Cover Page
Cover Page - shares | 9 Months Ended | |
Sep. 30, 2023 | Nov. 06, 2023 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2023 | |
Document Transition Report | false | |
Entity File Number | 1-13759 | |
Entity Registrant Name | REDWOOD TRUST, INC. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 68-0329422 | |
Entity Address Address Line One | One Belvedere Place, | |
Entity Address, Address Line Two | Suite 300 | |
Entity Address City Or Town | Mill Valley, | |
Entity Address, State or Province | CA | |
Entity Address Postal Zip Code | 94941 | |
City Area Code | 415 | |
Local Phone Number | 389-7373 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity small business | false | |
Emerging growth company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 118,636,302 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2023 | |
Document Fiscal Period Focus | Q3 | |
Entity Central Index Key | 0000930236 | |
Current Fiscal Year End Date | --12-31 | |
Common Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | Common stock, par value $0.01 per share | |
Trading Symbol | RWT | |
Security Exchange Name | NYSE | |
10% Series A Fixed-Rate Reset Cumulative Redeemable Preferred Stock, par value $0.01 per share | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 10% Series A Fixed-Rate Reset Cumulative Redeemable Preferred Stock, par value $0.01 per share | |
Trading Symbol | RWT PRA | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
ASSETS | |||
Real estate securities, at fair value | [1] | $ 129,445 | $ 240,475 |
Home equity investments, at fair value | [1] | 431,272 | 403,462 |
Other investments | [1] | 340,361 | 390,938 |
Cash and cash equivalents | [1] | 203,622 | 258,894 |
Restricted cash | [1] | 56,101 | 70,470 |
Goodwill | [1] | 23,373 | 23,373 |
Intangible assets | [1] | 31,570 | 40,892 |
Derivative assets | [1] | 37,686 | 20,830 |
Other assets | [1] | 250,487 | 211,240 |
Total Assets | [1] | 13,021,138 | 13,030,899 |
Liabilities | |||
Short-term debt, net | [1] | 1,476,654 | 2,029,679 |
Derivative liabilities | [1] | 8,781 | 16,855 |
Accrued expenses and other liabilities | [1] | 208,294 | 180,203 |
Asset-backed securities issued (includes $7,910,345 and $7,424,132 at fair value), net | [1] | 8,392,050 | 7,986,752 |
Long-term debt, net | [1] | 1,829,560 | 1,733,425 |
Total liabilities | [1] | 11,915,339 | 11,946,914 |
Commitments and Contingencies | [1] | ||
Equity | |||
Preferred stock, par value $0.01 per share, 2,800,000 shares authorized; 2,800,000 and zero issued and outstanding | [1] | 66,923 | 0 |
Common stock, par value $0.01 per share, 395,000,000 shares authorized; 118,503,762 and 113,484,675 issued and outstanding | [1] | 1,185 | 1,135 |
Additional paid-in capital | [1] | 2,395,247 | 2,349,845 |
Accumulated other comprehensive loss | [1] | (64,738) | (68,868) |
Cumulative earnings | [1] | 1,125,126 | 1,153,370 |
Cumulative distributions to stockholders | [1] | (2,417,944) | (2,351,497) |
Total equity | [1] | 1,105,799 | 1,083,985 |
Total Liabilities and Equity | [1] | 13,021,138 | 13,030,899 |
Residential loans, held-for-sale, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 610,946 | 780,781 |
Residential loans, held-for-investment, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 5,236,391 | 4,832,407 |
Business purpose loans, held-for-sale, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 102,777 | 364,073 |
Business purpose loans, held-for-investment, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | 5,146,553 | 4,968,513 |
Consolidated Agency multifamily loans, at fair value | |||
ASSETS | |||
Fair value of loans | [1] | $ 420,554 | $ 424,551 |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
ABS issued, net, At fair value | $ 7,910,345 | $ 7,424,132 | |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Preferred stock, authorized (in shares) | 2,800,000 | 2,800,000 | |
Preferred stock, issued (in shares) | 2,800,000 | 0 | |
Preferred stock, outstanding (in shares) | 2,800,000 | 0 | |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Common stock, authorized (in shares) | 395,000,000 | 395,000,000 | |
Common stock, issued (in shares) | 118,503,762 | 113,484,675 | |
Common stock, outstanding (in shares) | 118,503,762 | 113,484,675 | |
Assets | [1] | $ 13,021,138 | $ 13,030,899 |
Liabilities | [1] | 11,915,339 | 11,946,914 |
Variable Interest Entity, Primary Beneficiary | |||
Assets | 9,639,117 | 9,257,291 | |
Liabilities | $ 8,635,696 | $ 8,270,276 | |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
CONSOLIDATED STATEMENTS OF INCO
CONSOLIDATED STATEMENTS OF INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 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 | 0 | 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) | 0 | (4,927) | 0 |
Net Loss related to common stockholders | $ (32,560) | $ (50,411) | $ (28,244) | $ (119,462) |
Net loss related to common stockholders - Basic (in dollars per share) | $ (0.29) | $ (0.44) | $ (0.27) | $ (1.04) |
Net loss related to common stockholders - Diluted (in dollars per share) | $ (0.29) | $ (0.44) | $ (0.27) | $ (1.04) |
Basic weighted average common shares outstanding (in shares) | 115,465,977 | 116,087,890 | 114,381,548 | 118,530,172 |
Diluted weighted average common shares outstanding (in shares) | 115,465,977 | 116,087,890 | 114,381,548 | 118,530,172 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE (LOSS) INCOME - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Statement of Comprehensive Income [Abstract] | ||||
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) | 0 | (4,927) | 0 |
Comprehensive Loss Related to Common Stockholders | $ (35,207) | $ (57,558) | $ (24,114) | $ (175,470) |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Preferred Stock | Common Stock | Additional Paid-In Capital | Accumulated Other Comprehensive (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders | |
Balance at beginning of period at Dec. 31, 2021 | $ 1,386,087 | $ 0 | $ 1,149 | $ 2,316,799 | $ (8,927) | $ 1,316,890 | $ (2,239,824) | |
Beginning balance (in shares) at Dec. 31, 2021 | 114,892,309 | |||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net (loss) | (119,462) | (119,462) | ||||||
Other comprehensive (loss) income | (56,008) | (56,008) | ||||||
Issuance of common stock (in shares) | 5,232,869 | |||||||
Issuance of common stock | 67,476 | $ 52 | 67,424 | |||||
Employee stock purchase and incentive plans (in shares) | 346,727 | |||||||
Employee stock purchase and incentive plans | (1,148) | $ 3 | (1,151) | |||||
Non-cash equity award compensation | 18,505 | 18,505 | ||||||
Share repurchases (in shares) | (7,128,891) | |||||||
Share repurchases | (56,496) | $ (71) | (56,425) | |||||
Common dividends declared | [1] | (84,712) | (84,712) | |||||
Balance at End of Period at Sep. 30, 2022 | 1,154,242 | 0 | $ 1,133 | 2,345,152 | (64,935) | 1,197,428 | (2,324,536) | |
Ending balance (in shares) at Sep. 30, 2022 | 113,343,014 | |||||||
Balance at beginning of period at Jun. 30, 2022 | 1,258,091 | 0 | $ 1,168 | 2,363,709 | (57,788) | 1,247,839 | (2,296,837) | |
Beginning balance (in shares) at Jun. 30, 2022 | 116,753,174 | |||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net (loss) | (50,411) | (50,411) | ||||||
Other comprehensive (loss) income | (7,147) | (7,147) | ||||||
Employee stock purchase and incentive plans (in shares) | 38,698 | |||||||
Employee stock purchase and incentive plans | 34 | 34 | ||||||
Non-cash equity award compensation | 5,068 | 5,068 | ||||||
Share repurchases (in shares) | (3,448,858) | |||||||
Share repurchases | (23,694) | $ (35) | (23,659) | |||||
Common dividends declared | [1] | (27,699) | (27,699) | |||||
Balance at End of Period at Sep. 30, 2022 | 1,154,242 | 0 | $ 1,133 | 2,345,152 | (64,935) | 1,197,428 | (2,324,536) | |
Ending balance (in shares) at Sep. 30, 2022 | 113,343,014 | |||||||
Balance at beginning of period at Dec. 31, 2022 | 1,083,985 | 0 | $ 1,135 | 2,349,845 | (68,868) | 1,153,370 | (2,351,497) | |
Beginning balance (in shares) at Dec. 31, 2022 | 113,484,675 | |||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net (loss) | (23,317) | (23,317) | ||||||
Other comprehensive (loss) income | 4,130 | 4,130 | ||||||
Issuance of common stock (in shares) | 4,244,580 | |||||||
Issuance of common stock | 33,328 | $ 42 | 33,286 | |||||
Employee stock purchase and incentive plans (in shares) | 774,507 | |||||||
Employee stock purchase and incentive plans | (2,828) | $ 8 | (2,836) | |||||
Issuance of preferred stock | 66,923 | 66,923 | ||||||
Non-cash equity award compensation | 14,952 | 14,952 | ||||||
Preferred dividends declared | (4,927) | (4,927) | ||||||
Common dividends declared | [1] | (66,447) | (66,447) | |||||
Balance at End of Period at Sep. 30, 2023 | 1,105,799 | 66,923 | $ 1,185 | 2,395,247 | (64,738) | 1,125,126 | (2,417,944) | |
Ending balance (in shares) at Sep. 30, 2023 | 118,503,762 | |||||||
Balance at beginning of period at Jun. 30, 2023 | 1,124,138 | 66,923 | $ 1,142 | 2,358,675 | (62,091) | 1,157,686 | (2,398,197) | |
Beginning balance (in shares) at Jun. 30, 2023 | 114,177,992 | |||||||
Increase (Decrease) in Stockholders' Equity | ||||||||
Net (loss) | (30,810) | (30,810) | ||||||
Other comprehensive (loss) income | (2,647) | (2,647) | ||||||
Issuance of common stock (in shares) | 4,244,580 | |||||||
Issuance of common stock | 33,328 | $ 42 | 33,286 | |||||
Employee stock purchase and incentive plans (in shares) | 81,190 | |||||||
Employee stock purchase and incentive plans | (123) | $ 1 | (124) | |||||
Non-cash equity award compensation | 3,410 | 3,410 | ||||||
Preferred dividends declared | (1,750) | (1,750) | ||||||
Common dividends declared | [1] | (19,747) | (19,747) | |||||
Balance at End of Period at Sep. 30, 2023 | $ 1,105,799 | $ 66,923 | $ 1,185 | $ 2,395,247 | $ (64,738) | $ 1,125,126 | $ (2,417,944) | |
Ending balance (in shares) at Sep. 30, 2023 | 118,503,762 | |||||||
[1]Includes dividends and dividend equivalents declared on common stock and stock-based compensation awards |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Statement of Stockholders' Equity [Abstract] | ||||
Preferred stock dividends declared (in dollars per share) | $ 0.625 | $ 1.85417 | ||
Common dividends declared (in dollars per share) | $ 0.16 | $ 0.23 | $ 0.55 | $ 0.69 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 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 | 0 | (22,006) | |
Proceeds from sales of loans | 5,351 | 0 | |
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 | 0 | (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 | 0 | (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 | 0 | |
Dividends paid on common stock | (66,447) | (84,712) | |
Dividends paid on preferred stock | (3,449) | 0 | |
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 |
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 | 0 | |
Retention of mortgage servicing rights from loan securitizations and sales | 0 | 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 | 0 | |
Reduction in operating lease liabilities due to lease modification | 274 | 0 | |
Transfers from short-term debt to long-term debt | 325,173 | 0 | |
Transfers from long-term debt to short-term debt | $ 427,021 | $ 908,627 | |
[1]Cash, cash equivalents, and restricted cash includes cash and cash equivalents of $204 million and restricted cash of $56 million at September 30, 2023, and includes cash and cash equivalents of $297 million and restricted cash of $72 million at September 30, 2022. |
CONSOLIDATED STATEMENTS OF CA_2
CONSOLIDATED STATEMENTS OF CASH FLOWS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | [1] | Sep. 30, 2022 | |
Statement of Cash Flows [Abstract] | |||||
Cash and cash equivalents | $ 203,622 | [1] | $ 258,894 | $ 297,000 | |
Restricted cash | $ 56,000 | $ 72,000 | |||
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Organization
Organization | 9 Months Ended |
Sep. 30, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Redwood Trust, Inc., together with its subsidiaries, is a specialty finance company focused on several distinct areas of housing credit, with a mission to help make quality housing, whether rented or owned, accessible to all American households. Our operating platforms occupy a unique position in the housing finance value chain, providing liquidity to growing segments of the U.S. housing market not well served by government programs. We deliver customized housing credit investments to a diverse mix of investors through our best-in-class securitization platforms, whole-loan distribution activities and our publicly-traded securities. Our aggregation, origination and investment activities have evolved to incorporate a diverse mix of residential and business purpose housing credit assets. Our goal is to provide attractive returns to shareholders through a stable and growing stream of earnings and dividends, capital appreciation, and a commitment to technological innovation that facilitates risk-minded scale. We operate our business in three segments: Residential Mortgage Banking, Business Purpose Mortgage Banking, and Investment Portfolio. Our primary sources of income are net interest income from our investments and non-interest income from our mortgage banking activities. Net interest income primarily consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and other liabilities. Income from mortgage banking activities is generated through the origination and acquisition of loans, and their subsequent sale, securitization, or transfer to our investment portfolio. Redwood Trust, Inc. has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), beginning with its taxable year ended December 31, 1994. We generally refer, collectively, to Redwood Trust, Inc. and those of its subsidiaries that are generally not subject to subsidiary-level corporate income tax as “the REIT” or “our REIT.” We generally refer to subsidiaries of Redwood Trust, Inc. that are subject to subsidiary-level corporate income tax as “our taxable REIT subsidiaries” or “TRS.” Redwood Trust, Inc. was incorporated in the State of Maryland on April 11, 1994, and commenced operations on August 19, 1994. References herein to “Redwood,” the “company,” “we,” “us,” and “our” include Redwood Trust, Inc. and its consolidated subsidiaries, unless the context otherwise requires. For a full description of our business, see Part I, Item 1—Business in our Annual Report on Form 10-K for the year ended December 31, 2022. |
Basis of Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Basis of PresentationThe consolidated financial statements presented herein are at September 30, 2023 and December 31, 2022, and for the three and nine months ended September 30, 2023 and 2022. These interim unaudited consolidated financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission ("SEC"). Certain information and note disclosures normally included in our annual financial statements prepared in accordance with U.S. generally accepted accounting principles ("GAAP") — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — have been condensed or omitted in these interim financial statements according to these SEC rules and regulations. Management believes that the disclosures included in these interim financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the company's Annual Report on Form 10-K for the year ended December 31, 2022. In the opinion of management, all normal and recurring adjustments have been made to present fairly the financial condition of the Company at September 30, 2023 and results of operations for all periods presented. The results of operations for the three and nine months ended September 30, 2023 should not be construed as indicative of the results to be expected for the full year. Principles of Consolidation In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities issued prior to 2012 ("Legacy Sequoia"), certain entities formed during and after 2012 in connection with the securitization of Redwood Select prime loans and Redwood Choice expanded-prime loans ("Sequoia"), entities formed in connection with the securitization of CoreVest BPL term and bridge loans ("CAFL") and an entity formed in connection with the securitization of home equity investment contracts ("HEI"). We also consolidate the assets and liabilities of certain Freddie Mac K-Series and Freddie Mac Seasoned Loans Structured Transaction ("SLST") securitizations in which we have invested. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have purchased or retained, although for certain entities we are exposed to financial risks associated with our role as a sponsor or co-sponsor, servicing administrator, collateral administrator or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. For financial reporting purposes, the underlying loans owned at the consolidated Legacy Sequoia, Sequoia and Freddie Mac SLST entities are shown under Residential loans held-for-investment, at fair value, the underlying loans at the consolidated Freddie Mac K-Series entity are shown under Consolidated Agency multifamily loans, at fair value, the underlying BPL term and bridge loans at the consolidated CAFL entities are shown under Business purpose loans held-for-investment, at fair value, and the underlying HEI at the consolidated HEI securitization entity are shown under Home equity investments, at fair value on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income, we record interest income on the loans owned at these entities and interest expense on the ABS issued by these entities as well as fair value changes, other income and expenses associated with these entities' activities. See Note 15 for further discussion on ABS issued. We also consolidate two partnerships ("Servicing Investment" entities) through which we have invested in servicing-related assets. We maintain an 80% ownership interest in each entity and have determined that we are the primary beneficiary of these partnerships. See Note 4 for further discussion on principles of consolidation. Use of Estimates The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, valuation allowances, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. Acquisitions On July 1, 2022, we acquired Riverbend Funding LLC ("Riverbend"), a private mortgage lender for residential transitional and commercial real estate investors. Refer to our Annual Report on Form 10-K for the year ended December 31, 2022 for additional information regarding this acquisition, including purchase price allocations. Additionally, in 2019 we acquired 5 Arches and CoreVest, an originator and portfolio manager of business purpose residential loans. In connection with these acquisitions, we identified and recorded finite-lived intangible assets totaling $95 million. The table below presents the amortization period and carrying value of our intangible assets, net of accumulated amortization at September 30, 2023. Table 2.1 – Intangible Assets – Activity 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 All of our intangible assets are amortized on a straight-line basis. For the nine months ended September 30, 2023, we recorded intangible asset amortization expense of $9 million. For the nine months ended September 30, 2022, we recorded intangible asset amortization expense of $11 million. Estimated future amortization expense is summarized in the table below. Table 2.2 – Intangible Asset Amortization Expense by Year (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 On a quarterly basis, we evaluate our finite-lived intangible assets for impairment indicators and additionally evaluate the useful lives of our intangible assets to determine if revisions to the remaining periods of amortization are warranted. We reviewed our finite-lived intangible assets and determined that the estimated lives were appropriate and that there were no indicators of impairment at September 30, 2023. We recorded total goodwill of $23 million during the three months ended September 30, 2022 as a result of the total consideration exceeding the fair value of the net assets acquired from Riverbend. For reporting purposes, we included the intangible assets and goodwill from the Riverbend acquisition within our Business Purpose Mortgage Banking segment. There were no changes to the balance of goodwill during the nine months ended September 30, 2023. The potential liability resulting from the contingent consideration arrangement with Riverbend was recorded at its acquisition-date fair value of zero as part of the total consideration for the acquisition of Riverbend. At September 30, 2023, the estimated fair value of this contingent liability was zero on our consolidated balance sheets. Our contingent consideration liability is recorded at fair value and periodic changes in the estimated fair value are recorded through Other expenses on our consolidated statements of income. During the nine months ended September 30, 2023, we did not record any contingent consideration income or expense related to our acquisition of Riverbend. See Note 17 for additional information on our contingent consideration liability. The following unaudited pro forma financial information presents Net interest income, Non-interest income, and Net income of Redwood, as if the acquisition of Riverbend occurred as of January 1, 2022. These pro forma amounts have been adjusted to include the amortization of intangible assets for all periods. The unaudited pro forma financial information is not intended to represent or be indicative of the consolidated financial results of operations that would have been reported if the acquisition had been completed as of January 1, 2022 and should not be taken as indicative of our future consolidated results of operations. Table 2.3 – Unaudited Pro Forma Financial Information 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) |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2023 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Significant Accounting Policies Included in Note 3 to the Consolidated Financial Statements of our Annual Report on Form 10-K for the year ended December 31, 2022 is a summary of our significant accounting policies. Recent Accounting Pronouncements Newly Adopted Accounting Standard Updates ("ASUs") In March 2022, the FASB issued ASU 2022-02, "Financial Instruments-Credit Losses (Topic 326), Troubled Debt Restructurings and Vintage Disclosures." ASU 2022-02 addresses areas identified by the FASB as part of its post-implementation review of the credit losses standard (ASU 2016-13) that introduced the current expected credit loss ("CECL") model. The amendments eliminate the accounting guidance for troubled debt restructurings by creditors that have adopted the CECL model and enhance the disclosure requirements for loan refinancings and restructurings made with borrowers experiencing financial difficulty. In addition, the amendments require a public business entity to disclose current-period gross writeoffs for financing receivables and net investment in leases by year of origination in the vintage disclosures. This new guidance was effective for fiscal years beginning after December 31, 2022. We adopted this guidance in the first quarter of 2023, which did not have a material impact on our consolidated financial statements. In March 2022, the FASB issued ASU 2022-01, "Derivatives and Hedging (Topic 815), Fair Value Hedging - Portfolio Layer Method," which will expand companies' abilities to hedge the benchmark interest rate risk of portfolios of financial assets (or beneficial interests) in a fair value hedge. The ASU expands the use of the portfolio layer method (previously referred to as the last-of-layer method) to allow multiple hedges of a single closed portfolio of assets using spot starting, forward starting, and amortizing-notional swaps. The ASU also permits both prepayable and non-prepayable financial assets to be included in the closed portfolio of assets hedged in a portfolio layer hedge. The ASU further requires that basis adjustments not be allocated to individual assets for active portfolio layer method hedges, but rather be maintained on the closed portfolio of assets as a whole. This new guidance was effective for fiscal years beginning after December 31, 2022. We adopted this guidance in the first quarter of 2023, which did not have a material impact on our consolidated financial statements. In December 2022, the FASB issued ASU 2022-06, "Reference Rate Reform (Topic 848) - Deferral of the Sunset Date of Topic 848." This new guidance defers the sunset date of Topic 848 from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply the relief in Topic 848. The objective of the guidance in Topic 848 is to provide temporary relief during the transition period. Through September 30, 2023, we had not elected to apply the optional expedients and exceptions to any of our existing contracts, hedging relationships, or other transactions. At September 30, 2023, we had no remaining LIBOR-indexed financial assets or liabilities. Our bridge loans and trust preferred securities that were previously indexed to LIBOR at June 30, 2023, were transitioned to SOFR indexes in the third quarter of 2023. Other Recent Accounting Pronouncements Pending Adoption In June 2022, the FASB issued ASU 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions.” ASU 2022-03 clarifies that a contractual restriction on the sale of an equity security should not be considered in measuring its fair value and introduces new disclosure requirements for equity securities subject to contractual sale restrictions that are measured at fair value in accordance with Topic 820. The amendments in this update are effective for fiscal years beginning after December 15, 2023, including interim periods within those fiscal years. Early adoption is permitted. We are evaluating the accounting and disclosure requirements of ASU 2022-03 and we plan to adopt this new guidance by the required date. We do not anticipate that this update will have a material impact on our financial statements. In August 2023, the FASB issued ASU 2023-05, "Business Combinations—Joint Venture Formations (Subtopic 805-60): Recognition and Initial Measurement." ASU 2023-05 requires a joint venture, upon formation, to initially measure its assets and liabilities at fair value. This generally aligns the treatment to be consistent with the guidance for business combinations. Joint venture entities that are private companies may elect to include customer-related intangible assets and non-competition agreements within goodwill and not as separate intangible assets. This new guidance is effective for all joint venture entities with a formation date on or after January 1, 2025, with early adoption permitted. Joint ventures formed prior to the adoption date may elect to apply the new guidance retrospectively back to their original formation date. We are evaluating the accounting and disclosure requirements of ASU 2023-05 and we plan to adopt this new guidance by the required date. We do not anticipate that this update will have a material impact on our financial statements. Balance Sheet Netting Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not elect to report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. The following table presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at September 30, 2023 and December 31, 2022. Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in Consolidated Balance Sheet Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet Gross Amounts Not Offset in Consolidated (1) Net Amount September 30, 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 (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) (1) Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, we have pledged excess cash collateral or financial assets to a counterparty (which, in certain circumstances, may be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, these excess amounts are excluded from the table; they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. (2) Interest rate agreements, TBAs and futures are components of derivative instruments on our consolidated balance sheets. Loan warehouse debt, which is secured by certain residential and business purpose loans, is a component of Short-term debt and Long-term debt on our consolidated balance sheets. |
Principles of Consolidation
Principles of Consolidation | 9 Months Ended |
Sep. 30, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Principles of Consolidation | Principles of Consolidation GAAP requires us to consider whether securitizations we sponsor and other transfers of financial assets should be treated as sales or financings, as well as whether any VIEs that we hold variable interests in – for example, certain legal entities often used in securitization and other structured finance transactions – should be included in our consolidated financial statements. The GAAP principles we apply require us to reassess our requirement to consolidate VIEs each quarter and therefore our determination may change based upon new facts and circumstances pertaining to each VIE. This could result in a material impact to our consolidated financial statements during subsequent reporting periods. Analysis of Consolidated VIEs At September 30, 2023, we consolidated Legacy Sequoia, Sequoia, CAFL, Freddie Mac SLST, Freddie Mac K-Series, and HEI securitization entities that we determined were VIEs and for which we determined we were the primary beneficiary. Each of these entities is independent of Redwood and of each other and the assets and liabilities of these entities are not owned by and are not legal obligations of ours. Our exposure to these entities is primarily through the financial interests we have retained, although for certain securitizations, we are exposed to financial risks associated with our role as a sponsor, servicing administrator, collateral administrator, or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. We also consolidate two Servicing Investment entities formed to invest in servicing-related assets that we determined were VIEs and for which we determined we were the primary beneficiary. At September 30, 2023, we held an 80% ownership interest in, and were responsible for the management of, each such entity. See Note 11 for a further description of these entities and the investments they hold and Note 13 for additional information on the minority partner’s non-controlling interest. Additionally, we consolidated an entity that was formed to finance servicer advances that we determined was a VIE and for which we, through our control of one of the aforementioned partnerships, were the primary beneficiary. The servicer advance financing consists of non-recourse short-term securitization debt, secured by servicer advances. We consolidate the securitization entity, but the securitization entity is independent of Redwood and the assets and liabilities are not owned by and are not legal obligations of Redwood. See Note 14 for additional information on the servicer advance financing. During 2021, we consolidated an HEI securitization entity formed to invest in HEI that we determined was a VIE and for which we determined we were the primary beneficiary. At September 30, 2023 and December 31, 2022, we owned a portion of the subordinate certificates issued by the entity and had certain decision making rights for the entity. See Note 10 for a further description of this entity and the investments it holds and Note 13 for additional information on non-controlling interests in the entity. We consolidate the HEI securitization entity, but the securitization entity is independent of Redwood and the assets and liabilities are not owned by and are not legal obligations of Redwood. For certain of our consolidated VIEs, we have elected to account for the assets and liabilities of these entities as collateralized financing entities ("CFE"). A CFE is a variable interest entity that holds financial assets and issues beneficial interests in those assets, and these beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allows companies to elect to measure both the financial assets and financial liabilities of a CFE using the more observable of the fair value of the financial assets or fair value of the financial liabilities. The net equity in an entity accounted for under the CFE election effectively represents the fair value of the beneficial interests we own in the entity. In addition to our consolidated VIEs for which we made the CFE election, we consolidate certain VIEs for which we did not make the CFE election, and elected to account for the ABS issued by these entities at amortized cost. These include our CAFL Bridge securitizations, Freddie Mac SLST re-securitization, and Servicing Investment entities. In January 2023, we called the Freddie Mac SLST re-securitization and paid off the associated outstanding ABS issued. The following table presents a summary of the assets and liabilities of our consolidated VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs September 30, 2023 Legacy Sequoia CAFL (1) Freddie Mac SLST (1) Freddie Mac Servicing Investment HEI Total (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 CAFL (1) Freddie Mac SLST (1) Freddie Mac Servicing Investment HEI Total (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 (1) Value of our investments in VIEs, as presented in this table, represents the fair value of our economic interests in the consolidated VIEs that we account for under the CFE election. CAFL includes BPL term loan securitizations we account for under the CFE election and two BPL bridge loan securitizations for which we did not make the CFE election. As of September 30, 2023 and December 31, 2022, the fair value of our interests in the CAFL Term securitizations were $316 million and $304 million, respectively, and the remaining values were associated with our interests in the CAFL Bridge securitizations, for which the ABS issued is carried at amortized historical cost. At December 31, 2022, Freddie Mac SLST includes securitizations we account for under the CFE election and also includes ABS issued in relation to a re-securitization of the securities we own in the consolidated Freddie Mac SLST VIEs, that we account for at amortized historical cost. In January 2023, we called the Freddie Mac SLST re-securitization and paid off the associated outstanding ABS issued. As of September 30, 2023 and December 31, 2022, the fair value of our interests in the Freddie Mac SLST securitizations accounted for under the CFE election was $256 million and $323 million, respectively, with the difference reflected in the December 31, 2022 table above due to ABS issued and carried at amortized historical cost. The following tables present income (loss) from these VIEs for the three and nine months ended September 30, 2023 and 2022. Table 4.2 – Income (Loss) from Consolidated VIEs Three Months Ended September 30, 2023 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (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 CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (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 CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 1,475 $ 31,587 $ 61,439 $ 16,098 $ 4,762 $ 7,800 $ — $ 123,161 Interest expense (1,486) (27,541) (44,804) (12,829) (4,377) (2,606) — (93,643) Net interest income (11) 4,046 16,635 3,269 385 5,194 — 29,518 Non-interest income Investment fair value changes, net (328) (10,936) (4,527) (41,892) 316 (3,286) (584) (61,237) Other income — — 286 — — — — 286 Total non-interest income, net (328) (10,936) (4,241) (41,892) 316 (3,286) (584) (60,951) General and administrative expenses — — — — — (55) — (55) Other expenses — — — — — (372) — (372) Income (loss) from Consolidated VIEs $ (339) $ (6,890) $ 12,394 $ (38,623) $ 701 $ 1,481 $ (584) $ (31,860) Nine Months Ended September 30, 2022 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 3,595 $ 95,608 $ 195,381 $ 49,851 $ 14,247 $ 23,287 $ — $ 381,969 Interest expense (3,154) (84,041) (145,207) (40,286) (13,099) (6,110) — (291,897) Net interest income 441 11,567 50,174 9,565 1,148 17,177 — 90,072 Non-interest income Investment fair value changes, net (1,378) (20,644) (23,972) (74,796) 390 (11,259) 4,028 (127,631) Other income — — 631 — — — — 631 Total non-interest income, net (1,378) (20,644) (23,341) (74,796) 390 (11,259) 4,028 (127,000) General and administrative expenses — — — — — (130) — (130) Other expenses — — — — — (1,158) — (1,158) Income (loss) from Consolidated VIEs $ (937) $ (9,077) $ 26,833 $ (65,231) $ 1,538 $ 4,630 $ 4,028 $ (38,216) We consolidate the assets and liabilities of certain Sequoia, CAFL and HEI securitization entities, as we did not meet the GAAP sale criteria at the time we transferred financial assets to these entities. Our involvement in consolidated Sequoia, CAFL and HEI entities continues in the following ways: (i) we continue to hold subordinate investments in each entity, and for certain entities, more senior investments; (ii) we maintain certain discretionary rights associated with our sponsorship of, or our subordinate investments in, each entity, including rights to direct loss mitigation activities; and (iii) we continue to hold a right to call the assets of certain entities (once they have been paid down below a specified threshold) at a price equal to, or in excess of, the current outstanding principal amount of the entity’s asset-backed securities issued. These factors have resulted in our continuing to consolidate the assets and liabilities of these Sequoia, CAFL and HEI entities in accordance with GAAP. We consolidate the assets and liabilities of certain Freddie Mac K-Series and SLST securitization trusts resulting from our investment in subordinate securities issued by these trusts, and in the case of certain CAFL securitizations, resulting from securities acquired through our acquisition of CoreVest. Additionally, we consolidate the assets and liabilities of Servicing Investment entities from our investment in servicer advance investments and excess MSRs. In each case, we maintain certain discretionary rights associated with the ownership of these investments that we determined reflected a controlling financial interest, as we have both the power to direct the activities that most significantly impact the economic performance of the VIEs and the right to receive benefits of and the obligation to absorb losses from the VIEs that could potentially be significant to the VIEs. Analysis of Unconsolidated VIEs with Continuing Involvement Since 2012, we have transferred residential loans to 46 Sequoia securitization entities sponsored by us that are still outstanding as of September 30, 2023, and accounted for these transfers as sales for financial reporting purposes, in accordance with ASC 860. We also determined we were not the primary beneficiary of these VIEs as we lacked the power to direct the activities that will have the most significant economic impact on the entities. For certain of these transfers to securitization entities, for the transferred loans where we held the servicing rights prior to the transfer and continued to hold the servicing rights following the transfer, we recorded mortgage servicing rights ("MSRs") on our consolidated balance sheets, and classified those MSRs as Level 3 assets. We also retained senior and subordinate securities in these securitizations that we classified as Level 3 assets. Our continuing involvement in these securitizations is limited to customary servicing obligations associated with retaining servicing rights (which we retain a third-party sub-servicer to perform) and the receipt of interest income associated with the securities we retained. The following table summarizes the cash flows during the three and nine months ended September 30, 2023 and 2022 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood 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 The following table presents additional information at September 30, 2023 and December 31, 2022, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.4 – Unconsolidated VIEs Sponsored by Redwood (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 (1) Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at September 30, 2023 and December 31, 2022. Table 4.5 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood 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 December 31, 2022 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2022 $ 11,589 $ 28,722 $ 74,367 Expected life (in years) (2) 7 7 16 Prepayment speed assumption (annual CPR) (2) 8 % 10 % 8 % Decrease in fair value from: 10% adverse change $ 311 $ 970 $ 386 25% adverse change 779 2,344 907 Discount rate assumption (2) 11 % 12 % 9 % Decrease in fair value from: 100 basis point increase $ 430 $ 980 $ 7,198 200 basis point increase 832 1,894 13,394 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 76 (1) Senior securities included $33 million and $29 million of interest-only securities at September 30, 2023 and December 31, 2022, respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. Analysis of Unconsolidated Third-Party VIEs Third-party VIEs are securitization entities in which we maintain an economic interest, but do not sponsor. Our economic interest may include several securities and other investments from the same third-party VIE, and in those cases, the analysis is performed in consideration of all of our interests. The following table presents a summary of our interests in third-party VIEs at September 30, 2023 and December 31, 2022, grouped by asset type. Table 4.6 – Third-Party Sponsored VIE Summary (In Thousands) September 30, 2023 December 31, 2022 Mortgage-Backed Securities Senior $ 8,397 $ 145 Subordinate 15,116 137,241 Total Mortgage-Backed Securities 23,513 137,386 Excess MSR 5,590 7,082 Total Investments in Third-Party Sponsored VIEs $ 29,103 $ 144,468 We determined that we are not the primary beneficiary of these third-party VIEs, as we do not have the required power to direct the activities that most significantly impact the economic performance of these entities. Specifically, we do not service or manage these entities or otherwise solely hold decision making powers that are significant. As a result of this assessment, we do not consolidate any of the underlying assets and liabilities of these third-party VIEs – we only account for our specific interests in them. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 9 Months Ended |
