|
|
x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 |
o
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 |
|
Maryland
|
|
68-0329422
|
(State or Other Jurisdiction of
Incorporation or Organization) |
|
(I.R.S. Employer
Identification No.) |
|
Large accelerated filer
x
|
|
Accelerated filer
o
|
|
Non-accelerated filer
o
|
|
Smaller reporting company
o
|
Common Stock, $0.01 par value per share
|
|
82,124,371 shares outstanding as of November 5, 2015
|
(In Thousands, Except Share Data)
(Unaudited)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
ASSETS
(1)
|
|
|
|
|
||||
Residential loans, held-for-sale, at fair value
|
|
$
|
1,506,151
|
|
|
$
|
1,342,519
|
|
Residential loans, held-for-investment, at fair value
(2)
|
|
2,530,523
|
|
|
2,056,054
|
|
||
Commercial loans, held-for-sale, at fair value
|
|
80,756
|
|
|
166,234
|
|
||
Commercial loans, held-for-investment (includes $70,096 and $71,262 at fair value)
|
|
387,401
|
|
|
400,693
|
|
||
Real estate securities, at fair value
|
|
1,085,224
|
|
|
1,379,230
|
|
||
Mortgage servicing rights, at fair value
|
|
162,726
|
|
|
139,293
|
|
||
Cash and cash equivalents
|
|
235,362
|
|
|
269,730
|
|
||
Total earning assets
|
|
5,988,143
|
|
|
5,753,753
|
|
||
Restricted cash
|
|
8,361
|
|
|
628
|
|
||
Accrued interest receivable
|
|
20,223
|
|
|
18,222
|
|
||
Derivative assets
|
|
38,623
|
|
|
16,417
|
|
||
Deferred securities issuance costs
|
|
12,080
|
|
|
16,050
|
|
||
Other assets
|
|
201,596
|
|
|
113,896
|
|
||
Total Assets
|
|
$
|
6,269,026
|
|
|
$
|
5,918,966
|
|
|
|
|
|
|
||||
LIABILITIES AND EQUITY
(1)
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
||||
Short-term debt
|
|
$
|
1,872,793
|
|
|
$
|
1,793,825
|
|
Accrued interest payable
|
|
14,738
|
|
|
8,503
|
|
||
Derivative liabilities
|
|
88,044
|
|
|
58,331
|
|
||
Accrued expenses and other liabilities
|
|
75,968
|
|
|
52,244
|
|
||
Deferred tax liability
|
|
10,236
|
|
|
10,236
|
|
||
Asset-backed securities issued (includes $1,105,588 and $0 at fair value)
(2)
|
|
1,178,795
|
|
|
1,545,119
|
|
||
Long-term debt (includes $65,578 and $66,707 at fair value)
|
|
1,821,877
|
|
|
1,194,567
|
|
||
Total liabilities
|
|
5,062,451
|
|
|
4,662,825
|
|
||
Equity
|
|
|
|
|
||||
Common stock, par value $0.01 per share, 180,000,000 shares authorized;
82,124,927 and 83,443,141 issued and outstanding
|
|
821
|
|
|
834
|
|
||
Additional paid-in capital
|
|
1,746,775
|
|
|
1,774,030
|
|
||
Accumulated other comprehensive income
|
|
119,721
|
|
|
140,688
|
|
||
Cumulative earnings
|
|
977,624
|
|
|
906,867
|
|
||
Cumulative distributions to stockholders
|
|
(1,638,366
|
)
|
|
(1,566,278
|
)
|
||
Total equity
|
|
1,206,575
|
|
|
1,256,141
|
|
||
Total Liabilities and Equity
|
|
$
|
6,269,026
|
|
|
$
|
5,918,966
|
|
(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, 2015
and
December 31, 2014
, assets of consolidated VIEs totaled
$1,539,350
and
$1,900,208
, respectively. At
September 30, 2015
and
December 31, 2014
, liabilities of consolidated VIEs totaled
$1,179,884
and
$1,546,490
, respectively. See
Note 4
for further discussion.
