||||||||||||||||
Changes in fair value, net | 6,382 | (5,155) | 4 | (86) | 1,145 | |||||||||||||||||||||||||||||||||
Other | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Balance at End of Period | $ | 219,813 | $ | 55,854 | $ | 64,460 | $ | 234 | $ | 340,361 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands, except per Share Data) | 2017 est. (1) | 2016 | 2017 est. (1) | 2016 | ||||||||||||
REIT taxable income | $ | 19,923 | $ | 26,001 | $ | 56,042 | $ | 71,169 | ||||||||
Taxable REIT subsidiary income | 17,781 | 10,896 | 36,528 | 41,010 | ||||||||||||
Total Taxable Income | $ | 37,704 | $ | 36,897 | $ | 92,570 | $ | 112,179 | ||||||||
REIT taxable income per share | $ | 0.26 | $ | 0.34 | $ | 0.73 | $ | 0.93 | ||||||||
Total taxable income per share | $ | 0.49 | $ | 0.48 | $ | 1.21 | $ | 1.46 | ||||||||
Distributions to shareholders | $ | 21,593 | $ | 21,536 | $ | 64,753 | $ | 64,759 | ||||||||
Distributions to shareholders per share | $ | 0.28 | $ | 0.28 | $ | 0.84 | $ | 0.84 |
Nine Months Ended September 30, 2017 | |||||||||||||||||||||
(In Thousands, except per Share Data) | REIT (Est.) | TRS (Est.) | Total Tax (Est.) | GAAP | Differences | ||||||||||||||||
Interest income | $ | 137,254 | $ | 27,299 | $ | 164,553 | $ | 176,589 | $ | (12,036 | ) | ||||||||||
Interest expense | (41,251 | ) | (21,038 | ) | (62,289 | ) | (72,708 | ) | 10,419 | ||||||||||||
Net interest income | 96,003 | 6,261 | 102,264 | 103,881 | (1,617 | ) | |||||||||||||||
Realized credit losses | (2,865 | ) | — | (2,865 | ) | — | (2,865 | ) | |||||||||||||
Mortgage banking activities, net | — | 41,905 | 41,905 | 50,850 | (8,945 | ) | |||||||||||||||
MSR income, net | — | 5,149 | 5,149 | 6,106 | (957 | ) | |||||||||||||||
Investment fair value changes, net | (14,476 | ) | 5,213 | (9,263 | ) | 9,990 | (19,253 | ) | |||||||||||||
Operating expenses | (32,883 | ) | (22,684 | ) | (55,567 | ) | (56,789 | ) | 1,222 | ||||||||||||
Other income | 11,021 | 779 | 11,800 | 3,367 | 8,433 | ||||||||||||||||
Realized gains, net | (736 | ) | — | (736 | ) | 8,809 | (9,545 | ) | |||||||||||||
Provision for income taxes | (22 | ) | (95 | ) | (117 | ) | (16,741 | ) | 16,624 | ||||||||||||
Net Income | $ | 56,042 | $ | 36,528 | $ | 92,570 | $ | 109,473 | $ | (16,903 | ) | ||||||||||
Income per basic common share | $ | 0.73 | $ | 0.48 | $ | 1.21 | $ | 1.39 | $ | (0.18 | ) |
September 30, 2017 | Payments Due or Commitment Expiration by Period | |||||||||||||||||||
(In Millions) | Less Than 1 Year | 1 to 3 Years | 3 to 5 Years | After 5 Years | Total | |||||||||||||||
Obligations of Redwood | ||||||||||||||||||||
Short-term debt | $ | 988 | $ | — | $ | — | $ | — | $ | 988 | ||||||||||
Convertible notes | 250 | 201 | — | 245 | 696 | |||||||||||||||
Anticipated interest payments on convertible notes | 35 | 40 | 23 | 12 | 110 | |||||||||||||||
FHLBC borrowings | — | — | — | 2,000 | 2,000 | |||||||||||||||
Anticipated interest payments on FHLBC borrowings | 36 | 88 | 98 | 154 | 376 | |||||||||||||||
Other long-term debt | — | — | — | 140 | 140 | |||||||||||||||
Anticipated interest payments on other long-term debt (1) | 9 | 19 | 19 | 136 | 183 | |||||||||||||||
Accrued interest payable | 17 | — | — | — | 17 | |||||||||||||||
Operating leases | 2 | 4 | 3 | 9 | 18 | |||||||||||||||
Total Redwood Obligations and Commitments | $ | 1,337 | $ | 352 | $ | 143 | $ | 2,696 | $ | 4,528 | ||||||||||
Obligations of Consolidated Entities for Financial Reporting Purposes | ||||||||||||||||||||
Consolidated ABS (2) | $ | — | $ | — | $ | — | $ | 1,007 | $ | 1,007 | ||||||||||
Anticipated interest payments on ABS (3) | 28 | 57 | 55 | 249 | 389 | |||||||||||||||
Accrued interest payable | 2 | — | — | — | 2 | |||||||||||||||
Total Obligations of Entities Consolidated for Financial Reporting Purposes | 30 | 57 | 55 | 1,256 | 1,398 | |||||||||||||||
Total Consolidated Obligations and Commitments | $ | 1,367 | $ | 409 | $ | 198 | $ | 3,952 | $ | 5,926 |
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) | |||||||||||||||
July 1, 2017 - July 31, 2017 | — | (1 | ) | $ | 17.04 | — | $ | — | |||||||
August 1, 2017 - August 31, 2017 | — | $ | — | — | $ | — | |||||||||
September 1, 2017 - September 30, 2017 | — | $ | — | — | $ | 86,109 | |||||||||
Total | — | $ | 17.04 | — | $ | 86,109 |
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 | |||||||||||||||||||||||
(In Thousands, except per Share Data) | ||||||||||||||||||||||||||
July 1, 2023 - July 31, 2023 | — | $ | — | — | $ | — | ||||||||||||||||||||
August 1, 2023 - August 31, 2023 | — | $ | — | — | $ | — | ||||||||||||||||||||
September 1, 2023 - September 30, 2023 | — | $ | — | — | $ | — | ||||||||||||||||||||
Total | — | $ | — | — | $ | 101,265 |
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 | ||||||||
3.1.12 | ||||||||
3.2 | ||||||||
10.4* | ||||||||
10.5* | ||||||||
31.1 | ||||||||
31.2 | ||||||||
32.1 | ||||||||
32.2 |
Number | Exhibit | |||||||
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 September 30, (i) Consolidated Balance Sheets at September 30, 2022; (ii) Consolidated Statements of Income for the three and nine months ended September 30, 2022; (iii) Statements of Consolidated Comprehensive Income for the three and nine months ended September 30, 2022; (iv) Consolidated Statements of Changes in Stockholders' Equity for the three and nine months ended September 30, 2022; (v) Consolidated Statements of Cash Flows for the nine months ended September 30, (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: | November 6, 2023 | ||||||||||
By: | |||||||||||
/s/ | |||||||||||
Christopher J. Abate | |||||||||||
(Principal Executive Officer) | |||||||||||
Date: | November 6, 2023 | By: | /s/ Brooke E. Carillo | ||||||||
Brooke E. Carillo | |||||||||||
Chief Financial Officer | |||||||||||
(Principal Financial Officer) | |||||||||||
November 6, 2023 | /s/ Collin L. Cochrane | ||||||||||
Collin L. Cochrane | |||||||||||
Chief Accounting Officer | |||||||||||
(Principal Accounting Officer) |