Sep. 30, 2023 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments For financial reporting purposes, we follow a fair value hierarchy established under GAAP that is used to determine the fair value of financial instruments. This hierarchy prioritizes relevant market inputs in order to determine an “exit price” at the measurement date, or the price at which an asset could be sold or a liability could be transferred in an orderly process that is not a forced liquidation or distressed sale. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices for an asset or liability that are obtained through corroboration with observable market data. Level 3 inputs are unobservable inputs (e.g., our own data or assumptions) that are used when there is little, if any, relevant market activity for the asset or liability required to be measured at fair value. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. Our assessment of the significance of a particular input requires judgment and considers factors specific to the asset or liability being measured. The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2023 and December 31, 2022. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities September 30, 2023 December 31, 2022 Carrying Fair Carrying Fair (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 (1) These investments are included in Other investments on our consolidated balance sheets. (2) These assets are included in Other assets on our consolidated balance sheets. (3) Short-term debt excludes short-term convertible notes, which are included below under "Convertible notes, net." (4) These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets. (5) These liabilities are primarily included in Long-term debt, net on our consolidated balance sheets. Convertible notes, net also includes convertible notes classified as Short-term debt. See Note 14 for more information on Short-term debt. During the three and nine months ended September 30, 2023, we elected the fair value option for zero and $8 million of securities, respectively, $858 million and $1.1 billion (principal balance) of residential loans, respectively, and $411 million and $1.26 billion (principal balance) of business purpose loans, respectively. Additionally, during the three and nine months ended September 30, 2023, we elected the fair value option for $0.1 million and $26 million of HEI, respectively. For the three and nine months ended September 30, 2023, we elected the fair value option for zero and $1 million, respectively, of Other investments. We anticipate electing the fair value option for all future purchases of residential and business purpose loans that we intend to sell to third parties or transfer to securitizations, as well as for certain securities we purchase, including IO securities, HEI and certain equity investments. The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at September 30, 2023 and December 31, 2022, as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis September 30, 2023 Carrying 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 December 31, 2022 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 5,613,157 $ — $ — $ 5,613,157 Business purpose loans 5,332,586 — — 5,332,586 Consolidated Agency multifamily loans 424,551 — — 424,551 Real estate securities 240,475 — — 240,475 HEI 403,462 — — 403,462 Servicer advance investments 269,259 — — 269,259 MSRs 25,421 — — 25,421 Excess MSRs 39,035 — — 39,035 Other investments 6,155 — — 6,155 Derivative assets 20,830 5,869 14,625 336 Liabilities HEI securitization non-controlling interest $ 22,329 $ — $ — $ 22,329 Derivative liabilities 16,855 16,841 — 14 ABS issued 7,424,132 — — 7,424,132 The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2023. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Purpose Consolidated Agency Multifamily Loans Trading Securities AFS HEI Servicer Advance Investments Excess MSRs MSRs and Other Investments (In Thousands) Beginning balance - $ 5,613,157 $ 5,332,586 $ 424,552 $ 108,329 $ 132,146 $ 403,462 $ 269,259 $ 39,035 $ 31,576 Acquisitions 1,050,444 — — 7,883 1,979 25,626 — — 500 Originations — 1,255,680 — — — — — — — Sales (226,646) (471,336) — (82,270) (54,339) — — — (272) Principal paydowns (363,128) (802,610) (6,198) (324) (632) (26,153) (55,828) — (114) 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 — — — — 1,304 — — — — Other settlements, net (1) (2,356) (47,181) — — — — — — (500) Ending balance - $ 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 (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 (1) Other settlements, net: for residential and business purpose loans, represents the transfer of loans to REO; for derivatives, represents the transfer of the fair value of loan purchase and interest rate lock commitments at the time loans are acquired to the basis of residential and business purpose loans; and for MSRs and other investments, primarily represents an investment that was exchanged into a new instrument that is no longer measured at fair value on a recurring basis. (2) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments and interest rate lock commitments, are presented on a net basis. The following table presents the portion of fair value gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at September 30, 2023 and 2022. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and nine months ended September 30, 2023 and 2022 are not included in this presentation. Table 5.4 – Portion of Net Fair Value Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at September 30, 2023 and 2022 Included in Net Income 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) (1) Represents the portion of net fair value gains or losses included in our consolidated statements of income related to securitized loans, securitized HEI, and the associated ABS issued at our consolidated securitization entities held at September 30, 2023 and 2022, which, netted together, represent the change in value of our investments at the consolidated VIEs accounted for under the CFE election, excluding REO. The following table presents information on assets recorded at fair value on a non-recurring basis at September 30, 2023. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at September 30, 2023. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at September 30, 2023 Gain (Loss) for September 30, 2023 Carrying 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) The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three and nine months ended September 30, 2023 and 2022. Table 5.6 – Market Valuation Gains and Losses, Net 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) Footnotes to Table 5.6 (1) Represents fair value changes on trading securities that are being used along with risk management derivatives to manage the market risks associated with our residential mortgage banking operations. (2) Mortgage banking activities, net presented above does not include fee income from loan originations or acquisitions, provisions for repurchases, and other expenses that are components of Mortgage banking activities, net presented on our consolidated statements of in come, as these amounts do not represent market valuation changes. (3) Includes changes in fair value of the loans held-for-investment, securitized HEI, REO, and ABS issued at the entities, which, netted together, represent the change in value of our investments at the consolidated VIEs accounted for under the CFE election. (4) Other income presented above does not include net MSR fee income or provisions for repurchases of MSRs, as these amounts do not represent market valuation adjustments. At September 30, 2023, our valuation policy and processes had not changed from those described in our Annual Report on Form 10-K for the year ended December 31, 2022. The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments September 30, 2023 Fair 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 Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) September 30, 2023 Fair 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 % (1) The weighted average input values for all loan types are based on unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value. (2) Values represent pricing inputs used in securitization pricing model. Credit spreads represent spreads to applicable swap rates unless specified otherwise. (3) The fair value of the loans and HEI held by consolidated entities is based on the fair value of the ABS issued by these entities and the securities and other investments we own in those entities, which we determined were more readily observable in accordance with accounting guidance for collateralized financing entities. At September 30, 2023, the fair value of securities we owned at the consolidated Sequoia, CAFL SFR, Freddie Mac SLST, Freddie Mac K-Series, and HEI securitization entities was $206 million, $316 million, $256 million, $33 million, and $15 million, respectively. (4) Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool). Determination of Fair Value We generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets and liabilities. Use of these techniques requires determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding table. Accordingly, a significant increase or decrease in any of these inputs in isolation — such as anticipated credit losses, prepayment rates, interest rates, or other valuation assumptions — would likely result in a significantly lower or higher fair value measurement. Included in Note 5 to the Consolidated Financial Statements of our Annual Report on Form 10-K for the year ended December 31, 2022 is a more detailed description of our financial instruments measured at fair value and their significant inputs, as well as the general classification of such instruments pursuant to the Level 1, Level 2, and Level 3 valuation hierarchy. Certain of our Other investments (inclusive of strategic investments in early-stage companies) are Level 3 financial instruments that we account for under the fair value option. These investments generally take the form of equity or debt with conversion features and do not have readily determinable fair values. We initially record these investments at cost and adjust their fair value based on observable price changes, such as follow-on capital raises or secondary sales, and will also evaluate impacts to valuation from changing market conditions and underlying business performance. As of September 30, 2023, the carrying value of these investments was $6 million. |
Residential Loans
Residential Loans | 9 Months Ended |
Sep. 30, 2023 | |
Receivables [Abstract] | |
Residential Loans | Residential Loans We acquire residential loans from third-party originators and may sell or securitize these loans or hold them for investment. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2023 and December 31, 2022. Table 6.1 – Classifications and Carrying Values of Residential Loans 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 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 At September 30, 2023, we owned mortgage servicing rights associated with $653 million (principal balance) of residential loans owned at Redwood that were purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2023 and December 31, 2022. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (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 — — The following table provides the activity of residential loans held-for-sale during the three and nine months ended September 30, 2023 and 2022. Table 6.3 – Activity of Residential Loans Held-for-Sale 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) (1) For the nine months ended September 30, 2022, includes $102 million, of loans acquired through calls of three seasoned Sequoia securitizations. (2) Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily through Mortgage banking activities, net on our consolidated statements of income. Residential Loans Held-for-Investment at Fair Value We invest in residential subordinate securities issued by Legacy Sequoia, Sequoia and Freddie Mac SLST securitization trusts and consolidate the underlying residential loans owned by these entities for financial reporting purposes in accordance with GAAP. The following tables summarize the characteristics of the residential loans owned at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2023 and December 31, 2022. Table 6.4 – Characteristics of Residential Loans Held-for-Investment 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 (1) For loans held at consolidated entities, the number and UPB of loans 90-or-more days delinquent includes loans in foreclosure. (2) The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . For loans held at our consolidated Legacy Sequoia, Sequoia, and Freddie Mac SLST entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded in Investment fair value changes, net on our consolidated statements of income. The following table provides the activity of residential loans held-for-investment at consolidated entities during the three and nine months ended September 30, 2023 and 2022. Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities 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) (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. REO See Note 13 for detail on residential loan REO activity during 2023. We originate and invest in business purpose loans, including term loans and bridge loans. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2023 and December 31, 2022. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans 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 All of the outstanding BPL term loans at September 30, 2023 were first-lien, fixed-rate loans with original maturities of three, five, seven, or ten years. The outstanding BPL bridge loans held-for-investment at September 30, 2023 were first-lien, interest-only loans with original maturities of six At September 30, 2023, we had $623 million in commitments to fund BPL bridge loans. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2023 and 2022. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (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) (1) For BPL term at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL term securitizations. For BPL bridge at Redwood, represents the transfer of BPL bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their inclusion in an existing bridge loan securitization with a replenishment feature. (2) During the nine months ended September 30, 2023, we substituted a pool of held-for-sale term loans at Redwood for a non-performing held-for-investment term loan at a consolidated CAFL securitization, each with unpaid principal balances of approximately $28 million. The negative investment fair value changes recorded for BPL Term at Redwood during the nine months ended September 30, 2023 were attributable to this substitution, with an equal and offsetting positive fair value change recorded for BPL Term at CAFL (related to the retained bond we own in the associated consolidated CAFL securitization). (3) Represents loan origination fee income and net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio and, for bridge loans, when transferred into a securitization. See Table 20.1 for additional detail on Mortgage banking activities income (loss). (4) For BPL Bridge at Redwood, represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. Business Purpose Loans Held-for-Investment at CAFL We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying BPL term loans and bridge loans owned by these entities. For loans held at our consolidated CAFL Term entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded through Investment fair value changes, net on our consolidated statements of income. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2 . We did not elect to account for the CAFL Bridge securitizations under the CFE guidelines. REO See Note 13 for detail on business purpose loan REO activity during 2023. The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2023 and 2022. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at 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 Nine Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at BPL Bridge at CAFL Net market valuation gains (losses) recorded (1) $ (1,961) $ (1,960) $ (419,182) $ 50 Transfers 278,751 337,657 — — (1) Net market valuation gains (losses) on business purpose loans held-for-investment at CAFL are recorded through Investment fair value changes, net on our consolidated statements of income. For loans held at our consolidated CAFL term entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2023 and December 31, 2022. Table 7.4 – Characteristics of Business Purpose Loans 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 Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for CFEs. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . Based on this methodology, we value the loans in each consolidated securitization on a pool basis and do not calculate separate fair values for loans that are 90+ days delinquent or in foreclosure. (2) The number and UPB of loans 90-or-more days delinquent includes all loans in foreclosure. At September 30, 2023, in addition to bridge loans that were 90 or more days delinquent, BPL bridge loans with a UPB of $216 million and a fair value of $203 million were on non-accrual status. Included in these amounts were bridge loans with $174 million of UPB that were modified during the third quarter of 2023 with first contractual payments under these modifications due in November 2023. We invest in multifamily subordinate securities issued by a Freddie Mac K-Series securitization trust and consolidate the underlying multifamily loans owned by this entity for financial reporting purposes in accordance with GAAP. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at September 30, 2023 and December 31, 2022. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans (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 — — The outstanding Consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at September 30, 2023 were first-lien, fixed-rate loans that were originated in 2015. The following table provides the activity of multifamily loans held-for-investment during the three and nine months ended September 30, 2023 and 2022. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment 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) (1) Net market valuation gains (losses) on multifamily loans held-for-investment are recorded through Investment fair value changes, net on our consolidated statements of income. For loans held at our consolidated Freddie Mac K-Series entity, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . |
Business Purpose Loans
Business Purpose Loans | 9 Months Ended |
Sep. 30, 2023 | |
Receivables [Abstract] | |
Business Purpose Loans | Residential Loans We acquire residential loans from third-party originators and may sell or securitize these loans or hold them for investment. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2023 and December 31, 2022. Table 6.1 – Classifications and Carrying Values of Residential Loans 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 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 At September 30, 2023, we owned mortgage servicing rights associated with $653 million (principal balance) of residential loans owned at Redwood that were purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2023 and December 31, 2022. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (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 — — The following table provides the activity of residential loans held-for-sale during the three and nine months ended September 30, 2023 and 2022. Table 6.3 – Activity of Residential Loans Held-for-Sale 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) (1) For the nine months ended September 30, 2022, includes $102 million, of loans acquired through calls of three seasoned Sequoia securitizations. (2) Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily through Mortgage banking activities, net on our consolidated statements of income. Residential Loans Held-for-Investment at Fair Value We invest in residential subordinate securities issued by Legacy Sequoia, Sequoia and Freddie Mac SLST securitization trusts and consolidate the underlying residential loans owned by these entities for financial reporting purposes in accordance with GAAP. The following tables summarize the characteristics of the residential loans owned at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2023 and December 31, 2022. Table 6.4 – Characteristics of Residential Loans Held-for-Investment 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 (1) For loans held at consolidated entities, the number and UPB of loans 90-or-more days delinquent includes loans in foreclosure. (2) The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . For loans held at our consolidated Legacy Sequoia, Sequoia, and Freddie Mac SLST entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded in Investment fair value changes, net on our consolidated statements of income. The following table provides the activity of residential loans held-for-investment at consolidated entities during the three and nine months ended September 30, 2023 and 2022. Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities 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) (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. REO See Note 13 for detail on residential loan REO activity during 2023. We originate and invest in business purpose loans, including term loans and bridge loans. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2023 and December 31, 2022. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans 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 All of the outstanding BPL term loans at September 30, 2023 were first-lien, fixed-rate loans with original maturities of three, five, seven, or ten years. The outstanding BPL bridge loans held-for-investment at September 30, 2023 were first-lien, interest-only loans with original maturities of six At September 30, 2023, we had $623 million in commitments to fund BPL bridge loans. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2023 and 2022. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (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) (1) For BPL term at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL term securitizations. For BPL bridge at Redwood, represents the transfer of BPL bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their inclusion in an existing bridge loan securitization with a replenishment feature. (2) During the nine months ended September 30, 2023, we substituted a pool of held-for-sale term loans at Redwood for a non-performing held-for-investment term loan at a consolidated CAFL securitization, each with unpaid principal balances of approximately $28 million. The negative investment fair value changes recorded for BPL Term at Redwood during the nine months ended September 30, 2023 were attributable to this substitution, with an equal and offsetting positive fair value change recorded for BPL Term at CAFL (related to the retained bond we own in the associated consolidated CAFL securitization). (3) Represents loan origination fee income and net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio and, for bridge loans, when transferred into a securitization. See Table 20.1 for additional detail on Mortgage banking activities income (loss). (4) For BPL Bridge at Redwood, represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. Business Purpose Loans Held-for-Investment at CAFL We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying BPL term loans and bridge loans owned by these entities. For loans held at our consolidated CAFL Term entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded through Investment fair value changes, net on our consolidated statements of income. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2 . We did not elect to account for the CAFL Bridge securitizations under the CFE guidelines. REO See Note 13 for detail on business purpose loan REO activity during 2023. The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2023 and 2022. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at 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 Nine Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at BPL Bridge at CAFL Net market valuation gains (losses) recorded (1) $ (1,961) $ (1,960) $ (419,182) $ 50 Transfers 278,751 337,657 — — (1) Net market valuation gains (losses) on business purpose loans held-for-investment at CAFL are recorded through Investment fair value changes, net on our consolidated statements of income. For loans held at our consolidated CAFL term entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2023 and December 31, 2022. Table 7.4 – Characteristics of Business Purpose Loans 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 Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for CFEs. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . Based on this methodology, we value the loans in each consolidated securitization on a pool basis and do not calculate separate fair values for loans that are 90+ days delinquent or in foreclosure. (2) The number and UPB of loans 90-or-more days delinquent includes all loans in foreclosure. At September 30, 2023, in addition to bridge loans that were 90 or more days delinquent, BPL bridge loans with a UPB of $216 million and a fair value of $203 million were on non-accrual status. Included in these amounts were bridge loans with $174 million of UPB that were modified during the third quarter of 2023 with first contractual payments under these modifications due in November 2023. We invest in multifamily subordinate securities issued by a Freddie Mac K-Series securitization trust and consolidate the underlying multifamily loans owned by this entity for financial reporting purposes in accordance with GAAP. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at September 30, 2023 and December 31, 2022. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans (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 — — The outstanding Consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at September 30, 2023 were first-lien, fixed-rate loans that were originated in 2015. The following table provides the activity of multifamily loans held-for-investment during the three and nine months ended September 30, 2023 and 2022. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment 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) (1) Net market valuation gains (losses) on multifamily loans held-for-investment are recorded through Investment fair value changes, net on our consolidated statements of income. For loans held at our consolidated Freddie Mac K-Series entity, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . |
Consolidated Agency Multifamily
Consolidated Agency Multifamily Loans | 9 Months Ended |
Sep. 30, 2023 | |
Receivables [Abstract] | |
Consolidated Agency Multifamily Loans | Residential Loans We acquire residential loans from third-party originators and may sell or securitize these loans or hold them for investment. The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2023 and December 31, 2022. Table 6.1 – Classifications and Carrying Values of Residential Loans 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 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 At September 30, 2023, we owned mortgage servicing rights associated with $653 million (principal balance) of residential loans owned at Redwood that were purchased from third-party originators. The value of these MSRs is included in the carrying value of the associated loans on our consolidated balance sheets. We contract with licensed sub-servicers that perform servicing functions for these loans. Residential Loans Held-for-Sale The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2023 and December 31, 2022. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (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 — — The following table provides the activity of residential loans held-for-sale during the three and nine months ended September 30, 2023 and 2022. Table 6.3 – Activity of Residential Loans Held-for-Sale 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) (1) For the nine months ended September 30, 2022, includes $102 million, of loans acquired through calls of three seasoned Sequoia securitizations. (2) Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily through Mortgage banking activities, net on our consolidated statements of income. Residential Loans Held-for-Investment at Fair Value We invest in residential subordinate securities issued by Legacy Sequoia, Sequoia and Freddie Mac SLST securitization trusts and consolidate the underlying residential loans owned by these entities for financial reporting purposes in accordance with GAAP. The following tables summarize the characteristics of the residential loans owned at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2023 and December 31, 2022. Table 6.4 – Characteristics of Residential Loans Held-for-Investment 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 (1) For loans held at consolidated entities, the number and UPB of loans 90-or-more days delinquent includes loans in foreclosure. (2) The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . For loans held at our consolidated Legacy Sequoia, Sequoia, and Freddie Mac SLST entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded in Investment fair value changes, net on our consolidated statements of income. The following table provides the activity of residential loans held-for-investment at consolidated entities during the three and nine months ended September 30, 2023 and 2022. Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities 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) (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. REO See Note 13 for detail on residential loan REO activity during 2023. We originate and invest in business purpose loans, including term loans and bridge loans. The following table summarizes the classifications and carrying values of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2023 and December 31, 2022. Table 7.1 – Classifications and Carrying Values of Business Purpose Loans 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 All of the outstanding BPL term loans at September 30, 2023 were first-lien, fixed-rate loans with original maturities of three, five, seven, or ten years. The outstanding BPL bridge loans held-for-investment at September 30, 2023 were first-lien, interest-only loans with original maturities of six At September 30, 2023, we had $623 million in commitments to fund BPL bridge loans. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2023 and 2022. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (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) (1) For BPL term at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL term securitizations. For BPL bridge at Redwood, represents the transfer of BPL bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their inclusion in an existing bridge loan securitization with a replenishment feature. (2) During the nine months ended September 30, 2023, we substituted a pool of held-for-sale term loans at Redwood for a non-performing held-for-investment term loan at a consolidated CAFL securitization, each with unpaid principal balances of approximately $28 million. The negative investment fair value changes recorded for BPL Term at Redwood during the nine months ended September 30, 2023 were attributable to this substitution, with an equal and offsetting positive fair value change recorded for BPL Term at CAFL (related to the retained bond we own in the associated consolidated CAFL securitization). (3) Represents loan origination fee income and net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio and, for bridge loans, when transferred into a securitization. See Table 20.1 for additional detail on Mortgage banking activities income (loss). (4) For BPL Bridge at Redwood, represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. Business Purpose Loans Held-for-Investment at CAFL We invest in securities issued by CAFL securitizations sponsored by CoreVest and consolidate the underlying BPL term loans and bridge loans owned by these entities. For loans held at our consolidated CAFL Term entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines, and are recorded through Investment fair value changes, net on our consolidated statements of income. The net impact to our income statement associated with our economic investments in these securitization entities is presented in Table 4.2 . We did not elect to account for the CAFL Bridge securitizations under the CFE guidelines. REO See Note 13 for detail on business purpose loan REO activity during 2023. The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2023 and 2022. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at 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 Nine Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at BPL Bridge at CAFL Net market valuation gains (losses) recorded (1) $ (1,961) $ (1,960) $ (419,182) $ 50 Transfers 278,751 337,657 — — (1) Net market valuation gains (losses) on business purpose loans held-for-investment at CAFL are recorded through Investment fair value changes, net on our consolidated statements of income. For loans held at our consolidated CAFL term entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . Business Purpose Loan Characteristics The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2023 and December 31, 2022. Table 7.4 – Characteristics of Business Purpose Loans 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 Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for CFEs. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . Based on this methodology, we value the loans in each consolidated securitization on a pool basis and do not calculate separate fair values for loans that are 90+ days delinquent or in foreclosure. (2) The number and UPB of loans 90-or-more days delinquent includes all loans in foreclosure. At September 30, 2023, in addition to bridge loans that were 90 or more days delinquent, BPL bridge loans with a UPB of $216 million and a fair value of $203 million were on non-accrual status. Included in these amounts were bridge loans with $174 million of UPB that were modified during the third quarter of 2023 with first contractual payments under these modifications due in November 2023. We invest in multifamily subordinate securities issued by a Freddie Mac K-Series securitization trust and consolidate the underlying multifamily loans owned by this entity for financial reporting purposes in accordance with GAAP. The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at September 30, 2023 and December 31, 2022. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans (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 — — The outstanding Consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at September 30, 2023 were first-lien, fixed-rate loans that were originated in 2015. The following table provides the activity of multifamily loans held-for-investment during the three and nine months ended September 30, 2023 and 2022. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment 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) (1) Net market valuation gains (losses) on multifamily loans held-for-investment are recorded through Investment fair value changes, net on our consolidated statements of income. For loans held at our consolidated Freddie Mac K-Series entity, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . |
Real Estate Securities
Real Estate Securities | 9 Months Ended |
Sep. 30, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Real Estate Securities | Real Estate Securities We invest in real estate securities that we create and retain from our Sequoia securitizations or acquire from third parties. The following table presents the fair values of our real estate securities by type at September 30, 2023 and December 31, 2022. Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) September 30, 2023 December 31, 2022 Trading $ 48,041 $ 108,329 Available-for-sale 81,404 132,146 Total Real Estate Securities $ 129,445 $ 240,475 Our real estate securities include mortgage-backed securities, which are presented in accordance with their general position within a securitization structure based on their rights to cash flows. Senior securities are those interests in a securitization that generally have the first right to cash flows and are last in line to absorb losses. Mezzanine securities are interests that are generally subordinate to senior securities in their rights to receive cash flows, and have subordinate securities below them that are first to absorb losses. Subordinate securities are all interests below mezzanine. Exclusive of our re-performing loan securities, nearly all of our residential securities are supported by collateral that was designated as prime at the time of issuance. Trading Securities We elected the fair value option for certain securities and classify them as trading securities. Our trading securities include both residential and multifamily mortgage-backed securities, and our residential securities also include securities backed by re-performing loans ("RPL"). The following table presents the fair value of trading securities by position and collateral type at September 30, 2023 and December 31, 2022. Table 9.2 – Fair Value of Trading Securities by Position (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 (1) Includes $29 million and $26 million of Sequoia certificated mortgage servicing rights at September 30, 2023 and December 31, 2022, respectively . The following table presents the unpaid principal balance of trading securities by position and collateral type at September 30, 2023 and December 31, 2022. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position (In Thousands) September 30, 2023 December 31, 2022 Senior (1) $ — $ — Subordinate 19,354 215,592 Total Trading Securities $ 19,354 $ 215,592 (1) Our senior trading securities are comprised of interest-only securities, for which there is no principal balance. The following table provides the activity of trading securities during the three and nine months ended September 30, 2023 and 2022. Table 9.4 – Trading Securities Activity 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) (1) Net market valuation gains (losses) on trading securities are recorded through Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income. AFS Securities The following table presents the fair value of our available-for-sale ("AFS") securities by position and collateral type at September 30, 2023 and December 31, 2022. Table 9.5 – Fair Value of Available-for-Sale Securities by Position (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 The following table provides the activity of available-for-sale securities during the three and nine months ended September 30, 2023 and 2022. Table 9.6 – Available-for-Sale Securities Activity 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) (1) Net unrealized gains (losses) on AFS securities are recorded on our consolidated balance sheets through Accumulated other comprehensive loss. We often purchase AFS securities at a discount to their outstanding principal balances. To the extent we purchase an AFS security that has a likelihood of incurring a loss, we do not amortize into income the portion of the purchase discount that we do not expect to collect due to the inherent credit risk of the security. We may also expense a portion of our investment in the security to the extent we believe that principal losses will exceed the purchase discount. We designate any amount of unpaid principal balance that we do not expect to receive and thus do not expect to earn or recover as a credit reserve on the security. Any remaining net unamortized discounts or premiums on the security are amortized into income over time using the effective yield method. At September 30, 2023, we had $4 million of AFS securities with contractual maturities less than five years, $4 million with contractual maturities greater than five years but less than ten years, and the remainder of our AFS securities had contractual maturities greater than ten years. The following table presents the components of carrying value (which equals fair value) of AFS securities at September 30, 2023 and December 31, 2022. Table 9.7 – Carrying Value of AFS Securities (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 The following table presents the changes for the three and nine months ended September 30, 2023, in unamortized discount and designated credit reserves on residential AFS securities. Table 9.8 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities Three Months Ended Nine Months Ended Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 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 AFS Securities with Unrealized Losses The following table presents the total carrying value (fair value) and unrealized losses of residential AFS securities that were in a gross unrealized loss position at September 30, 2023 and December 31, 2022. Table 9.9 – AFS Securities in Gross Unrealized Loss Position by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Fair Unrealized Fair Unrealized (In Thousands) September 30, 2023 $ 9,459 $ (585) $ 28,630 $ (8,399) December 31, 2022 72,679 (12,940) 1,414 (186) At September 30, 2023, after giving effect to purchases, sales, and extinguishment due to credit losses, our consolidated balance sheet included 66 AFS securities, of which 29 were in an unrealized loss position and 23 were in a continuous unrealized loss position for 12 consecutive months or longer. At December 31, 2022, our consolidated balance sheet included 79 AFS securities, of which 38 were in an unrealized loss position and one was in a continuous unrealized loss position for 12 consecutive months or longer. Evaluating AFS Securities for Credit Losses Gross unrealized losses on our AFS securities were $9 million at September 30, 2023. We evaluate all securities in an unrealized loss position to determine if the impairment is credit-related (resulting in an allowance for credit losses recorded in earnings) or non-credit-related (resulting in an unrealized loss through other comprehensive income). At September 30, 2023, we did not intend to sell any of our AFS securities that were in an unrealized loss position, and it is more likely than not that we will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. We review our AFS securities that are in an unrealized loss position to identify those securities with losses based on an assessment of changes in expected cash flows for such securities, which considers recent security performance and expected future performance of the underlying collateral. At September 30, 2023, our current expected credit loss ("CECL") allowance related to our AFS securities was $2.6 million. AFS securities for which an allowance is recognized have experienced, or are expected to experience, adverse cash flow changes. In determining our estimate of cash flows for AFS securities we may consider factors such as structural credit enhancement, past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, which are informed by prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, FICO scores at loan origination, year of origination, loan-to-value ratios, and geographic concentrations, as well as general market assessments. Changes in our evaluation of these factors impacted the cash flows expected to be collected at the assessment date and were used to determine if there were credit-related adverse cash flows and if so, the amount of credit-related losses. Significant judgment is used in both our analysis of the expected cash flows for our AFS securities and any determination of security credit losses. The table below summarizes the weighted average of the significant credit quality indicators we used for the credit loss allowance on our AFS securities at September 30, 2023. Table 9.10 – Significant Credit Quality Indicators September 30, 2023 Subordinate Securities Default rate 0.8% Loss severity 20% The following table details the activity related to the allowance for credit losses for AFS securities for the three and nine months ended September 30, 2023. Table 9.11 – Rollforward of Allowance for Credit Losses 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 Gains and losses from the sale of AFS securities are recorded as Realized gains, net, in our consolidated statements of income. The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and nine months ended September 30, 2023 and 2022. Table 9.12 – Gross Realized Gains and Losses on AFS Securities 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 |
Home Equity Investments (HEI)
Home Equity Investments (HEI) | 9 Months Ended |
Sep. 30, 2023 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Home Equity Investments (HEI) | Home Equity Investments (HEI) From time to time, we may purchase home equity investment contracts from third party originators under flow purchase agreements. Additionally, in the third quarter of 2023, we began to originate HEI. Each HEI provides the owner of such HEI the right to purchase a percentage ownership interest in an associated residential property, and the homeowner's obligations under the HEI are secured by a lien (primarily second liens) on the property created by recording a security instrument (e.g., deed of trust) with respect to the property . Our investments in HEI expose us to both home price appreciation and depreciation of the associated property. The following table presents our home equity investments at September 30, 2023 and December 31, 2022. Table 10.1 – Home Equity Investments (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 We consolidate the HEI securitization entity in accordance with GAAP and have elected to account for it under the CFE election. As such, market valuation changes for the securitized HEI are based on the estimated fair value of the associated ABS issued by the entity, including the securities we own in the entity. The following table details our HEI activity during the three and nine months ended September 30, 2023 and 2022. Table 10.2 – Activity of HEI 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 Nine Months Ended (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 (1) We account for HEI at Redwood under the fair value option and record net market valuation changes through Investment fair value changes, net on our Consolidated statements of income. We account for Securitized HEI under the CFE election and net market valuation gains (losses) for these investments are recorded through Investment fair value changes, net on our Consolidated statements of income. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . The following tables summarizes the characteristics of our HEI at September 30, 2023 and December 31, 2022. Table 10.3 – HEI Characteristics 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 |
Other Investments
Other Investments | 9 Months Ended |
Sep. 30, 2023 | |
Investments, All Other Investments [Abstract] | |
Other Investments | Other Investments Other investments at September 30, 2023 and December 31, 2022 are summarized in the following table. Table 11.1 – Components of Other Investments (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 Servicer advance investments We and a third-party co-investor, through two partnerships (“SA Buyers”) consolidated by us, purchased the outstanding servicer advances and excess MSRs related to portfolios of legacy residential mortgage-backed securitizations serviced by the co-investor. Refer to Note 11 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2022 for additional information regarding the transactions. At September 30, 2023, our servicer advance investments had a carrying value of $220 million and were associated with specified pools of residential mortgage loans with an unpaid principal balance of $10.45 billion. The outstanding servicer advance receivables associated with these investments were $185 million at September 30, 2023, which were financed with short-term non-recourse securitization debt. See Note 14 for additional detail on this debt. The servicer advance receivables were comprised of the following types of advances at September 30, 2023 and December 31, 2022. Table 11.2 – Components of Servicer Advance Receivables (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 We account for our servicer advance investments at fair value and during the three and nine months ended September 30, 2023, we recorded $5 million and $16 million, respectively, of interest income, through Other interest income, and recorded a net market valuation gain of $4 million and a gain of $6 million, respectively, through Investment fair value changes, net in our consolidated statements of income. Strategic Investments Strategic investments represent investments we made in companies either through our RWT Horizons venture investment platform or separately at a corporate level. At September 30, 2023, we had made a total of 35 investments in companies through RWT Horizons with a total carrying value of $23 million, as well as seven corporate-level investments. For the three and nine months ended September 30, 2023, we recognized a net mark-to-market valuation gain of $0.1 million and a loss of $3 million, respectively, on our strategic investments. During the three and nine months ended September 30, 2022, we recognized a net mark-to-market valuation gain of $1 million and $11 million, respectively, on our strategic investments. Market valuation changes on our strategic investments are recorded in Investment fair value changes, net on our consolidated statements of income. During the three and nine months ended September 30, 2023, we recorded losses from our strategic investments of $2 million and $3 million, respectively, in Other income, net on our consolidated statements of income. During the three and nine months ended September 30, 2022, we recorded losses from our strategic investments of $0.3 million and $0.4 million, respectively, in Other income, net on our consolidated statements of income. In the second quarter of 2023, we established a joint venture with a global investment manager to invest in BPL bridge loans originated by our CoreVest subsidiary. During the three months ended September 30, 2023, we sold $29 million of BPL bridge loans to the joint venture and at September 30, 2023, the carrying value of our investment in the joint venture was $1.6 million. We account for our investment in the joint venture under the equity method of accounting as we have a 20% non-controlling interest, but are deemed to be able to exert significant influence over the affairs of the joint venture. We adjust the carrying value of our equity method investment for our share of earnings or losses, dividends or return of capital on a quarterly basis. Excess MSRs In association with our servicer advance investments described above, we (through our consolidated SA Buyers) invested in excess MSRs associated with the same portfolio of legacy residential mortgage-backed securitizations. Additionally, we own excess MSRs associated with specified pools of multifamily loans. We account for our excess MSRs at fair value and during the three and nine months ended September 30, 2023, we recognized $3 million and $11 million, respectively, of interest income through Other interest income and for both the three and nine months ended September 30, 2023, we recorded net market valuation losses of $1 million through Investment fair value changes, net on our consolidated statements of income. Mortgage Servicing Rights We invest in mortgage servicing rights associated with residential mortgage loans and contract with licensed sub-servicers to perform all servicing functions for these loans. The majority of our investments in MSRs were made through the retention of servicing rights associated with the residential jumbo mortgage loans that we acquired and subsequently sold to third parties. For both the three and nine months ended September 30, 2023, we retained zero MSRs from sales of residential loans to third parties. We hold our MSR investments at our taxable REIT subsidiaries. At September 30, 2023 and December 31, 2022, our MSRs had a fair value of $26 million and $25 million, respectively, and were associated with loans with an aggregate principal balance of $2.07 billion and $2.19 billion, respectively. During the three and nine months ended September 30, 2023, including net market valuation gains and losses on our MSRs, we recorded net income related to our MSRs of $2 million and $6 million, respectively, through Other income on our consolidated statements of income. |