|
(2)
|
On January 1, 2015, we adopted ASU 2014-13 and began to account for residential loans held-for-investment and asset backed securities issued at consolidated Sequoia entities (which are VIEs) at fair value. At December 31, 2014, amounts presented in residential loans held-for-investment for these assets included
$1,474,386
at historical cost. See
Note 3
for further discussion.
|
(In Thousands, Except Share Data)
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(Unaudited)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Interest Income
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
29,472
|
|
|
$
|
19,280
|
|
|
$
|
80,289
|
|
|
$
|
45,539
|
|
Commercial loans
|
|
11,191
|
|
|
12,603
|
|
|
34,784
|
|
|
34,204
|
|
||||
Real estate securities
|
|
22,749
|
|
|
31,461
|
|
|
75,363
|
|
|
97,062
|
|
||||
Other interest income
|
|
72
|
|
|
7
|
|
|
167
|
|
|
15
|
|
||||
Total interest income
|
|
63,484
|
|
|
63,351
|
|
|
190,603
|
|
|
176,820
|
|
||||
Interest Expense
|
|
|
|
|
|
|
|
|
||||||||
Short-term debt
|
|
(7,627
|
)
|
|
(8,441
|
)
|
|
(21,378
|
)
|
|
(17,409
|
)
|
||||
Asset-backed securities issued
|
|
(5,190
|
)
|
|
(7,838
|
)
|
|
(17,037
|
)
|
|
(24,462
|
)
|
||||
Long-term debt
|
|
(11,058
|
)
|
|
(7,071
|
)
|
|
(32,429
|
)
|
|
(21,689
|
)
|
||||
Total interest expense
|
|
(23,875
|
)
|
|
(23,350
|
)
|
|
(70,844
|
)
|
|
(63,560
|
)
|
||||
Net Interest Income
|
|
39,609
|
|
|
40,001
|
|
|
119,759
|
|
|
113,260
|
|
||||
Reversal of provision for loan losses
|
|
60
|
|
|
1,596
|
|
|
115
|
|
|
629
|
|
||||
Net Interest Income After Provision
|
|
39,669
|
|
|
41,597
|
|
|
119,874
|
|
|
113,889
|
|
||||
Non-interest Income
|
|
|
|
|
|
|
|
|
||||||||
Mortgage banking and investment activities, net
|
|
(12,836
|
)
|
|
14,166
|
|
|
(6,399
|
)
|
|
9,984
|
|
||||
Mortgage servicing rights income (loss), net
|
|
3,549
|
|
|
5,821
|
|
|
(6,545
|
)
|
|
4,650
|
|
||||
Other income
|
|
327
|
|
|
1,600
|
|
|
2,435
|
|
|
1,600
|
|
||||
Realized gains, net
|
|
5,548
|
|
|
8,532
|
|
|
16,170
|
|
|
10,687
|
|
||||
Total non-interest income (loss)
|
|
(3,412
|
)
|
|
30,119
|
|
|
5,661
|
|
|
26,921
|
|
||||
Operating expenses
|
|
(24,497
|
)
|
|
(21,406
|
)
|
|
(74,778
|
)
|
|
(63,660
|
)
|
||||
Net income before provision for income taxes
|
|
11,760
|
|
|
50,310
|
|
|
50,757
|
|
|
77,150
|
|
||||
Benefit from (provision for) income taxes
|
|
7,404
|
|
|
(5,213
|
)
|
|
10,272
|
|
|
(3,703
|
)
|
||||
Net Income
|
|
$
|
19,164
|
|
|
$
|
45,097
|
|
|
$
|
61,029
|
|
|
$
|
73,447
|
|
|
|
|
|
|
|
|
|
|
||||||||
Basic earnings per common share
|
|
$
|
0.22
|
|
|
$
|
0.53
|
|
|
$
|
0.71
|
|
|
$
|
0.87
|
|
Diluted earnings per common share
|
|
$
|
0.22
|
|
|
$
|
0.50
|
|
|
$
|
0.69
|
|
|
$
|
0.84
|
|
Regular dividends declared per common share
|
|
$
|
0.28
|
|
|
$
|
0.28
|
|
|
$
|
0.84
|
|
|
$
|
0.84
|
|
Basic weighted average shares outstanding
|
|
83,787,533
|
|
|
83,017,534
|
|
|
83,696,461
|
|
|
82,722,079
|
|
||||
Diluted weighted average shares outstanding
|
|
85,074,704
|
|
|
96,956,232
|
|
|
85,338,996
|
|
|
85,031,130
|
|
(In Thousands)
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(Unaudited)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Net Income
|
|
$
|
19,164
|
|
|
$
|
45,097
|
|
|
$
|
61,029
|
|
|
$
|
73,447
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
||||||||
Net unrealized (loss) gain on available-for-sale securities
|
|
(5,673
|
)
|
|
1,849
|
|
|
(5,701
|
)
|
|
35,078
|
|
||||
Reclassification of unrealized gain on available-for-sale securities to net income
|
|
(3,270
|
)
|
|
(6,409
|
)
|
|
(10,320
|
)
|
|
(6,750
|
)
|
||||
Net unrealized loss on interest rate agreements
|
|
(12,049
|
)
|
|
(3,258
|
)
|
|
(5,023
|
)
|
|
(17,454
|
)
|
||||
Reclassification of unrealized loss on interest rate agreements to net income
|
|
19
|
|
|
32
|
|
|
77
|
|
|
131
|
|
||||
Total other comprehensive income (loss)
|
|
(20,973
|
)
|
|
(7,786
|
)
|
|
(20,967
|
)
|
|
11,005
|
|
||||
Total Comprehensive Income (Loss)
|
|
$
|
(1,809
|
)
|
|
$
|
37,311
|
|
|
$
|
40,062
|
|
|
$
|
84,452
|
|
(In Thousands, Except Share Data)
|
|
Common Stock
|
|
Additional
Paid-In
Capital
|
|
Accumulated
Other
Comprehensive
Income
|
|
Cumulative
Earnings
|
|
Cumulative
Distributions
to Stockholders
|
|
Total
|
|||||||||||||||
(Unaudited)
|
|
Shares
|
|
Amount
|
|
|
|
|
|
||||||||||||||||||
December 31, 2014
|
|
83,443,141
|
|
|
$
|
834
|
|
|
$
|
1,774,030
|
|
|
$
|
140,688
|
|
|
$
|
906,867
|
|
|
$
|
(1,566,278
|
)
|
|
$
|
1,256,141
|
|
Cumulative effect adjustment - adoption of ASU 2014-13
(1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,728
|
|
|
—
|
|
|
9,728
|
|
||||||
January 1, 2015
|
|
83,443,141
|
|
|
834
|
|
|
1,774,030
|
|
|
140,688
|
|
|
916,595
|
|
|
(1,566,278
|
)
|
|
1,265,869
|
|
||||||
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
61,029
|
|
|
—
|
|
|
61,029
|
|
||||||
Other comprehensive loss
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(20,967
|
)
|
|
—
|
|
|
—
|
|
|
(20,967
|
)
|
||||||
Dividend reinvestment & stock purchase plans
|
|
418,508
|
|
|
4
|
|
|
6,830
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,834
|
|
||||||
Employee stock purchase and incentive plans
|
|
714,801
|
|
|
7
|
|
|
(7,735
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,728
|
)
|
||||||
Non-cash equity award compensation
|
|
—
|
|
|
—
|
|
|
9,002
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,002
|
|
||||||
Share repurchases
|
|
(2,451,523
|
)
|
|
(24
|
)
|
|
(35,352
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(35,376
|
)
|
||||||
Common dividends declared
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(72,088
|
)
|
|
(72,088
|
)
|
||||||
September 30, 2015
|
|
82,124,927
|
|
|
$
|
821
|
|
|
$
|
1,746,775
|
|
|
$
|
119,721
|
|
|
$
|
977,624
|
|
|
$
|
(1,638,366
|
)
|
|
$
|
1,206,575
|
|
(In Thousands, Except Share Data)
|
|
Common Stock
|
|
Additional
Paid-In
Capital
|
|
Accumulated
Other
Comprehensive
Income
|
|
Cumulative
Earnings
|
|
Cumulative
Distributions
to Stockholders