Derivative Financial Instrument
Derivative Financial Instruments | 9 Months Ended |
Sep. 30, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Derivative Financial Instruments The following table presents the fair value and notional amount of our derivative financial instruments at September 30, 2023 and December 31, 2022. Table 12.1 – Fair Value and Notional Amount of Derivative Financial Instruments September 30, 2023 December 31, 2022 Fair Notional Fair Notional (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 13,819 $ 190,000 $ 14,625 $ 285,000 TBAs 16,613 1,560,000 1,893 220,000 Interest rate futures 2,187 136,200 3,976 350,600 Assets - Other Derivatives Loan purchase and interest rate lock commitments 5,067 288,637 336 8,166 Total Assets $ 37,686 $ 2,174,837 $ 20,830 $ 863,766 Liabilities - Risk Management Derivatives TBAs $ (5,495) $ 425,000 $ (16,784) $ 845,000 Interest rate futures (199) 67,700 (57) 60,000 Liabilities - Other Derivatives Loan purchase and interest rate lock commitments (3,087) 606,170 (14) 3,532 Total Liabilities $ (8,781) $ 1,098,870 $ (16,855) $ 908,532 Total Derivative Financial Instruments, Net $ 28,905 $ 3,273,707 $ 3,975 $ 1,772,298 Risk Management Derivatives To manage, to varying degrees, risks associated with certain assets and liabilities on our consolidated balance sheets, we may enter into derivative contracts. At September 30, 2023, we were party to swaps and swaptions with an aggregate notional amount of $190 million, TBA agreements with an aggregate notional amount of $2 billion, and interest rate futures contracts with an aggregate notional amount of $204 million. At December 31, 2022, we were party to swaps and swaptions with an aggregate notional amount of $285 million, futures with an aggregate notional amount of $411 million and TBA agreements with an aggregate notional amount of $1.07 billion. For the three and nine months ended September 30, 2023, risk management derivatives had net market valuation gains of $23 million and gains of $18 million, respectively. For the three and nine months ended September 30, 2022, risk management derivatives had net market valuation gains of $76 million and gains of $198 million, respectively. These market valuation gains and losses are recorded in Mortgage banking activities, net and Investment fair value changes, net on our consolidated statements of income. Loan Purchase and Interest Rate Lock Commitments Loan purchase commitments ("LPCs") and interest rate lock commitments ("IRLCs") that qualify as derivatives are recorded at their estimated fair values. For the three and nine months ended September 30, 2023, LPCs and IRLCs had net market valuation gains of $6 million and gains of $8 million, respectively, which were recorded in Mortgage banking activities, net on our consolidated statements of income. For the three and nine months ended September 30, 2022, LPCs and IRLCs had net market valuation losses of $3 million and losses of $54 million, respectively, which were recorded in Mortgage banking activities, net on our consolidated statements of income. Derivatives Designated as Cash Flow Hedges For interest rate agreements previously designated as cash flow hedges, our total unrealized loss reported in Accumulated other comprehensive loss was $69 million and $72 million at September 30, 2023 and December 31, 2022, respectively. We are amortizing this loss into interest expense over the remaining term of our trust preferred securities and subordinated notes. For each of the three and nine months ended September 30, 2023 and 2022, we reclassified $1 million and $3 million, respectively, of realized net losses from Accumulated other comprehensive loss into Interest expense. As of September 30, 2023, we expect to amortize $4 million of realized losses related to terminated cash flow hedges into interest expense over the next twelve months. Derivative Counterparty Credit Risk As discussed in our Annual Report on Form 10-K for the year ended December 31, 2022, we consider counterparty risk as part of our fair value assessments of all derivative financial instruments at each quarter-end. At September 30, 2023, we assessed this risk as remote and did not record an associated specific valuation adjustment. At September 30, 2023, we were in compliance with our derivative counterparty ISDA agreements. |
Other Assets and Liabilities
Other Assets and Liabilities | 9 Months Ended |
Sep. 30, 2023 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets and Liabilities | Other Assets and Liabilities Other assets at September 30, 2023 and December 31, 2022 are summarized in the following table. Table 13.1 – Components of Other Assets (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 (1) Fixed assets and leasehold improvements had a basis of $17 million and accumulated depreciation of $9 million at September 30, 2023. Accrued expenses and other liabilities at September 30, 2023 and December 31, 2022 are summarized in the following table. Table 13.2 – Components of Accrued Expenses and Other Liabilities (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 Investment Receivable Investment receivable primarily consists of amounts receivable from third-party servicers related to principal and interest receivable from business purpose loans and fees receivable from servicer advance investments. Margin Receivable and Payable Margin receivable and payable resulted from margin calls between us and our counterparties under derivatives, master repurchase agreements, and warehouse facilities, whereby we or the counterparty posted collateral. We met all margin calls due through September 30, 2023. Operating Lease Right-of-Use Assets and Operating Lease Liabilities See Note 17 for additional information on leases. REO The following table summarizes the activity and carrying values of REO assets held at Redwood and at consolidated Legacy Sequoia, Freddie Mac SLST, and CAFL SFR entities during the nine months ended September 30, 2023. Table 13.3 – REO Activity 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 (1) For the nine months ended September 30, 2023, REO liquidations resulted in $0.6 million of realized losses, which were recorded in Investment fair value changes, net on our consolidated statements of income. The following table provides detail on the numbers of REO assets at Redwood and at consolidated Legacy Sequoia, Freddie Mac SLST, and CAFL entities at September 30, 2023 and December 31, 2022. Table 13.4 – REO Assets 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 Legal and Repurchase Reserves See Note 17 for additional information on legal and repurchase reserves. Payable to Non-Controlling Interests In 2018, Redwood and a third-party co-investor, through two partnership entities consolidated by Redwood, purchased servicer advances and excess MSRs related to a portfolio of residential mortgage loans serviced by the co-investor (see Note 4 and Note 11 for additional information on the partnership entities and associated investments). We account for the co-investor’s interests in the entities as liabilities, and at September 30, 2023, the carrying value of their interests was $23 million, representing their current economic interest in the entities. Earnings from the partnership entities are allocated to the co-investors on a proportional basis and during the three and nine months ended September 30, 2023, we allocated $2 million and $4 million, respectively, of income to the co-investors, recorded in Other expenses on our consolidated statements of income. In 2021, Redwood and a third-party investor co-sponsored the transfer and securitization of HEI through the HEI securitization entity and other third-party investors retained subordinate securities issued by the securitization entity alongside Redwood. See Note 10 |
Short-Term Debt
Short-Term Debt | 9 Months Ended |
Sep. 30, 2023 | |
Debt Disclosure [Abstract] | |
Short-Term Debt | Short-Term Debt We enter into repurchase agreements ("repo"), loan warehouse agreements, and other forms of collateralized (and generally uncommitted) short-term borrowings with several banks and major investment banking firms. At September 30, 2023, we had outstanding agreements with several counterparties and we were in compliance with all of the related covenants. The table below summarizes our short-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information at September 30, 2023 and December 31, 2022. Table 14.1 – Short-Term Debt 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 December 31, 2022 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate (1) Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse 7 $ 703,406 $ 2,550,000 6.16 % 3/2023 - 12/2023 267 Business purpose loan warehouse 4 680,100 1,650,000 6.93 % 3/2023 - 9/2023 179 Real estate securities repo 7 124,909 — 5.22 % 1/2023 - 3/2023 27 HEI warehouse 1 111,681 150,000 8.54 % 11/2023 306 Total Short-Term Debt Facilities 19 1,620,096 Servicer advance financing 1 206,510 290,000 6.67 % 11/2023 305 Promissory notes N/A 27,058 — 6.64 % N/A N/A Convertible notes, net N/A 176,015 — 4.75 % 8/2023 227 Total Short-Term Debt $ 2,029,679 (1) Borrowings under our facilities generally are uncommitted and charged interest based on a specified margin over SOFR. (2) Promissory notes payable on demand to lender with 90-day notice. The following table below presents the value of loans, securities, and other assets pledged as collateral under our short-term debt at September 30, 2023 and December 31, 2022. Table 14.2 – Collateral for Short-Term Debt (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 (1) Includes certificated mortgage servicing rights classified as securities on our consolidated balance sheets. (2) Represents securities we retained from consolidated securitization entities. For GAAP purposes, we consolidate the loans and non-recourse ABS issued from these securitizations. For the three and nine months ended September 30, 2023, the average balance of our short-term debt facilities was $1.02 billion and $1.14 billion, respectively. At September 30, 2023 and December 31, 2022, accrued interest payable on our short-term debt facilities was $5 million. Servicer advance financing consists of non-recourse short-term securitization debt used to finance servicer advance investments. We consolidate the securitization entity that issued the debt, but the entity is independent of Redwood and the assets and liabilities are not owned by and are not legal obligations of Redwood. In 2019, a subsidiary of Redwood entered into a repurchase agreement providing non-marginable (i.e., not subject to margin calls based solely on the lender's determination, in its discretion, of the market value of the underlying collateral that is non-delinquent) recourse debt financing of certain Sequoia securities as well as securities retained from our consolidated Sequoia securitizations ("Subordinate securities financing" in Table 14.1 above). The financing is fully and unconditionally guaranteed by Redwood, and had an interest rate of approximately 4.21% through September 2022, which increased to 5.71% from October 2022 through September 2023, and will increase to 7.21% from October 2023 through September 2024. The financing facility has a final maturity in September 2024. During the three months ended September 30, 2023, we reclassified this facility from long-term to short-term debt as the maturity date on this facility is within one year. In connection with our acquisition of Riverbend, we assumed promissory notes that are payable on demand with a 90-day notice from the lender or which may be repaid by us with a 90-day notice. These unsecured, non-marginable, recourse notes were issued in three separate series with fixed interest rates between 6% and 8%. During the three and nine months ended September 30, 2023, we repurchased $2 million and $66 million, respectively, of convertible debt due in 2023 and 2024, and recorded a $0.02 million gain and a $0.2 million gain on extinguishment, respectively. At September 30, 2023 the outstanding principal balance of our convertible debt due in July 2024 was $148 million. Remaining Maturities of Short-Term Debt The following table presents the remaining maturities of our secured short-term debt by the type of collateral securing the debt at September 30, 2023. Table 14.3 – Short-Term Debt by Collateral Type and Remaining Maturities 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 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued | 9 Months Ended |
Sep. 30, 2023 | |
Debt Disclosure [Abstract] | |
Asset-Backed Securities Issued | Asset-Backed Securities Issued ABS issued represents securities issued by non-recourse securitization entities we consolidate under GAAP. The majority of our ABS issued is carried at fair value under the CFE election (see Note 4 for additional detail) with the remainder carried at amortized cost. The carrying values of ABS issued by our consolidated securitization entities at September 30, 2023 and December 31, 2022, along with other selected information, are summarized in the following table. Table 15.1 – Asset-Backed Securities Issued September 30, 2023 Legacy Sequoia CAFL (1) Freddie Mac SLST Freddie Mac 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 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 (1) Includes $485 million (principal balance) of ABS issued by two CAFL bridge securitization trusts sponsored by Redwood and accounted for at amortized cost at both September 30, 2023 and December 31, 2022. (2) Includes $86 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at December 31, 2022. (3) Certain ABS issued by CAFL and HEI securitization entities are subject to early redemption and interest rate step-ups as described below. During the second quarter of 2022, we consolidated the assets and liabilities of a securitization entity formed in connection with the securitization of CoreVest BPL bridge loans (presented within CAFL in Table 15.1 above), which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $215 million (principal balance) of ABS issued to third parties and retained the remaining beneficial ownership interest in the trust. The ABS were issued at a discount and we have elected to account for the ABS issued at amortized cost. At September 30, 2023, the principal balance of the ABS issued was $215 million, and the unamortized debt discount and deferred issuance costs were $3 million in total, for a net carrying value of $212 million. The weighted average stated coupon of the ABS issued was 4.32% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in May 2024, and beginning in June 2025, the interest rate on the ABS issued increases by 2% through final maturity in May 2029. The ABS issued by this securitization were collateralized by $237 million of BPL bridge loans and $17 million of restricted cash and other assets at September 30, 2023. The securitization is structured with $250 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 24 months of the transaction (through May 2024), unless an amortization event occurs prior to the expiration of the 24-month reinvestment period. Amortization trigger events include, among other events, delinquency rates or default rates exceeding specified thresholds for three consecutive periods, or the effective advance rate exceeding a specified threshold. During the third quarter of 2021, we consolidated the assets and liabilities of a securitization entity formed in connection with the securitization of CoreVest BPL bridge loans (presented within CAFL in table 15.1 above), which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $270 million (principal balance) of ABS issued to third parties and retained the remaining beneficial ownership interest in the trust. The ABS were issued at a discount and we have elected to account for the ABS issued at amortized cost. At September 30, 2023, the principal balance of the ABS issued was $270 million, and the unamortized debt discount and deferred issuance costs were $1 million, for a net carrying value of $269 million. The weighted average stated coupon of the ABS issued was 2.34% at issuance. The ABS issued by the CAFL bridge entity are subject to an optional redemption in March 2024, and beginning in March 2025 the interest rate on the ABS issued increases by 2% through final maturity in March 2029. The ABS issued by this securitization were backed by assets including $288 million of BPL bridge loans and $29 million of restricted cash and other assets at September 30, 2023. The securitization is structured with $300 million of total funding capacity and a feature to allow reinvestment of loan payoffs for the first 30 months of the transaction (through March 2024), unless an amortization event occurs prior to the expiration of the 30-month reinvestment period. Amortization trigger events include, among other events, delinquency rates or default rates exceeding specified thresholds for three consecutive periods, or the effective advance rate exceeding a specified threshold. During the third quarter of 2021, we consolidated the assets and liabilities of an HEI entity formed in connection with the securitization of HEI, which we determined was a VIE and for which we determined we are the primary beneficiary. At issuance, we sold $146 million (principal balance) of ABS issued to third parties and retained a portion of the remaining beneficial ownership interest in the trust. We elected to account for the entity under the CFE election and account for the ABS issued at fair value, with the entire change in fair value of the ABS issued (including accrued interest) recorded through Investment fair value changes, net on our consolidated statements of income. The ABS issued by the HEI securitization entity are subject to an optional redemption in September 2023, and beginning in September 2024 the interest rate on the ABS issued increases by 2% through final maturity in 2052. During the third quarter of 2020, we transferred all of the subordinate securities we owned from two consolidated re-performing loan securitization VIEs sponsored by Freddie Mac SLST to a re-securitization trust, which we determined was a VIE and for which we determined we are the primary beneficiary. During the first quarter of 2023, we called the Freddie Mac SLST re-securitization and paid off the associated outstanding ABS. The actual maturity of each class of ABS issued is primarily determined by the rate of principal prepayments on the assets of the issuing entity. Each series is also subject to redemption prior to the stated maturity according to the terms of the respective governing documents of each ABS issuing entity. As a result, the actual maturity of ABS issued may occur earlier than the stated maturity. At September 30, 2023, the majority of the ABS issued and outstanding had contractual maturities beyond five years. See Note 4 for detail on the carrying value components of the collateral for ABS issued and outstanding. The following table summarizes the accrued interest payable on ABS issued at September 30, 2023 and December 31, 2022. Interest due on consolidated ABS issued is payable monthly. Table 15.2 – Accrued Interest Payable on Asset-Backed Securities Issued (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 (1) Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood at December 31, 2022. |
Long-Term Debt
Long-Term Debt | 9 Months Ended |
Sep. 30, 2023 | |
Debt Disclosure [Abstract] | |
Long-Term Debt | Long-Term Debt The tables below summarize our long-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rates, and the maturity information at September 30, 2023 and December 31, 2022. Table 16.1 – Long-Term Debt 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 (1) Variable rate borrowings are based on 1- or 3-month LIBOR ("L" in the table above) or SOFR, plus an applicable spread. As a result of legislation that was passed in the state of New York, our trust preferred securities and subordinated notes converted to SOFR upon the cessation of LIBOR in 2023. During the three months ended September 30, 2023, we reclassified Facility H and Facility I in Table 16.1 above from short-term debt to long-term debt as the maturity dates for these facilities were extended to July 2025 and March 2025, respectively. Additionally, during the three months ended September 30, 2023, we reclassified the 5.625% convertible senior notes presented in Table 16.1 above at December 31, 2022, to short-term debt, as the maturity of these notes was less than one year at September 30, 2023. Refer to Note 16 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2022, for a full description of our long-term debt. The following table below presents the value of loans, securities, and other assets pledged as collateral under our long-term debt at September 30, 2023 and December 31, 2022. Table 16.2 – Collateral for Long-Term Debt (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 (1) Represents securities we have retained from consolidated securitization entities. For GAAP purposes, we consolidate the loans and non-recourse ABS debt issued from these securitizations. The following table summarizes the accrued interest payable on long-term debt at September 30, 2023 and December 31, 2022. Table 16.3 – Accrued Interest Payable on Long-Term Debt (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 Recourse Subordinate Securities Financing Facilities In the first quarter of 2020, a subsidiary of Redwood entered into a repurchase agreement providing non-marginable recourse debt financing of certain securities retained from our consolidated CAFL securitizations (Facility B in Table 16.1 above). The financing is fully and unconditionally guaranteed by Redwood, and had an interest rate of approximately 4.21% through February 2023, which increased to 5.71% from March 2023 through February 2024, and will increase to 7.21% from March 2024 through February 2025. The financing facility may be terminated at our option and has a final maturity in February 2025. In the third quarter of 2021, a subsidiary of Redwood entered into a repurchase agreement providing non-marginable recourse debt financing of certain securities retained from our consolidated CAFL securitizations (Facility C in Table 16.1 above). The financing is guaranteed by Redwood, with an interest rate of approximately 4.75% through June 2024, increasing to 6.25% from July 2024 through June 2025, and to 7.75% from July 2025 to June 2026. The financing facility may be terminated at our option and has a final maturity in June 2026. During the three months ended September 30, 2023, we reclassified a recourse subordinate securities financing facility (Facility A in Table 16.1 above at December 31, 2022) to short-term debt as the maturity of this facility was less than a year at September 30, 2023. See Note 14 for a further description of this facility. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Lease Commitments At September 30, 2023, we were obligated under ten non-cancelable operating leases with expiration dates through 2031 for $18 million of cumulative lease payments. For both the nine-month periods ended September 30, 2023 and 2022 our operating lease expense was $4 million. The following table presents our future lease commitments at September 30, 2023. Table 17.1 – Future Lease Commitments by Year (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 During the nine months ended September 30, 2023, we entered into one new office lease. At September 30, 2023, our operating lease liabilities were $16 million, which were a component of Accrued expenses and other liabilities Other assets We determined that none of our leases contained an implicit interest rate and used a discount rate equal to our incremental borrowing rate on a collateralized basis to determine the present value of our total lease payments. As such, we determined the applicable discount rate for each of our leases using a swap rate plus an applicable spread for borrowing arrangements secured by our real estate loans and securities for a length of time equal to the remaining lease term on the lease commencement date. At September 30, 2023, the weighted-average remaining lease term and weighted-average discount rate for our leases was 4 years and 5.2%, respectively. Commitment to Fund BPL Bridge Loans As of September 30, 2023, we had commitments to fund up to $623 million of additional advances on existing BPL bridge loans. These commitments are generally subject to loan agreements with covenants regarding the financial performance of the borrower and other terms regarding advances that must be met before we fund the commitment. At September 30, 2023, we carried a $1 million contingent liability related to these commitments to fund construction advances. During the three and nine months ended September 30, 2023, we recorded a net market valuation loss of $0.4 million and gain of $0.3 million, respectively, related to this liability through Mortgage banking activities and Investment of fair value changes, net on our consolidated statements of income. Commitment to Fund Partnerships In 2018, we invested in two partnerships created to acquire and manage certain mortgage servicing related assets. See Note 11 for additional detail on these investments. In connection with these investments, we are required to fund future net servicer advances related to the underlying mortgage loans. The actual amount of net servicer advances we may fund in the future is subject to significant uncertainty and will be based on the credit and prepayment performance of the underlying loans. Commitments to Fund Strategic Investments In the first quarter of 2022, we entered into a $25 million commitment to an investment fund with the mission of providing quality workforce housing opportunities in several California urban communities, including the San Francisco Bay Area. At September 30, 2023, we had funded $15 million of this commitment. This investment is included in Other investments on our consolidated balance sheets. In 2021, we entered into a commitment to fund a $5 million RWT Horizons investment. At September 30, 2023, we had funded $2 million of this commitment. This investment is included in Other investments on our consolidated balance sheets. Commitment to Fund Oaktree Joint Venture In the second quarter of 2023, we established a joint venture with a global investment manager to invest in BPL bridge loans originated by our CoreVest subsidiary. In accordance with the terms of the joint venture, we have committed to sell certain BPL bridge loans we originate into the joint venture that meet specified criteria at contractually pre-established prices. Additionally, we have committed to contribute up to $50 million to the joint venture to fund the joint venture's purchase of BPL bridge loans. At September 30, 2023, we had contributed $1 million of capital to the joint venture. Riverbend Contingent Consideration As part of the consideration for our acquisition of Riverbend, we may make earnout payments payable in cash, based on generating specified revenues over a threshold amount during the two-year period ending July 1, 2024, up to a maximum potential amount payable of $25.3 million. These contingent earnout payments are classified as a contingent consideration liability on our consolidated balance sheets and carried at fair value. At September 30, 2023, our estimated fair value of this contingent liability was zero. Loss Contingencies — Risk-Sharing During 2015 and 2016, we sold conforming loans to the Agencies with an original unpaid principal balance of $3.19 billion, subject to our risk-sharing arrangements with the Agencies. At September 30, 2023, the maximum potential amount of future payments we could be required to make under these arrangements was $44 million and this amount was partially collateralized by assets we transferred to pledged accounts and is presented as pledged collateral in Other assets on our consolidated balance sheets. We have no recourse to any third parties that would allow us to recover any amounts related to our obligations under the arrangements. At September 30, 2023, we had incurred less than $100 thousand of cumulative losses under these arrangements. For the three and nine months ended September 30, 2023, other income related to these arrangements was $0.2 million and $0.5 million, respectively. All of the loans in the reference pools subject to these risk-sharing arrangements were originated in 2014 and 2015, and at September 30, 2023, the loans had an unpaid principal balance of $406 million, a weighted average FICO score of 761 (at origination), and LTV ratio of 74% (at origination). At September 30, 2023, $7 million of the loans were 90 or more days delinquent, of which three loans with an unpaid principal balance of $1 million were in foreclosure. At September 30, 2023, the carrying value of our guarantee obligation was $6 million and included $5 million designated as a non-amortizing credit reserve, which we believe is sufficient to cover current expected losses under these obligations. Our consolidated balance sheets include assets of special purpose entities ("SPEs") associated with these risk-sharing arrangements (i.e., the "pledged collateral" referred to above) that can only be used to settle obligations of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to us. At September 30, 2023 and December 31, 2022, assets of such SPEs totaled $28 million and $30 million, respectively, and at both September 30, 2023 and December 31, 2022 liabilities of such SPEs totaled $6 million. Loss Contingencies — Repurchase Reserves We maintain a repurchase reserve for potential obligations arising from representation and warranty violations related to loans we have sold. We do not originate residential loans and we believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, for example, where loans were acquired from companies that have since become insolvent, repurchase claims may result in our being liable for a repurchase obligation. At September 30, 2023 and December 31, 2022, our repurchase reserve associated with our residential loans and MSRs was $5 million and $6 million, respectively, and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. During the nine months ended September 30, 2023 and 2022, we received one and seven repurchase request(s), respectively, and repurchased five and one loan(s), respectively. During the nine months ended September 30, 2023 and 2022, we recorded reversals of repurchase provision expenses of $1 million and $4 million, respectively, in Mortgage banking activities, net, on our consolidated statements of income. At September 30, 2023 and December 31, 2022, our repurchase reserve associated with business purpose loans sold to third-parties was zero and $1 million, respectively, and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. During the nine months ended September 30, 2023 and 2022, we received six and zero repurchase requests, respectively, for business purpose loans sold to third parties, and repurchased twelve and zero business purpose loans, respectively, that had been sold to third parties. No repurchase provision was recorded during the first nine months of 2023 and, at September 30, 2023, one open repurchase request was outstanding for business purpose loans sold to third parties. Loss Contingencies — Litigation, Claims and Demands There is no significant update regarding the litigation matters described in Note 17 within the financial statements included in Redwood’s Annual Report on Form 10-K for the year ended December 31, 2022 under the heading “ Loss Contingencies - Litigation, Claims and Demands |
Equity
Equity | 9 Months Ended |
Sep. 30, 2023 | |
Equity [Abstract] | |
Equity | Equity The following table provides a summary of changes to Accumulated other comprehensive income (loss) by component for the three and nine months ended September 30, 2023 and 2022. Table 18.1 – Changes in Accumulated Other Comprehensive Income (Loss) by Component 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 (3,921) — (8,731) — Amounts reclassified from other 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) Nine Months Ended September 30, 2023 Nine 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 $ 3,435 $ (72,303) $ 67,503 $ (76,430) Other comprehensive income (loss) 398 — (60,013) — Amounts reclassified from other 645 3,087 918 3,087 Net current-period other comprehensive income (loss) 1,043 3,087 (59,095) 3,087 Balance at End of Period $ 4,478 $ (69,216) $ 8,408 $ (73,343) The following table provides a summary of reclassifications out of Accumulated other comprehensive income (loss) for the three and nine months ended September 30, 2023 and 2022. Table 18.2 – Reclassifications Out of Accumulated Other Comprehensive Income (Loss) Amount Reclassified From Affected Line Item in the Three Months Ended September 30, (In Thousands) Income Statement 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 Amortization of deferred loss Interest expense $ 1,040 $ 1,040 $ 1,040 $ 1,040 Amount Reclassified From 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 Amortization of deferred loss Interest expense $ 3,087 $ 3,087 $ 3,087 $ 3,087 Issuance of Common Stock We have an established program to sell common stock from time to time in at-the-market ("ATM") offerings. During the three and nine months ended September 30, 2023, we issued 4,243,982 shares of common stock for proceeds of $33 million under this program. At September 30, 2023, the share issuance capacity under this program was $141 million. Issuance of Preferred Stock In January 2023, Redwood issued 2,800,000 shares of 10.00% Series A Fixed-Rate Reset Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") for gross proceeds of $70 million and net proceeds of approximately $67 million after deducting the underwriting discount and other estimated expenses. The Series A Preferred Stock will pay quarterly cumulative cash dividends beginning April 15, 2023 to January 15, 2028 at a fixed annual rate of 10%, based on the stated liquidation preference of $25.00 per share, in arrears, when authorized by Redwood's Board of Directors and declared by the Company. Starting April 15, 2028, the annual dividend rate will reset to the five-year U.S. Treasury Rate plus a spread of 6.278%. The Series A Preferred Stock ranks senior to Redwood's common stock with respect to rights to the payment of dividends and the distribution of assets upon any liquidation, dissolution or winding up of the Company. During the three and nine months ended September 30, 2023, the Company declared preferred stock dividends of $0.625 and $1.85417 per share, respectively. At September 30, 2023, preferred dividends payable totaling $1 million for the third quarter 2023 dividend were included in Accrued expenses and other liabilities and were payable on October 16, 2023 to stockholders of record on September 30, 2023. Direct Stock Purchase and Dividend Reinvestment Plan During the nine months ended September 30, 2023, we did not issue any shares of common stock through our Direct Stock Purchase and Dividend Reinvestment Plan. At September 30, 2023, approximately 6 million shares remained outstanding for future offerings under this plan. Earnings per Common Share The following table provides the basic and diluted earnings per common share computations for the three and nine months ended September 30, 2023 and 2022. Table 18.3 – Basic and Diluted Earnings (Loss) per Common Share Three Months Ended September 30, Nine Months Ended September 30, (In Thousands, except Share Data) 2023 2022 2023 2022 Basic Loss per Common Share: Net loss related to common stockholders $ (32,560) $ (50,411) $ (28,244) $ (119,462) Less: Dividends and undistributed earnings allocated to participating securities (792) (1,158) (3,072) (3,445) Net loss related to to common stockholders $ (33,352) $ (51,569) $ (31,316) $ (122,907) Basic weighted average common shares outstanding 115,465,977 116,087,890 114,381,548 118,530,172 Basic Loss per Common Share $ (0.29) $ (0.44) $ (0.27) $ (1.04) Diluted Loss per Common Share: Net loss related to common stockholders $ (32,560) $ (50,411) $ (28,244) $ (119,462) 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 — — — — Net loss related to common stockholders $ (33,352) $ (51,569) $ (31,316) $ (122,907) Weighted average common shares outstanding 115,465,977 116,087,890 114,381,548 118,530,172 Net effect of dilutive equity awards — — — — Net effect of assumed convertible notes conversion to common shares — — — — Diluted weighted average common shares outstanding 115,465,977 116,087,890 114,381,548 118,530,172 Diluted Loss per Common Share $ (0.29) $ (0.44) $ (0.27) $ (1.04) We included participating securities, which are certain equity awards that have non-forfeitable dividend participation rights, in the calculations of basic and diluted earnings per common share as we determined that the two-class method was more dilutive than the alternative treasury stock method for these shares. Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances. During the three and nine months ended September 30, 2023 and 2022, none of our convertible notes were determined to be dilutive and were not included in the calculation of diluted EPS under the "if-converted" method. Under this method, the periodic interest expense (net of applicable taxes) for dilutive notes is added back to the numerator and the weighted average number of shares that the notes are entitled to (if converted) are included in the denominator. For the three and nine months ended September 30, 2023, 40,763,478 and 43,910,345 of common shares, respectively, related to the assumed conversion of our convertible notes were antidilutive and were excluded in the calculation of diluted earnings per share. For the three and nine months ended September 30, 2022, 49,137,808 and 37,307,705 of common shares, respectively, related to the assumed conversion of our convertible notes were antidilutive and were excluded in the calculation of diluted earnings per share. For the three and nine months ended September 30, 2023, the number of outstanding equity awards that were antidilutive totaled 24,539 and 81,267, respectively. For the three and nine months ended September 30, 2022, the number of outstanding equity awards that were antidilutive totaled 249,178 and 268,737, respectively. Stock Repurchases In July 2022, our Board of Directors approved an authorization for the repurchase of up to $125 million of our common stock, and also authorized the repurchase of outstanding debt securities, including convertible and exchangeable debt. This authorization has no expiration date and does not obligate us to acquire any specific number of shares or securities. During the three months ended September 30, 2023, we did not repurchase any shares of our common stock under this program. At September 30, 2023, $101 million of the current authorization remained available for the repurchase of shares of our common stock and we also continued to be authorized to repurchase outstanding debt securities. |
Equity Compensation Plans
Equity Compensation Plans | 9 Months Ended |
Sep. 30, 2023 | |
Share-Based Payment Arrangement [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans During the second quarter of 2023, Redwood shareholders approved an additional 9,650,000 shares of common stock for grant under our Incentive Plan. At September 30, 2023 and December 31, 2022, 12,268,074 and 2,896,604 shares of common stock, respectively, were available for grant under our Incentive Plan. The unamortized compensation cost of awards issued under the Incentive Plan, which are settled by delivery of shares of common stock, and purchases under the Employee Stock Purchase Plan, totaled $30 million at September 30, 2023, as shown in the following table. Table 19.1 – Activities of Equity Compensation Costs by Award Type Nine Months Ended September 30, 2023 (In Thousands) Restricted Stock Units Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 5,068 $ 19,849 $ 15,271 $ — $ 40,188 Equity grants 2,092 6,865 — 422 9,379 Performance-based valuation adjustment — — (3,205) — (3,205) Equity grant forfeitures (1,088) (719) — — (1,807) Equity compensation expense (2,411) (8,911) (2,895) (318) (14,535) Unrecognized Compensation Cost at End of Period $ 3,661 $ 17,084 $ 9,171 $ 104 $ 30,020 At September 30, 2023, the weighted average amortization period remaining for all of our equity awards was less than two years. Restricted Stock Units ("RSUs") At September 30, 2023 and December 31, 2022, there were 585,284 and 806,119 RSUs outstanding, respectively. During the nine months ended September 30, 2023, there were 263,590 RSUs granted, 354,813 RSUs distributed, and 129,612 RSUs forfeited. Unvested RSUs at September 30, 2023 vest through 2027. Deferred Stock Units (“DSUs”) At September 30, 2023 and December 31, 2022, there were 4,896,376 and 4,831,338 DSUs outstanding, respectively, of which 2,700,517 and 2,495,787, respectively, had vested. During the nine months ended September 30, 2023, there were 936,206 DSUs granted, 821,046 DSUs distributed, and 50,122 DSUs forfeited. Unvested DSUs at September 30, 2023 vest through 2027. Performance Stock Units (“PSUs”) At September 30, 2023 and December 31, 2022, the target number of PSUs that were unvested was 2,078,171 and 2,354,002, respectively. Vesting for PSUs generally occurs three years from their respective grant dates based on various total shareholder return performance calculations, as discussed in Note 19 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2022. For 275,831 target PSU awards that were granted in December 2019, the performance vesting period ended on January 1, 2023. These 2019 PSU awards failed to reach a threshold level under their performance-based vesting criteria and resulted in the vesting of no shares of our common stock underlying these PSUs. During the nine months ended September 30, 2023, for PSUs granted in 2021 and 2020, we adjusted the cumulative expected amortization expense down by $3 million to reflect our revised vesting estimate regarding the vesting of these awards in relation to the book value TSR performance condition for the second-year vesting tranche of the 2021 PSU grant and the third-year vesting tranche of the 2020 PSU grant. Employee Stock Purchase Plan ("ESPP") The ESPP allows a maximum of 850,000 shares of common stock to be purchased in aggregate for all employees. As of September 30, 2023 and December 31, 2022, 739,404 and 657,777 shares had been purchased, respectively, and there remained a negligible amount of uninvested employee contributions in the ESPP at September 30, 2023. |
Mortgage Banking Activities, Ne
Mortgage Banking Activities, Net | 9 Months Ended |
Sep. 30, 2023 | |
Mortgage Banking [Abstract] | |
Mortgage Banking Activities, Net | Mortgage Banking Activities, Net The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the three and nine months ended September 30, 2023 and 2022. Table 20.1 – Mortgage Banking Activities 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 (1) For residential loans, includes changes in fair value for associated loan purchase commitments. For BPL term loans, includes changes in fair value for associated interest rate lock commitments. (2) Represents fair value changes on trading securities that are being used along as hedges to manage the mark-to-market risks associated with our residential mortgage banking operations. (3) Represents market valuation changes of derivatives that were used to manage risks associated with our mortgage banking operations. (4) Amounts in this line item include other fee income from loan acquisitions and provisions for repurchases, presented net. (5) Amounts in this line item include other fee income from loan originations. |
Other Income, Net
Other Income, Net | 9 Months Ended |
Sep. 30, 2023 | |
Other Income and Expenses [Abstract] | |
Other Income, Net | Other Income, Net The following table presents the components of Other income recorded in our consolidated statements of income for the three and nine months ended September 30, 2023 and 2022. Table 21.1 – Other Income, Net 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 (1) Includes servicing fees and fair value changes for MSRs and related hedges, net. (2) Includes asset management fees, extension fees, default interest and other fees. |
Components of Operating Expense
Components of Operating Expenses | 9 Months Ended |
Sep. 30, 2023 | |
Other Income and Expenses [Abstract] | |