|
|
Total
|
|||||||||||||||
(Unaudited)
|
|
Shares
|
|
Amount
|
|
|
|
|
|
||||||||||||||||||
December 31, 2013
|
|
82,504,801
|
|
|
$
|
825
|
|
|
$
|
1,760,899
|
|
|
$
|
148,766
|
|
|
$
|
806,298
|
|
|
$
|
(1,471,005
|
)
|
|
$
|
1,245,783
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
73,447
|
|
|
—
|
|
|
73,447
|
|
||||||
Other comprehensive income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11,005
|
|
|
—
|
|
|
—
|
|
|
11,005
|
|
||||||
Dividend reinvestment & stock purchase plans
|
|
336,810
|
|
|
4
|
|
|
6,051
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,055
|
|
||||||
Employee stock purchase and incentive plans
|
|
442,781
|
|
|
4
|
|
|
(7,272
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,268
|
)
|
||||||
Non-cash equity award compensation
|
|
—
|
|
|
—
|
|
|
8,934
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,934
|
|
||||||
Common dividends declared
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(71,278
|
)
|
|
(71,278
|
)
|
||||||
September 30, 2014
|
|
83,284,392
|
|
|
$
|
833
|
|
|
$
|
1,768,612
|
|
|
$
|
159,771
|
|
|
$
|
879,745
|
|
|
$
|
(1,542,283
|
)
|
|
$
|
1,266,678
|
|
(In Thousands)
(Unaudited) |
|
Nine Months Ended September 30,
|
||||||
|
2015
|
|
2014
|
|||||
Cash Flows From Operating Activities:
|
|
|
|
|
||||
Net income
|
|
$
|
61,029
|
|
|
$
|
73,447
|
|
Adjustments to reconcile net income to net cash used in operating activities:
|
|
|
|
|
||||
Amortization of premiums, discounts, and securities issuance costs, net
|
|
(26,244
|
)
|
|
(26,248
|
)
|
||
Depreciation and amortization of non-financial assets
|
|
510
|
|
|
369
|
|
||
Purchases of held-for-sale loans
|
|
(8,794,939
|
)
|
|
(6,844,403
|
)
|
||
Proceeds from sales of held-for-sale loans
|
|
7,741,024
|
|
|
5,328,901
|
|
||
Principal payments on held-for-sale loans
|
|
46,952
|
|
|
19,648
|
|
||
Net settlements of derivatives
|
|
(47,002
|
)
|
|
(22,776
|
)
|
||
Provision for loan losses
|
|
(115
|
)
|
|
(629
|
)
|
||
Non-cash equity award compensation expense
|
|
9,002
|
|
|
8,934
|
|
||
Market valuation adjustments
|
|
40,546
|
|
|
(1,787
|
)
|
||
Realized gains, net
|
|
(16,170
|
)
|
|
(10,687
|
)
|
||
Net change in:
|
|
|
|
|
||||
Accrued interest receivable and other assets
|
|
(90,605
|
)
|
|
(57,806
|
)
|
||
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities
|
|
26,094
|
|
|
(266
|
)
|
||
Net cash used in operating activities
|
|
(1,049,918
|
)
|
|
(1,533,303
|
)
|
||
Cash Flows From Investing Activities:
|
|
|
|
|
||||
Purchases of loans held-for-investment
|
|
(22,219
|
)
|
|
(65,584
|
)
|
||
Principal payments on loans held-for-investment
|
|
359,714
|
|
|
267,425
|
|
||
Purchases of real estate securities
|
|
(66,601
|
)
|
|
(132,393
|
)
|
||
Proceeds from sales of real estate securities
|
|
309,101
|
|
|
457,131
|
|
||
Principal payments on real estate securities
|
|
103,664
|
|
|
144,598
|
|
||
Purchase of mortgage servicing rights
|
|
(23,315
|
)
|
|
(41,834
|
)
|
||
Proceeds from sales of mortgage servicing rights
|
|
17,235
|
|
|
—
|
|
||
Net change in restricted cash
|
|
(7,733
|
)
|
|
(57
|
)
|
||
Net cash provided by investing activities
|
|
669,846
|
|
|
629,286
|
|
||
Cash Flows From Financing Activities:
|
|
|
|
|
||||
Proceeds from borrowings on short-term debt
|
|
6,213,505
|
|
|
5,615,317
|
|
||
Repayments on short-term debt
|
|
(6,160,226
|
)
|
|
(4,643,308
|
)
|
||
Repayments on asset-backed securities issued
|
|
(256,614
|
)
|
|
(286,248
|
)
|
||
Deferred securities issuance costs
|
|
(33
|
)
|
|
—
|
|
||
Proceeds from issuance of long-term debt
|
|
1,156,396
|
|
|
272,937
|
|
||
Repayments on long-term debt
|
|
(502,268
|
)
|
|
(685
|
)
|
||
Net settlements of derivatives
|
|
(32
|
)
|
|
(2,507
|
)
|
||
Net proceeds from issuance of common stock
|
|
7,198
|
|
|
3,840
|
|
||
Net payments on repurchase of common stock
|
|
(32,042
|
)
|
|
—
|
|
||
Taxes paid on equity award distributions
|
|
(8,092
|
)
|
|
(7,635
|
)
|
||
Dividends paid
|
|
(72,088
|
)
|
|
(71,278
|
)
|
||
Net cash provided by financing activities
|
|
345,704
|
|
|
880,433
|
|
||
Net decrease in cash and cash equivalents
|
|
(34,368
|
)
|
|
(23,584
|
)
|
||
Cash and cash equivalents at beginning of period
|
|
269,730
|
|
|
173,201
|
|
||
Cash and cash equivalents at end of period
|
|
$
|
235,362
|
|
|
$
|
149,617
|
|
Supplemental Cash Flow Information:
|
|
|
|
|
||||
Cash paid during the period for:
|
|
|
|
|
||||
Interest
|
|
$
|
57,998
|
|
|
$
|
57,047
|
|
Taxes
|
|
55
|
|
|
1,399
|
|
||
Supplemental Noncash Information:
|
|
|
|
|
||||
Real estate securities retained from loan securitizations
|
|
$
|
39,698
|
|
|
$
|
126,009
|
|
Retention of mortgage servicing rights from loan securitizations and sales
|
|
52,297
|
|
|
30,962
|
|
||
Transfers from loans held-for-sale to loans held-for-investment
|
|
964,013
|
|
|
278,913
|
|
||
Transfers from loans held-for-investment to loans held-for-sale
|
|
66,918
|
|
|
—
|
|
||
Transfers from residential loans to real estate owned
|
|
5,740
|
|
|
4,753
|
|
(In Millions)
|
|
December 31, 2014
|
|
ASU 2014-13 Adjustment
|
|
January 1, 2015
|
||||||
Loan Principal
|
|
$
|
1,486
|
|
|
$
|
—
|
|
|
$
|
1,486
|
|
Loan unamortized premium
|
|
13
|
|
|
(13
|
)
|
|
—
|
|
|||
Allowance for loan losses
|
|
(21
|
)
|
|
21
|
|
|
—
|
|
|||
Loan market valuation adjustment
|
|
—
|
|
|
(113
|
)
|
|
(113
|
)
|
|||
Residential loans held-for-investment
|
|
1,478
|
|
|
(105
|
)
|
|
1,373
|
|
|||
Deferred bond issuance costs
|
|
1
|
|
|
(1
|
)
|
|
—
|
|
|||
Other assets
|
|
5
|
|
|
—
|
|
|
5
|
|
|||
Total assets
|
|
1,482
|
|
|
(105
|
)
|
|
1,377
|
|
|||
|
|
|
|
|
|
|
||||||
ABS issued principal
|
|
1,428
|
|
|
—
|
|
|
1,428
|
|
|||
ABS issued unamortized discount
|
|
(10
|
)
|
|
10
|
|
|
—
|
|
|||
ABS market valuation adjustment
|
|
—
|
|
|
(125
|
)
|
|
(125
|
)
|
|||
Total liabilities
|
|
1,418
|
|
|
(115
|
)
|
|
1,303
|
|
|||
Redwood's investment in consolidated Sequoia entities
|
|
$
|
64
|
|
|
$
|
10
|
|
|
$
|
74
|
|
(1)
|
Certain totals may not foot due to rounding.