Components of Operating Expenses | Components of Operating Expenses Components of our general and administrative expenses, loan acquisition costs, and other expenses for the three and nine months ended September 30, 2023 and 2022 are presented in the following table. Table 22.1 – Components of Operating Expenses 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 (1) Includes $2 million of severance and transition-related expenses for the nine months ended September 30, 2023. (2) For the three months ended September 30, 2023 and 2022, long-term incentive award expense included $3 million and $5 million of expense, respectively, for awards settleable in shares of our common stock, and $2 million and $0.1 million of expense, respectively, for awards settleable in cash. For the nine months ended September 30, 2023 and 2022, long-term incentive award expense included $14 million and $15 million, respectively, of expense for awards settleable in shares of our common stock, and $5 million and $1 million of expense, respectively, for awards settleable in cash. Long-Term Cash-Based Awards During the three and nine months ended September 30, 2023, there were $1 million of long-term cash-based retention awards granted to employees. Cash-based retention awards were granted to certain executive and non-executive employees between 2020 and 2023 that vest over one Cash Settled Deferred Stock Units During the nine months ended September 30, 2023, there were no cash-settled deferred stock units granted to employees. Cash-settled deferred stock units that were granted in 2020, 2021 and 2022, each vest over four-year periods and are subject to continued employment through the vesting periods through 2026. At September 30, 2023, the liability associated with these awards was $3 million, and the unamortized compensation cost was $4 million. The unamortized compensation cost is adjusted for changes in the value of our common stock at the end of each reporting period. These awards are classified as liabilities in Accrued expenses and other liabilities on our consolidated balance sheets, and are being amortized over their respective vesting periods on a straight-line basis, adjusted for changes in the value of our common stock at the end of each reporting period. Refer to Note 22 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2022, for additional information regarding long-term cash-based awards and cash-settled deferred stock units. Cash Settled Performance Stock Units During the nine months ended September 30, 2023, $6 million of cash-settled performance stock units ("csPSUs") were granted to certain executive and non-executive employees which vest over approximately three years through January 1, 2026. The target number of csPSUs that were granted totaled 663,499 units based on a per unit grant-date fair value of $9.75. The equivalent number of underlying shares of common stock that vest and that the recipient becomes entitled to receive at the time of vesting will generally range from 0% to 250% of the target number of csPSUs granted, with the target number of csPSUs granted being adjusted to reflect the value of any dividends declared on our common stock during the vesting period. Upon vesting, the recipient will receive the settlement of the vested shares in cash based on the closing market price of our common stock on the final vesting date. These awards are classified as liabilities in Accrued expenses and other liabilities on our consolidated balance sheets, and are being amortized over their respective vesting periods on a straight-line basis, adjusted for changes in the value of the csPSUs at the end of each reporting period. At September 30, 2023, the liability associated with these awards was $1 million, and unamortized compensation cost of the csPSUs was $5 million. The grant date fair value of these csPSUs of $9.75 per unit was determined through Monte-Carlo simulations using the following assumptions: the common stock closing price at the grant date for Redwood and each member of the comparator group, the average closing price of the common stock price for the 60 trading days beginning January 1, 2023 for Redwood and each member of the comparator group, and the range of performance-based vesting based on absolute TSR over three years from the grant date. For this csPSU grant, an implied volatility assumption of 71% (based on historical volatility), a risk-free rate of 4.23% (the three-year Treasury rate on the grant date), and a 0% dividend yield (the mathematical equivalent to reinvesting the dividends over the three-year performance period as is consistent with the terms of the PSUs) were used. With respect to the csPSU awards granted during the nine months ended September 30, 2023: • First, vesting would range from 0% - 250% of two-thirds of the Target csPSUs granted based on the level of book value total shareholder return ("bvTSR") attained over the three-year vesting period, with 100% of this two-thirds of the Target csPSUs vesting if three-year bvTSR is 25%. bvTSR is defined as the percentage by which our book value "per share price" has increased or decreased as of the last day of the three-year vesting period relative to the first day of such vesting period, adjusted to reflect the reinvestment of all dividends declared and/or paid on our common stock. • Second, vesting would range from 0% - 250% of one-third of the Target csPSUs granted based on Redwood’s relative total shareholder return (“rTSR”) against a comparator group of companies measured over the three-year vesting period, with 100% of this one-third of the Target csPSUs vesting if three-year rTSR corresponds to 55th percentile rTSR. • Third, if the aggregate vesting level after steps one and two is greater than 100% of the Target csPSUs, but the Company's absolute total shareholder return ("TSR") is negative over the three-year performance period, vesting would be capped at 100% of Target csPSUs. TSR is defined as the percentage by which our common stock “per share price” has increased or decreased as of the last day of the three-year vesting period relative to the first day of such vesting period, adjusted to reflect the reinvestment of all dividends declared and/or paid on our common stock. Refer to Note 22 to the Consolidated Financial Statements included in our Annual Report on Form 10-K for the year ended December 31, 2022, for additional information regarding long-term cash-based awards and cash-settled deferred stock units. |
Taxes
Taxes | 9 Months Ended |
Sep. 30, 2023 | |
Income Tax Disclosure [Abstract] | |
Taxes | Taxes We believe that we have met all requirements for qualification as a REIT for federal income tax purposes. To qualify as a REIT, the Company must distribute at least 90% of its annual REIT taxable income and meet certain other requirements that relate to, among other things, the assets it holds, the income it generates, and the composition of its stockholders. Many requirements for qualification as a REIT are complex and require analysis of particular facts and circumstances. Often there is only limited judicial or administrative interpretive guidance and as such there can be no assurance that the Internal Revenue Service or courts would agree with our various tax positions. If we were to fail to meet all the requirements for qualification as a REIT and the requirements for statutory relief, we would be subject to federal corporate income tax on our taxable income and we would not be able to elect to be taxed as a REIT for four years thereafter. Such an outcome could have a material adverse impact on our consolidated financial statements. For the nine months ended September 30, 2023 and 2022, we recognized a provision for income taxes of $1 million and a benefit from income taxes of $10 million, respectively. The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at September 30, 2023 and 2022. Table 23.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate September 30, 2023 September 30, 2022 Federal statutory rate 21.0 % 21.0 % State taxes, net of Federal tax effect, as applicable (1.0) % 0.5 % Differences in taxable (loss) income from GAAP income (0.6) % — % Change in valuation allowance — % — % REIT GAAP income or loss not subject to federal income tax (22.2) % (13.4) % Effective Tax Rate (2.8) % 8.1 % |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 2023 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information Redwood operates in three segments: Residential Mortgage Banking, Business Purpose Mortgage Banking and Investment Portfolio. The accounting policies of the reportable segments are the same as those described in Note 3 — Summary of Significant Accounting Policies. For a full description of our segments, see Part I, Item 1—Business in our Annual Report on Form 10-K for the year ended December 31, 2022. Segment contribution represents the measure of profit that management uses to assess the performance of our business segments and make resource allocation and operating decisions. Certain corporate expenses not directly assigned or allocated to one of our three segments, as well as activity from certain consolidated Sequoia entities, are included in the Corporate/Other column as reconciling items to our consolidated financial statements. These unallocated corporate expenses primarily include interest expense from our convertible notes and trust preferred securities, indirect general and administrative expenses and other expense. The following tables present financial information by segment for the three and nine months ended September 30, 2023 and 2022. Table 24.1 – Business Segment Financial Information Three Months Ended September 30, 2023 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ 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) Nine Months Ended September 30, 2023 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ 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/ 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) Nine Months Ended September 30, 2022 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 36,048 $ 22,509 $ 471,932 $ 4,028 $ 534,517 Interest expense (23,316) (12,797) (331,047) (38,832) (405,992) Net interest income (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) The following table presents the components of Corporate/Other for the three and nine months ended September 30, 2023 and 2022. Table 24.2 – Components of Corporate/Other Three Months Ended September 30, 2023 2022 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 2,596 $ 1,546 $ 4,142 $ 1,473 $ 343 $ 1,816 Interest expense (2,487) (14,219) (16,706) (1,486) (15,311) (16,797) Net interest income (expense) 109 (12,673) (12,564) (13) (14,968) (14,981) Non-interest income (loss) Investment fair value changes, net (215) 100 (115) (329) 4,412 4,083 Other income, net — (1,554) (1,554) — (278) (278) Realized gains, net — 24 24 — — — Total non-interest income (loss), net (215) (1,430) (1,645) (329) 4,134 3,805 General and administrative expenses — (14,434) (14,434) — (12,335) (12,335) Portfolio management costs — (25) (25) — — — Benefit from income taxes — 256 256 — — — 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) (1) Legacy consolidated VIEs represent Legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 for further discussion on VIEs. The following table presents supplemental information by segment at September 30, 2023 and December 31, 2022. Table 24.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ 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 |
Pay vs Performance Disclosure
Pay vs Performance Disclosure - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Pay vs Performance Disclosure | ||||
Net (Loss) Income | $ (30,810) | $ (50,411) | $ (23,317) | $ (119,462) |
Insider Trading Arrangements
Insider Trading Arrangements | 3 Months Ended |
Sep. 30, 2023 | |
Trading Arrangements, by Individual | |
Rule 10b5-1 Arrangement Adopted | false |
Non-Rule 10b5-1 Arrangement Adopted | false |
Rule 10b5-1 Arrangement Terminated | false |
Non-Rule 10b5-1 Arrangement Terminated | false |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2023 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of PresentationThe consolidated financial statements presented herein are at September 30, 2023 and December 31, 2022, and for the three and nine months ended September 30, 2023 and 2022. These interim unaudited consolidated financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission ("SEC"). Certain information and note disclosures normally included in our annual financial statements prepared in accordance with U.S. generally accepted accounting principles ("GAAP") — as prescribed by the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) — have been condensed or omitted in these interim financial statements according to these SEC rules and regulations. Management believes that the disclosures included in these interim financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the company's Annual Report on Form 10-K for the year ended December 31, 2022. In the opinion of management, all normal and recurring adjustments have been made to present fairly the financial condition of the Company at September 30, 2023 and results of operations for all periods presented. The results of operations for the three and nine months ended September 30, 2023 should not be construed as indicative of the results to be expected for the full year. |
Principles of Consolidation | Principles of Consolidation In accordance with GAAP, we determine whether we must consolidate transferred financial assets and variable interest entities (“VIEs”) for financial reporting purposes. We currently consolidate the assets and liabilities of certain Sequoia securitization entities issued prior to 2012 ("Legacy Sequoia"), certain entities formed during and after 2012 in connection with the securitization of Redwood Select prime loans and Redwood Choice expanded-prime loans ("Sequoia"), entities formed in connection with the securitization of CoreVest BPL term and bridge loans ("CAFL") and an entity formed in connection with the securitization of home equity investment contracts ("HEI"). We also consolidate the assets and liabilities of certain Freddie Mac K-Series and Freddie Mac Seasoned Loans Structured Transaction ("SLST") securitizations in which we have invested. Each securitization entity is independent of Redwood and of each other and the assets and liabilities are not owned by and are not legal obligations of Redwood Trust, Inc. Our exposure to these entities is primarily through the financial interests we have purchased or retained, although for certain entities we are exposed to financial risks associated with our role as a sponsor or co-sponsor, servicing administrator, collateral administrator or depositor of these entities or as a result of our having sold assets directly or indirectly to these entities. For financial reporting purposes, the underlying loans owned at the consolidated Legacy Sequoia, Sequoia and Freddie Mac SLST entities are shown under Residential loans held-for-investment, at fair value, the underlying loans at the consolidated Freddie Mac K-Series entity are shown under Consolidated Agency multifamily loans, at fair value, the underlying BPL term and bridge loans at the consolidated CAFL entities are shown under Business purpose loans held-for-investment, at fair value, and the underlying HEI at the consolidated HEI securitization entity are shown under Home equity investments, at fair value on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by these entities are shown under ABS issued. In our consolidated statements of income, we record interest income on the loans owned at these entities and interest expense on the ABS issued by these entities as well as fair value changes, other income and expenses associated with these entities' activities. See Note 15 for further discussion on ABS issued. We also consolidate two partnerships ("Servicing Investment" entities) through which we have invested in servicing-related assets. We maintain an 80% ownership interest in each entity and have determined that we are the primary beneficiary of these partnerships. |
Use of Estimates | Use of Estimates The preparation of financial statements requires us to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, valuation allowances, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. Our estimates are inherently subjective in nature and actual results could differ from our estimates and the differences could be material. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Newly Adopted Accounting Standard Updates ("ASUs") In March 2022, the FASB issued ASU 2022-02, "Financial Instruments-Credit Losses (Topic 326), Troubled Debt Restructurings and Vintage Disclosures." ASU 2022-02 addresses areas identified by the FASB as part of its post-implementation review of the credit losses standard (ASU 2016-13) that introduced the current expected credit loss ("CECL") model. The amendments eliminate the accounting guidance for troubled debt restructurings by creditors that have adopted the CECL model and enhance the disclosure requirements for loan refinancings and restructurings made with borrowers experiencing financial difficulty. In addition, the amendments require a public business entity to disclose current-period gross writeoffs for financing receivables and net investment in leases by year of origination in the vintage disclosures. This new guidance was effective for fiscal years beginning after December 31, 2022. We adopted this guidance in the first quarter of 2023, which did not have a material impact on our consolidated financial statements. In March 2022, the FASB issued ASU 2022-01, "Derivatives and Hedging (Topic 815), Fair Value Hedging - Portfolio Layer Method," which will expand companies' abilities to hedge the benchmark interest rate risk of portfolios of financial assets (or beneficial interests) in a fair value hedge. The ASU expands the use of the portfolio layer method (previously referred to as the last-of-layer method) to allow multiple hedges of a single closed portfolio of assets using spot starting, forward starting, and amortizing-notional swaps. The ASU also permits both prepayable and non-prepayable financial assets to be included in the closed portfolio of assets hedged in a portfolio layer hedge. The ASU further requires that basis adjustments not be allocated to individual assets for active portfolio layer method hedges, but rather be maintained on the closed portfolio of assets as a whole. This new guidance was effective for fiscal years beginning after December 31, 2022. We adopted this guidance in the first quarter of 2023, which did not have a material impact on our consolidated financial statements. In December 2022, the FASB issued ASU 2022-06, "Reference Rate Reform (Topic 848) - Deferral of the Sunset Date of Topic 848." This new guidance defers the sunset date of Topic 848 from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply the relief in Topic 848. The objective of the guidance in Topic 848 is to provide temporary relief during the transition period. Through September 30, 2023, we had not elected to apply the optional expedients and exceptions to any of our existing contracts, hedging relationships, or other transactions. At September 30, 2023, we had no remaining LIBOR-indexed financial assets or liabilities. Our bridge loans and trust preferred securities that were previously indexed to LIBOR at June 30, 2023, were transitioned to SOFR indexes in the third quarter of 2023. Other Recent Accounting Pronouncements Pending Adoption In June 2022, the FASB issued ASU 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions.” ASU 2022-03 clarifies that a contractual restriction on the sale of an equity security should not be considered in measuring its fair value and introduces new disclosure requirements for equity securities subject to contractual sale restrictions that are measured at fair value in accordance with Topic 820. The amendments in this update are effective for fiscal years beginning after December 15, 2023, including interim periods within those fiscal years. Early adoption is permitted. We are evaluating the accounting and disclosure requirements of ASU 2022-03 and we plan to adopt this new guidance by the required date. We do not anticipate that this update will have a material impact on our financial statements. In August 2023, the FASB issued ASU 2023-05, "Business Combinations—Joint Venture Formations (Subtopic 805-60): Recognition and Initial Measurement." ASU 2023-05 requires a joint venture, upon formation, to initially measure its assets and liabilities at fair value. This generally aligns the treatment to be consistent with the guidance for business combinations. Joint venture entities that are private companies may elect to include customer-related intangible assets and non-competition agreements within goodwill and not as separate intangible assets. This new guidance is effective for all joint venture entities with a formation date on or after January 1, 2025, with early adoption permitted. Joint ventures formed prior to the adoption date may elect to apply the new guidance retrospectively back to their original formation date. We are evaluating the accounting and disclosure requirements of ASU 2023-05 and we plan to adopt this new guidance by the required date. We do not anticipate that this update will have a material impact on our financial statements. |
Balance Sheet Netting | Balance Sheet Netting Certain of our derivatives and short-term debt are subject to master netting arrangements or similar agreements. Under GAAP, in certain circumstances we may elect to present certain financial assets, liabilities and related collateral subject to master netting arrangements in a net position on our consolidated balance sheets. However, we do not elect to report any of these financial assets or liabilities on a net basis, and instead present them on a gross basis on our consolidated balance sheets. |
Basis of Presentation (Tables)
Basis of Presentation (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Finite-Lived Intangible Assets | The table below presents the amortization period and carrying value of our intangible assets, net of accumulated amortization at September 30, 2023. Table 2.1 – Intangible Assets – Activity 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 |
Schedule of Finite-lived Intangible Assets Amortization Expense | Estimated future amortization expense is summarized in the table below. Table 2.2 – Intangible Asset Amortization Expense by Year (In Thousands) 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 |
Schedule of Pro Forma Information | Table 2.3 – Unaudited Pro Forma Financial Information 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) |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Accounting Policies [Abstract] | |
Schedule of Offsetting of Financial Assets, Liabilities, and Collateral | The following table presents financial assets and liabilities that are subject to master netting arrangements or similar agreements categorized by financial instrument, together with corresponding financial instruments and corresponding collateral received or pledged at September 30, 2023 and December 31, 2022. Table 3.1 – Offsetting of Financial Assets, Liabilities, and Collateral Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in Consolidated Balance Sheet Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet Gross Amounts Not Offset in Consolidated (1) Net Amount September 30, 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 (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) (1) Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, we have pledged excess cash collateral or financial assets to a counterparty (which, in certain circumstances, may be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, these excess amounts are excluded from the table; they are separately reported in our consolidated balance sheets as assets or liabilities, respectively. |
Principles of Consolidation (Ta
Principles of Consolidation (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated VIEs | The following table presents a summary of the assets and liabilities of our consolidated VIEs. Table 4.1 – Assets and Liabilities of Consolidated VIEs September 30, 2023 Legacy Sequoia CAFL (1) Freddie Mac SLST (1) Freddie Mac Servicing Investment HEI Total (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 CAFL (1) Freddie Mac SLST (1) Freddie Mac Servicing Investment HEI Total (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 (1) Value of our investments in VIEs, as presented in this table, represents the fair value of our economic interests in the consolidated VIEs that we account for under the CFE election. CAFL includes BPL term loan securitizations we account for under the CFE election and two BPL bridge loan securitizations for which we did not make the CFE election. As of September 30, 2023 and December 31, 2022, the fair value of our interests in the CAFL Term securitizations were $316 million and $304 million, respectively, and the remaining values were associated with our interests in the CAFL Bridge securitizations, for which the ABS issued is carried at amortized historical cost. At December 31, 2022, Freddie Mac SLST includes securitizations we account for under the CFE election and also includes ABS issued in relation to a re-securitization of the securities we own in the consolidated Freddie Mac SLST VIEs, that we account for at amortized historical cost. In January 2023, we called the Freddie Mac SLST re-securitization and paid off the associated outstanding ABS issued. As of September 30, 2023 and December 31, 2022, the fair value of our interests in the Freddie Mac SLST securitizations accounted for under the CFE election was $256 million and $323 million, respectively, with the difference reflected in the December 31, 2022 table above due to ABS issued and carried at amortized historical cost. The following tables present income (loss) from these VIEs for the three and nine months ended September 30, 2023 and 2022. Table 4.2 – Income (Loss) from Consolidated VIEs Three Months Ended September 30, 2023 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (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 CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (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 CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 1,475 $ 31,587 $ 61,439 $ 16,098 $ 4,762 $ 7,800 $ — $ 123,161 Interest expense (1,486) (27,541) (44,804) (12,829) (4,377) (2,606) — (93,643) Net interest income (11) 4,046 16,635 3,269 385 5,194 — 29,518 Non-interest income Investment fair value changes, net (328) (10,936) (4,527) (41,892) 316 (3,286) (584) (61,237) Other income — — 286 — — — — 286 Total non-interest income, net (328) (10,936) (4,241) (41,892) 316 (3,286) (584) (60,951) General and administrative expenses — — — — — (55) — (55) Other expenses — — — — — (372) — (372) Income (loss) from Consolidated VIEs $ (339) $ (6,890) $ 12,394 $ (38,623) $ 701 $ 1,481 $ (584) $ (31,860) Nine Months Ended September 30, 2022 Legacy Sequoia CAFL Freddie Mac SLST Freddie Mac Servicing Investment HEI Total (Dollars in Thousands) Interest income $ 3,595 $ 95,608 $ 195,381 $ 49,851 $ 14,247 $ 23,287 $ — $ 381,969 Interest expense (3,154) (84,041) (145,207) (40,286) (13,099) (6,110) — (291,897) Net interest income 441 11,567 50,174 9,565 1,148 17,177 — 90,072 Non-interest income Investment fair value changes, net (1,378) (20,644) (23,972) (74,796) 390 (11,259) 4,028 (127,631) Other income — — 631 — — — — 631 Total non-interest income, net (1,378) (20,644) (23,341) (74,796) 390 (11,259) 4,028 (127,000) General and administrative expenses — — — — — (130) — (130) Other expenses — — — — — (1,158) — (1,158) Income (loss) from Consolidated VIEs $ (937) $ (9,077) $ 26,833 $ (65,231) $ 1,538 $ 4,630 $ 4,028 $ (38,216) |
Schedule of Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table summarizes the cash flows during the three and nine months ended September 30, 2023 and 2022 between us and the unconsolidated VIEs sponsored by us and accounted for as sales since 2012. Table 4.3 – Cash Flows Related to Unconsolidated VIEs Sponsored by Redwood 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 |
Schedule of Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents additional information at September 30, 2023 and December 31, 2022, related to unconsolidated VIEs sponsored by Redwood and accounted for as sales since 2012. Table 4.4 – Unconsolidated VIEs Sponsored by Redwood (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 (1) Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization. |
Schedule of Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood | The following table presents key economic assumptions for assets retained from unconsolidated VIEs and the sensitivity of their fair values to immediate adverse changes in those assumptions at September 30, 2023 and December 31, 2022. Table 4.5 – Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated VIEs Sponsored by Redwood 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 December 31, 2022 MSRs Senior Securities (1) Subordinate Securities (Dollars in Thousands) Fair value at December 31, 2022 $ 11,589 $ 28,722 $ 74,367 Expected life (in years) (2) 7 7 16 Prepayment speed assumption (annual CPR) (2) 8 % 10 % 8 % Decrease in fair value from: 10% adverse change $ 311 $ 970 $ 386 25% adverse change 779 2,344 907 Discount rate assumption (2) 11 % 12 % 9 % Decrease in fair value from: 100 basis point increase $ 430 $ 980 $ 7,198 200 basis point increase 832 1,894 13,394 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 76 (1) Senior securities included $33 million and $29 million of interest-only securities at September 30, 2023 and December 31, 2022, respectively. (2) Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages. |
Schedule of Third-Party Sponsored VIE Summary | The following table presents a summary of our interests in third-party VIEs at September 30, 2023 and December 31, 2022, grouped by asset type. Table 4.6 – Third-Party Sponsored VIE Summary (In Thousands) September 30, 2023 December 31, 2022 Mortgage-Backed Securities Senior $ 8,397 $ 145 Subordinate 15,116 137,241 Total Mortgage-Backed Securities 23,513 137,386 Excess MSR 5,590 7,082 Total Investments in Third-Party Sponsored VIEs $ 29,103 $ 144,468 |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Fair Value Disclosures [Abstract] | |
Schedule of Carrying Values and Fair Values of Assets and Liabilities | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2023 and December 31, 2022. Table 5.1 – Carrying Values and Fair Values of Assets and Liabilities September 30, 2023 December 31, 2022 Carrying Fair Carrying Fair (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 (1) These investments are included in Other investments on our consolidated balance sheets. (2) These assets are included in Other assets on our consolidated balance sheets. (3) Short-term debt excludes short-term convertible notes, which are included below under "Convertible notes, net." (4) These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets. (5) These liabilities are primarily included in Long-term debt, net on our consolidated balance sheets. Convertible notes, net also includes convertible notes classified as Short-term debt. See Note 14 for more information on Short-term debt. |
Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at September 30, 2023 and December 31, 2022, as well as the fair value hierarchy of the valuation inputs used to measure fair value. Table 5.2 – Assets and Liabilities Measured at Fair Value on a Recurring Basis September 30, 2023 Carrying 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 December 31, 2022 Carrying Fair Value Measurements Using (In Thousands) Level 1 Level 2 Level 3 Assets Residential loans $ 5,613,157 $ — $ — $ 5,613,157 Business purpose loans 5,332,586 — — 5,332,586 Consolidated Agency multifamily loans 424,551 — — 424,551 Real estate securities 240,475 — — 240,475 HEI 403,462 — — 403,462 Servicer advance investments 269,259 — — 269,259 MSRs 25,421 — — 25,421 Excess MSRs 39,035 — — 39,035 Other investments 6,155 — — 6,155 Derivative assets 20,830 5,869 14,625 336 Liabilities HEI securitization non-controlling interest $ 22,329 $ — $ — $ 22,329 Derivative liabilities 16,855 16,841 — 14 ABS issued 7,424,132 — — 7,424,132 |
Schedule of Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis | The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the nine months ended September 30, 2023. Table 5.3 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Assets Residential Loans Business Purpose Consolidated Agency Multifamily Loans Trading Securities AFS HEI Servicer Advance Investments Excess MSRs MSRs and Other Investments (In Thousands) Beginning balance - $ 5,613,157 $ 5,332,586 $ 424,552 $ 108,329 $ 132,146 $ 403,462 $ 269,259 $ 39,035 $ 31,576 Acquisitions 1,050,444 — — 7,883 1,979 25,626 — — 500 Originations — 1,255,680 — — — — — — — Sales (226,646) (471,336) — (82,270) (54,339) — — — (272) Principal paydowns (363,128) (802,610) (6,198) (324) (632) (26,153) (55,828) — (114) 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 — — — — 1,304 — — — — Other settlements, net (1) (2,356) (47,181) — — — — — — (500) Ending balance - $ 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 (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 (1) Other settlements, net: for residential and business purpose loans, represents the transfer of loans to REO; for derivatives, represents the transfer of the fair value of loan purchase and interest rate lock commitments at the time loans are acquired to the basis of residential and business purpose loans; and for MSRs and other investments, primarily represents an investment that was exchanged into a new instrument that is no longer measured at fair value on a recurring basis. (2) For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments and interest rate lock commitments, are presented on a net basis. |
Schedule of Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held and Included in Net Income | The following table presents the portion of fair value gains or losses included in our consolidated statements of income that were attributable to Level 3 assets and liabilities recorded at fair value on a recurring basis and held at September 30, 2023 and 2022. Gains or losses incurred on assets or liabilities sold, matured, called, or fully written down during the three and nine months ended September 30, 2023 and 2022 are not included in this presentation. Table 5.4 – Portion of Net Fair Value Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held at September 30, 2023 and 2022 Included in Net Income 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) (1) Represents the portion of net fair value gains or losses included in our consolidated statements of income related to securitized loans, securitized HEI, and the associated ABS issued at our consolidated securitization entities held at September 30, 2023 and 2022, which, netted together, represent the change in value of our investments at the consolidated VIEs accounted for under the CFE election, excluding REO. |
Schedule of Assets and Liabilities Measured at Fair Value on Non-Recurring Basis | The following table presents information on assets recorded at fair value on a non-recurring basis at September 30, 2023. This table does not include the carrying value and gains or losses associated with the asset types below that were not recorded at fair value on our consolidated balance sheets at September 30, 2023. Table 5.5 – Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis at September 30, 2023 Gain (Loss) for September 30, 2023 Carrying 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) |
Schedule of Market Valuation Gains and Losses, Net | The following table presents the net market valuation gains and losses recorded in each line item of our consolidated statements of income for the three and nine months ended September 30, 2023 and 2022. Table 5.6 – Market Valuation Gains and Losses, Net 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) Footnotes to Table 5.6 (1) Represents fair value changes on trading securities that are being used along with risk management derivatives to manage the market risks associated with our residential mortgage banking operations. (2) Mortgage banking activities, net presented above does not include fee income from loan originations or acquisitions, provisions for repurchases, and other expenses that are components of Mortgage banking activities, net presented on our consolidated statements of in come, as these amounts do not represent market valuation changes. (3) Includes changes in fair value of the loans held-for-investment, securitized HEI, REO, and ABS issued at the entities, which, netted together, represent the change in value of our investments at the consolidated VIEs accounted for under the CFE election. |
Schedule of Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value | The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value. Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments September 30, 2023 Fair 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 Table 5.7 – Fair Value Methodology for Level 3 Financial Instruments (continued) September 30, 2023 Fair 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 % (1) The weighted average input values for all loan types are based on unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value. (2) Values represent pricing inputs used in securitization pricing model. Credit spreads represent spreads to applicable swap rates unless specified otherwise. (3) The fair value of the loans and HEI held by consolidated entities is based on the fair value of the ABS issued by these entities and the securities and other investments we own in those entities, which we determined were more readily observable in accordance with accounting guidance for collateralized financing entities. At September 30, 2023, the fair value of securities we owned at the consolidated Sequoia, CAFL SFR, Freddie Mac SLST, Freddie Mac K-Series, and HEI securitization entities was $206 million, $316 million, $256 million, $33 million, and $15 million, respectively. (4) Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool). |
Residential Loans (Tables)
Residential Loans (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Receivables [Abstract] | |
Schedule of Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2023 and December 31, 2022. Table 6.1 – Classifications and Carrying Values of Residential Loans 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 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 Table 7.1 – Classifications and Carrying Values of Business Purpose Loans 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 All of the outstanding BPL term loans at September 30, 2023 were first-lien, fixed-rate loans with original maturities of three, five, seven, or ten years. The outstanding BPL bridge loans held-for-investment at September 30, 2023 were first-lien, interest-only loans with original maturities of six At September 30, 2023, we had $623 million in commitments to fund BPL bridge loans. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2023 and 2022. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (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) (1) For BPL term at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL term securitizations. For BPL bridge at Redwood, represents the transfer of BPL bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their inclusion in an existing bridge loan securitization with a replenishment feature. (2) During the nine months ended September 30, 2023, we substituted a pool of held-for-sale term loans at Redwood for a non-performing held-for-investment term loan at a consolidated CAFL securitization, each with unpaid principal balances of approximately $28 million. The negative investment fair value changes recorded for BPL Term at Redwood during the nine months ended September 30, 2023 were attributable to this substitution, with an equal and offsetting positive fair value change recorded for BPL Term at CAFL (related to the retained bond we own in the associated consolidated CAFL securitization). (3) Represents loan origination fee income and net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio and, for bridge loans, when transferred into a securitization. See Table 20.1 for additional detail on Mortgage banking activities income (loss). (4) For BPL Bridge at Redwood, represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2023 and 2022. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at 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 Nine Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at BPL Bridge at CAFL Net market valuation gains (losses) recorded (1) $ (1,961) $ (1,960) $ (419,182) $ 50 Transfers 278,751 337,657 — — (1) Net market valuation gains (losses) on business purpose loans held-for-investment at CAFL are recorded through Investment fair value changes, net on our consolidated statements of income. For loans held at our consolidated CAFL term entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2023 and December 31, 2022. Table 7.4 – Characteristics of Business Purpose Loans 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 Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for CFEs. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . Based on this methodology, we value the loans in each consolidated securitization on a pool basis and do not calculate separate fair values for loans that are 90+ days delinquent or in foreclosure. (2) The number and UPB of loans 90-or-more days delinquent includes all loans in foreclosure. |
Schedule of Characteristics of Residential Loans Held-For-Sale | The following table summarizes the characteristics of residential loans held-for-sale at September 30, 2023 and December 31, 2022. Table 6.2 – Characteristics of Residential Loans Held-for-Sale (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 — — |
Schedule of Quarterly Activity of Residential Loans Held-for-Sale | The following table provides the activity of residential loans held-for-sale during the three and nine months ended September 30, 2023 and 2022. Table 6.3 – Activity of Residential Loans Held-for-Sale 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) (1) For the nine months ended September 30, 2022, includes $102 million, of loans acquired through calls of three seasoned Sequoia securitizations. (2) Net market valuation gains (losses) on residential loans held-for-sale are recorded primarily through Mortgage banking activities, net on our consolidated statements of income. |
Schedule of Characteristics of Residential Loans Held-for-Investment | The following tables summarize the characteristics of the residential loans owned at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2023 and December 31, 2022. Table 6.4 – Characteristics of Residential Loans Held-for-Investment 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 (1) For loans held at consolidated entities, the number and UPB of loans 90-or-more days delinquent includes loans in foreclosure. (2) The fair value of the loans held by consolidated entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . |
Schedule of Quarterly Activity of Residential Loans Held-for-Investment | Table 6.5 – Activity of Residential Loans Held-for-Investment at Consolidated Entities Three Months Ended September 30, 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) (1) Represents the transfer of loans from held-for-sale to held-for-investment associated with Sequoia securitizations. |
Business Purpose Loans (Tables)
Business Purpose Loans (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Receivables [Abstract] | |
Schedule of Classifications and Carrying Value of Loans | The following table summarizes the classifications and carrying values of the residential loans owned at Redwood and at consolidated Sequoia and Freddie Mac SLST entities at September 30, 2023 and December 31, 2022. Table 6.1 – Classifications and Carrying Values of Residential Loans 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 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 Table 7.1 – Classifications and Carrying Values of Business Purpose Loans 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 All of the outstanding BPL term loans at September 30, 2023 were first-lien, fixed-rate loans with original maturities of three, five, seven, or ten years. The outstanding BPL bridge loans held-for-investment at September 30, 2023 were first-lien, interest-only loans with original maturities of six At September 30, 2023, we had $623 million in commitments to fund BPL bridge loans. See Note 17 for additional information on these commitments. The following table provides the activity of business purpose loans at Redwood during the three and nine months ended September 30, 2023 and 2022. Table 7.2 – Activity of Business Purpose Loans at Redwood Three Months Ended Three Months Ended (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) (1) For BPL term at Redwood, represents the transfer of loans from held-for-sale to held-for-investment associated with CAFL term securitizations. For BPL bridge at Redwood, represents the transfer of BPL bridge loans from "Bridge at Redwood" to "Bridge at CAFL" resulting from their inclusion in an existing bridge loan securitization with a replenishment feature. (2) During the nine months ended September 30, 2023, we substituted a pool of held-for-sale term loans at Redwood for a non-performing held-for-investment term loan at a consolidated CAFL securitization, each with unpaid principal balances of approximately $28 million. The negative investment fair value changes recorded for BPL Term at Redwood during the nine months ended September 30, 2023 were attributable to this substitution, with an equal and offsetting positive fair value change recorded for BPL Term at CAFL (related to the retained bond we own in the associated consolidated CAFL securitization). (3) Represents loan origination fee income and net market valuation changes from the time a loan is originated to when it is sold or transferred to our investment portfolio and, for bridge loans, when transferred into a securitization. See Table 20.1 for additional detail on Mortgage banking activities income (loss). (4) For BPL Bridge at Redwood, represents net market valuation changes for loans classified as held-for-investment and associated interest-only strip liabilities. The following table provides the activity of business purpose loans held-for-investment at CAFL during the three and nine months ended September 30, 2023 and 2022. Table 7.3 – Activity of Business Purpose Loans Held-for-Investment at CAFL Three Months Ended Three Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at 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 Nine Months Ended (In Thousands) BPL Term at BPL Bridge at CAFL BPL Term at BPL Bridge at CAFL Net market valuation gains (losses) recorded (1) $ (1,961) $ (1,960) $ (419,182) $ 50 Transfers 278,751 337,657 — — (1) Net market valuation gains (losses) on business purpose loans held-for-investment at CAFL are recorded through Investment fair value changes, net on our consolidated statements of income. For loans held at our consolidated CAFL term entities, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . The following tables summarize the characteristics of the business purpose loans owned at Redwood and at consolidated CAFL entities at September 30, 2023 and December 31, 2022. Table 7.4 – Characteristics of Business Purpose Loans 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 Footnotes to Table 7.4 (1) The fair value of the loans held by consolidated CAFL entities was based on the fair value of the ABS issued by these entities, including securities we own, which we determined were more readily observable, in accordance with accounting guidance for CFEs. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . Based on this methodology, we value the loans in each consolidated securitization on a pool basis and do not calculate separate fair values for loans that are 90+ days delinquent or in foreclosure. (2) The number and UPB of loans 90-or-more days delinquent includes all loans in foreclosure. |
Consolidated Agency Multifami_2
Consolidated Agency Multifamily Loans (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Receivables [Abstract] | |