|
|
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in Consolidated Balance Sheet
|
|
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet
|
|
Gross Amounts Not Offset in Consolidated
Balance Sheet (1) |
|
Net Amount
|
||||||||||||||
September 30, 2015
(In Thousands) |
|
|
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
||||||||||||||||
Assets
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
16,788
|
|
|
$
|
—
|
|
|
$
|
16,788
|
|
|
$
|
(9,932
|
)
|
|
$
|
(6,856
|
)
|
|
$
|
—
|
|
Credit default index swaps
|
|
2,792
|
|
|
—
|
|
|
2,792
|
|
|
—
|
|
|
—
|
|
|
2,792
|
|
||||||
TBAs
|
|
8,910
|
|
|
—
|
|
|
8,910
|
|
|
(8,659
|
)
|
|
—
|
|
|
251
|
|
||||||
Total Assets
|
|
$
|
28,490
|
|
|
$
|
—
|
|
|
$
|
28,490
|
|
|
$
|
(18,591
|
)
|
|
$
|
(6,856
|
)
|
|
$
|
3,043
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Liabilities
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
(72,415
|
)
|
|
$
|
—
|
|
|
$
|
(72,415
|
)
|
|
$
|
9,932
|
|
|
$
|
59,933
|
|
|
$
|
(2,550
|
)
|
TBAs
|
|
(14,994
|
)
|
|
—
|
|
|
(14,994
|
)
|
|
8,659
|
|
|
3,868
|
|
|
(2,467
|
)
|
||||||
Futures
|
|
(188
|
)
|
|
—
|
|
|
(188
|
)
|
|
—
|
|
|
188
|
|
|
—
|
|
||||||
Loan warehouse debt
|
|
(1,271,610
|
)
|
|
—
|
|
|
(1,271,610
|
)
|
|
1,271,610
|
|
|
—
|
|
|
—
|
|
||||||
Security repurchase agreements
|
|
(475,494
|
)
|
|
—
|
|
|
(475,494
|
)
|
|
475,494
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
|
$
|
(1,834,701
|
)
|
|
$
|
—
|
|
|
$
|
(1,834,701
|
)
|
|
$
|
1,765,695
|
|
|
$
|
63,989
|
|
|
$
|
(5,017
|
)
|
|
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in Consolidated Balance Sheet
|
|
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet
|
|
Gross Amounts Not Offset in Consolidated
Balance Sheet (1) |
|
Net Amount
|
||||||||||||||
December 31, 2014
(In Thousands) |
|
|
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
||||||||||||||||
Assets
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
7,006
|
|
|
$
|
—
|
|
|
$
|
7,006
|
|
|
$
|
(1,160
|
)
|
|
$
|
(4,360
|
)
|
|
$
|
1,486
|
|
Credit default index swaps
|
|
1,598
|
|
|
—
|
|
|
1,598
|
|
|
—
|
|
|
(375
|
)
|
|
1,223
|
|
||||||
TBAs
|
|
6,653
|
|
|
—
|
|
|
6,653
|
|
|
(5,815
|
)
|
|
—
|
|
|
838
|
|
||||||
Total Assets
|
|
$
|
15,257
|
|
|
$
|
—
|
|
|
$
|
15,257
|
|
|
$
|
(6,975
|
)
|
|
$
|
(4,735
|
)
|
|
$
|
3,547
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Liabilities
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
(48,173
|
)
|
|
$
|
—
|
|
|
$
|
(48,173
|
)
|
|
$
|
1,160
|
|
|
$
|
47,013
|
|
|
$
|
—
|
|
TBAs
|
|
(9,506
|
)
|
|
—
|
|
|
(9,506
|
)
|
|
5,815
|
|
|
2,715
|
|
|
(976
|
)
|
||||||
Futures
|
|
(372
|
)
|
|
—
|
|
|
(372
|
)
|
|
—
|
|
|
372
|
|
|
—
|
|
||||||
Loan warehouse debt
|
|
(1,185,316
|
)
|
|
—
|
|
|
(1,185,316
|
)
|
|
1,185,316
|
|
|
—
|
|
|
—
|
|
||||||
Security repurchase agreements
|
|
(608,509
|
)
|
|
—
|
|
|
(608,509
|
)
|
|
608,509
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
|
$
|
(1,851,876
|
)
|
|
$
|
—
|
|
|
$
|
(1,851,876
|
)
|
|
$
|
1,800,800
|
|
|
$
|
50,100
|
|
|
$
|
(976
|
)
|
(1)
|
Amounts presented in these columns are limited in total to the net amount of assets or liabilities presented in the prior column by instrument. In certain cases, there is excess cash collateral or financial assets we have pledged to a counterparty (which may, in certain circumstances, be a clearinghouse) that exceed the financial liabilities subject to a master netting arrangement or similar agreement. Additionally, in certain cases, counterparties may have pledged excess cash collateral to us that exceeds our corresponding financial assets. In each case, any of these excess amounts are excluded from the table although they are separately reported in our consolidated balance sheets as assets or liabilities, respectively.