Schedule of Multifamily Loans | The following table summarizes the characteristics of the multifamily loans consolidated at Redwood at September 30, 2023 and December 31, 2022. Table 8.1 – Characteristics of Consolidated Agency Multifamily Loans (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 — — The outstanding Consolidated Agency multifamily loans held-for-investment at the consolidated Freddie Mac K-Series entity at September 30, 2023 were first-lien, fixed-rate loans that were originated in 2015. The following table provides the activity of multifamily loans held-for-investment during the three and nine months ended September 30, 2023 and 2022. Table 8.2 – Activity of Consolidated Agency Multifamily Loans Held-for-Investment 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) (1) Net market valuation gains (losses) on multifamily loans held-for-investment are recorded through Investment fair value changes, net on our consolidated statements of income. For loans held at our consolidated Freddie Mac K-Series entity, market value changes are based on the estimated fair value of the associated ABS issued, including securities we own, pursuant to collateralized financing entity guidelines. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Fair Values of Real Estate Securities by Type | The following table presents the fair values of our real estate securities by type at September 30, 2023 and December 31, 2022. Table 9.1 – Fair Values of Real Estate Securities by Type (In Thousands) September 30, 2023 December 31, 2022 Trading $ 48,041 $ 108,329 Available-for-sale 81,404 132,146 Total Real Estate Securities $ 129,445 $ 240,475 |
Schedule of Trading Securities by Collateral Type | The following table presents the fair value of trading securities by position and collateral type at September 30, 2023 and December 31, 2022. Table 9.2 – Fair Value of Trading Securities by Position (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 (1) Includes $29 million and $26 million of Sequoia certificated mortgage servicing rights at September 30, 2023 and December 31, 2022, respectively . The following table presents the unpaid principal balance of trading securities by position and collateral type at September 30, 2023 and December 31, 2022. Table 9.3 – Unpaid Principal Balance of Trading Securities by Position (In Thousands) September 30, 2023 December 31, 2022 Senior (1) $ — $ — Subordinate 19,354 215,592 Total Trading Securities $ 19,354 $ 215,592 (1) Our senior trading securities are comprised of interest-only securities, for which there is no principal balance. The following table provides the activity of trading securities during the three and nine months ended September 30, 2023 and 2022. Table 9.4 – Trading Securities Activity 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) (1) Net market valuation gains (losses) on trading securities are recorded through Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income. |
Schedule of Available-for-Sale Securities by Collateral Type | The following table presents the fair value of our available-for-sale ("AFS") securities by position and collateral type at September 30, 2023 and December 31, 2022. Table 9.5 – Fair Value of Available-for-Sale Securities by Position (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 The following table provides the activity of available-for-sale securities during the three and nine months ended September 30, 2023 and 2022. Table 9.6 – Available-for-Sale Securities Activity 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) (1) Net unrealized gains (losses) on AFS securities are recorded on our consolidated balance sheets through Accumulated other comprehensive loss. |
Schedule of Carrying Value of Residential Available for Sale Securities | The following table presents the components of carrying value (which equals fair value) of AFS securities at September 30, 2023 and December 31, 2022. Table 9.7 – Carrying Value of AFS Securities (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 |
Schedule of Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities | The following table presents the changes for the three and nine months ended September 30, 2023, in unamortized discount and designated credit reserves on residential AFS securities. Table 9.8 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities Three Months Ended Nine Months Ended Credit Unamortized Credit Unamortized (In Thousands) Beginning balance $ 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 |
Schedule of Components of Fair Value of Available for Sale Securities by Holding Periods | The following table presents the total carrying value (fair value) and unrealized losses of residential AFS securities that were in a gross unrealized loss position at September 30, 2023 and December 31, 2022. Table 9.9 – AFS Securities in Gross Unrealized Loss Position by Holding Periods Less Than 12 Consecutive Months 12 Consecutive Months or Longer Fair Unrealized Fair Unrealized (In Thousands) September 30, 2023 $ 9,459 $ (585) $ 28,630 $ (8,399) December 31, 2022 72,679 (12,940) 1,414 (186) |
Schedule of Significant Valuation Assumptions for Available for Sale Securities Credit Loss | The table below summarizes the weighted average of the significant credit quality indicators we used for the credit loss allowance on our AFS securities at September 30, 2023. Table 9.10 – Significant Credit Quality Indicators September 30, 2023 Subordinate Securities Default rate 0.8% Loss severity 20% |
Schedule of Activity of Allowance for Credit Losses for Available-for-sale Securities | The following table details the activity related to the allowance for credit losses for AFS securities for the three and nine months ended September 30, 2023. Table 9.11 – Rollforward of Allowance for Credit Losses 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 |
Schedule of Gross Realized Gains and Losses on Available for Sale Securities | The following table presents the gross realized gains and losses on sales and calls of AFS securities for the three and nine months ended September 30, 2023 and 2022. Table 9.12 – Gross Realized Gains and Losses on AFS Securities 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 |
Home Equity Investments (HEI) (
Home Equity Investments (HEI) (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule Of Home Equity Investments | The following table presents our home equity investments at September 30, 2023 and December 31, 2022. Table 10.1 – Home Equity Investments (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 |
Schedule Of Activity of Home Equity Investments | The following table details our HEI activity during the three and nine months ended September 30, 2023 and 2022. Table 10.2 – Activity of HEI 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 Nine Months Ended (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 (1) We account for HEI at Redwood under the fair value option and record net market valuation changes through Investment fair value changes, net on our Consolidated statements of income. We account for Securitized HEI under the CFE election and net market valuation gains (losses) for these investments are recorded through Investment fair value changes, net on our Consolidated statements of income. The net impact to our income statement associated with our economic investment in these securitization entities is presented in Table 4.2 . |
Schedule Of HEI Characteristics | The following tables summarizes the characteristics of our HEI at September 30, 2023 and December 31, 2022. Table 10.3 – HEI Characteristics 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 |
Other Investments (Tables)
Other Investments (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Investments, All Other Investments [Abstract] | |
Schedule of Other Investments | Other investments at September 30, 2023 and December 31, 2022 are summarized in the following table. Table 11.1 – Components of Other Investments (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 |
Schedule of Components of Servicer Advance Investments | The servicer advance receivables were comprised of the following types of advances at September 30, 2023 and December 31, 2022. Table 11.2 – Components of Servicer Advance Receivables (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 |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Fair Value and Notional Amount of Derivative Financial Instruments | The following table presents the fair value and notional amount of our derivative financial instruments at September 30, 2023 and December 31, 2022. Table 12.1 – Fair Value and Notional Amount of Derivative Financial Instruments September 30, 2023 December 31, 2022 Fair Notional Fair Notional (In Thousands) Assets - Risk Management Derivatives Interest rate swaps $ 13,819 $ 190,000 $ 14,625 $ 285,000 TBAs 16,613 1,560,000 1,893 220,000 Interest rate futures 2,187 136,200 3,976 350,600 Assets - Other Derivatives Loan purchase and interest rate lock commitments 5,067 288,637 336 8,166 Total Assets $ 37,686 $ 2,174,837 $ 20,830 $ 863,766 Liabilities - Risk Management Derivatives TBAs $ (5,495) $ 425,000 $ (16,784) $ 845,000 Interest rate futures (199) 67,700 (57) 60,000 Liabilities - Other Derivatives Loan purchase and interest rate lock commitments (3,087) 606,170 (14) 3,532 Total Liabilities $ (8,781) $ 1,098,870 $ (16,855) $ 908,532 Total Derivative Financial Instruments, Net $ 28,905 $ 3,273,707 $ 3,975 $ 1,772,298 |
Other Assets and Liabilities (T
Other Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Schedule of Components of Other Assets | Other assets at September 30, 2023 and December 31, 2022 are summarized in the following table. Table 13.1 – Components of Other Assets (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 |
Schedule of Components of Accrued Expenses and Other Liabilities | Accrued expenses and other liabilities at September 30, 2023 and December 31, 2022 are summarized in the following table. Table 13.2 – Components of Accrued Expenses and Other Liabilities (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 |
Schedule of Other Real Estate | The following table summarizes the activity and carrying values of REO assets held at Redwood and at consolidated Legacy Sequoia, Freddie Mac SLST, and CAFL SFR entities during the nine months ended September 30, 2023. Table 13.3 – REO Activity 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 (1) For the nine months ended September 30, 2023, REO liquidations resulted in $0.6 million of realized losses, which were recorded in Investment fair value changes, net on our consolidated statements of income. The following table provides detail on the numbers of REO assets at Redwood and at consolidated Legacy Sequoia, Freddie Mac SLST, and CAFL entities at September 30, 2023 and December 31, 2022. Table 13.4 – REO Assets 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 |
Short-Term Debt (Tables)
Short-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Debt Disclosure [Abstract] | |
Schedule of Short-Term Debt Facilities | The table below summarizes our short-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rate, and the maturity information at September 30, 2023 and December 31, 2022. Table 14.1 – Short-Term Debt 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 December 31, 2022 (Dollars in Thousands) Number of Facilities Outstanding Balance Limit Weighted Average Interest Rate (1) Maturity Weighted Average Days Until Maturity Facilities Residential loan warehouse 7 $ 703,406 $ 2,550,000 6.16 % 3/2023 - 12/2023 267 Business purpose loan warehouse 4 680,100 1,650,000 6.93 % 3/2023 - 9/2023 179 Real estate securities repo 7 124,909 — 5.22 % 1/2023 - 3/2023 27 HEI warehouse 1 111,681 150,000 8.54 % 11/2023 306 Total Short-Term Debt Facilities 19 1,620,096 Servicer advance financing 1 206,510 290,000 6.67 % 11/2023 305 Promissory notes N/A 27,058 — 6.64 % N/A N/A Convertible notes, net N/A 176,015 — 4.75 % 8/2023 227 Total Short-Term Debt $ 2,029,679 (1) Borrowings under our facilities generally are uncommitted and charged interest based on a specified margin over SOFR. (2) Promissory notes payable on demand to lender with 90-day notice. |
Schedule of Collateral for Short-Term Debt Facilities | The following table below presents the value of loans, securities, and other assets pledged as collateral under our short-term debt at September 30, 2023 and December 31, 2022. Table 14.2 – Collateral for Short-Term Debt (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 (1) Includes certificated mortgage servicing rights classified as securities on our consolidated balance sheets. |
Schedule of Short-Term Debt by Collateral Type and Remaining Maturities | The following table presents the remaining maturities of our secured short-term debt by the type of collateral securing the debt at September 30, 2023. Table 14.3 – Short-Term Debt by Collateral Type and Remaining Maturities 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 |
Asset-Backed Securities Issued
Asset-Backed Securities Issued (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Debt Disclosure [Abstract] | |
Schedule of Asset-Backed Securities Issued | The carrying values of ABS issued by our consolidated securitization entities at September 30, 2023 and December 31, 2022, along with other selected information, are summarized in the following table. Table 15.1 – Asset-Backed Securities Issued September 30, 2023 Legacy Sequoia CAFL (1) Freddie Mac SLST Freddie Mac 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 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 (1) Includes $485 million (principal balance) of ABS issued by two CAFL bridge securitization trusts sponsored by Redwood and accounted for at amortized cost at both September 30, 2023 and December 31, 2022. (2) Includes $86 million (principal balance) of ABS issued by a re-securitization trust sponsored by Redwood and accounted for at amortized cost at December 31, 2022. (3) Certain ABS issued by CAFL and HEI securitization entities are subject to early redemption and interest rate step-ups as described below. |
Schedule of Accrued Interest Payable on Asset-Backed Securities Issued | The following table summarizes the accrued interest payable on ABS issued at September 30, 2023 and December 31, 2022. Interest due on consolidated ABS issued is payable monthly. Table 15.2 – Accrued Interest Payable on Asset-Backed Securities Issued (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 (1) Includes accrued interest payable on ABS issued by a re-securitization trust sponsored by Redwood at December 31, 2022. |
Long-Term Debt (Tables)
Long-Term Debt (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Debt Disclosure [Abstract] | |
Schedule of Long-term Debt Instruments | The tables below summarize our long-term debt, including the facilities that are available to us, the outstanding balances, the weighted average interest rates, and the maturity information at September 30, 2023 and December 31, 2022. Table 16.1 – Long-Term Debt 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 (1) Variable rate borrowings are based on 1- or 3-month LIBOR ("L" in the table above) or SOFR, plus an applicable spread. As a result of legislation that was passed in the state of New York, our trust preferred securities and subordinated notes converted to SOFR upon the cessation of LIBOR in 2023. The following table summarizes the accrued interest payable on long-term debt at September 30, 2023 and December 31, 2022. Table 16.3 – Accrued Interest Payable on Long-Term Debt (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 |
Schedule of Financial Instruments Owned and Pledged as Collateral | The following table below presents the value of loans, securities, and other assets pledged as collateral under our long-term debt at September 30, 2023 and December 31, 2022. Table 16.2 – Collateral for Long-Term Debt (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 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Future Lease Commitments by Year | The following table presents our future lease commitments at September 30, 2023. Table 17.1 – Future Lease Commitments by Year (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 |
Equity (Tables)
Equity (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Equity [Abstract] | |
Schedule of Changes to Accumulated Other Comprehensive Income by Component | The following table provides a summary of changes to Accumulated other comprehensive income (loss) by component for the three and nine months ended September 30, 2023 and 2022. Table 18.1 – Changes in Accumulated Other Comprehensive Income (Loss) by Component 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 (3,921) — (8,731) — Amounts reclassified from other 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) Nine Months Ended September 30, 2023 Nine 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 $ 3,435 $ (72,303) $ 67,503 $ (76,430) Other comprehensive income (loss) 398 — (60,013) — Amounts reclassified from other 645 3,087 918 3,087 Net current-period other comprehensive income (loss) 1,043 3,087 (59,095) 3,087 Balance at End of Period $ 4,478 $ (69,216) $ 8,408 $ (73,343) |
Schedule of Reclassifications out of Accumulated Other Comprehensive Income | The following table provides a summary of reclassifications out of Accumulated other comprehensive income (loss) for the three and nine months ended September 30, 2023 and 2022. Table 18.2 – Reclassifications Out of Accumulated Other Comprehensive Income (Loss) Amount Reclassified From Affected Line Item in the Three Months Ended September 30, (In Thousands) Income Statement 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 Amortization of deferred loss Interest expense $ 1,040 $ 1,040 $ 1,040 $ 1,040 Amount Reclassified From 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 Amortization of deferred loss Interest expense $ 3,087 $ 3,087 $ 3,087 $ 3,087 |
Schedule of Basic and Diluted Earnings (Loss) Per Common Share | The following table provides the basic and diluted earnings per common share computations for the three and nine months ended September 30, 2023 and 2022. Table 18.3 – Basic and Diluted Earnings (Loss) per Common Share Three Months Ended September 30, Nine Months Ended September 30, (In Thousands, except Share Data) 2023 2022 2023 2022 Basic Loss per Common Share: Net loss related to common stockholders $ (32,560) $ (50,411) $ (28,244) $ (119,462) Less: Dividends and undistributed earnings allocated to participating securities (792) (1,158) (3,072) (3,445) Net loss related to to common stockholders $ (33,352) $ (51,569) $ (31,316) $ (122,907) Basic weighted average common shares outstanding 115,465,977 116,087,890 114,381,548 118,530,172 Basic Loss per Common Share $ (0.29) $ (0.44) $ (0.27) $ (1.04) Diluted Loss per Common Share: Net loss related to common stockholders $ (32,560) $ (50,411) $ (28,244) $ (119,462) 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 — — — — Net loss related to common stockholders $ (33,352) $ (51,569) $ (31,316) $ (122,907) Weighted average common shares outstanding 115,465,977 116,087,890 114,381,548 118,530,172 Net effect of dilutive equity awards — — — — Net effect of assumed convertible notes conversion to common shares — — — — Diluted weighted average common shares outstanding 115,465,977 116,087,890 114,381,548 118,530,172 Diluted Loss per Common Share $ (0.29) $ (0.44) $ (0.27) $ (1.04) |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Share-Based Payment Arrangement [Abstract] | |
Schedule of Equity Compensation Costs by Award Type | The unamortized compensation cost of awards issued under the Incentive Plan, which are settled by delivery of shares of common stock, and purchases under the Employee Stock Purchase Plan, totaled $30 million at September 30, 2023, as shown in the following table. Table 19.1 – Activities of Equity Compensation Costs by Award Type Nine Months Ended September 30, 2023 (In Thousands) Restricted Stock Units Deferred Stock Units Performance Stock Units Employee Stock Purchase Plan Total Unrecognized compensation cost at beginning of period $ 5,068 $ 19,849 $ 15,271 $ — $ 40,188 Equity grants 2,092 6,865 — 422 9,379 Performance-based valuation adjustment — — (3,205) — (3,205) Equity grant forfeitures (1,088) (719) — — (1,807) Equity compensation expense (2,411) (8,911) (2,895) (318) (14,535) Unrecognized Compensation Cost at End of Period $ 3,661 $ 17,084 $ 9,171 $ 104 $ 30,020 |
Mortgage Banking Activities, _2
Mortgage Banking Activities, Net (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Mortgage Banking [Abstract] | |
Schedule of Mortgage Banking Activities | The following table presents the components of Mortgage banking activities, net, recorded in our consolidated statements of income for the three and nine months ended September 30, 2023 and 2022. Table 20.1 – Mortgage Banking Activities 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 (1) For residential loans, includes changes in fair value for associated loan purchase commitments. For BPL term loans, includes changes in fair value for associated interest rate lock commitments. (2) Represents fair value changes on trading securities that are being used along as hedges to manage the mark-to-market risks associated with our residential mortgage banking operations. (3) Represents market valuation changes of derivatives that were used to manage risks associated with our mortgage banking operations. (4) Amounts in this line item include other fee income from loan acquisitions and provisions for repurchases, presented net. (5) Amounts in this line item include other fee income from loan originations. |
Other Income, Net (Tables)
Other Income, Net (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Other Income and Expenses [Abstract] | |
Schedule of Other Income, Net | The following table presents the components of Other income recorded in our consolidated statements of income for the three and nine months ended September 30, 2023 and 2022. Table 21.1 – Other Income, Net 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 (1) Includes servicing fees and fair value changes for MSRs and related hedges, net. (2) Includes asset management fees, extension fees, default interest and other fees. |
Components of Operating Expen_2
Components of Operating Expenses (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Other Income and Expenses [Abstract] | |
Schedule of Components of General and Administrative Expenses and Other Expenses | Components of our general and administrative expenses, loan acquisition costs, and other expenses for the three and nine months ended September 30, 2023 and 2022 are presented in the following table. Table 22.1 – Components of Operating Expenses 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 (1) Includes $2 million of severance and transition-related expenses for the nine months ended September 30, 2023. |
Taxes (Tables)
Taxes (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Income Tax Disclosure [Abstract] | |
Schedule of Reconciliation of Statutory Tax Rate to Effective Tax Rate | The following is a reconciliation of the statutory federal and state tax rates to our effective tax rate at September 30, 2023 and 2022. Table 23.1 – Reconciliation of Statutory Tax Rate to Effective Tax Rate September 30, 2023 September 30, 2022 Federal statutory rate 21.0 % 21.0 % State taxes, net of Federal tax effect, as applicable (1.0) % 0.5 % Differences in taxable (loss) income from GAAP income (0.6) % — % Change in valuation allowance — % — % REIT GAAP income or loss not subject to federal income tax (22.2) % (13.4) % Effective Tax Rate (2.8) % 8.1 % |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Segment Reporting [Abstract] | |
Schedule of Business Segment Financial Information | The following tables present financial information by segment for the three and nine months ended September 30, 2023 and 2022. Table 24.1 – Business Segment Financial Information Three Months Ended September 30, 2023 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ 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) Nine Months Ended September 30, 2023 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ 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/ 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) Nine Months Ended September 30, 2022 (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ Total Interest income $ 36,048 $ 22,509 $ 471,932 $ 4,028 $ 534,517 Interest expense (23,316) (12,797) (331,047) (38,832) (405,992) Net interest income (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) |
Schedule of Components of Corporate and Other | The following table presents the components of Corporate/Other for the three and nine months ended September 30, 2023 and 2022. Table 24.2 – Components of Corporate/Other Three Months Ended September 30, 2023 2022 (In Thousands) Legacy Consolidated VIEs (1) Other Total Legacy Consolidated VIEs (1) Other Total Interest income $ 2,596 $ 1,546 $ 4,142 $ 1,473 $ 343 $ 1,816 Interest expense (2,487) (14,219) (16,706) (1,486) (15,311) (16,797) Net interest income (expense) 109 (12,673) (12,564) (13) (14,968) (14,981) Non-interest income (loss) Investment fair value changes, net (215) 100 (115) (329) 4,412 4,083 Other income, net — (1,554) (1,554) — (278) (278) Realized gains, net — 24 24 — — — Total non-interest income (loss), net (215) (1,430) (1,645) (329) 4,134 3,805 General and administrative expenses — (14,434) (14,434) — (12,335) (12,335) Portfolio management costs — (25) (25) — — — Benefit from income taxes — 256 256 — — — 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) (1) Legacy consolidated VIEs represent Legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See Note 4 |
Schedule of Supplemental Information by Segment | The following table presents supplemental information by segment at September 30, 2023 and December 31, 2022. Table 24.3 – Supplemental Segment Information (In Thousands) Residential Mortgage Banking Business Purpose Mortgage Banking Investment Portfolio Corporate/ 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 |
Organization (Details)
Organization (Details) | 9 Months Ended |
Sep. 30, 2023 segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 3 |
Basis of Presentation - Narrati
Basis of Presentation - Narrative (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Jul. 01, 2022 USD ($) | Sep. 30, 2022 USD ($) | Sep. 30, 2023 USD ($) partnership | Sep. 30, 2022 USD ($) | Dec. 31, 2018 partnership | |
Variable Interest Entity [Line Items] | |||||
Number of partnerships consolidated | partnership | 2 | 2 | |||
Amortization of intangible assets | $ 9,000,000 | $ 11,000,000 | |||
Riverbend Funding, LLC | |||||
Variable Interest Entity [Line Items] | |||||
Intangibles acquired | $ 95,000,000 | ||||
Goodwill acquired during the period | $ 23,000,000 | ||||
Change in amount of contingent consideration liability | $ 0 | ||||
Contingent liability | $ 0 | ||||
Variable Interest Entity, Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Number of partnerships consolidated | partnership | 2 | ||||
VIE, ownership interest rate (as a percent) | 80% |
Basis of Presentation - Intangi
Basis of Presentation - Intangible Assets Activity (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2023 USD ($) | |
Finite-Lived Intangible Assets [Line Items] | |
Carrying value | $ 31,570 |
5 Arches LLC and CoreVest | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible Assets at Acquisition | 94,600 |
Accumulated amortization | (63,030) |
Carrying value | $ 31,570 |
Weighted Average Amortization Period (in years) | 6 years |
5 Arches LLC and CoreVest | Borrower network | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible Assets at Acquisition | $ 56,300 |
Accumulated amortization | (27,580) |
Carrying value | $ 28,720 |
Weighted Average Amortization Period (in years) | 7 years |
5 Arches LLC and CoreVest | Broker network | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible Assets at Acquisition | $ 18,100 |
Accumulated amortization | (16,592) |
Carrying value | $ 1,508 |
Weighted Average Amortization Period (in years) | 5 years |
5 Arches LLC and CoreVest | Non-compete agreements | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible Assets at Acquisition | $ 11,400 |
Accumulated amortization | (10,292) |
Carrying value | $ 1,108 |
Weighted Average Amortization Period (in years) | 3 years |
5 Arches LLC and CoreVest | Tradenames | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible Assets at Acquisition | $ 4,400 |
Accumulated amortization | (4,166) |
Carrying value | $ 234 |
Weighted Average Amortization Period (in years) | 3 years |
5 Arches LLC and CoreVest | Developed technology | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible Assets at Acquisition | $ 1,800 |
Accumulated amortization | (1,800) |
Carrying value | $ 0 |
Weighted Average Amortization Period (in years) | 2 years |
5 Arches LLC and CoreVest | Loan administration fees on existing loan assets | |
Finite-Lived Intangible Assets [Line Items] | |
Intangible Assets at Acquisition | $ 2,600 |
Accumulated amortization | (2,600) |
Carrying value | $ 0 |
Weighted Average Amortization Period (in years) | 1 year |
Basis of Presentation - Intan_2
Basis of Presentation - Intangible Asset Amortization Expense by Year (Details) $ in Thousands | Sep. 30, 2023 USD ($) |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
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 |
Basis of Presentation - Pro For
Basis of Presentation - Pro Forma Information (Details) - Riverbend Acquisition - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2022 | Sep. 30, 2022 | |
Business Acquisition [Line Items] | ||
Net interest income | $ 34,935 | $ 132,475 |
Non-interest (loss) income | (37,135) | (121,614) |
Net (loss) income | $ (50,411) | $ (117,090) |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies - Offsetting of Financial Assets, Liabilities, and Collateral (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Assets | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | $ 37,686 | $ 20,830 |
Liabilities | |||
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | [1] | (8,781) | (16,855) |
Total Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (331,574) | (241,536) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (331,574) | (241,536) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 327,248 | 226,625 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 4,326 | 4,518 | |
Net Amount | 0 | (10,393) | |
Interest rate agreements | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 13,819 | 14,625 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 13,819 | 14,625 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 0 | 0 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (9,428) | (5,944) | |
Net Amount | 4,391 | 8,681 | |
TBAs | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 16,613 | 1,893 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 16,613 | 1,893 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (1,169) | (1,873) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (14,032) | 0 | |
Net Amount | 1,412 | 20 | |
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (5,495) | (16,784) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (5,495) | (16,784) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 1,169 | 1,873 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 4,326 | 4,518 | |
Net Amount | 0 | (10,393) | |
Futures | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 2,187 | 3,976 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 2,187 | 3,976 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (199) | (57) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (146) | 0 | |
Net Amount | 1,842 | 3,919 | |
Liabilities | |||
Gross Amounts of Recognized Assets (Liabilities) | (199) | (57) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (199) | (57) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 199 | 57 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | 0 | |
Net Amount | 0 | 0 | |
Interest Rate Agreement, TBAs, and Futures | |||
Assets | |||
Gross Amounts of Recognized Assets (Liabilities) | 32,619 | 20,494 | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | 32,619 | 20,494 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | (1,368) | (1,930) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | (23,606) | (5,944) | |
Net Amount | 7,645 | 12,620 | |
Loan warehouse debt | |||
Loan warehouse debt and Security repurchase agreement | |||
Gross Amounts of Recognized Assets (Liabilities) | (325,880) | (224,695) | |
Gross Amounts Offset in Consolidated Balance Sheet | 0 | 0 | |
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet | (325,880) | (224,695) | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Financial Instruments | 325,880 | 224,695 | |
Gross Amounts Not Offset in Consolidated Balance Sheet, Cash Collateral (Received) Pledged | 0 | 0 | |
Net Amount | $ 0 | $ 0 | |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Principles of Consolidation - A
Principles of Consolidation - Additional Information (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 entity partnership | Dec. 31, 2018 partnership | |
Variable Interest Entity [Line Items] | ||
Number of partnerships consolidated | 2 | 2 |
Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Number of partnerships consolidated | 2 | |
VIE, ownership interest rate (as a percent) | 80% | |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Number of securitization entities to which asset transferred (in entities) | entity | 46 |
Principles of Consolidation -_2
Principles of Consolidation - Assets and Liabilities of Consolidated Variable Interest Entities Accounted for as Collateralized Financing Entities (Details) $ in Thousands | Sep. 30, 2023 USD ($) Investment | Dec. 31, 2022 USD ($) Investment | Sep. 30, 2022 USD ($) | |||
Variable Interest Entity [Line Items] | ||||||
Home equity investments | $ 431,272 | $ 403,462 | ||||
Other investments | [1] | 340,361 | 390,938 | |||
Cash and cash equivalents | 203,622 | [1] | 258,894 | [1] | $ 297,000 | |
Restricted cash | 56,000 | $ 72,000 | ||||
Accrued interest receivable | 60,762 | 60,893 | ||||
Other assets | [1] | 250,487 | 211,240 | |||
Total Assets | [1] | 13,021,138 | 13,030,899 | |||
Short-term debt | [1] | 1,476,654 | 2,029,679 | |||
Accrued interest payable | 51,849 | 46,612 | ||||
Accrued expenses and other liabilities | [1] | 208,294 | 180,203 | |||
Asset-backed securities issued | [1] | 8,392,050 | 7,986,752 | |||
Total Liabilities | [1] | 11,915,339 | 11,946,914 | |||
CAFL | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of securities owned | 316,000 | 304,000 | ||||
Freddie Mac SLST | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of securities owned | 256,000 | 323,000 | ||||
Variable Interest Entity, Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Total Assets | 9,639,117 | 9,257,291 | ||||
Total Liabilities | 8,635,696 | 8,270,276 | ||||
Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Home equity investments | 129,150 | 132,627 | ||||
Other investments | 252,650 | 301,213 | ||||
Cash and cash equivalents | 15,198 | 13,475 | ||||
Restricted cash | 28,285 | 29,862 | ||||
Accrued interest receivable | 43,270 | 36,392 | ||||
Other assets | 18,950 | 25,397 | ||||
Total Assets | 9,639,117 | 9,257,291 | ||||
Short-term debt | 154,128 | 206,510 | ||||
Accrued interest payable | 29,119 | 25,300 | ||||
Accrued expenses and other liabilities | 60,399 | 51,714 | ||||
Asset-backed securities issued | 8,392,050 | 7,986,752 | ||||
Total Liabilities | 8,635,696 | 8,270,276 | ||||
Value of our investments in VIEs | $ 995,935 | $ 979,267 | ||||
Number of VIEs | Investment | 67 | 64 | ||||
Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | $ 5,236,391 | $ 4,832,407 | ||||
Business purpose loans, held-for-investment | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | [1] | 5,146,553 | 4,968,513 | |||
Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 3,494,669 | 3,461,367 | ||||
Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 420,554 | 424,551 | ||||
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Home equity investments | 0 | 0 | ||||
Other investments | 0 | 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 67 | 69 | ||||
Accrued interest receivable | 333 | 284 | ||||
Other assets | 0 | 637 | ||||
Total Assets | 150,552 | 185,922 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 310 | 282 | ||||
Accrued expenses and other liabilities | (106) | 0 | ||||
Asset-backed securities issued | 149,202 | 184,191 | ||||
Total Liabilities | 149,406 | 184,473 | ||||
Value of our investments in VIEs | $ 950 | $ 1,285 | ||||
Number of VIEs | Investment | 20 | 20 | ||||
Legacy Sequoia | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | $ 150,152 | $ 184,932 | ||||
Legacy Sequoia | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
Legacy Sequoia | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
Sequoia | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Home equity investments | 0 | 0 | ||||
Other investments | 0 | 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 76 | 73 | ||||
Accrued interest receivable | 15,263 | 11,227 | ||||
Other assets | 0 | 0 | ||||
Total Assets | 3,789,429 | 3,201,717 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 12,695 | 8,880 | ||||
Accrued expenses and other liabilities | 80 | 81 | ||||
Asset-backed securities issued | 3,568,505 | 2,971,109 | ||||
Total Liabilities | 3,581,280 | 2,980,070 | ||||
Value of our investments in VIEs | $ 205,581 | $ 219,299 | ||||
Number of VIEs | Investment | 20 | 17 | ||||
Sequoia | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | $ 3,774,090 | $ 3,190,417 | ||||
Sequoia | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
Sequoia | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
CAFL | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Home equity investments | 0 | 0 | ||||
Other investments | 0 | 0 | ||||
Cash and cash equivalents | 0 | 710 | ||||
Restricted cash | 24,127 | 26,296 | ||||
Accrued interest receivable | 19,267 | 18,102 | ||||
Other assets | 8,062 | 14,265 | ||||
Total Assets | 3,546,125 | 3,520,740 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 11,181 | 10,918 | ||||
Accrued expenses and other liabilities | 2,736 | 4,559 | ||||
Asset-backed securities issued | 3,134,929 | 3,115,807 | ||||
Total Liabilities | 3,148,846 | 3,131,284 | ||||
Value of our investments in VIEs | $ 394,184 | $ 385,927 | ||||
Number of VIEs | Investment | 20 | 19 | ||||
CAFL | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | $ 0 | $ 0 | ||||
CAFL | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 3,494,669 | 3,461,367 | ||||
CAFL | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Home equity investments | 0 | 0 | ||||
Other investments | 0 | 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 0 | 0 | ||||
Accrued interest receivable | 4,900 | 5,144 | ||||
Other assets | 2,865 | 2,898 | ||||
Total Assets | 1,319,914 | 1,465,100 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 3,398 | 3,561 | ||||
Accrued expenses and other liabilities | 0 | 0 | ||||
Asset-backed securities issued | 1,058,991 | 1,222,150 | ||||
Total Liabilities | 1,062,389 | 1,225,711 | ||||
Value of our investments in VIEs | $ 256,023 | $ 237,807 | ||||
Number of VIEs | Investment | 2 | 3 | ||||
Freddie Mac SLST | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | $ 1,312,149 | $ 1,457,058 | ||||
Freddie Mac SLST | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
Freddie Mac SLST | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Home equity investments | 0 | 0 | ||||
Other investments | 0 | 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 0 | 0 | ||||
Accrued interest receivable | 1,275 | 1,293 | ||||
Other assets | 0 | 0 | ||||
Total Assets | 421,829 | 425,844 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 1,150 | 1,167 | ||||
Accrued expenses and other liabilities | 0 | 0 | ||||
Asset-backed securities issued | 387,650 | 392,785 | ||||
Total Liabilities | 388,800 | 393,952 | ||||
Value of our investments in VIEs | $ 32,904 | $ 31,767 | ||||
Number of VIEs | Investment | 1 | 1 | ||||
Freddie Mac K-Series | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | $ 0 | $ 0 | ||||
Freddie Mac K-Series | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
Freddie Mac K-Series | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 420,554 | 424,551 | ||||
Servicing Investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Home equity investments | 0 | 0 | ||||
Other investments | 252,650 | 301,213 | ||||
Cash and cash equivalents | 15,198 | 12,765 | ||||
Restricted cash | 0 | 0 | ||||
Accrued interest receivable | 2,232 | 342 | ||||
Other assets | 7,973 | 7,547 | ||||
Total Assets | 278,053 | 321,867 | ||||
Short-term debt | 154,128 | 206,510 | ||||
Accrued interest payable | 385 | 492 | ||||
Accrued expenses and other liabilities | 32,062 | 24,745 | ||||
Asset-backed securities issued | 0 | 0 | ||||
Total Liabilities | 186,575 | 231,747 | ||||
Value of our investments in VIEs | $ 91,478 | $ 90,120 | ||||
Number of VIEs | Investment | 3 | 3 | ||||
Servicing Investment | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | $ 0 | $ 0 | ||||
Servicing Investment | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
Servicing Investment | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
HEI | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Home equity investments | 129,150 | 132,627 | ||||
Other investments | 0 | 0 | ||||
Cash and cash equivalents | 0 | 0 | ||||
Restricted cash | 4,015 | 3,424 | ||||
Accrued interest receivable | 0 | 0 | ||||
Other assets | 50 | 50 | ||||
Total Assets | 133,215 | 136,101 | ||||
Short-term debt | 0 | 0 | ||||
Accrued interest payable | 0 | 0 | ||||
Accrued expenses and other liabilities | 25,627 | 22,329 | ||||
Asset-backed securities issued | 92,773 | 100,710 | ||||
Total Liabilities | 118,400 | 123,039 | ||||
Value of our investments in VIEs | $ 14,815 | $ 13,062 | ||||
Number of VIEs | Investment | 1 | 1 | ||||
Fair value of securities owned | $ 15,000 | |||||
HEI | Residential loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | $ 0 | ||||
HEI | Business purpose loans, held-for-investment | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | 0 | 0 | ||||
HEI | Consolidated Agency multifamily loans | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair value of loans | $ 0 | $ 0 | ||||
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Principles of Consolidation - I
Principles of Consolidation - Income (Loss) from Consolidated VIEs Accounted for as Collateralized Financing Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Variable Interest Entity [Line Items] | ||||
Interest income | $ 177,074 | $ 177,662 | $ 534,571 | $ 534,517 |
Interest expense | (156,723) | (142,727) | (461,687) | (405,992) |
Net Interest Income | 20,351 | 34,935 | 72,884 | 128,525 |
Investment fair value changes, net | (31,430) | (57,697) | (36,153) | (151,789) |
Total non-interest (loss) income, net | (9,594) | (37,135) | 28,674 | (129,359) |
Net Loss | (30,810) | (50,411) | (23,317) | (119,462) |
Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 123,527 | 123,161 | 365,759 | 381,969 |
Interest expense | (94,793) | (93,643) | (280,157) | (291,897) |
Net Interest Income | 28,734 | 29,518 | 85,602 | 90,072 |
Investment fair value changes, net | (39,714) | (61,237) | (36,326) | (127,631) |
Other income | 377 | 286 | 761 | 631 |
Total non-interest (loss) income, net | (39,337) | (60,951) | (35,565) | (127,000) |
General and administrative expenses | (89) | (55) | (82) | (130) |
Other expenses | (1,526) | (372) | (4,007) | (1,158) |
Net Loss | (12,218) | (31,860) | 45,948 | (38,216) |
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 2,596 | 1,475 | 7,879 | 3,595 |
Interest expense | (2,487) | (1,486) | (7,650) | (3,154) |
Net Interest Income | 109 | (11) | 229 | 441 |
Investment fair value changes, net | (215) | (328) | (319) | (1,378) |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (215) | (328) | (319) | (1,378) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Loss | (106) | (339) | (90) | (937) |
Sequoia | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 40,180 | 31,587 | 112,302 | 95,608 |
Interest expense | (35,810) | (27,541) | (99,859) | (84,041) |
Net Interest Income | 4,370 | 4,046 | 12,443 | 11,567 |
Investment fair value changes, net | (4,966) | (10,936) | (1,596) | (20,644) |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (4,966) | (10,936) | (1,596) | (20,644) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Loss | (596) | (6,890) | 10,847 | (9,077) |
CAFL | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 52,940 | 61,439 | 161,960 | 195,381 |
Interest expense | (38,273) | (44,804) | (116,360) | (145,207) |
Net Interest Income | 14,667 | 16,635 | 45,600 | 50,174 |
Investment fair value changes, net | (6,562) | (4,527) | (4,643) | (23,972) |
Other income | 377 | 286 | 761 | 631 |
Total non-interest (loss) income, net | (6,185) | (4,241) | (3,882) | (23,341) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Loss | 8,482 | 12,394 | 41,718 | 26,833 |
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 15,065 | 16,098 | 45,831 | 49,851 |
Interest expense | (10,523) | (12,829) | (32,392) | (40,286) |
Net Interest Income | 4,542 | 3,269 | 13,439 | 9,565 |
Investment fair value changes, net | (32,388) | (41,892) | (40,017) | (74,796) |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (32,388) | (41,892) | (40,017) | (74,796) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Loss | (27,846) | (38,623) | (26,578) | (65,231) |
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 4,677 | 4,762 | 13,993 | 14,247 |
Interest expense | (4,290) | (4,377) | (12,842) | (13,099) |
Net Interest Income | 387 | 385 | 1,151 | 1,148 |
Investment fair value changes, net | 390 | 316 | 1,138 | 390 |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | 390 | 316 | 1,138 | 390 |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Loss | 777 | 701 | 2,289 | 1,538 |
Servicing Investment | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 8,069 | 7,800 | 23,794 | 23,287 |
Interest expense | (3,410) | (2,606) | (11,054) | (6,110) |
Net Interest Income | 4,659 | 5,194 | 12,740 | 17,177 |
Investment fair value changes, net | 3,059 | (3,286) | 7,265 | (11,259) |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | 3,059 | (3,286) | 7,265 | (11,259) |
General and administrative expenses | (89) | (55) | (82) | (130) |
Other expenses | (1,526) | (372) | (4,007) | (1,158) |
Net Loss | 6,103 | 1,481 | 15,916 | 4,630 |
HEI | Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income | 0 | 0 | 0 | 0 |
Interest expense | 0 | 0 | 0 | 0 |
Net Interest Income | 0 | 0 | 0 | 0 |
Investment fair value changes, net | 968 | (584) | 1,846 | 4,028 |
Other income | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | 968 | (584) | 1,846 | 4,028 |
General and administrative expenses | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
Net Loss | $ 968 | $ (584) | $ 1,846 | $ 4,028 |
Principles of Consolidation - C
Principles of Consolidation - Cash Flows Related to Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Variable Interest Entity [Line Items] | ||||
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 |
Principles of Consolidation - S
Principles of Consolidation - Schedule of Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
On-balance sheet assets, at fair value: | ||
Subordinate securities, classified as AFS | $ 81,404 | $ 132,146 |
Subordinate securities, classified as AFS | ||
On-balance sheet assets, at fair value: | ||
Subordinate securities, classified as AFS | 81,404 | 132,146 |
Variable Interest Entity, Not Primary Beneficiary | ||
On-balance sheet assets, at fair value: | ||
Maximum loss exposure | 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 |
Variable Interest Entity, Not Primary Beneficiary | Subordinate securities, classified as AFS | ||
On-balance sheet assets, at fair value: | ||
Subordinate securities, classified as AFS | 73,160 | 74,367 |
Interest-only, senior and subordinate securities, classified as trading | Variable Interest Entity, Not Primary Beneficiary | ||
On-balance sheet assets, at fair value: | ||
Interest-only, senior and subordinate securities, classified as trading | 32,772 | 28,722 |
Mortgage servicing rights | ||
On-balance sheet assets, at fair value: | ||
Mortgage servicing rights | 26,033 | 25,421 |
Mortgage servicing rights | Variable Interest Entity, Not Primary Beneficiary | ||
On-balance sheet assets, at fair value: | ||
Mortgage servicing rights | $ 11,562 | $ 11,589 |
Principles of Consolidation - K
Principles of Consolidation - Key Assumptions and Sensitivity Analysis for Assets Retained from Unconsolidated Variable Interest Entity's Sponsored by Redwood (Details) - Variable Interest Entity, Not Primary Beneficiary - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 | Dec. 31, 2022 | |
MSRs | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 11,562 | $ 11,589 |
Expected life (in years) | 8 years | 7 years |
Prepayment speed assumption (annual CPR) (as a percent) | 6% | 8% |
Decrease in fair value from: | ||
10% adverse change | $ 207 | $ 311 |
25% adverse change | $ 513 | $ 779 |
Discount rate assumption | 13% | 11% |
Decrease in fair value from: | ||
100 basis point increase | $ 405 | $ 430 |
200 basis point increase | 827 | 832 |
Senior Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 32,772 | $ 28,722 |
Expected life (in years) | 10 years | 7 years |
Prepayment speed assumption (annual CPR) (as a percent) | 5% | 10% |
Decrease in fair value from: | ||
10% adverse change | $ 589 | $ 970 |
25% adverse change | $ 1,400 | $ 2,344 |
Discount rate assumption | 14% | 12% |
Decrease in fair value from: | ||
100 basis point increase | $ 1,547 | $ 980 |
200 basis point increase | $ 2,782 | $ 1,894 |
Credit loss assumption | 0.03% | 0.03% |
Subordinate Securities | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair value | $ 73,160 | $ 74,367 |
Expected life (in years) | 15 years | 16 years |
Prepayment speed assumption (annual CPR) (as a percent) | 8% | 8% |
Decrease in fair value from: | ||
10% adverse change | $ 458 | $ 386 |
25% adverse change | $ 1,086 | $ 907 |
Discount rate assumption | 9% | 9% |
Decrease in fair value from: | ||
100 basis point increase | $ 6,878 | $ 7,198 |
200 basis point increase | $ 12,831 | $ 13,394 |
Credit loss assumption | 0.03% | 0.03% |
Decrease in fair value from: | ||
10% higher losses | $ 31 | $ 31 |
25% higher losses | $ 80 | $ 76 |
Minimum | MSRs | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 10% | 10% |
Impact of increase in discount rate assumption | 1% | 1% |
Impact of adverse change in expected credit losses | 10% | 10% |
Minimum | Senior Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 10% | 10% |
Impact of increase in discount rate assumption | 1% | 1% |
Impact of adverse change in expected credit losses | 10% | 10% |
Minimum | Subordinate Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 10% | 10% |
Impact of increase in discount rate assumption | 1% | 1% |
Impact of adverse change in expected credit losses | 10% | 10% |
Maximum | MSRs | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25% | 25% |
Impact of increase in discount rate assumption | 2% | 2% |
Impact of adverse change in expected credit losses | 25% | 25% |
Maximum | Senior Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25% | 25% |
Impact of increase in discount rate assumption | 2% | 2% |
Impact of adverse change in expected credit losses | 25% | 25% |
Maximum | Subordinate Securities | ||
Decrease in fair value from: | ||
Impact of adverse change in prepayment speed | 25% | 25% |
Impact of increase in discount rate assumption | 2% | 2% |
Impact of adverse change in expected credit losses | 25% | 25% |
Principles of Consolidation -_3
Principles of Consolidation - Schedule of Redwood's Interest in Third-Party Variable Interest Entity's (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Variable Interest Entity [Line Items] | |||
Real estate securities | [1] | $ 129,445 | $ 240,475 |
Other assets | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 29,103 | 144,468 | |
Other assets | Senior | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 8,397 | 145 | |
Other assets | Subordinate | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 15,116 | 137,241 | |
Other assets | Total Mortgage-Backed Securities | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | 23,513 | 137,386 | |
Other assets | Excess MSR | Variable Interest Entity, Not Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Real estate securities | $ 5,590 | $ 7,082 | |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Carrying Values and Estimated Fair Values of Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Assets | |||
Real estate securities, at fair value | $ 48,041 | $ 108,329 | |
HEI | [1] | 431,272 | 403,462 |
Derivative assets | [1] | 37,686 | 20,830 |
Liabilities | |||
Derivative liabilities | [1] | 8,781 | 16,855 |
ABS issued, net, At fair value | 7,910,345 | 7,424,132 | |
Residential loans, held-for-sale, at fair value | |||
Assets | |||
Loans receivable, fair value | 608,649 | 775,545 | |
Servicer advance investments | |||
Assets | |||
MSRs | 219,813 | 269,259 | |
Carrying Value | |||
Assets | |||
Real estate securities, at fair value | 129,445 | 240,475 | |
HEI | 431,272 | 403,462 | |
Other investments | 5,583 | 6,155 | |
Cash and cash equivalents | 203,622 | 258,894 | |
Restricted cash | 56,101 | 70,470 | |
Derivative assets | 37,686 | 20,830 | |
Margin receivable | 10,536 | 13,802 | |
Liabilities | |||
Margin payable | 25,210 | 5,944 | |
Guarantee obligation | 5,913 | 6,344 | |
HEI securitization non-controlling interest | 25,627 | 22,329 | |
Derivative liabilities | 8,781 | 16,855 | |
ABS issued, net, At fair value | 7,910,345 | 7,424,132 | |
ABS issued, net, At amortized cost | 481,705 | 562,620 | |
Other long-term debt, net | 1,320,733 | 1,077,200 | |
Convertible notes, net | 517,662 | 693,473 | |
Trust preferred securities and subordinated notes, net | 138,802 | 138,767 | |
Carrying Value | Servicer Advance Investments | |||
Assets | |||
MSRs | 219,813 | 269,259 | |
Carrying Value | MSRs | |||
Assets | |||
MSRs | 26,033 | 25,421 | |
Carrying Value | Excess MSRs | |||
Assets | |||
Excess MSRs | 38,427 | 39,035 | |
Carrying Value | Short-term debt | |||
Liabilities | |||
Short-term debt | 1,329,017 | 1,853,664 | |
Carrying Value | Servicer advance investments | Residential loans, held-for-sale, at fair value | |||
Assets | |||
Loans, held-for-sale | 610,918 | 780,781 | |
Carrying Value | Servicer advance investments | Residential loans, held-for-investment, at fair value | |||
Assets | |||
Loans receivable, fair value | 5,236,391 | 4,832,407 | |
Carrying Value | Servicer advance investments | Business purpose loans, held-for-sale, at fair value | |||
Assets | |||
Loans, held-for-sale | 102,777 | 364,073 | |
Carrying Value | Servicer advance investments | Business purpose loans, held-for-investment, at fair value | |||
Assets | |||
Loans receivable, fair value | 5,146,553 | 4,968,513 | |
Carrying Value | Servicer advance investments | Consolidated Agency multifamily loans, at fair value | |||
Assets | |||
Loans receivable, fair value | 420,554 | 424,551 | |
Fair Value | |||
Assets | |||
Real estate securities, at fair value | 129,445 | 240,475 | |
HEI | 431,272 | 403,462 | |
Other investments | 5,583 | 6,155 | |
Cash and cash equivalents | 203,622 | 258,894 | |
Restricted cash | 56,101 | 70,470 | |
Derivative assets | 37,686 | 20,830 | |
Margin receivable | 10,536 | 13,802 | |
Liabilities | |||
Margin payable | 25,210 | 5,944 | |
Guarantee obligation | 3,734 | 4,738 | |
HEI securitization non-controlling interest | 25,627 | 22,329 | |
Derivative liabilities | 8,781 | 16,855 | |
ABS issued, net, At fair value | 7,910,345 | 7,424,132 | |
ABS issued, net, At amortized cost | 454,973 | 524,768 | |
Other long-term debt, net | 1,315,014 | 1,069,946 | |
Convertible notes, net | 489,828 | 638,049 | |
Trust preferred securities and subordinated notes, net | 97,650 | 83,700 | |
Fair Value | Servicer Advance Investments | |||
Assets | |||
MSRs | 219,813 | 269,259 | |
Fair Value | MSRs | |||
Assets | |||
MSRs | 26,033 | 25,421 | |
Fair Value | Excess MSRs | |||
Assets | |||
Excess MSRs | 38,427 | 39,035 | |
Fair Value | Short-term debt | |||
Liabilities | |||
Short-term debt | 1,327,134 | 1,853,664 | |
Fair Value | Servicer advance investments | Residential loans, held-for-sale, at fair value | |||
Assets | |||
Loans, held-for-sale | 610,918 | 780,781 | |
Fair Value | Servicer advance investments | Residential loans, held-for-investment, at fair value | |||
Assets | |||
Loans receivable, fair value | 5,236,391 | 4,832,407 | |
Fair Value | Servicer advance investments | Business purpose loans, held-for-sale, at fair value | |||
Assets | |||
Loans, held-for-sale | 102,777 | 364,073 | |
Fair Value | Servicer advance investments | Business purpose loans, held-for-investment, at fair value | |||
Assets | |||
Loans receivable, fair value | 5,146,553 | 4,968,513 | |
Fair Value | Servicer advance investments | Consolidated Agency multifamily loans, at fair value | |||
Assets | |||
Loans receivable, fair value | $ 420,554 | $ 424,551 | |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Additional Information (Details) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2023 USD ($) | Sep. 30, 2023 USD ($) | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Carrying value of investments | $ 6,000 | $ 6,000 |
Securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 0 | 8,000 |
Residential Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Acquisitions | 858,000 | 1,100,000 |
Acquisitions | 1,050,444 | |
Business purpose loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value option elected aggregate carrying amount, asset | 411,000 | 1,260,000 |
Acquisitions | 0 | |
HEIs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Acquisitions | 100 | 26,000 |
MSRs | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Acquisitions | $ 0 | $ 500 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Assets | |||
Real estate securities | $ 48,041 | $ 108,329 | |
Other investments | [1] | 340,361 | 390,938 |
Derivative assets | [1] | 37,686 | 20,830 |
Liabilities | |||
Derivative liabilities | [1] | 8,781 | 16,855 |
ABS issued | 7,910,345 | 7,424,132 | |
Fair Value, Measurements, Recurring | |||
Assets | |||
Business purpose loans | 5,249,330 | 5,332,586 | |
Consolidated Agency multifamily loans | 420,554 | 424,551 | |
Real estate securities | 129,445 | 240,475 | |
HEI | 431,272 | 403,462 | |
Servicer advance investments | 219,813 | 269,259 | |
MSRs | 26,033 | 25,421 | |
Excess MSRs | 38,427 | 39,035 | |
Other investments | 5,583 | 6,155 | |
Derivative assets | 37,686 | 20,830 | |
Liabilities | |||
HEI securitization non-controlling interest | 25,627 | 22,329 | |
Derivative liabilities | 8,781 | 16,855 | |
ABS issued | 7,910,345 | 7,424,132 | |
Fair Value, Measurements, Recurring | Level 1 | |||
Assets | |||
Business purpose loans | 0 | 0 | |
Consolidated Agency multifamily loans | 0 | 0 | |
Real estate securities | 0 | 0 | |
HEI | 0 | 0 | |
Servicer advance investments | 0 | 0 | |
MSRs | 0 | 0 | |
Excess MSRs | 0 | 0 | |
Other investments | 0 | 0 | |
Derivative assets | 18,800 | 5,869 | |
Liabilities | |||
HEI securitization non-controlling interest | 0 | 0 | |
Derivative liabilities | 5,694 | 16,841 | |
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 2 | |||
Assets | |||
Business purpose loans | 0 | 0 | |
Consolidated Agency multifamily loans | 0 | 0 | |
Real estate securities | 0 | 0 | |
HEI | 0 | 0 | |
Servicer advance investments | 0 | 0 | |
MSRs | 0 | 0 | |
Excess MSRs | 0 | 0 | |
Other investments | 0 | 0 | |
Derivative assets | 13,819 | 14,625 | |
Liabilities | |||
HEI securitization non-controlling interest | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
ABS issued | 0 | 0 | |
Fair Value, Measurements, Recurring | Level 3 | |||
Assets | |||
Business purpose loans | 5,249,330 | 5,332,586 | |
Consolidated Agency multifamily loans | 420,554 | 424,551 | |
Real estate securities | 129,445 | 240,475 | |
HEI | 431,272 | 403,462 | |
Servicer advance investments | 219,813 | 269,259 | |
MSRs | 26,033 | 25,421 | |
Excess MSRs | 38,427 | 39,035 | |
Other investments | 5,583 | 6,155 | |
Derivative assets | 5,067 | 336 | |
Liabilities | |||
HEI securitization non-controlling interest | 25,627 | 22,329 | |
Derivative liabilities | 3,087 | 14 | |
ABS issued | 7,910,345 | 7,424,132 | |
Fair Value, Measurements, Recurring | Residential Loans | |||
Assets | |||
Residential loans | 5,847,309 | 5,613,157 | |
Fair Value, Measurements, Recurring | Residential Loans | Level 1 | |||
Assets | |||
Residential loans | 0 | 0 | |
Fair Value, Measurements, Recurring | Residential Loans | Level 2 | |||
Assets | |||
Residential loans | 0 | 0 | |
Fair Value, Measurements, Recurring | Residential Loans | Level 3 | |||
Assets | |||
Residential loans | $ 5,847,309 | $ 5,613,157 | |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2023 | Sep. 30, 2023 | |
HEI Securitization Non-Controlling Interest | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | $ 22,329 | |
Acquisitions | 0 | |
Principal paydowns | 0 | |
Gains (losses) in net income, net | 3,298 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2023 | $ 25,627 | 25,627 |
ABS Issued | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 7,424,132 | |
Acquisitions | 1,240,120 | |
Principal paydowns | (571,883) | |
Gains (losses) in net income, net | (182,023) | |
Other settlements, net | 0 | |
Ending balance - September 30, 2023 | 7,910,346 | 7,910,346 |
Residential Loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 5,613,157 | |
Acquisitions | 1,050,444 | |
Originations | 0 | |
Sales | (226,646) | |
Principal paydowns | (363,128) | |
Gains (losses) in net income, net | (224,162) | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | (2,356) | |
Ending balance - September 30, 2023 | 5,847,309 | 5,847,309 |
Business purpose loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 5,332,586 | |
Acquisitions | 0 | |
Originations | 1,255,680 | |
Sales | (471,336) | |
Principal paydowns | (802,610) | |
Gains (losses) in net income, net | (17,809) | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | (47,181) | |
Ending balance - September 30, 2023 | 5,249,330 | 5,249,330 |
Consolidated Agency multifamily loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 424,552 | |
Acquisitions | 0 | |
Originations | 0 | |
Sales | 0 | |
Principal paydowns | (6,198) | |
Gains (losses) in net income, net | 2,200 | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2023 | 420,554 | 420,554 |
Trading Securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 108,329 | |
Acquisitions | 7,883 | |
Originations | 0 | |
Sales | (82,270) | |
Principal paydowns | (324) | |
Gains (losses) in net income, net | 14,423 | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2023 | 48,041 | 48,041 |
AFS Securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 132,146 | |
Acquisitions | 1,979 | |
Originations | 0 | |
Sales | (54,339) | |
Principal paydowns | (632) | |
Gains (losses) in net income, net | 946 | |
Unrealized losses in OCI, net | 1,304 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2023 | 81,404 | 81,404 |
HEI | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 403,462 | |
Acquisitions | 25,626 | |
Originations | 0 | |
Sales | 0 | |
Principal paydowns | (26,153) | |
Gains (losses) in net income, net | 28,337 | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2023 | 431,272 | 431,272 |
Servicer Advance Investments | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 269,259 | |
Acquisitions | 0 | |
Originations | 0 | |
Sales | 0 | |
Principal paydowns | (55,828) | |
Gains (losses) in net income, net | 6,382 | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2023 | 219,813 | 219,813 |
Excess MSRs | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 39,035 | |
Acquisitions | 0 | |
Originations | 0 | |
Sales | 0 | |
Principal paydowns | 0 | |
Gains (losses) in net income, net | (608) | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | 0 | |
Ending balance - September 30, 2023 | 38,427 | 38,427 |
MSRs and Other Investments | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 31,576 | |
Acquisitions | 0 | 500 |
Originations | 0 | |
Sales | (272) | |
Principal paydowns | (114) | |
Gains (losses) in net income, net | 426 | |
Unrealized losses in OCI, net | 0 | |
Other settlements, net | (500) | |
Ending balance - September 30, 2023 | 31,616 | 31,616 |
Derivatives | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance - December 31, 2022 | 322 | |
Acquisitions | 0 | |
Principal paydowns | 0 | |
Gains (losses) in net income, net | 10,086 | |
Other settlements, net | (8,428) | |
Ending balance - September 30, 2023 | $ 1,980 | $ 1,980 |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Portion of Net Gains (Losses) Attributable to Level 3 Assets and Liabilities Still Held Included in Net Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Non-controlling interest in consolidated HEI entity | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 liabilities still held included in net income | $ (1,732) | $ 1,068 | $ (3,298) | $ (7,320) |
Residential loan purchase commitments, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 liabilities still held included in net income | (3,087) | (212) | (3,087) | (212) |
Point Entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 2,700 | (1,652) | 5,145 | 11,348 |
Held-for-investment at fair value | Residential loans at Redwood | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (3,963) | (28,762) | (4,404) | (42,952) |
Held-for-investment at fair value | Sequoia | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (4,471) | (11,264) | (1,952) | (22,467) |
Held-for-investment at fair value | Freddie Mac SLST | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (32,397) | (41,969) | (40,398) | (75,043) |
Business Purpose Loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (15,646) | (10,967) | (25,876) | (39,019) |
Consolidated Agency multifamily loans | Freddie Mac K-Series | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 390 | 316 | 1,138 | 390 |
BPL Term | CAFL | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (3,800) | (6,585) | (1,903) | (24,365) |
Trading Securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 4,408 | (12,668) | 5,795 | (34,104) |
Available-for-sale securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 66 | 0 | (32) | 0 |
HEI | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 8,705 | (4,903) | 19,592 | (2,272) |
Servicer Advance Investments | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 4,069 | (3,905) | 6,383 | (10,218) |
MSRs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | 160 | 1,653 | 1,425 | 9,118 |
Excess MSRs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | (1,450) | (351) | (608) | (3,779) |
Residential loan purchase commitments, net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Net gains (losses) attributable to level 3 assets still held included in net income | $ 5,061 | $ 723 | $ 5,067 | $ 744 |
Fair Value of Financial Instr_8
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on Non-Recurring Basis (Details) - Fair Value, Measurements, Nonrecurring $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2023 USD ($) | Sep. 30, 2023 USD ($) | |
Strategic investments | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Other assets | $ 6,750 | $ 6,750 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | 100 | (2,550) |
Strategic investments | Level 1 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Other assets | 0 | 0 |
Strategic investments | Level 2 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Other assets | 0 | 0 |
Strategic investments | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Other assets | 6,750 | 6,750 |
REO | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Other assets | 423 | 423 |
Gain (Loss) on assets measured at fair value on a non-recurring basis | (65) | (65) |
REO | Level 1 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Other assets | 0 | 0 |
REO | Level 2 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Other assets | 0 | 0 |
REO | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Other assets | $ 423 | $ 423 |
Fair Value of Financial Instr_9
Fair Value of Financial Instruments - Market Valuation Adjustments, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | $ 16,318 | $ (50,893) | $ 1,275 | $ (183,487) |
Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 15,328 | 6,420 | 37,283 | (38,877) |
Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (31,430) | (57,697) | (36,153) | (151,789) |
Other Income | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (216) | 384 | 145 | 7,179 |
Residential loans, held-for-sale, at fair value | Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (8,683) | (20,060) | (2,774) | (71,776) |
Residential loan purchase commitments | Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 5,864 | (2,716) | 8,045 | (53,236) |
BPL term loans held-for-sale | Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 1,600 | (19,325) | 13,214 | (83,827) |
BPL term loans held-for-sale | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 0 | 0 | (14,430) | 0 |
BPL term loan interest rate lock commitments | Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 0 | 19 | 0 | (666) |
BPL bridge loans | Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 1,438 | (9) | 4,808 | 2,242 |
Trading securities | Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (482) | 148 | 2,188 | 4,249 |
Trading securities | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 5,738 | (12,668) | 12,271 | (34,268) |
Risk management derivatives, net | Mortgage Banking Activities, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 15,591 | 48,363 | 11,802 | 164,137 |
Risk management derivatives, net | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 7,471 | 27,241 | 6,446 | 33,609 |
Residential loans held-for-investment, at Redwood (called Sequoia loans) | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 0 | (6,614) | 183 | (18,876) |
BPL bridge loans held-for-investment | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (16,899) | 2,482 | (22,867) | (9,220) |
Servicer Advance Investments | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 4,069 | (3,905) | 6,382 | (10,217) |
Excess MSRs | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (1,450) | (351) | (608) | (3,779) |
Legacy Sequoia | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (215) | (328) | (319) | (1,378) |
Sequoia | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (4,256) | (10,936) | (886) | (20,644) |
Freddie Mac SLST | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (32,388) | (41,892) | (40,017) | (74,796) |
Freddie Mac K-Series | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 390 | 316 | 1,138 | 390 |
CAFL | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (3,800) | (6,585) | (1,903) | (24,365) |
Point Entities | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 968 | (584) | 1,846 | 4,028 |
HEI at Redwood | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 9,290 | (4,774) | 21,598 | (1,986) |
Other investments | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (414) | 1,445 | (4,208) | 12,028 |
Credit losses on AFS securities, net | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 66 | (544) | (33) | (2,315) |
Other | Investment Fair Value Changes, Net | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | 0 | 0 | (746) | 0 |
Other | Other Income | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | (7) | (852) | (467) | (852) |
MSRs | Other Income | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total Market Valuation Gains (Losses), Net | $ (209) | $ 1,236 | $ 612 | $ 8,031 |
Fair Value of Financial Inst_10
Fair Value of Financial Instruments - Quantitative Information about Significant Unobservable Inputs Used in Valuation of Level 3 Assets and Liabilities Measured at Fair Value (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2023 USD ($) $ / loan | Dec. 31, 2022 USD ($) | |
Assets | ||
ABS issued, net, At fair value | $ | $ 7,910,345 | $ 7,424,132 |
Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | HEI | ||
Liabilities | ||
Fair value of securities owned | $ | 15,000 | |
ABS Issued | ||
Liabilities | ||
ABS issued | $ | $ 3,717,707 | |
ABS Issued | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
ABS Issued | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.25 | |
ABS Issued | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.08 | |
ABS Issued | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.04 | |
ABS Issued | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.19 | |
ABS Issued | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.08 | |
ABS Issued | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
ABS Issued | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.16 | |
ABS Issued | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.01 | |
ABS Issued | Loss severity | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.25 | |
ABS Issued | Loss severity | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.50 | |
ABS Issued | Loss severity | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.31 | |
CAFL | ||
Liabilities | ||
ABS issued | $ | $ 2,653,224 | |
CAFL | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0 | |
CAFL | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
CAFL | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.001 | |
CAFL | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
CAFL | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.12 | |
CAFL | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.07 | |
CAFL | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.05 | |
CAFL | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.14 | |
CAFL | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.07 | |
CAFL | Loss severity | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.30 | |
CAFL | Loss severity | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.40 | |
CAFL | Loss severity | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.30 | |
Freddie Mac SLST | ||
Liabilities | ||
ABS issued | $ | $ 1,058,991 | |
Freddie Mac SLST | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Freddie Mac SLST | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Freddie Mac SLST | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Freddie Mac SLST | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Freddie Mac SLST | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.16 | |
Freddie Mac SLST | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.07 | |
Freddie Mac SLST | Default rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.12 | |
Freddie Mac SLST | Default rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.14 | |
Freddie Mac SLST | Default rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.13 | |
Freddie Mac SLST | Loss severity | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.25 | |
Freddie Mac SLST | Loss severity | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.25 | |
Freddie Mac SLST | Loss severity | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.25 | |
Freddie Mac K-Series | ||
Liabilities | ||
ABS issued | $ | $ 387,650 | |
Freddie Mac K-Series | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
Freddie Mac K-Series | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.10 | |
Freddie Mac K-Series | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.06 | |
Consolidated Point Entities | ||
Liabilities | ||
ABS issued | $ | $ 92,773 | |
Consolidated Point Entities | Prepayment rate (annual CPR) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.20 | |
Consolidated Point Entities | Prepayment rate (annual CPR) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.20 | |
Consolidated Point Entities | Prepayment rate (annual CPR) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.20 | |
Consolidated Point Entities | Whole loan discount rate | Minimum | ||
Liabilities | ||
ABS issued, measurement input | 0.10 | |
Consolidated Point Entities | Whole loan discount rate | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.16 | |
Consolidated Point Entities | Whole loan discount rate | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.11 | |
Consolidated Point Entities | Home price appreciation (depreciation) | Minimum | ||
Liabilities | ||
ABS issued, measurement input | (0.01) | |
Consolidated Point Entities | Home price appreciation (depreciation) | Maximum | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
Consolidated Point Entities | Home price appreciation (depreciation) | Weighted Average | ||
Liabilities | ||
ABS issued, measurement input | 0.03 | |
Jumbo loans | ||
Assets | ||
ABS issued, net, At fair value | $ | $ 540,782 | |
Jumbo loans | Senior credit spread to TBA price(2) | Minimum | ||
Assets | ||
Loans held-for-sale, measurement input | 1.63 | |
Jumbo loans | Senior credit spread to TBA price(2) | Maximum | ||
Assets | ||
Loans held-for-sale, measurement input | 2.63 | |
Jumbo loans | Senior credit spread to TBA price(2) | Weighted Average | ||
Assets | ||
Loans held-for-sale, measurement input | 1.71 | |
Jumbo loans | Subordinate credit spread | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.0275 | |
Jumbo loans | Subordinate credit spread | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.1020 | |
Jumbo loans | Subordinate credit spread | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.0438 | |
Jumbo loans | Senior credit support | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.07 | |
Jumbo loans | Senior credit support | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.07 | |
Jumbo loans | Senior credit support | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.07 | |
Jumbo loans | IO discount rate | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.10 | |
Jumbo loans | IO discount rate | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.10 | |
Jumbo loans | IO discount rate | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.10 | |
Jumbo loans | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Loans held-for-sale, measurement input | 0.15 | |
Jumbo loans | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Loans held-for-sale, measurement input | 0.15 | |
Jumbo loans | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Loans held-for-sale, measurement input | 0.15 | |
Jumbo loans committed to sell | ||
Assets | ||
ABS issued, net, At fair value | $ | $ 70,136 | |
Jumbo loans committed to sell | Whole loan committed sales price | Minimum | ||
Assets | ||
Residential loans, measurement input | 98 | |
Jumbo loans committed to sell | Whole loan committed sales price | Maximum | ||
Assets | ||
Residential loans, measurement input | 101 | |
Jumbo loans committed to sell | Whole loan committed sales price | Weighted Average | ||
Assets | ||
Residential loans, measurement input | 98 | |
Legacy Sequoia | ||
Assets | ||
Loans receivable, fair value | $ | $ 150,152 | |
Sequoia | ||
Assets | ||
Loans receivable, fair value | $ | 3,774,090 | |
Liabilities | ||
Fair value of securities owned | $ | 206,000 | |
Freddie Mac SLST | ||
Assets | ||
Loans receivable, fair value | $ | 1,312,149 | |
Liabilities | ||
Fair value of securities owned | $ | 256,000 | 323,000 |
BPL term loans | ||
Assets | ||
Loans receivable, fair value | $ | $ 72,149 | |
BPL term loans | Senior credit spread | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.0185 | |
BPL term loans | Senior credit spread | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.0185 | |
BPL term loans | Senior credit spread | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.0185 | |
BPL term loans | Subordinate credit spread | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.0325 | |
BPL term loans | Subordinate credit spread | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.0818 | |
BPL term loans | Subordinate credit spread | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.0468 | |
BPL term loans | Senior credit support | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.35 | |
BPL term loans | Senior credit support | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.35 | |
BPL term loans | Senior credit support | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.35 | |
BPL term loans | IO discount rate | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.08 | |
BPL term loans | IO discount rate | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.09 | |
BPL term loans | IO discount rate | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.08 | |
BPL term loans | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0 | |
BPL term loans | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Loans receivable, measurement input | 0.03 | |
BPL term loans | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.03 | |
BPL term loans | Dollar price of non-performing loans | Minimum | ||
Assets | ||
Loans receivable, measurement input | 60 | |
BPL term loans | Dollar price of non-performing loans | Maximum | ||
Assets | ||
Loans receivable, measurement input | 100 | |
BPL term loans | Dollar price of non-performing loans | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 61 | |
CAFL | ||
Assets | ||
Loans receivable, fair value | $ | $ 2,969,217 | |
Liabilities | ||
Fair value of securities owned | $ | 316,000 | $ 304,000 |
BPL bridge loans | ||
Assets | ||
Loans receivable, fair value | $ | $ 2,207,964 | |
BPL bridge loans | Dollar price of non-performing loans | Minimum | ||
Assets | ||
Loans held-for-investment, measurement input | 48 | |
BPL bridge loans | Dollar price of non-performing loans | Maximum | ||
Assets | ||
Loans held-for-investment, measurement input | 100 | |
BPL bridge loans | Dollar price of non-performing loans | Weighted Average | ||
Assets | ||
Loans held-for-investment, measurement input | 91 | |
BPL bridge loans | Whole loan discount rate | Minimum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.06 | |
BPL bridge loans | Whole loan discount rate | Maximum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.12 | |
BPL bridge loans | Whole loan discount rate | Weighted Average | ||
Assets | ||
Loans held-for-investment, measurement input | 0.09 | |
BPL bridge loans | Dollar price of non-performing loans | Minimum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.0520 | |
BPL bridge loans | Dollar price of non-performing loans | Maximum | ||
Assets | ||
Loans held-for-investment, measurement input | 0.0520 | |
BPL bridge loans | Dollar price of non-performing loans | Weighted Average | ||
Assets | ||
Loans held-for-investment, measurement input | 0.0520 | |
Freddie Mac K-Series | ||
Assets | ||
Loans receivable, fair value | $ | $ 420,554 | |
Liabilities | ||
Fair value of securities owned | $ | 33,000 | |
Trading and AFS securities | ||
Assets | ||
Trading and AFS securities | $ | $ 129,445 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Trading and AFS securities | 0.04 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Trading and AFS securities | 0.65 | |
Trading and AFS securities | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.10 | |
Trading and AFS securities | Whole loan discount rate | Minimum | ||
Assets | ||
Trading and AFS securities | 0.06 | |
Trading and AFS securities | Whole loan discount rate | Maximum | ||
Assets | ||
Trading and AFS securities | 0.18 | |
Trading and AFS securities | Whole loan discount rate | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.11 | |
Trading and AFS securities | Default rate | Minimum | ||
Assets | ||
Trading and AFS securities | 0 | |
Trading and AFS securities | Default rate | Maximum | ||
Assets | ||
Trading and AFS securities | 0.14 | |
Trading and AFS securities | Default rate | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.001 | |
Trading and AFS securities | Loss severity | Minimum | ||
Assets | ||
Trading and AFS securities | 0 | |
Trading and AFS securities | Loss severity | Maximum | ||
Assets | ||
Trading and AFS securities | 0.50 | |
Trading and AFS securities | Loss severity | Weighted Average | ||
Assets | ||
Trading and AFS securities | 0.22 | |
HEI | ||
Assets | ||
HEI | $ | $ 302,122 | |
HEI | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
HEI, Measurement input | 0.01 | |
HEI | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
HEI, Measurement input | 0.20 | |
HEI | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
HEI, Measurement input | 0.15 | |
HEI | Whole loan discount rate | Minimum | ||
Assets | ||
HEI, Measurement input | 0.10 | |
HEI | Whole loan discount rate | Maximum | ||
Assets | ||
HEI, Measurement input | 0.11 | |
HEI | Whole loan discount rate | Weighted Average | ||
Assets | ||
HEI, Measurement input | 0.10 | |
HEI | Home price appreciation (depreciation) | Minimum | ||
Assets | ||
HEI, Measurement input | (0.01) | |
HEI | Home price appreciation (depreciation) | Maximum | ||
Assets | ||
HEI, Measurement input | 0.03 | |
HEI | Home price appreciation (depreciation) | Weighted Average | ||
Assets | ||
HEI, Measurement input | 0.03 | |
HEIs held by Point HEI entity | ||
Assets | ||
HEI | $ | $ 129,150 | |
Servicer Advance Investments | ||
Assets | ||
Servicing asset | $ | $ 219,813 | |
Servicer Advance Investments | Minimum | ||
Assets | ||
Expected remaining life | 6 years | |
Servicer Advance Investments | Maximum | ||
Assets | ||
Expected remaining life | 6 years | |
Servicer Advance Investments | Weighted Average | ||
Assets | ||
Expected remaining life | 6 years | |
Servicer Advance Investments | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.11 | |
Servicer Advance Investments | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.30 | |
Servicer Advance Investments | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.14 | |
Servicer Advance Investments | Whole loan discount rate | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.03 | |
Servicer Advance Investments | Whole loan discount rate | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.05 | |
Servicer Advance Investments | Whole loan discount rate | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.04 | |
Servicer Advance Investments | Mortgage servicing income | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0 | |
Servicer Advance Investments | Mortgage servicing income | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.0018 | |
Servicer Advance Investments | Mortgage servicing income | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.0004 | |
MSRs | ||
Assets | ||
Servicing asset | $ | $ 26,033 | |
MSRs | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.03 | |
MSRs | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.21 | |
MSRs | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.06 | |
MSRs | Whole loan discount rate | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.12 | |
MSRs | Whole loan discount rate | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.73 | |
MSRs | Whole loan discount rate | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.13 | |
MSRs | Per loan annual cost to service | Minimum | ||
Assets | ||
Servicing asset, measurement input | 93 | |
MSRs | Per loan annual cost to service | Maximum | ||
Assets | ||
Servicing asset, measurement input | 93 | |
MSRs | Per loan annual cost to service | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 93 | |
Excess MSRs | ||
Assets | ||
Servicing asset | $ | $ 38,427 | |
Excess MSRs | Prepayment rate (annual CPR) | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.10 | |
Excess MSRs | Prepayment rate (annual CPR) | Maximum | ||
Assets | ||
Servicing asset, measurement input | 1 | |
Excess MSRs | Prepayment rate (annual CPR) | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.17 | |
Excess MSRs | Whole loan discount rate | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.13 | |
Excess MSRs | Whole loan discount rate | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.19 | |
Excess MSRs | Whole loan discount rate | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.18 | |
Excess MSRs | Excess mortgage servicing amount | Minimum | ||
Assets | ||
Servicing asset, measurement input | 0.0008 | |
Excess MSRs | Excess mortgage servicing amount | Maximum | ||
Assets | ||
Servicing asset, measurement input | 0.0020 | |
Excess MSRs | Excess mortgage servicing amount | Weighted Average | ||
Assets | ||
Servicing asset, measurement input | 0.0011 | |
Residential loan purchase commitments | ||
Assets | ||
Loan purchase commitments, net | $ | $ 1,980 | |
Residential loan purchase commitments | Pull-through rate | Minimum | ||
Assets | ||
Loans receivable, measurement input | 0.22 | |
Residential loan purchase commitments | Pull-through rate | Maximum | ||
Assets | ||
Loans receivable, measurement input | 1 | |
Residential loan purchase commitments | Pull-through rate | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 0.68 | |
Residential loan purchase commitments | Committed sales price | Minimum | ||
Assets | ||
Loans receivable, measurement input | 102 | |
Residential loan purchase commitments | Committed sales price | Maximum | ||
Assets | ||
Loans receivable, measurement input | 103 | |
Residential loan purchase commitments | Committed sales price | Weighted Average | ||
Assets | ||
Loans receivable, measurement input | 102 |
Residential Loans - Schedule of
Residential Loans - Schedule of Classifications and Carrying Value of Residential Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | [1] | $ 610,946 | $ 780,781 |
Legacy Sequoia | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 150,152 | 184,932 | |
Sequoia | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 3,774,090 | 3,190,417 | |
Freddie Mac SLST | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 1,312,149 | 1,457,058 | |
Servicer advance investments | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 5,847,337 | 5,613,188 | |
Servicer advance investments | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 610,946 | 780,781 | |
Servicer advance investments | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 5,236,391 | 4,832,407 | |
Servicer advance investments | Legacy Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 150,152 | 184,932 | |
Servicer advance investments | Legacy Sequoia | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 0 | 0 | |
Servicer advance investments | Legacy Sequoia | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 150,152 | 184,932 | |
Servicer advance investments | Sequoia | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 3,774,090 | 3,190,417 | |
Servicer advance investments | Sequoia | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 0 | 0 | |
Servicer advance investments | Sequoia | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 3,774,090 | 3,190,417 | |
Servicer advance investments | Freddie Mac SLST | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 1,312,149 | 1,457,058 | |
Servicer advance investments | Freddie Mac SLST | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 0 | 0 | |
Servicer advance investments | Freddie Mac SLST | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 1,312,149 | 1,457,058 | |
Servicer advance investments | Redwood | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 610,946 | 780,781 | |
Servicer advance investments | Redwood | Held-for-sale at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | 610,946 | 780,781 | |
Servicer advance investments | Redwood | Held-for-investment at fair value | |||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||
Fair value of loans | $ 0 | $ 0 | |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Residential Loans - Additional
Residential Loans - Additional Information (Details) $ in Millions | Sep. 30, 2023 USD ($) |
Receivables [Abstract] | |
Mortgage servicing rights, at amortized cost | $ 653 |
Residential Loans - Characteris
Residential Loans - Characteristics of Residential Loans Held-for-Sale (Details) - Residential Loans $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 USD ($) loan | Dec. 31, 2022 USD ($) loan | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 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 (as a percent) | 5.43% | 5.12% |
Number of loans in foreclosure | loan | 0 | 0 |
Financing Receivables, Equal to Greater than 90 Days Past Due | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans with 90+ day delinquencies | loan | 0 | 1 |
Unpaid principal balance of loans with 90+ day delinquencies | $ 0 | $ 208 |
Fair value of loans with 90+ day delinquencies | $ 0 | $ 170 |
Residential Loans - Quarterly A
Residential Loans - Quarterly Activity of Residential Loans Held-for-Sale (Details) - Residential Loans $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 USD ($) | Sep. 30, 2022 USD ($) | Sep. 30, 2023 USD ($) | Sep. 30, 2022 USD ($) securitization | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance of loans acquired | $ 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 | 0 | 995,047 | 687,192 |
Net market valuation gains (losses) recorded | $ (8,683) | $ (26,674) | $ (2,590) | (90,652) |
Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance of loans acquired | $ 102,000 | |||
Number of seasoned securities | securitization | 3 |
Residential Loans - Character_2
Residential Loans - Characteristics of Loans Held-for-Investment (Details) - Held-for-investment at fair value $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 USD ($) loan | Dec. 31, 2022 USD ($) loan | |
Legacy Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 1,098 | 1,304 |
Unpaid principal balance | $ 164,904 | $ 204,404 |
Fair value of loans | $ 150,152 | $ 184,932 |
Weighted average coupon (as a percent) | 6.35% | 4.51% |
Number of loans in foreclosure | loan | 14 | 11 |
Unpaid principal balance of loans in foreclosure | $ 2,742 | $ 1,166 |
Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 5,460 | 4,624 |
Unpaid principal balance | $ 4,624,113 | $ 3,847,091 |
Fair value of loans | $ 3,774,090 | $ 3,190,417 |
Weighted average coupon (as a percent) | 3.73% | 3.25% |
Number of loans in foreclosure | loan | 6 | 5 |
Unpaid principal balance of loans in foreclosure | $ 4,842 | $ 4,654 |
Freddie Mac SLST | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans | loan | 10,448 | 10,882 |
Unpaid principal balance | $ 1,641,178 | $ 1,719,236 |
Fair value of loans | $ 1,312,149 | $ 1,457,058 |
Weighted average coupon (as a percent) | 4.50% | 4.50% |
Number of loans in foreclosure | loan | 317 | 427 |
Unpaid principal balance of loans in foreclosure | $ 52,918 | $ 72,440 |
Financing Receivables, Equal to Greater than 90 Days Past Due | Legacy Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans with 90+ day delinquencies | loan | 24 | 30 |
Fair value of loans with 90+ day delinquencies | $ 5,460 | $ 6,824 |
Financing Receivables, Equal to Greater than 90 Days Past Due | Sequoia | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans with 90+ day delinquencies | loan | 9 | 10 |
Fair value of loans with 90+ day delinquencies | $ 7,599 | $ 7,799 |
Financing Receivables, Equal to Greater than 90 Days Past Due | Freddie Mac SLST | ||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of loans with 90+ day delinquencies | loan | 818 | 1,211 |
Fair value of loans with 90+ day delinquencies | $ 139,349 | $ 209,397 |
Residential Loans - Quarterly_2
Residential Loans - Quarterly Activity of Residential Loans Held-for-Investment (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Fair value of loans transferred | $ 2,009,030 | $ 2,643,027 | ||
Held-for-investment at fair value | Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Net market valuation gains (losses) recorded | $ (175,011) | $ (202,825) | (166,909) | (685,042) |
Held-for-investment at fair value | Freddie Mac SLST | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Net market valuation gains (losses) recorded | (51,046) | (104,040) | (62,756) | (224,543) |
Held-for-investment at fair value | Legacy Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Net market valuation gains (losses) recorded | (2,242) | 5,182 | 4,014 | 12,286 |
Held-for-investment at fair value | Sequoia | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Fair value of loans transferred | $ 337,752 | $ 0 | $ 995,047 | $ 684,491 |
Business Purpose Loans - Classi
Business Purpose Loans - Classifications and Carrying Values of Business Purpose Residential Loans (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2023 | Dec. 31, 2022 | |
SOFR | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Real estate owned, rate (as a percent) | 78% | |
Fixed Rate | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Real estate owned, rate (as a percent) | 22% | |
Commitment To Fund Residential Bridge Loan | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Commitment to fund loan | $ 623,000 | |
BPL bridge loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | $ 203,000 | |
Bridge Loans | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Residential bridge loans held-for-investment, original maturities (in months) | 6 months | |
Bridge Loans | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Residential bridge loans held-for-investment, original maturities (in months) | 36 months | |
Held-for-sale at fair value, Total | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | $ 102,777 | $ 364,073 |
Held-for-investment at fair value, Total | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 5,146,553 | 4,968,513 |
Business Purpose Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 5,249,330 | 5,332,586 |
Redwood | Single-family rental loans, held-for-sale | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 72,149 | 358,791 |
Redwood | Single Family Rental Loans Held For Investment At Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 0 | 0 |
Redwood | BPL Term | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 72,149 | 358,791 |
Redwood | Residential Bridge, Held-for-sale at fair value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 30,628 | 5,282 |
Redwood | BPL bridge loans held-for-investment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 1,651,883 | 1,507,146 |
Redwood | BPL bridge loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 1,682,511 | 1,512,428 |
CAFL | Single-family rental loans, held-for-sale | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 0 | 0 |
CAFL | Single Family Rental Loans Held For Investment At Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 2,969,217 | 2,944,984 |
CAFL | BPL Term | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 2,969,217 | 2,944,984 |
CAFL | Bridge Loans, Held-For-Sale At Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 0 | 0 |
CAFL | Bridge Loans Held For Investment At Fair Value | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | 525,453 | 516,383 |
CAFL | Bridge Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair value of loans | $ 525,453 | $ 516,383 |
Business Purpose Loans - Activi
Business Purpose Loans - Activity and Characteristics of Business Purpose Loans (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2023 USD ($) loan | Sep. 30, 2022 USD ($) | Sep. 30, 2023 USD ($) loan | Sep. 30, 2022 USD ($) | Dec. 31, 2022 USD ($) loan | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance of loans originated | $ 1,051,236 | $ 3,734,972 | |||
Principal balance of loans sold to third parties | 950 | 26,584 | |||
Single-family rental loans, held-for-sale | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance of loans originated | $ 105,777 | $ 99,281 | 408,477 | 865,253 | |
Principal balance of loans acquired | 0 | 0 | 0 | 100,349 | |
Principal balance of loans sold to third parties | 27,436 | 37,202 | 425,542 | 368,704 | |
Fair value of loans transferred | (278,751) | 266,181 | (278,751) | 561,218 | |
Gain (loss) on investments | 0 | 0 | (14,430) | 0 | |
Fair value of loans | 72,149 | 72,149 | $ 358,791 | ||
Single-family rental loans, held-for-sale | Redwood | Total residential mortgage banking activities, net | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | 1,600 | (19,325) | 13,214 | (83,827) | |
BPL bridge loans held-for-investment | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Principal balance of loans originated | 303,284 | 470,425 | 828,149 | 1,424,604 | |
Principal balance of loans acquired | 1,820 | 59,977 | 19,054 | 81,983 | |
Principal balance of loans sold to third parties | 34,061 | 48,279 | 65,868 | 48,279 | |
Fair value of loans transferred | (116,679) | (77,362) | (337,657) | (465,966) | |
Gain (loss) on investments | (16,899) | (679) | (22,867) | (6,747) | |
Fair value of loans | 1,651,883 | 1,651,883 | 1,507,146 | ||
BPL bridge loans held-for-investment | Redwood | Total residential mortgage banking activities, net | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | 1,438 | (110) | 4,808 | 1,129 | |
Single Family Rental Loans Held For Investment At Fair Value | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fair value of loans | 0 | 0 | $ 0 | ||
Single Family Rental Loans Held For Investment At Fair Value | Redwood | CAFL | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fair value of loans transferred | (28,000) | ||||
Single Family Rental Loans Held For Investment At Fair Value | CAFL | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | (1,360) | (108,980) | (1,961) | (419,182) | |
Transfers | 278,751 | 0 | $ 278,751 | 0 | |
Number of loans | loan | 1,093 | 1,131 | |||
Unpaid principal balance | 3,283,186 | $ 3,283,186 | $ 3,263,421 | ||
Fair value of loans | $ 2,969,217 | $ 2,969,217 | $ 2,944,984 | ||
Weighted average coupon (as a percent) | 5.35% | 5.35% | 5.22% | ||
Weighted average remaining loan term (years) | 5 years | 6 years | |||
Fair value of loans with 90+ day delinquencies | $ 4,557 | $ 4,557 | $ 13,686 | ||
Number of loans in foreclosure | loan | 6 | 6 | 9 | ||
Single Family Rental Loans Held For Investment At Fair Value | CAFL | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans with 90+ day delinquencies | loan | 43 | 43 | 16 | ||
Fair value of loans with 90+ day delinquencies | $ 102,676 | $ 102,676 | $ 37,072 | ||
Bridge Loans Held For Investment At Fair Value | CAFL | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | (2,560) | 1,906 | (1,960) | 50 | |
Transfers | 116,679 | $ 0 | $ 337,657 | $ 0 | |
Single-Family Rental Loans, Held-For-Sale | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 45 | 91 | |||
Unpaid principal balance | 83,300 | $ 83,300 | $ 389,846 | ||
Fair value of loans | $ 72,149 | $ 72,149 | $ 358,791 | ||
Weighted average coupon (as a percent) | 6.98% | 6.98% | 5.98% | ||
Weighted average remaining loan term (years) | 8 years | 10 years | |||
Fair value of loans with 90+ day delinquencies | $ 27,836 | $ 27,836 | $ 536 | ||
Number of loans in foreclosure | loan | 2 | 2 | 1 | ||
Unpaid principal balance of loans in foreclosure | $ 16,822 | $ 16,822 | $ 536 | ||
Single-Family Rental Loans, Held-For-Sale | Redwood | Loans Pledged As Collateral, Short Term Debt | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | 789 | 291,406 | |||
Single-Family Rental Loans, Held-For-Sale | Redwood | Loans Pledged As Collateral, Long Term debt | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | 46,915 | 66,567 | |||
Single-Family Rental Loans, Held-For-Sale | Redwood | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fair value of loans | $ 16,822 | $ 16,822 | $ 536 | ||
Number of loans with 90+ day delinquencies | loan | 2 | 2 | 1 | ||
Fair value of loans with 90+ day delinquencies | $ 27,836 | $ 27,836 | $ 536 | ||
Business Purpose Bridge Loans | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 1,853 | 1,601 | |||
Unpaid principal balance | 1,704,418 | $ 1,704,418 | $ 1,518,427 | ||
Fair value of loans | $ 1,682,511 | $ 1,682,511 | $ 1,512,428 | ||
Weighted average coupon (as a percent) | 10.46% | 10.46% | 9.61% | ||
Weighted average remaining loan term (years) | 1 year | 2 years | |||
Fair value of loans with 90+ day delinquencies | $ 56,272 | $ 56,272 | $ 34,039 | ||
Number of loans in foreclosure | loan | 42 | 42 | 48 | ||
Unpaid principal balance of loans in foreclosure | $ 49,886 | $ 49,886 | $ 29,438 | ||
Business Purpose Bridge Loans | Redwood | Loans Pledged As Collateral, Short Term Debt | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | 91,561 | 579,666 | |||
Business Purpose Bridge Loans | Redwood | Loans Pledged As Collateral, Long Term debt | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Gain (loss) on investments | 1,497,589 | 897,782 | |||
Business Purpose Bridge Loans | Redwood | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fair value of loans | $ 71,277 | $ 71,277 | $ 29,663 | ||
Number of loans with 90+ day delinquencies | loan | 45 | 45 | 49 | ||
Fair value of loans with 90+ day delinquencies | $ 80,924 | $ 80,924 | $ 34,264 | ||
Business Purpose Bridge Loans | CAFL | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 1,344 | 1,875 | |||
Unpaid principal balance | 521,214 | $ 521,214 | $ 514,666 | ||
Fair value of loans | $ 525,453 | $ 525,453 | $ 516,383 | ||
Weighted average coupon (as a percent) | 10.79% | 10.79% | 9.67% | ||
Weighted average remaining loan term (years) | 1 year | 1 year | |||
Fair value of loans with 90+ day delinquencies | $ 4,424 | $ 4,424 | $ 7,328 | ||
Number of loans in foreclosure | loan | 49 | 49 | 48 | ||
Unpaid principal balance of loans in foreclosure | $ 4,424 | $ 4,424 | $ 7,438 | ||
Business Purpose Bridge Loans | CAFL | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fair value of loans | $ 7,656 | $ 7,656 | $ 7,438 | ||
Number of loans with 90+ day delinquencies | loan | 56 | 56 | 48 | ||
Fair value of loans with 90+ day delinquencies | $ 7,656 | $ 7,656 | $ 7,328 | ||
BPL bridge loans | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Unpaid principal balance | 216,000 | 216,000 | |||
Fair value of loans | 203,000 | 203,000 | |||
Unpaid principal balance of loans modified | 174,000 | 174,000 | |||
BPL bridge loans | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fair value of loans | 1,682,511 | 1,682,511 | 1,512,428 | ||
BPL Term | Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Fair value of loans | $ 72,149 | $ 72,149 | $ 358,791 |
Consolidated Agency Multifami_3
Consolidated Agency Multifamily Loans (Details) - Consolidated Agency multifamily loans, at fair value $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2023 USD ($) loan | Sep. 30, 2022 USD ($) | Sep. 30, 2023 USD ($) loan | Sep. 30, 2022 USD ($) | Dec. 31, 2022 USD ($) loan | |
Held-for-investment at fair value | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Net market valuation gains (losses) recorded | $ | $ 2,512 | $ (13,691) | $ 2,200 | $ (40,120) | |
Redwood | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans | loan | 28 | 28 | |||
Unpaid principal balance | $ | 440,996 | $ 440,996 | $ 447,193 | ||
Fair value of loans | $ | $ 420,554 | $ 420,554 | $ 424,551 | ||
Weighted average coupon (as a percent) | 4.25% | 4.25% | 4.25% | ||
Weighted average remaining loan term (years) | 2 years | 3 years | |||
Number of loans in foreclosure | loan | 0 | 0 | 0 | ||
Redwood | Financing Receivables, Equal to Greater than 90 Days Past Due | |||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |||||
Number of loans with 90+ day delinquencies | loan | 0 | 0 | 0 |
Real Estate Securities - Fair V
Real Estate Securities - Fair Values of Real Estate Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |||
Trading | $ 48,041 | $ 108,329 | |
Available-for-sale | 81,404 | 132,146 | |
Total Real Estate Securities | [1] | $ 129,445 | $ 240,475 |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Real Estate Securities - Tradin
Real Estate Securities - Trading Securities by Collateral Type (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Debt and Equity Securities, FV-NI [Line Items] | |||||
Real estate securities, at fair value | $ 48,041 | $ 48,041 | $ 108,329 | ||
Unpaid principal balance | 19,354 | 19,354 | 215,592 | ||
Fair value of securities acquired | 0 | $ 0 | 7,883 | $ 5,006 | |
Fair value of securities sold | 27,183 | 4,142 | 82,270 | 27,471 | |
Net market valuation gains (losses) recorded | 5,967 | $ (12,521) | 14,423 | $ (30,019) | |
Senior | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Real estate securities, at fair value | 41,169 | 41,169 | 28,867 | ||
Unpaid principal balance | 0 | 0 | 0 | ||
Subordinate | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Real estate securities, at fair value | 6,872 | 6,872 | 79,462 | ||
Unpaid principal balance | 19,354 | 19,354 | 215,592 | ||
Interest-only securities | Senior | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Real estate securities, at fair value | 41,169 | 41,169 | 28,867 | ||
Interest-only securities | Senior | Sequoia | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Real estate securities, at fair value | 29,000 | 29,000 | 26,000 | ||
RPL securities | Subordinate | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Real estate securities, at fair value | 0 | 0 | 29,002 | ||
Consolidated Agency multifamily loans, at fair value | Subordinate | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Real estate securities, at fair value | 5,239 | 5,239 | 5,027 | ||
Other third-party residential securities | Subordinate | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Real estate securities, at fair value | $ 1,633 | $ 1,633 | $ 45,433 |
Real Estate Securities - Availa
Real Estate Securities - Available for Sale Securities by Collateral Type (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Debt and Equity Securities, FV-NI [Line Items] | |||||
Available-for-sale | $ 81,404 | $ 81,404 | $ 132,146 | ||
Fair value of securities acquired | 0 | $ 0 | 1,979 | $ 10,000 | |
Fair value of securities sold | 12,590 | 0 | 55,842 | 0 | |
Principal balance of securities called | 0 | 0 | 0 | 14,486 | |
Net unrealized gains (losses) on AFS securities | (3,921) | $ (8,731) | 398 | $ (60,013) | |
Sequoia securities | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Available-for-sale | 73,160 | 73,160 | 74,367 | ||
Consolidated Agency multifamily loans, at fair value | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Available-for-sale | 4,448 | 4,448 | 7,647 | ||
Other third-party residential securities | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Available-for-sale | 3,796 | 3,796 | 50,132 | ||
Total Subordinate Investment Securities | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Available-for-sale | $ 81,404 | $ 81,404 | $ 132,146 |
Real Estate Securities - Additi
Real Estate Securities - Additional Information (Details) $ in Thousands | Sep. 30, 2023 USD ($) numberOfInvestment | Jun. 30, 2023 USD ($) | Dec. 31, 2022 USD ($) numberOfInvestment |
Debt and Equity Securities, FV-NI [Line Items] | |||
Number of AFS securities (in investments) | numberOfInvestment | 66 | 79 | |
Number of securities in unrealized loss position | numberOfInvestment | 29 | 38 | |
Number of securities in a continuous unrealized loss position for twelve consecutive months or longer (in investments) | numberOfInvestment | 23 | 1 | |
Gross unrealized losses | $ 8,984 | $ 13,127 | |
CECL credit allowance | 2,573 | $ 2,639 | 2,540 |
Residential | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
AFS securities, contractual maturities, less than five years | 4,000 | ||
Marketable securities, due from five to ten years | 4,000 | ||
CECL credit allowance | $ 23,890 | $ 25,615 | $ 28,739 |
Real Estate Securities - Compon
Real Estate Securities - Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Jun. 30, 2023 | Dec. 31, 2022 |
Investments, Debt and Equity Securities [Abstract] | |||
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) | $ (2,639) | (2,540) |
Carrying Value | $ 81,404 | $ 132,146 |
Real Estate Securities - Change
Real Estate Securities - Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2023 | Sep. 30, 2023 | |
Credit Reserve | ||
Beginning balance | $ 2,639 | $ 2,540 |
Sales, calls, other | 131 | 308 |
Ending Balance | 2,573 | 2,573 |
Unamortized Discount, Net | ||
Beginning balance | 61,650 | |
Ending Balance | 46,603 | 46,603 |
Residential | ||
Credit Reserve | ||
Beginning balance | 25,615 | 28,739 |
Amortization of net discount | 0 | 0 |
Realized credit recoveries (losses), net | 101 | 106 |
Acquisitions | 0 | 1,106 |
Sales, calls, other | (1,207) | (5,331) |
Transfers to (release of) credit reserves, net | (619) | (730) |
Ending Balance | 23,890 | 23,890 |
Unamortized Discount, Net | ||
Beginning balance | 46,948 | 61,650 |
Amortization of net discount | (296) | (946) |
Realized credit recoveries (losses), net | 0 | 0 |
Acquisitions | 0 | 754 |
Sales, calls, other | (668) | (15,585) |
Transfers to (release of) credit reserves, net | 619 | 730 |
Ending Balance | $ 46,603 | $ 46,603 |
Real Estate Securities - Comp_2
Real Estate Securities - Components of Carrying Value of Residential Available for Sale Securities in Unrealized Loss Position (Details) - Residential - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Less Than 12 Consecutive Months, Fair Value | $ 9,459 | $ 72,679 |
Less Than 12 Consecutive Months, Unrealized Losses | (585) | (12,940) |
12 Consecutive Months or Longer, Fair Value | 28,630 | 1,414 |
12 Consecutive Months or Longer, Unrealized Losses | $ (8,399) | $ (186) |
Real Estate Securities - Summar
Real Estate Securities - Summary of Significant Valuation Assumptions for Available for Sale Securities Credit Loss (Details) - Subordinate Securities | 9 Months Ended |
Sep. 30, 2023 | |
Debt Securities, Available-for-sale [Line Items] | |
Default rate | 0.80% |
Loss severity | 20% |
Real Estate Securities - Activi
Real Estate Securities - Activity of Allowance for Credit Losses for Available-for-sale Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2023 | Sep. 30, 2023 | |
Rollforward of Allowance for Credit Losses | ||
Beginning balance | $ 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 | $ 2,573 | $ 2,573 |
Real Estate Securities - Gross
Real Estate Securities - Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Total Realized Gains on Sales and Calls of AFS Securities, net | $ 26 | $ 0 | $ 1,502 | $ 1,914 |
Sales | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized gains | 103 | 0 | 3,917 | 0 |
Gross realized loss | (77) | 0 | (2,415) | 0 |
Calls | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized gains | 0 | 0 | 0 | 1,914 |
Gross realized loss | $ 0 | $ 0 | $ 0 | $ 0 |
Home Equity Investments (HEI) -
Home Equity Investments (HEI) - Schedule of Home Equity Investments (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Schedule of Equity Method Investments [Line Items] | ||
Home equity investments | $ 431,272 | $ 403,462 |
Redwood | ||
Schedule of Equity Method Investments [Line Items] | ||
Home equity investments | 302,122 | 270,835 |
HEI held at consolidated HEI securitization entity | ||
Schedule of Equity Method Investments [Line Items] | ||
Home equity investments | $ 129,150 | $ 132,627 |
Home Equity Investments (HEI)_2
Home Equity Investments (HEI) - Activity of HEI (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Schedule of Equity Method Investments [Line Items] | ||||
Net market valuation gains (losses) | $ 4,212 | $ (724) | $ 8,418 | $ 8,587 |
Redwood | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Net market valuation gains (losses) | 9,290 | (4,774) | 21,598 | (1,986) |
Home Equity Investments Purchased, Fair Value | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Net market valuation gains (losses) | 0 | 0 | 0 | 0 |
Home Equity Investments Purchased, Fair Value | Redwood | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Net market valuation gains (losses) | $ 113 | $ 79,050 | $ 25,626 | $ 176,439 |
Home Equity Investments (HEI)_3
Home Equity Investments (HEI) - HEI Characteristics (Details) $ in Thousands | Sep. 30, 2023 USD ($) Contract | Dec. 31, 2022 USD ($) Contract |
HEI at Redwood | ||
Schedule of Equity Method Investments [Line Items] | ||
Number of HEI contracts | Contract | 2,644 | 2,599 |
Average initial amount of contract | $ | $ 103 | $ 101 |
Securitized HEI | ||
Schedule of Equity Method Investments [Line Items] | ||
Number of HEI contracts | Contract | 929 | 1,007 |
Average initial amount of contract | $ | $ 95 | $ 94 |
Other Investments - Schedule of
Other Investments - Schedule of Other Investments (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Net Investment Income [Line Items] | |||
Total Other Investments | [1] | $ 340,361 | $ 390,938 |
Mortgage servicing rights | |||
Net Investment Income [Line Items] | |||
Mortgage servicing rights | 26,033 | 25,421 | |
Other | |||
Net Investment Income [Line Items] | |||
Other | 234 | 705 | |
Servicer advance investments | |||
Net Investment Income [Line Items] | |||
Mortgage servicing rights | 219,813 | 269,259 | |
Strategic investments | |||
Net Investment Income [Line Items] | |||
Mortgage servicing rights | 55,854 | 56,518 | |
Excess MSRs | |||
Net Investment Income [Line Items] | |||
Mortgage servicing rights | $ 38,427 | $ 39,035 | |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Other Investments - Additional
Other Investments - Additional Information (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||
Sep. 30, 2023 USD ($) numberOfInvestment Investment | Sep. 30, 2022 USD ($) | Sep. 30, 2023 USD ($) numberOfInvestment partnership Investment | Sep. 30, 2022 USD ($) | Dec. 31, 2018 partnership | Dec. 31, 2022 USD ($) | |
Net Investment Income [Line Items] | ||||||
Number of partnerships consolidated | partnership | 2 | 2 | ||||
Collateral amounts | $ 1,775,977,000 | $ 1,775,977,000 | $ 1,379,856,000 | |||
Investment fair value changes, net | (31,430,000) | $ (57,697,000) | (36,153,000) | $ (151,789,000) | ||
Investments | 6,000,000 | 6,000,000 | ||||
Other income, net | 2,346,000 | 4,027,000 | 11,060,000 | 17,016,000 | ||
Interest income | 177,074,000 | 177,662,000 | 534,571,000 | 534,517,000 | ||
MSR income, net | 1,747,000 | 2,890,000 | 6,173,000 | 12,569,000 | ||
Strategic investments | ||||||
Net Investment Income [Line Items] | ||||||
Investment fair value changes, net | 100,000 | 1,000,000 | (3,000,000) | 11,000,000 | ||
Other income, net | $ (2,000,000) | $ (300,000) | $ (3,000,000) | $ (400,000) | ||
Strategic investments | RWT Horizons | ||||||
Net Investment Income [Line Items] | ||||||
Number of investments made | Investment | 35 | 35 | ||||
Investments | $ 23,000,000 | $ 23,000,000 | ||||
Strategic investments | Churchill Finance | ||||||
Net Investment Income [Line Items] | ||||||
Number of investments made | numberOfInvestment | 7,000 | 7,000 | ||||
Strategic investments | BPL Bridge Loans | ||||||
Net Investment Income [Line Items] | ||||||
Investments | $ 1,600,000 | $ 1,600,000 | ||||
Sale of investments | $ 29,000,000 | |||||
Equity method investment, ownership percentage | 20% | 20% | ||||
MSRs | ||||||
Net Investment Income [Line Items] | ||||||
Mortgage servicing rights | $ 26,033,000 | $ 26,033,000 | 25,421,000 | |||
Aggregate principal balance | 2,070,000,000 | 2,070,000,000 | 2,190,000,000 | |||
MSR income, net | 2,000,000 | 6,000,000 | ||||
Servicer advance financing | ||||||
Net Investment Income [Line Items] | ||||||
Collateral amounts | 185,000,000 | 185,000,000 | ||||
Income (loss) from equity method investments | 5,000,000 | 16,000,000 | ||||
Investment fair value changes, net | 4,000,000 | 6,000,000 | ||||
Held-for-sale residential loans | ||||||
Net Investment Income [Line Items] | ||||||
Mortgage servicing rights | 219,813,000 | 219,813,000 | 269,259,000 | |||
Servicing asset, unpaid principal balance on underlying loan | 10,450,000,000 | 10,450,000,000 | ||||
Excess MSRs | ||||||
Net Investment Income [Line Items] | ||||||
Mortgage servicing rights | 38,427,000 | 38,427,000 | $ 39,035,000 | |||
Investment fair value changes, net | (1,000,000) | (1,000,000) | ||||
Interest income | 3,000,000 | 11,000,000 | ||||
Fair value option elected aggregate carrying amount, asset | $ 0 | $ 0 |
Other Investments - Servicing A
Other Investments - Servicing Advance Investments (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Schedule of Investments [Line Items] | ||
Total Servicer Advance Receivables | $ 184,536 | $ 240,365 |
Servicer advance financing | ||
Schedule of Investments [Line Items] | ||
Principal and interest advances | 65,365 | 81,447 |
Escrow advances (taxes and insurance advances) | 86,980 | 123,541 |
Corporate advances | $ 32,191 | $ 35,377 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Aggregate Fair Value and Notional Amount of Derivative Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Derivative [Line Items] | ||
Fair Value | $ 28,905 | $ 3,975 |
Notional Amount | 3,273,707 | 1,772,298 |
TBAs | ||
Derivative [Line Items] | ||
Notional Amount | 2,000,000 | 1,070,000 |
Interest rate futures | ||
Derivative [Line Items] | ||
Notional Amount | 204,000 | 411,000 |
Derivative Liabilities | ||
Derivative [Line Items] | ||
Fair Value | (8,781) | (16,855) |
Notional Amount | 1,098,870 | 908,532 |
Derivative Liabilities | TBAs | ||
Derivative [Line Items] | ||
Fair Value | (5,495) | (16,784) |
Notional Amount | 425,000 | 845,000 |
Derivative Liabilities | Interest rate futures | ||
Derivative [Line Items] | ||
Fair Value | (199) | (57) |
Notional Amount | 67,700 | 60,000 |
Derivative Liabilities | Loan purchase and interest rate lock commitments | ||
Derivative [Line Items] | ||
Fair Value | (3,087) | (14) |
Notional Amount | 606,170 | 3,532 |
Derivative Assets | ||
Derivative [Line Items] | ||
Fair Value | 37,686 | 20,830 |
Notional Amount | 2,174,837 | 863,766 |
Derivative Assets | Interest rate swaps | ||
Derivative [Line Items] | ||
Fair Value | 13,819 | 14,625 |
Notional Amount | 190,000 | 285,000 |
Derivative Assets | TBAs | ||
Derivative [Line Items] | ||
Fair Value | 16,613 | 1,893 |
Notional Amount | 1,560,000 | 220,000 |
Derivative Assets | Interest rate futures | ||
Derivative [Line Items] | ||
Fair Value | 2,187 | 3,976 |
Notional Amount | 136,200 | 350,600 |
Derivative Assets | Loan purchase and interest rate lock commitments | ||
Derivative [Line Items] | ||
Fair Value | 5,067 | 336 |
Notional Amount | $ 288,637 | $ 8,166 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Jun. 30, 2023 | Dec. 31, 2022 | Jun. 30, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | ||||||||
Notional amount | $ 3,273,707 | $ 3,273,707 | $ 1,772,298 | |||||
Accumulated other comprehensive loss | 1,105,799 | $ 1,154,242 | 1,105,799 | $ 1,154,242 | $ 1,124,138 | 1,083,985 | $ 1,258,091 | $ 1,386,087 |
Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||
Derivative [Line Items] | ||||||||
Accumulated other comprehensive loss | (69,216) | (73,343) | (69,216) | (73,343) | $ (70,256) | (72,303) | $ (74,383) | $ (76,430) |
Cash Flow Hedging | Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||||||
Derivative [Line Items] | ||||||||
Accumulated other comprehensive loss | (69,000) | (69,000) | (72,000) | |||||
Interest Expense | Cash Flow Hedging | ||||||||
Derivative [Line Items] | ||||||||
Expected amortization of realized losses related to terminated cash flow hedges | 4,000 | |||||||
Loan purchase commitments and forward sales commitments | ||||||||
Derivative [Line Items] | ||||||||
Market valuations gains (losses), net | 6,000 | (3,000) | 8,000 | (54,000) | ||||
Interest Rate Swap And Swaptions | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 190,000 | 190,000 | ||||||
TBAs | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 2,000,000 | 2,000,000 | 1,070,000 | |||||
Interest rate futures | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | 204,000 | 204,000 | 411,000 | |||||
Interest rate contract | ||||||||
Derivative [Line Items] | ||||||||
Notional amount | $ 285,000 | |||||||
Interest rate contract | Cash Flow Hedging | ||||||||
Derivative [Line Items] | ||||||||
Realized net losses from accumulated comprehensive loss into Interest expense | (1,000) | (3,000) | (1,000) | (3,000) | ||||
Unsecuritized Residential and Commercial Loans | ||||||||
Derivative [Line Items] | ||||||||
Derivative gains | $ 23,000 | $ 76,000 | $ 18,000 | $ 198,000 |
Other Assets and Liabilities -
Other Assets and Liabilities - Components of Other Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
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 | 8,453 | 12,616 | |
Income tax receivables | 1,654 | 3,399 | |
Other | 22,845 | 19,344 | |
Total Other Assets | [1] | 250,487 | $ 211,240 |
Fixed assets | 17,000 | ||
Accumulated depreciation | $ 9,000 | ||
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities _2
Other Assets and Liabilities - Accrued Expenses and Other Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
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 | 0 | |
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 | 0 | |
Other | 13,124 | 6,626 | |
Accrued expenses and other liabilities | [1] | $ 208,294 | $ 180,203 |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Other Assets and Liabilities _3
Other Assets and Liabilities - REO Information (Details) $ in Thousands | 9 Months Ended | |
Sep. 30, 2023 USD ($) asset | Dec. 31, 2022 asset | |
Other Real Estate [Roll Forward] | ||
Balance at beginning of period | $ 6,455 | |
Transfers to REO | 53,906 | |
Liquidations | (5,626) | |
Changes in fair value, net | (612) | |
Balance at End of Period | 54,123 | |
Realized loss from liquidation | $ (600) | |
Number of REO properties recorded on balance sheet | asset | 35 | 28 |
Legacy Sequoia | ||
Other Real Estate [Roll Forward] | ||
Balance at beginning of period | $ 544 | |
Transfers to REO | 18 | |
Liquidations | (562) | |
Changes in fair value, net | 0 | |
Balance at End of Period | $ 0 | |
Number of REO properties recorded on balance sheet | asset | 0 | 2 |
Freddie Mac SLST | ||
Other Real Estate [Roll Forward] | ||
Balance at beginning of period | $ 2,899 | |
Transfers to REO | 2,340 | |
Liquidations | (2,754) | |
Changes in fair value, net | 380 | |
Balance at End of Period | $ 2,865 | |
Number of REO properties recorded on balance sheet | asset | 25 | 24 |
CAFL | ||
Other Real Estate [Roll Forward] | ||
Balance at beginning of period | $ 0 | |
Transfers to REO | 2,684 | |
Liquidations | 0 | |
Changes in fair value, net | 0 | |
Balance at End of Period | $ 2,684 | |
Number of REO properties recorded on balance sheet | asset | 1 | 0 |
BPL bridge loans | ||
Other Real Estate [Roll Forward] | ||
Balance at beginning of period | $ 3,012 | |
Transfers to REO | 48,864 | |
Liquidations | (2,310) | |
Changes in fair value, net | (992) | |
Balance at End of Period | $ 48,574 | |
Number of REO properties recorded on balance sheet | asset | 9 | 2 |
Other Assets and Liabilities _4
Other Assets and Liabilities - Additional Information (Details) $ in Millions | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 USD ($) | Sep. 30, 2023 USD ($) partnership | Dec. 31, 2018 partnership | |
Other Assets and Other Liabilities [Line Items] | |||
Number of partnerships consolidated | partnership | 2 | 2 | |
Co-investors gains (losses) | $ 2 | $ 4 | |
Co-Investors Interests | |||
Other Assets and Other Liabilities [Line Items] | |||
Carrying value of interests | 23 | 23 | |
Non-controlling interest in consolidated HEI entity | |||
Other Assets and Other Liabilities [Line Items] | |||
Carrying value of interests | 26 | 26 | |
Co-investors gains (losses) | $ 2 | $ 3 |
Short-Term Debt - Outstanding B
Short-Term Debt - Outstanding Balances of Short-Term Debt by Type of Collateral Securing Debt (Details) | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2023 USD ($) facility | Dec. 31, 2022 USD ($) facility | ||
Short-term Debt [Line Items] | |||
Outstanding Balance | [1] | $ 1,476,654,000 | $ 2,029,679,000 |
Facilities | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 13 | 19 | |
Outstanding Balance | $ 1,031,866,000 | $ 1,620,096,000 | |
Facilities | Residential loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 4 | 7 | |
Outstanding Balance | $ 548,334,000 | $ 703,406,000 | |
Limit | $ 1,050,000,000 | $ 2,550,000,000 | |
Weighted Average Interest Rate (as a percent) | 7.28% | 6.16% | |
Weighted Average Days Until Maturity | 132 days | 267 days | |
Facilities | Business purpose loan warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 2 | 4 | |
Outstanding Balance | $ 70,424,000 | $ 680,100,000 | |
Limit | $ 455,000,000 | $ 1,650,000,000 | |
Weighted Average Interest Rate (as a percent) | 8.12% | 6.93% | |
Weighted Average Days Until Maturity | 259 days | 179 days | |
Facilities | Real estate securities repo | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 5 | 7 | |
Outstanding Balance | $ 237,835,000 | $ 124,909,000 | |
Limit | $ 0 | $ 0 | |
Weighted Average Interest Rate (as a percent) | 6.99% | 5.22% | |
Weighted Average Days Until Maturity | 54 days | 27 days | |
Facilities | Residential MSR warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 1 | ||
Outstanding Balance | $ 48,470,000 | ||
Limit | $ 50,000,000 | ||
Weighted Average Interest Rate (as a percent) | 8.57% | ||
Weighted Average Days Until Maturity | 30 days | ||
Facilities | HEI warehouse | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 1 | 1 | |
Outstanding Balance | $ 126,803,000 | $ 111,681,000 | |
Limit | $ 150,000,000 | $ 150,000,000 | |
Weighted Average Interest Rate (as a percent) | 9.92% | 8.54% | |
Weighted Average Days Until Maturity | 306 days | 306 days | |
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 1 | 1 | |
Outstanding Balance | $ 154,127,000 | $ 206,510,000 | |
Limit | $ 240,000,000 | $ 290,000,000 | |
Weighted Average Interest Rate (as a percent) | 7.67% | 6.67% | |
Weighted Average Days Until Maturity | 32 days | 305 days | |
Subordinate securities financing | |||
Short-term Debt [Line Items] | |||
Number of Facilities | facility | 1 | ||
Outstanding Balance | $ 126,506,000 | ||
Limit | $ 0 | ||
Weighted Average Interest Rate (as a percent) | 5.71% | ||
Weighted Average Days Until Maturity | 358 days | ||
Promissory notes | |||
Short-term Debt [Line Items] | |||
Outstanding Balance | $ 16,518,000 | $ 27,058,000 | |
Weighted Average Interest Rate (as a percent) | 6.94% | 6.64% | |
Convertible notes, net | |||
Short-term Debt [Line Items] | |||
Outstanding Balance | $ 147,637,000 | $ 176,015,000 | |
Weighted Average Interest Rate (as a percent) | 5.63% | 4.75% | |
Weighted Average Days Until Maturity | 289 days | 227 days | |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Short-Term Debt - Collateral fo
Short-Term Debt - Collateral for Short-Term Debt Facilities (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Short-term Debt [Line Items] | ||
Short-term Debt Pledged as Collateral | $ 1,754,755 | $ 2,299,034 |
Facilities | ||
Short-term Debt [Line Items] | ||
Total real estate securities owned | 335,654 | 178,070 |
Restricted cash and other assets | 4,128 | 1,097 |
Short-term Debt Pledged as Collateral | 1,350,215 | 2,017,062 |
Subordinate securities financing | ||
Short-term Debt [Line Items] | ||
Cash | 169,565 | 0 |
Servicer advance financing | ||
Short-term Debt [Line Items] | ||
Cash | 15,162 | 12,713 |
Servicer advances | 219,813 | 269,259 |
Held-for-sale residential loans | Facilities | ||
Short-term Debt [Line Items] | ||
Market value of loans pledged as collateral under short-term borrowing agreements | 608,649 | 775,545 |
MSRs | Facilities | ||
Short-term Debt [Line Items] | ||
Market value of loans pledged as collateral under short-term borrowing agreements | 79,809 | 0 |
Business purpose loans | Facilities | ||
Short-term Debt [Line Items] | ||
Market value of loans pledged as collateral under short-term borrowing agreements | 92,350 | 871,072 |
HEI | Facilities | ||
Short-term Debt [Line Items] | ||
Market value of loans pledged as collateral under short-term borrowing agreements | 229,625 | 191,278 |
On balance sheet | Facilities | ||
Short-term Debt [Line Items] | ||
Available-for-sale securities pledged as collateral | 4,448 | 72,133 |
Sequoia | Sequoia securities | Short Term Borrowing Agreement | Facilities | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 51,542 | 74,170 |
Freddie Mac SLST | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 214,443 | 0 |
Freddie Mac K-Series | Sequoia securities | Short Term Borrowing Agreement | Facilities | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | 32,904 | 31,767 |
CAFL | Sequoia securities | Short Term Borrowing Agreement | ||
Short-term Debt [Line Items] | ||
Trading securities pledged as collateral | $ 32,317 | $ 0 |
Short-Term Debt - Additional In
Short-Term Debt - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2023 | Dec. 31, 2019 | Dec. 31, 2022 | Jul. 01, 2022 | |
Short-term Debt [Line Items] | |||||
Average balance of short-term debt | $ 1,020,000 | $ 1,140,000 | |||
Accrued interest payable on short-term debt | 5,000 | 5,000 | $ 5,000 | ||
Convertible notes | |||||
Short-term Debt [Line Items] | |||||
Repurchased debt instrument | 2,000 | 66,000 | |||
Gain on extinguishment of debt | $ 20 | $ 200 | |||
Riverbend Funding, LLC | Minimum | |||||
Short-term Debt [Line Items] | |||||
Fixed interest rate (as a percentage) | 6% | ||||
Riverbend Funding, LLC | Maximum | |||||
Short-term Debt [Line Items] | |||||
Fixed interest rate (as a percentage) | 8% | ||||
Recourse Subordinate Securities Financing Receivable | Redwood | |||||
Short-term Debt [Line Items] | |||||
Long-term debt, weighted average interest rate, over time | 4.21% | ||||
Recourse Subordinate Securities Financing Receivable | Redwood | October 2022 through September 2023 | |||||
Short-term Debt [Line Items] | |||||
Long-term debt, weighted average interest rate, over time | 5.71% | ||||
Recourse Subordinate Securities Financing Receivable | Redwood | October 2023 through September 2024 | |||||
Short-term Debt [Line Items] | |||||
Long-term debt, weighted average interest rate, over time | 7.21% |
Short-Term Debt - Remaining Mat
Short-Term Debt - Remaining Maturities of Short Term Debt (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Short-term Debt [Line Items] | |||
Short-term debt | [1] | $ 1,476,654 | $ 2,029,679 |
Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 134,100 | ||
31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 667,189 | ||
Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 675,365 | ||
Facilities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,031,866 | 1,620,096 | |
Facilities | Held-for-sale residential loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 548,334 | 703,406 | |
Facilities | Held-for-sale residential loans | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 46,844 | ||
Facilities | Held-for-sale residential loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 314,269 | ||
Facilities | Held-for-sale residential loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 187,221 | ||
Facilities | Business purpose loans | |||
Short-term Debt [Line Items] | |||
Short-term debt | 70,424 | ||
Facilities | Business purpose loans | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | Business purpose loans | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | Business purpose loans | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 70,424 | ||
Facilities | Real estate securities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 364,341 | ||
Facilities | Real estate securities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 38,786 | ||
Facilities | Real estate securities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 182,275 | ||
Facilities | Real estate securities | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 143,280 | ||
Facilities | MSRs | |||
Short-term Debt [Line Items] | |||
Short-term debt | 48,470 | ||
Facilities | MSRs | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 48,470 | ||
Facilities | MSRs | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | MSRs | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | HEI warehouse | |||
Short-term Debt [Line Items] | |||
Short-term debt | 126,803 | 111,681 | |
Facilities | HEI warehouse | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | HEI warehouse | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Facilities | HEI warehouse | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 126,803 | ||
Servicer advance financing | |||
Short-term Debt [Line Items] | |||
Short-term debt | 154,127 | 206,510 | |
Servicer advance financing | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Servicer advance financing | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 154,127 | ||
Servicer advance financing | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Total Secured Short-Term Debt Facilities | |||
Short-term Debt [Line Items] | |||
Short-term debt | 1,312,499 | ||
Total Secured Short-Term Debt Facilities | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 134,100 | ||
Total Secured Short-Term Debt Facilities | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 650,671 | ||
Total Secured Short-Term Debt Facilities | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 527,728 | ||
Promissory notes | |||
Short-term Debt [Line Items] | |||
Short-term debt | 16,518 | 27,058 | |
Promissory notes | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Promissory notes | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 16,518 | ||
Promissory notes | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Convertible notes, net | |||
Short-term Debt [Line Items] | |||
Short-term debt | 147,637 | $ 176,015 | |
Convertible notes, net | Within 30 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Convertible notes, net | 31 to 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | 0 | ||
Convertible notes, net | Over 90 days | |||
Short-term Debt [Line Items] | |||
Short-term debt | $ 147,637 | ||
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issue_2
Asset-Backed Securities Issued - Components of Asset-Backed Securities Issued by Consolidated Securitization Entities Sponsored, Along With Other Selected Information (Details) - Asset-backed securities issued $ in Thousands | Sep. 30, 2023 USD ($) series | Dec. 31, 2022 USD ($) series |
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 8,392,050 | $ 7,986,752 |
Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | (1,328,889) | (1,163,285) |
Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 9,544,732 | 8,944,351 |
Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 176,207 | 205,686 |
Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 149,202 | $ 184,191 |
Number of series | series | 20 | 20 |
Legacy Sequoia | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (10,915) | $ (16,036) |
Legacy Sequoia | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series (as a percent) | 3.73% | 2.69% |
Legacy Sequoia | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series (as a percent) | 7.26% | 5.19% |
Legacy Sequoia | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 159,990 | $ 200,047 |
Legacy Sequoia | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 127 | 180 |
Sequoia | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 3,568,505 | $ 2,971,109 |
Number of series | series | 20 | 17 |
Sequoia | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (866,568) | $ (682,477) |
Sequoia | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series (as a percent) | 2.67% | 2.57% |
Sequoia | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series (as a percent) | 6.01% | 6.13% |
Sequoia | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 4,384,081 | $ 3,595,715 |
Sequoia | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 50,992 | 57,871 |
CAFL | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 3,134,929 | $ 3,115,807 |
Number of series | series | 20 | 19 |
CAFL | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (301,241) | $ (331,371) |
CAFL | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series (as a percent) | 2.34% | 2.34% |
CAFL | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series (as a percent) | 6.18% | 5.92% |
CAFL | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 3,330,287 | $ 3,322,250 |
CAFL | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 105,883 | 124,928 |
Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 1,058,991 | $ 1,222,150 |
Range of weighted average interest rates, by series (as a percent) | 3.50% | |
Number of series | series | 2 | 3 |
Debt instrument, face amount | $ 86,000 | |
Freddie Mac SLST | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (120,007) | $ (99,830) |
Freddie Mac SLST | Minimum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series (as a percent) | 3.50% | |
Freddie Mac SLST | Maximum | ||
Debt Instrument [Line Items] | ||
Range of weighted average interest rates, by series (as a percent) | 4.75% | |
Freddie Mac SLST | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 1,165,093 | $ 1,306,652 |
Freddie Mac SLST | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 13,905 | 15,328 |
Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 387,650 | $ 392,785 |
Range of weighted average interest rates, by series (as a percent) | 3.41% | 3.41% |
Number of series | series | 1 | 1 |
Freddie Mac K-Series | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (22,178) | $ (25,319) |
Freddie Mac K-Series | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 404,528 | 410,725 |
Freddie Mac K-Series | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 5,300 | 7,379 |
HEI | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ 92,773 | $ 100,710 |
Range of weighted average interest rates, by series (as a percent) | 3.83% | 3.78% |
Number of series | series | 1 | 1 |
HEI | Revision of Prior Period, Accounting Standards Update, Adjustment | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | $ (7,980) | $ (8,252) |
HEI | Certificates with principal balance | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 100,753 | 108,962 |
HEI | Interest-only certificates | ||
Debt Instrument [Line Items] | ||
ABS Issued, Net | 0 | 0 |
CoreVest | ||
Debt Instrument [Line Items] | ||
Debt instrument, face amount | $ 485,000 | $ 485,000 |
Asset-Backed Securities Issue_3
Asset-Backed Securities Issued - Additional Information (Details) - USD ($) $ in Thousands | 9 Months Ended | |||||||
Sep. 30, 2023 | Dec. 31, 2052 | May 31, 2029 | Mar. 31, 2029 | Dec. 31, 2022 | Jun. 30, 2022 | Sep. 30, 2021 | ||
Debt Instrument [Line Items] | ||||||||
Restricted cash | [1] | $ 56,101 | $ 70,470 | |||||
Other assets | [1] | 250,487 | 211,240 | |||||
Variable Interest Entity, Primary Beneficiary | Point HEI | ||||||||
Debt Instrument [Line Items] | ||||||||
ABS issued, net, At amortized cost | $ 146,000 | |||||||
Variable Interest Entity, Primary Beneficiary | CoreVest | ||||||||
Debt Instrument [Line Items] | ||||||||
ABS issued, net, At amortized cost | $ 215,000 | |||||||
2022 Asset Backed Securities Sold | CoreVest | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, face amount | 215,000 | |||||||
Bridge loan | 237,000 | |||||||
Restricted cash | 17,000 | |||||||
2022 Asset Backed Securities Sold | Variable Interest Entity, Primary Beneficiary | CoreVest | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, face amount | 212,000 | |||||||
Unamortized debt discount | $ 3,000 | |||||||
Asset-backed securities issued | ||||||||
Debt Instrument [Line Items] | ||||||||
Contractual maturities of securities (in years) | 5 years | |||||||
Asset-backed securities issued | CoreVest | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, face amount | $ 485,000 | $ 485,000 | ||||||
Bridge loan | 288,000 | |||||||
Restricted cash | 29,000 | |||||||
Total funding capacity | $ 250,000 | |||||||
Reinvestment period | 24 months | |||||||
Other assets | $ 29,000 | |||||||
Asset-backed securities issued | Variable Interest Entity, Primary Beneficiary | Forecast | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt Instrument interest rate (as a percent) | 2% | 2% | ||||||
Asset-backed securities issued | Variable Interest Entity, Primary Beneficiary | CoreVest | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, face amount | 269,000 | |||||||
Unamortized debt discount | $ 1,000 | |||||||
Debt Instrument interest rate (as a percent) | 4.32% | |||||||
2021 Asset Backed Securities Sold | CoreVest | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt instrument, face amount | $ 270,000 | |||||||
Total funding capacity | $ 300,000 | |||||||
Reinvestment period | 30 months | |||||||
2021 Asset Backed Securities Sold | Variable Interest Entity, Primary Beneficiary | Forecast | ||||||||
Debt Instrument [Line Items] | ||||||||
Debt Instrument interest rate (as a percent) | 2% | |||||||
2021 Asset Backed Securities Sold | Variable Interest Entity, Primary Beneficiary | CoreVest | ||||||||
Debt Instrument [Line Items] | ||||||||
ABS issued, net, At amortized cost | $ 270,000 | |||||||
Debt Instrument interest rate (as a percent) | 2.34% | |||||||
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Asset-Backed Securities Issue_4
Asset-Backed Securities Issued - Accrued Interest Payable (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | $ 51,849 | $ 46,612 |
Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 29,119 | 25,300 |
Legacy Sequoia | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 310 | 282 |
Sequoia | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 12,695 | 8,880 |
CAFL | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 11,181 | 10,918 |
Freddie Mac SLST | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 3,398 | 3,561 |
Freddie Mac K-Series | Variable Interest Entity, Primary Beneficiary | Collateralized Financing Entities | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 1,150 | 1,167 |
Asset-backed securities issued | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 28,734 | 24,808 |
Asset-backed securities issued | Legacy Sequoia | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 282 | |
Asset-backed securities issued | Sequoia | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 8,880 | |
Asset-backed securities issued | CAFL | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | $ 11,181 | 10,918 |
Asset-backed securities issued | Freddie Mac SLST | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | 3,561 | |
Asset-backed securities issued | Freddie Mac K-Series | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on ABS Issued | $ 1,167 |
Long-Term Debt - Schedule of Co
Long-Term Debt - Schedule of Components of Long-Term Debt (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2023 | Dec. 31, 2022 | |
Debt Instrument [Line Items] | ||
Borrowings | $ 1,838,774,000 | $ 1,746,145,000 |
Unamortized Deferred Issuance Costs / Discount | (9,214,000) | (12,720,000) |
Net Carrying Value | 1,829,560,000 | 1,733,425,000 |
Line of Credit | ||
Debt Instrument [Line Items] | ||
Borrowings | 1,322,182,000 | 1,079,353,000 |
Unamortized Deferred Issuance Costs / Discount | (1,449,000) | (2,153,000) |
Net Carrying Value | 1,320,733,000 | 1,077,200,000 |
Trust preferred securities and subordinated notes | ||
Debt Instrument [Line Items] | ||
Borrowings | 139,500,000 | 139,500,000 |
Unamortized Deferred Issuance Costs / Discount | (698,000) | (733,000) |
Net Carrying Value | $ 138,802,000 | $ 138,767,000 |
Trust preferred securities and subordinated notes | SOFR | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 2.51% | |
Trust preferred securities and subordinated notes | LIBOR | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 2.25% | |
Facility A | Recourse Subordinate Securities Financing | Affiliated Entity | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 130,408,000 | |
Unamortized Deferred Issuance Costs / Discount | 0 | |
Net Carrying Value | $ 130,408,000 | |
Weighted Average Interest Rate (as a percent) | 5.71% | |
Facility B | Recourse Subordinate Securities Financing | Affiliated Entity | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 101,247,000 | $ 101,706,000 |
Unamortized Deferred Issuance Costs / Discount | 0 | (50,000) |
Net Carrying Value | $ 101,247,000 | $ 101,656,000 |
Weighted Average Interest Rate (as a percent) | 5.71% | 4.21% |
Facility C | Recourse Subordinate Securities Financing | Affiliated Entity | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 60,657,000 | $ 68,995,000 |
Unamortized Deferred Issuance Costs / Discount | 0 | (125,000) |
Net Carrying Value | $ 60,657,000 | $ 68,870,000 |
Weighted Average Interest Rate (as a percent) | 4.75% | 4.75% |
Facility D | Line of Credit | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 486,099,000 | $ 404,622,000 |
Unamortized Deferred Issuance Costs / Discount | (596,000) | (667,000) |
Net Carrying Value | 485,503,000 | 403,955,000 |
Limit | $ 750,000,000 | $ 750,000,000 |
Facility D | Line of Credit | SOFR | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 2.89% | 2.87% |
Facility E | Line of Credit | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 225,865,000 | $ 308,933,000 |
Unamortized Deferred Issuance Costs / Discount | (844,000) | (838,000) |
Net Carrying Value | 225,021,000 | 308,095,000 |
Limit | $ 335,000,000 | $ 335,000,000 |
Facility E | Line of Credit | SOFR | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 3.25% | 3.25% |
Facility F | Line of Credit | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 21,293,000 | $ 64,689,000 |
Unamortized Deferred Issuance Costs / Discount | (9,000) | (473,000) |
Net Carrying Value | 21,284,000 | 64,216,000 |
Limit | $ 500,000,000 | $ 500,000,000 |
Facility F | Line of Credit | SOFR | Minimum | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 2.35% | 2.25% |
Facility F | Line of Credit | SOFR | Maximum | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 2.60% | 2.50% |
Facility H | Line of Credit | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 234,014,000 | |
Unamortized Deferred Issuance Costs / Discount | 0 | |
Net Carrying Value | 234,014,000 | |
Limit | $ 450,000,000 | |
Facility H | Line of Credit | SOFR | Minimum | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 2.40% | |
Facility H | Line of Credit | SOFR | Maximum | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 2.60% | |
Facility I | Line of Credit | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 193,007,000 | |
Unamortized Deferred Issuance Costs / Discount | 0 | |
Net Carrying Value | 193,007,000 | |
Limit | $ 450,000,000 | |
Facility I | Line of Credit | SOFR | Minimum | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 2.25% | |
Facility I | Line of Credit | SOFR | Maximum | ||
Debt Instrument [Line Items] | ||
Basis spread on variable rate (as a percent) | 2.77% | |
5.625% convertible senior notes | Convertible notes | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 150,200,000 | |
Unamortized Deferred Issuance Costs / Discount | (1,282,000) | |
Net Carrying Value | $ 148,918,000 | |
Weighted Average Interest Rate (as a percent) | 5.625% | 5.625% |
5.75% exchangeable senior notes | Convertible notes | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 162,092,000 | $ 162,092,000 |
Unamortized Deferred Issuance Costs / Discount | (1,793,000) | (2,410,000) |
Net Carrying Value | $ 160,299,000 | $ 159,682,000 |
Weighted Average Interest Rate (as a percent) | 5.75% | 5.75% |
7.75% convertible senior notes | Convertible notes | ||
Debt Instrument [Line Items] | ||
Borrowings | $ 215,000,000 | $ 215,000,000 |
Unamortized Deferred Issuance Costs / Discount | (5,274,000) | (6,142,000) |
Net Carrying Value | $ 209,726,000 | $ 208,858,000 |
Weighted Average Interest Rate (as a percent) | 7.75% | 7.75% |
Long-Term Debt - Schedule of _2
Long-Term Debt - Schedule of Collateral for Long-Term Debt (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Debt Instrument [Line Items] | ||
Collateral amounts | $ 1,775,977 | $ 1,379,856 |
BPL bridge loans | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 1,497,589 | 897,782 |
BPL term loans | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 46,915 | 66,567 |
Commercial Real Estate | Facility A | Affiliated Entity | ||
Debt Instrument [Line Items] | ||
Collateral amounts | 0 | 178,439 |
Commercial Real Estate | Facility B | Affiliated Entity | ||
Debt Instrument [Line Items] | ||
Collateral amounts | $ 231,473 | $ 237,068 |
Long-Term Debt - Schedule of Ac
Long-Term Debt - Schedule of Accrued Interest Payable on Long Term Debt (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | $ 17,024 | $ 11,966 |
Line of Credit | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | $ 5,535 | $ 3,364 |
Convertible notes | 5.625% exchangeable senior notes | ||
Debt Instrument [Line Items] | ||
Debt Instrument interest rate (as a percent) | 5.625% | 5.625% |
Total Accrued Interest Payable on Long-Term Debt | $ 0 | $ 3,896 |
Convertible notes | 5.75% exchangeable senior notes | ||
Debt Instrument [Line Items] | ||
Debt Instrument interest rate (as a percent) | 5.75% | 5.75% |
Total Accrued Interest Payable on Long-Term Debt | $ 4,659 | $ 2,332 |
Convertible notes | 7.75% convertible senior notes | ||
Debt Instrument [Line Items] | ||
Debt Instrument interest rate (as a percent) | 7.75% | 7.75% |
Total Accrued Interest Payable on Long-Term Debt | $ 4,906 | $ 741 |
Trust preferred securities and subordinated notes | ||
Debt Instrument [Line Items] | ||
Total Accrued Interest Payable on Long-Term Debt | $ 1,924 | $ 1,633 |
Long-Term Debt - Additional Inf
Long-Term Debt - Additional Information (Details) | 3 Months Ended | 12 Months Ended | |||
Sep. 30, 2021 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2023 | Dec. 31, 2022 | |
Recourse Subordinate Securities Financing Receivable | Redwood | |||||
Debt Instrument [Line Items] | |||||
Long-term debt, weighted average interest rate, over time | 4.21% | ||||
Recourse Subordinate Securities Financing Receivable | Redwood | CAFL | Affiliated Entity | |||||
Debt Instrument [Line Items] | |||||
Long-term debt, weighted average interest rate, over time | 4.75% | 4.21% | |||
Recourse Subordinate Securities Financing Receivable | Redwood | March 2023 through February 2024 | CAFL | Affiliated Entity | |||||
Debt Instrument [Line Items] | |||||
Long-term debt, weighted average interest rate, over time | 5.71% | ||||
Recourse Subordinate Securities Financing Receivable | Redwood | March 2024 through February 2025 | CAFL | Affiliated Entity | |||||
Debt Instrument [Line Items] | |||||
Long-term debt, weighted average interest rate, over time | 7.21% | ||||
Recourse Subordinate Securities Financing Receivable | Redwood | July 2024 through June 2025 | CAFL | Affiliated Entity | |||||
Debt Instrument [Line Items] | |||||
Long-term debt, weighted average interest rate, over time | 6.25% | ||||
Recourse Subordinate Securities Financing Receivable | Redwood | July 2025 to June 2026 | CAFL | Affiliated Entity | |||||
Debt Instrument [Line Items] | |||||
Long-term debt, weighted average interest rate, over time | 7.75% | ||||
5.625% convertible senior notes | Convertible notes | |||||
Debt Instrument [Line Items] | |||||
Debt Instrument interest rate (as a percent) | 5.625% | 5.625% |
Commitments and Contingencies -
Commitments and Contingencies - Additional Information (Details) | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||
Sep. 30, 2023 USD ($) loan tranche lease | Jul. 01, 2022 USD ($) | Sep. 30, 2023 USD ($) loan tranche lease | Sep. 30, 2022 USD ($) | Mar. 31, 2022 USD ($) | Sep. 30, 2023 USD ($) loan tranche lease repurchase_request | Sep. 30, 2022 USD ($) repurchase_request loan | Dec. 31, 2021 USD ($) | Dec. 31, 2018 partnership | Jun. 30, 2023 USD ($) | Dec. 31, 2022 USD ($) loan | Dec. 31, 2016 USD ($) | Dec. 31, 2015 USD ($) | ||
Loss Contingencies [Line Items] | ||||||||||||||
Lessee, number of leases | lease | 10 | 10 | 10 | |||||||||||
Present value of remaining lease payments | $ 17,535,000 | $ 17,535,000 | $ 17,535,000 | |||||||||||
Operating lease expense | $ 4,000,000 | $ 4,000,000 | ||||||||||||
Lessee, number of office leases | lease | 1 | 1 | 1 | |||||||||||
Operating lease liabilities | $ 15,630,000 | $ 15,630,000 | $ 15,630,000 | $ 18,563,000 | ||||||||||
Operating lease liability, statement of financial position [Extensible List] | Accounts Payable and Accrued Liabilities | Accounts Payable and Accrued Liabilities | Accounts Payable and Accrued Liabilities | |||||||||||
Operating lease right-of-use assets | $ 13,367,000 | $ 13,367,000 | $ 13,367,000 | 16,177,000 | ||||||||||
Operating lease right-of-use asset, statement of financial position [Extensible List] | Other assets | Other assets | Other assets | |||||||||||
Weighted average remaining lease term | 4 years | 4 years | 4 years | |||||||||||
Discount rate (as a percent) | 5.20% | 5.20% | 5.20% | |||||||||||
Derivative liabilities | [1] | $ 8,781,000 | $ 8,781,000 | $ 8,781,000 | 16,855,000 | |||||||||
Gain (loss) on market valuation adjustments | 16,318,000 | $ (50,893,000) | 1,275,000 | (183,487,000) | ||||||||||
Number of partnerships, committed to fund | partnership | 2 | |||||||||||||
Guarantee obligations | 5,913,000 | 5,913,000 | 5,913,000 | 6,344,000 | ||||||||||
Guarantee obligations, credit reserve | 5,000,000 | 5,000,000 | 5,000,000 | |||||||||||
Special purpose entities assets | 28,000,000 | 28,000,000 | 28,000,000 | 30,000,000 | ||||||||||
Special purpose entities liabilities | 6,000,000 | 6,000,000 | 6,000,000 | 6,000,000 | ||||||||||
Residential repurchase reserve | 4,611,000 | 4,611,000 | 4,611,000 | 7,051,000 | ||||||||||
Residential loans repurchase (reversal) provision | 1,000,000 | $ 4,000,000 | ||||||||||||
Aggregate amount of loss contingency reserves | 2,000,000 | 2,000,000 | 2,000,000 | |||||||||||
Riverbend Funding, LLC | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Earnout period | 2 years | |||||||||||||
Potential future payments on loans | $ 25,300,000 | |||||||||||||
Contingent liability | 0 | 0 | 0 | |||||||||||
Maximum | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Loss from arrangements | 100,000 | |||||||||||||
Residential Loans | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Unpaid principal balance | 658,540,000 | 658,540,000 | 658,540,000 | 822,063,000 | ||||||||||
Fair value of loans | $ 610,946,000 | $ 610,946,000 | $ 610,946,000 | $ 780,781,000 | ||||||||||
Number of loans in foreclosure | loan | 0 | 0 | 0 | 0 | ||||||||||
Business Purpose Loans | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Residential repurchase reserve | $ 0 | $ 0 | $ 0 | $ 1,000,000 | ||||||||||
Number of residential repurchase requests (in repurchase requests) | repurchase_request | 6 | 0 | ||||||||||||
Number of loans repurchased | loan | 12 | 0 | ||||||||||||
Repurchase request outstanding | 0 | 0 | $ 0 | |||||||||||
Other income | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Other income related to risk sharing agreement | 200,000 | 500,000 | ||||||||||||
Guarantee Obligations | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Potential future payments on loans | 44,000,000 | 44,000,000 | 44,000,000 | |||||||||||
Original unpaid balance of loans subject to risk sharing agreements | $ 3,190,000,000 | $ 3,190,000,000 | ||||||||||||
Unpaid principal balance | $ 406,000,000 | $ 406,000,000 | $ 406,000,000 | |||||||||||
Weighted average original FICO score | 761 | 761 | 761 | |||||||||||
Weighted average original loan-to-value (LTV) | 74% | 74% | 74% | |||||||||||
Guarantee Obligations | Residential Loans | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Number of loans in foreclosure | tranche | 3 | 3 | 3 | |||||||||||
Unpaid principal balance of loans in foreclosure | $ 1,000,000 | $ 1,000,000 | $ 1,000,000 | |||||||||||
Guarantee Obligations | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Fair value of loans | 7,000,000 | 7,000,000 | 7,000,000 | |||||||||||
Repurchase Reserves | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Residential repurchase reserve | 5,000,000 | 5,000,000 | $ 5,000,000 | $ 6,000,000 | ||||||||||
Number of residential repurchase requests (in repurchase requests) | repurchase_request | 1 | 7 | ||||||||||||
Number of loans repurchased | loan | 5 | 1 | ||||||||||||
BPL Bridge Loans | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Committed contribution | $ 50,000,000 | |||||||||||||
Capital contribution | 1,000,000 | |||||||||||||
Commitment To Fund Residential Bridge Loan | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Other commitments made | 623,000,000 | 623,000,000 | $ 623,000,000 | |||||||||||
Derivative liabilities | 1,000,000 | 1,000,000 | 1,000,000 | |||||||||||
Gain (loss) on market valuation adjustments | (400,000) | 300,000 | ||||||||||||
Commitment To Fund Strategic Investment | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Other commitments made | 15,000,000 | 15,000,000 | 15,000,000 | |||||||||||
Payments for other commitments | $ 25,000,000 | |||||||||||||
Commitment To Fund RWT Horizons Investments | ||||||||||||||
Loss Contingencies [Line Items] | ||||||||||||||
Other commitments made | $ 2,000,000 | $ 2,000,000 | $ 2,000,000 | |||||||||||
Payments for other commitments | $ 5,000,000 | |||||||||||||
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |
Commitments and Contingencies_2
Commitments and Contingencies - Future Lease Commitments (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Commitments and Contingencies Disclosure [Abstract] | ||
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 | $ 18,563 |
Equity - Changes to Accumulated
Equity - Changes to Accumulated Other Comprehensive Income (Loss) by Component (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | $ 1,124,138 | $ 1,258,091 | $ 1,083,985 | $ 1,386,087 |
Total other comprehensive (loss) income | (2,647) | (7,147) | 4,130 | (56,008) |
Balance at End of Period | 1,105,799 | 1,154,242 | 1,105,799 | 1,154,242 |
Available-for-Sale Securities | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | 8,165 | 16,595 | 3,435 | 67,503 |
Other comprehensive income (loss) before reclassifications | (3,921) | (8,731) | 398 | (60,013) |
Amounts reclassified from other accumulated comprehensive income (loss) | 234 | 544 | 645 | 918 |
Total other comprehensive (loss) income | (3,687) | (8,187) | 1,043 | (59,095) |
Balance at End of Period | 4,478 | 8,408 | 4,478 | 8,408 |
Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | ||||
Balance at beginning of period | (70,256) | (74,383) | (72,303) | (76,430) |
Other comprehensive income (loss) before reclassifications | 0 | 0 | 0 | 0 |
Amounts reclassified from other accumulated comprehensive income (loss) | 1,040 | 1,040 | 3,087 | 3,087 |
Total other comprehensive (loss) income | 1,040 | 1,040 | 3,087 | 3,087 |
Balance at End of Period | $ (69,216) | $ (73,343) | $ (69,216) | $ (73,343) |
Equity - Reclassifications out
Equity - Reclassifications out of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
(Decrease) increase in allowance for credit losses on AFS securities | $ (31,430) | $ (57,697) | $ (36,153) | $ (151,789) |
Loss (gain) on sale of AFS securities | (50) | 0 | (1,104) | (2,581) |
Interest expense | 156,723 | 142,727 | 461,687 | 405,992 |
Net income before provision for income taxes | (29,114) | (48,994) | (22,675) | (129,946) |
Reclassification out of Accumulated Other Comprehensive Income | Available-for-Sale Securities | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
(Decrease) increase in allowance for credit losses on AFS securities | (66) | 544 | 33 | 2,315 |
Loss (gain) on sale of AFS securities | 300 | 0 | 612 | (1,397) |
Net income before provision for income taxes | 234 | 544 | 645 | 918 |
Reclassification out of Accumulated Other Comprehensive Income | Interest Rate Agreements Accounted for as Cash Flow Hedges | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Interest expense | 1,040 | 1,040 | 3,087 | 3,087 |
Net income before provision for income taxes | $ 1,040 | $ 1,040 | $ 3,087 | $ 3,087 |
Equity - Additional Information
Equity - Additional Information (Details) - USD ($) | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||
Jan. 31, 2023 | Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | Jul. 31, 2022 | |
Stockholders Equity Note [Line Items] | |||||||
Preferred stock, issued (in shares) | 2,800,000 | 2,800,000 | 0 | ||||
Gross proceeds from issuance of preferred stock | $ 66,923,000 | $ 0 | |||||
Preferred stock dividends declared (in dollars per share) | $ 0.625 | $ 1.85417 | |||||
Preferred stock dividends payable | $ 1,478,000 | $ 1,478,000 | $ 0 | ||||
Share Repurchase Program 2022 | |||||||
Stockholders Equity Note [Line Items] | |||||||
Common stock authorized to repurchase by Board | $ 125,000,000 | ||||||
Available authorization remaining for repurchase | $ 101,000,000 | $ 101,000,000 | |||||
Convertible Debt Securities | |||||||
Stockholders Equity Note [Line Items] | |||||||
Securities excluded in the calculation of diluted earnings per share (in shares) | 40,763,478 | 49,137,808 | 43,910,345 | 37,307,705 | |||
Equity awards | |||||||
Stockholders Equity Note [Line Items] | |||||||
Securities excluded in the calculation of diluted earnings per share (in shares) | 24,539 | 249,178 | 81,267 | 268,737 | |||
Series A Preferred Stock | |||||||
Stockholders Equity Note [Line Items] | |||||||
Preferred stock, issued (in shares) | 2,800,000 | ||||||
Sale of stock, percentage of ownership before transaction (in percent) | 10% | ||||||
Gross proceeds from issuance of preferred stock | $ 70,000,000 | ||||||
Net proceeds from issuance of common stock | $ 67,000,000 | ||||||
Preferred stock, dividend rate (in percent) | 10% | ||||||
Preferred stock, redemption price per share (in dollars per share) | $ 25 | ||||||
Spread on Treasury rate (as a percent) | 6.278% | ||||||
At The Market Offerings | Common Stock | |||||||
Stockholders Equity Note [Line Items] | |||||||
Issuance of common stock (in shares) | 4,243,982 | 4,243,982 | |||||
Remaining capacity | $ 141,000,000 | $ 141,000,000 | |||||
Net proceeds from issuance of common stock | $ 33,000,000 | $ 33,000,000 | |||||
Direct Stock Purchases and Dividend Reinvestment Plan | Common Stock | |||||||
Stockholders Equity Note [Line Items] | |||||||
Shares remaining for future offerings | 6,000,000 | 6,000,000 |
Equity - Basic and Diluted Earn
Equity - Basic and Diluted Earnings (Loss) Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Basic Loss per Common Share: | ||||
Net loss related to common stockholders | $ (32,560) | $ (50,411) | $ (28,244) | $ (119,462) |
Less: Dividends and undistributed earnings allocated to participating securities | (792) | (1,158) | (3,072) | (3,445) |
Net loss related to to common stockholders | $ (33,352) | $ (51,569) | $ (31,316) | $ (122,907) |
Basic weighted average common shares outstanding (in shares) | 115,465,977 | 116,087,890 | 114,381,548 | 118,530,172 |
Basic Loss per Common Share (in dollars per share) | $ (0.29) | $ (0.44) | $ (0.27) | $ (1.04) |
Diluted Loss per Common Share: | ||||
Net loss related to common stockholders | $ (32,560) | $ (50,411) | $ (28,244) | $ (119,462) |
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 | 0 | 0 | 0 | 0 |
Net loss related to common stockholders | $ (33,352) | $ (51,569) | $ (31,316) | $ (122,907) |
Net effect of dilutive equity awards (in shares) | 0 | 0 | 0 | 0 |
Net effect of assumed convertible notes conversion to common shares (in shares) | 0 | 0 | 0 | 0 |
Diluted weighted average common shares outstanding (in shares) | 115,465,977 | 116,087,890 | 114,381,548 | 118,530,172 |
Diluted Loss per Common Share (in dollars per share) | $ (0.29) | $ (0.44) | $ (0.27) | $ (1.04) |
Equity Compensation Plans - Add
Equity Compensation Plans - Additional Information (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Dec. 31, 2019 | Jun. 30, 2023 | Sep. 30, 2023 | Dec. 31, 2022 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Unrecognized compensation cost | $ 30,020 | $ 40,188 | ||
Weighted average amortization period remaining for equity awards | 2 years | |||
Performance-based valuation adjustment | $ 3,205 | |||
Shares of common stock to be purchased in aggregate for all employees (in shares) | 850,000 | |||
Number of shares purchased by employees (in shares) | 739,404 | 657,777 | ||
Restricted Stock Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Unvested outstanding stock awards (in shares) | 585,284 | 806,119 | ||
Number of stock awards granted (in shares) | 263,590 | |||
Number of stock awards vested (in shares) | 354,813 | |||
Number of stock awards forfeited (in shares) | 129,612 | |||
Deferred Stock Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Unvested outstanding stock awards (in shares) | 4,896,376,000 | 4,831,338 | ||
Number of stock awards granted (in shares) | 936,206 | |||
Number of stock awards vested (in shares) | 2,700,517,000 | 2,495,787 | ||
Number of stock awards forfeited (in shares) | 50,122 | |||
Stock units distributed (in shares) | 821,046 | |||
Performance Stock Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Unvested outstanding stock awards (in shares) | 2,078,171 | 2,354,002 | ||
Number of stock awards granted (in shares) | 275,831 | |||
Share-based compensation, vesting period (in years) | 3 years | |||
Redwood Incentive Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Additional common stock grant (in shares) | 9,650,000 | |||
Common stock available for grant (in shares) | 12,268,074 | 2,896,604 | ||
Redwood Incentive Plan | Restricted Stock Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Unrecognized compensation cost | $ 3,661 | $ 5,068 | ||
Performance-based valuation adjustment | 0 | |||
Redwood Incentive Plan | Deferred Stock Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Unrecognized compensation cost | 17,084 | 19,849 | ||
Performance-based valuation adjustment | 0 | |||
Redwood Incentive Plan | Performance Stock Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Unrecognized compensation cost | 9,171 | $ 15,271 | ||
Performance-based valuation adjustment | $ 3,205 |
Equity Compensation Plans - Unr
Equity Compensation Plans - Unrecognized Compensation Cost (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2023 USD ($) | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | $ 40,188 |
Equity grants | 9,379 |
Performance-based valuation adjustment | (3,205) |
Equity grant forfeitures | (1,807) |
Equity compensation expense | (14,535) |
Unrecognized Compensation Cost at End of Period | 30,020 |
Redwood Incentive Plan | Restricted Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 5,068 |
Equity grants | 2,092 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (1,088) |
Equity compensation expense | (2,411) |
Unrecognized Compensation Cost at End of Period | 3,661 |
Redwood Incentive Plan | Deferred Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 19,849 |
Equity grants | 6,865 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | (719) |
Equity compensation expense | (8,911) |
Unrecognized Compensation Cost at End of Period | 17,084 |
Redwood Incentive Plan | Performance Stock Units | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 15,271 |
Equity grants | 0 |
Performance-based valuation adjustment | (3,205) |
Equity grant forfeitures | 0 |
Equity compensation expense | (2,895) |
Unrecognized Compensation Cost at End of Period | 9,171 |
Employee Stock Purchase Plan | |
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized [Roll Forward] | |
Unrecognized compensation cost at beginning of period | 0 |
Equity grants | 422 |
Performance-based valuation adjustment | 0 |
Equity grant forfeitures | 0 |
Equity compensation expense | (318) |
Unrecognized Compensation Cost at End of Period | $ 104 |
Mortgage Banking Activities, _3
Mortgage Banking Activities, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Other income, net | $ 2,346 | $ 4,027 | $ 11,060 | $ 17,016 |
Mortgage banking activities, net | 19,440 | 16,535 | 52,663 | 2,833 |
Residential Mortgage Banking Activities, Net | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Other income, net | 107 | 467 | 1,422 | 5,496 |
Mortgage banking activities, net | 8,964 | 2,158 | 19,390 | (7,694) |
Residential Mortgage Banking Activities, Net | Residential loans, held-for-sale, at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | (2,819) | (22,776) | 5,272 | (125,012) |
Residential Mortgage Banking Activities, Net | Trading securities | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | (482) | 148 | 2,188 | 4,249 |
Residential Mortgage Banking Activities, Net | Risk management derivatives | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Risk management derivatives | 12,158 | 24,319 | 10,508 | 107,573 |
Business Purpose Mortgage Banking Activities, Net | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Other income, net | 4,004 | 9,648 | 13,956 | 36,214 |
Mortgage banking activities, net | 10,476 | 14,377 | 33,273 | 10,527 |
Business Purpose Mortgage Banking Activities, Net | Single-family rental loans, at fair value | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | 1,600 | (19,306) | 13,214 | (84,493) |
Business Purpose Mortgage Banking Activities, Net | BPL bridge loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Changes in fair value of assets | 1,438 | (9) | 4,808 | 2,242 |
Business Purpose Mortgage Banking Activities, Net | Risk management derivatives | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Risk management derivatives | $ 3,434 | $ 24,044 | $ 1,295 | $ 56,564 |
Other Income, Net (Details)
Other Income, Net (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Other Income and Expenses [Abstract] | ||||
MSR income, net | $ 1,747 | $ 2,890 | $ 6,173 | $ 12,569 |
Bridge loan fees | 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 |
Components of Operating Expen_3
Components of Operating Expenses - Components of General and Administrative Expenses and Other Expenses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Business Acquisition [Line Items] | ||||
Fixed compensation expense | $ 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 | 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 |
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 |
Severance and transition-related expenses | 2,000 | |||
Settlement in Common Stock | ||||
Business Acquisition [Line Items] | ||||
Long-term incentive award expense | 3,000 | 5,000 | 14,000 | 15,000 |
Settlement in Cash | ||||
Business Acquisition [Line Items] | ||||
Long-term incentive award expense | $ 2,000 | $ 100 | $ 5,000 | $ 1,000 |
Components of Operating Expen_4
Components of Operating Expenses - Additional Information (Details) $ / shares in Units, $ in Millions | 9 Months Ended |
Sep. 30, 2023 USD ($) trading_day $ / shares shares | |
Cash Based Retention Award | |
Business Acquisition [Line Items] | |
Cash-based retention awards granted | $ 1 |
Liability associated with cash based awards | 1 |
Unamortized compensation cost | $ 2 |
Cash Based Retention Award | Minimum | |
Business Acquisition [Line Items] | |
Variable compensation expense, term | 1 year |
Cash Based Retention Award | Maximum | |
Business Acquisition [Line Items] | |
Variable compensation expense, term | 3 years |
Cash-Settled Deferred Stock Units | |
Business Acquisition [Line Items] | |
Liability associated with cash based awards | $ 3 |
Unamortized compensation cost | $ 4 |
Variable compensation expense, service period | 4 years |
Cash Settled Performance Stock Units | |
Business Acquisition [Line Items] | |
Cash-based retention awards granted | $ 6 |
Variable compensation expense, term | 3 years |
Liability associated with cash based awards | $ 1 |
Unamortized compensation cost | $ 5 |
Shares issued for settlement of remaining deferred consideration | shares | 663,499 |
Grant date fair value (in dollars per share) | $ / shares | $ 9.75 |
Debt instrument, convertible, threshold trading days | trading_day | 60 |
Expected volatility rate (in percent) | 71% |
Risk free interest rate (in percent) | 4.23% |
Expected dividend rate (in percent) | 0% |
Expected term (in years) | 3 years |
Cash Settled Performance Stock Units | First Vesting | |
Business Acquisition [Line Items] | |
Variable compensation expense, term | 3 years |
Award vesting percentage (in percent) | 25% |
Base of target units granted | 66.67% |
Cash Settled Performance Stock Units | Second Vesting | |
Business Acquisition [Line Items] | |
Variable compensation expense, term | 3 years |
Award vesting percentage (in percent) | 100% |
Cash Settled Performance Stock Units | Third Vesting | |
Business Acquisition [Line Items] | |
Variable compensation expense, term | 3 years |
Award vesting percentage (in percent) | 100% |
Cash Settled Performance Stock Units | Minimum | |
Business Acquisition [Line Items] | |
Award vesting percentage (in percent) | 0% |
Cash Settled Performance Stock Units | Minimum | First Vesting | |
Business Acquisition [Line Items] | |
Award vesting percentage (in percent) | 0% |
Cash Settled Performance Stock Units | Minimum | Second Vesting | |
Business Acquisition [Line Items] | |
Award vesting percentage (in percent) | 0% |
Cash Settled Performance Stock Units | Maximum | |
Business Acquisition [Line Items] | |
Award vesting percentage (in percent) | 250% |
Cash Settled Performance Stock Units | Maximum | First Vesting | |
Business Acquisition [Line Items] | |
Award vesting percentage (in percent) | 250% |
Cash Settled Performance Stock Units | Maximum | Second Vesting | |
Business Acquisition [Line Items] | |
Award vesting percentage (in percent) | 250% |
Taxes - Additional Information
Taxes - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Income Tax Disclosure [Abstract] | ||||
Provision for (benefit from) income taxes | $ 1,696 | $ 1,417 | $ 642 | $ (10,484) |
Taxes - Reconciliation of Statu
Taxes - Reconciliation of Statutory Tax Rate to Effective Tax Rate (Details) | 9 Months Ended | |
Sep. 30, 2023 | Sep. 30, 2022 | |
Income Tax Disclosure [Abstract] | ||
Federal statutory rate | 21% | 21% |
State taxes, net of Federal tax effect, as applicable | (1.00%) | 0.50% |
Differences in taxable (loss) income from GAAP income | (0.60%) | 0% |
Change in valuation allowance | 0% | 0% |
REIT GAAP income or loss not subject to federal income tax | (22.20%) | (13.40%) |
Effective Tax Rate | (2.80%) | 8.10% |
Segment Information - Additiona
Segment Information - Additional Information (Details) | 9 Months Ended |
Sep. 30, 2023 segment | |
Segment Reporting [Abstract] | |
Number of operating segments | 3 |
Segment Information - Financial
Segment Information - Financial Information by Segment (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Segment Reporting Information [Line Items] | ||||
Interest income | $ 177,074 | $ 177,662 | $ 534,571 | $ 534,517 |
Interest expense | (156,723) | (142,727) | (461,687) | (405,992) |
Net interest income (expense) | 20,351 | 34,935 | 72,884 | 128,525 |
Non-interest income (loss) | ||||
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 | 0 | 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) |
(Provision for) Benefit from income taxes | (1,696) | (1,417) | (642) | 10,484 |
Net Loss | (30,810) | (50,411) | (23,317) | (119,462) |
Non-cash amortization (expense), net | (7,346) | (10,295) | (23,563) | (14,305) |
Operating Segments | Residential Mortgage Banking | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 6,063 | 9,882 | 14,007 | 36,048 |
Interest expense | (4,826) | (8,083) | (13,392) | (23,316) |
Net interest income (expense) | 1,237 | 1,799 | 615 | 12,732 |
Non-interest income (loss) | ||||
Mortgage banking activities, net | 8,964 | 2,158 | 19,390 | (7,694) |
Investment fair value changes, net | 0 | 0 | 1,076 | 0 |
Other income, net | 0 | 0 | 0 | 0 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | 8,964 | 2,158 | 20,466 | (7,694) |
General and administrative expenses | (4,521) | (5,735) | (13,065) | (17,918) |
Portfolio management costs | 0 | 0 | 0 | 0 |
Loan acquisition costs | (395) | (550) | (719) | (2,848) |
Other expenses | 0 | 0 | 0 | 74 |
(Provision for) Benefit from income taxes | (813) | 1,688 | (887) | 8,283 |
Net Loss | 4,472 | (640) | 6,410 | (7,371) |
Non-cash amortization (expense), net | (266) | (185) | (813) | (699) |
Operating Segments | Business Purpose Mortgage Banking | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 4,618 | 9,082 | 13,509 | 22,509 |
Interest expense | (3,888) | (5,971) | (11,599) | (12,797) |
Net interest income (expense) | 730 | 3,111 | 1,910 | 9,712 |
Non-interest income (loss) | ||||
Mortgage banking activities, net | 10,476 | 14,377 | 33,273 | 10,527 |
Investment fair value changes, net | 0 | 0 | 0 | 0 |
Other income, net | 1,278 | 399 | 4,762 | 2,028 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | 11,754 | 14,776 | 38,035 | 12,555 |
General and administrative expenses | (9,402) | (18,535) | (34,718) | (40,076) |
Portfolio management costs | 0 | 0 | 0 | 0 |
Loan acquisition costs | (1,485) | (1,876) | (3,894) | (7,523) |
Other expenses | (3,108) | (3,891) | (9,323) | (10,731) |
(Provision for) Benefit from income taxes | 318 | 2,559 | 2,427 | 9,009 |
Net Loss | (1,193) | (3,856) | (5,563) | (27,054) |
Non-cash amortization (expense), net | (3,294) | (3,609) | (10,291) | (11,563) |
Operating Segments | Investment Portfolio | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 162,251 | 156,882 | 492,514 | 471,932 |
Interest expense | (131,303) | (111,876) | (384,610) | (331,047) |
Net interest income (expense) | 30,948 | 45,006 | 107,904 | 140,885 |
Non-interest income (loss) | ||||
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | (31,315) | (61,780) | (34,166) | (165,297) |
Other income, net | 2,622 | 3,906 | 8,803 | 15,423 |
Realized gains, net | 26 | 0 | 858 | 2,581 |
Total non-interest (loss) income, net | (28,667) | (57,874) | (24,505) | (147,293) |
General and administrative expenses | (1,340) | (1,639) | (3,990) | (4,468) |
Portfolio management costs | (3,636) | (1,863) | (10,233) | (5,208) |
Loan acquisition costs | 0 | 0 | 0 | 0 |
Other expenses | (1,525) | (370) | (3,969) | (1,157) |
(Provision for) Benefit from income taxes | (1,457) | (5,664) | (3,135) | (6,808) |
Net Loss | (5,677) | (22,404) | 62,072 | (24,049) |
Non-cash amortization (expense), net | (1,687) | (3,658) | (6,167) | 4,385 |
Corporate/ Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 4,142 | 1,816 | 14,541 | 4,028 |
Interest expense | (16,706) | (16,797) | (52,086) | (38,832) |
Net interest income (expense) | (12,564) | (14,981) | (37,545) | (34,804) |
Non-interest income (loss) | ||||
Mortgage banking activities, net | 0 | 0 | 0 | 0 |
Investment fair value changes, net | (115) | 4,083 | (3,063) | 13,508 |
Other income, net | (1,554) | (278) | (2,505) | (435) |
Realized gains, net | 24 | 0 | 246 | 0 |
Total non-interest (loss) income, net | (1,645) | 3,805 | (5,322) | 13,073 |
General and administrative expenses | (14,434) | (12,335) | (44,284) | (39,257) |
Portfolio management costs | (25) | 0 | (38) | 0 |
Loan acquisition costs | 0 | 0 | 0 | 0 |
Other expenses | 0 | 0 | 0 | 0 |
(Provision for) Benefit from income taxes | 256 | 0 | 953 | 0 |
Net Loss | (28,412) | (23,511) | (86,236) | (60,988) |
Non-cash amortization (expense), net | $ (2,099) | $ (2,843) | $ (6,292) | $ (6,428) |
Segment Information - Component
Segment Information - Components of Corporate/Other (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Segment Reporting Information [Line Items] | ||||
Interest income | $ 177,074 | $ 177,662 | $ 534,571 | $ 534,517 |
Interest expense | (156,723) | (142,727) | (461,687) | (405,992) |
Net Interest Income | 20,351 | 34,935 | 72,884 | 128,525 |
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 | 0 | 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) |
(Provision for) benefit from income taxes | (1,696) | (1,417) | (642) | 10,484 |
Net Loss | (30,810) | (50,411) | (23,317) | (119,462) |
Corporate/ Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 4,142 | 1,816 | 14,541 | 4,028 |
Interest expense | (16,706) | (16,797) | (52,086) | (38,832) |
Net Interest Income | (12,564) | (14,981) | (37,545) | (34,804) |
Investment fair value changes, net | (115) | 4,083 | (3,063) | 13,508 |
Other income, net | (1,554) | (278) | (2,505) | (435) |
Realized gains, net | 24 | 0 | 246 | 0 |
Total non-interest (loss) income, net | (1,645) | 3,805 | (5,322) | 13,073 |
General and administrative expenses | (14,434) | (12,335) | (44,284) | (39,257) |
Portfolio management costs | (25) | 0 | (38) | 0 |
(Provision for) benefit from income taxes | 256 | 0 | 953 | 0 |
Net Loss | (28,412) | (23,511) | (86,236) | (60,988) |
Corporate/ Other | Legacy Consolidated VIEs | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 2,596 | 1,473 | 7,879 | 3,593 |
Interest expense | (2,487) | (1,486) | (7,650) | (3,154) |
Net Interest Income | 109 | (13) | 229 | 439 |
Investment fair value changes, net | (215) | (329) | (319) | (1,379) |
Other income, net | 0 | 0 | 0 | 0 |
Realized gains, net | 0 | 0 | 0 | 0 |
Total non-interest (loss) income, net | (215) | (329) | (319) | (1,379) |
General and administrative expenses | 0 | 0 | 0 | 0 |
Portfolio management costs | 0 | 0 | 0 | 0 |
(Provision for) benefit from income taxes | 0 | 0 | 0 | 0 |
Net Loss | (106) | (342) | (90) | (940) |
Corporate/ Other | Other | ||||
Segment Reporting Information [Line Items] | ||||
Interest income | 1,546 | 343 | 6,662 | 435 |
Interest expense | (14,219) | (15,311) | (44,436) | (35,678) |
Net Interest Income | (12,673) | (14,968) | (37,774) | (35,243) |
Investment fair value changes, net | 100 | 4,412 | (2,744) | 14,887 |
Other income, net | (1,554) | (278) | (2,505) | (435) |
Realized gains, net | 24 | 0 | 246 | 0 |
Total non-interest (loss) income, net | (1,430) | 4,134 | (5,003) | 14,452 |
General and administrative expenses | (14,434) | (12,335) | (44,284) | (39,257) |
Portfolio management costs | (25) | 0 | (38) | 0 |
(Provision for) benefit from income taxes | 256 | 0 | 953 | 0 |
Net Loss | $ (28,306) | $ (23,169) | $ (86,146) | $ (60,048) |
Segment Information - Supplemen
Segment Information - Supplemental Information by Segment (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Segment Reporting Information [Line Items] | |||
Real estate securities | [1] | $ 129,445 | $ 240,475 |
Home equity investments | 431,272 | 403,462 | |
Other investments | [1] | 340,361 | 390,938 |
Goodwill | [1] | 23,373 | 23,373 |
Intangible assets | 31,570 | 40,892 | |
Total Assets | [1] | 13,021,138 | 13,030,899 |
Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 5,847,337 | 5,613,188 | |
Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 5,249,330 | 5,332,586 | |
Consolidated Agency multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 420,554 | 424,551 | |
Operating Segments | Residential Mortgage Banking | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 9,054 | 0 | |
Home equity investments | 0 | 0 | |
Other investments | 0 | 0 | |
Goodwill | 0 | 0 | |
Intangible assets | 0 | 0 | |
Total Assets | 659,520 | 660,916 | |
Operating Segments | Residential Mortgage Banking | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 610,946 | 628,160 | |
Operating Segments | Residential Mortgage Banking | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Residential Mortgage Banking | Consolidated Agency multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Business Purpose Mortgage Banking | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 0 | 0 | |
Home equity investments | 0 | 0 | |
Other investments | 0 | 0 | |
Goodwill | 23,373 | 23,373 | |
Intangible assets | 31,570 | 40,892 | |
Total Assets | 197,974 | 487,159 | |
Operating Segments | Business Purpose Mortgage Banking | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Business Purpose Mortgage Banking | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 102,777 | 364,073 | |
Operating Segments | Business Purpose Mortgage Banking | Consolidated Agency multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Operating Segments | Investment Portfolio | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 120,391 | 240,475 | |
Home equity investments | 431,159 | 403,462 | |
Other investments | 284,507 | 334,420 | |
Goodwill | 0 | 0 | |
Intangible assets | 0 | 0 | |
Total Assets | 11,701,939 | 11,303,991 | |
Operating Segments | Investment Portfolio | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 5,086,239 | 4,800,096 | |
Operating Segments | Investment Portfolio | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 5,146,553 | 4,968,513 | |
Operating Segments | Investment Portfolio | Consolidated Agency multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 420,554 | 424,551 | |
Corporate/ Other | |||
Segment Reporting Information [Line Items] | |||
Real estate securities | 0 | 0 | |
Home equity investments | 113 | 0 | |
Other investments | 55,854 | 56,518 | |
Goodwill | 0 | 0 | |
Intangible assets | 0 | 0 | |
Total Assets | 461,705 | 578,833 | |
Corporate/ Other | Residential loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 150,152 | 184,932 | |
Corporate/ Other | Business purpose loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | 0 | 0 | |
Corporate/ Other | Consolidated Agency multifamily loans | |||
Segment Reporting Information [Line Items] | |||
Fair value of loans | $ 0 | $ 0 | |
[1] Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At September 30, 2023 and December 31, 2022, assets of consolidated VIEs totaled $9,639,117 and $9,257,291, respectively. At September 30, 2023 and December 31, 2022, liabilities of consolidated VIEs totaled $8,635,696 and $8,270,276, respectively. See Note 4 for further discussion. |