|
(2)
|
Interest rate agreements, TBAs, and futures are components of derivatives instruments on our consolidated balances sheets. Loan warehouse debt, which is secured by residential and commercial mortgage loans, and security repurchase agreements are components of short-term debt on our consolidated balance sheets.
|
September 30, 2015
|
|
Sequoia
Entities
|
|
Residential Resecuritization
|
|
Commercial Securitization
|
|
Total
|
||||||||
(Dollars in Thousands)
|
|
|
|
|
||||||||||||
Residential loans, held-for-investment
|
|
$
|
1,170,246
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,170,246
|
|
Commercial loans, held-for-investment
|
|
—
|
|
|
—
|
|
|
180,394
|
|
|
180,394
|
|
||||
Real estate securities
|
|
—
|
|
|
181,253
|
|
|
—
|
|
|
181,253
|
|
||||
Restricted cash
|
|
191
|
|
|
—
|
|
|
138
|
|
|
329
|
|
||||
Accrued interest receivable
|
|
1,505
|
|
|
364
|
|
|
1,357
|
|
|
3,226
|
|
||||
Other assets
|
|
3,902
|
|
|
—
|
|
|
—
|
|
|
3,902
|
|
||||
Total Assets
|
|
$
|
1,175,844
|
|
|
$
|
181,617
|
|
|
$
|
181,889
|
|
|
$
|
1,539,350
|
|
Accrued interest payable
|
|
$
|
770
|
|
|
$
|
1
|
|
|
$
|
318
|
|
|
$
|
1,089
|
|
Asset-backed securities issued
|
|
1,105,588
|
|
|
5,261
|
|
|
67,946
|
|
|
1,178,795
|
|
||||
Total Liabilities
|
|
$
|
1,106,358
|
|
|
$
|
5,262
|
|
|
$
|
68,264
|
|
|
$
|
1,179,884
|
|
|
|
|
|
|
|
|
|
|
||||||||
Number of VIEs
|
|
24
|
|
|
1
|
|
|
1
|
|
|
26
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Principal balance of loans transferred
|
|
$
|
—
|
|
|
$
|
635,608
|
|
|
$
|
1,038,451
|
|
|
$
|
982,913
|
|
Trading securities retained, at fair value
|
|
—
|
|
|
1,680
|
|
|
33,389
|
|
|
71,243
|
|
||||
AFS securities retained, at fair value
|
|
—
|
|
|
39,330
|
|
|
6,309
|
|
|
59,757
|
|
||||
MSRs recognized
|
|
—
|
|
|
4,356
|
|
|
7,874
|
|
|
6,542
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Proceeds from new transfers
|
|
$
|
—
|
|
|
$
|
610,167
|
|
|
$
|
1,018,312
|
|
|
$
|
877,943
|
|
MSR fees received
|
|
3,817
|
|
|
3,571
|
|
|
11,287
|
|
|
10,618
|
|
||||
Funding of compensating interest
|
|
(86
|
)
|
|
(68
|
)
|
|
(283
|
)
|
|
(144
|
)
|
||||
Cash flows received on retained securities
|
|
8,190
|
|
|
16,190
|
|
|
31,541
|
|
|
44,417
|
|
|
|
Issued During The
|
|||||||||||||
|
|
Three Months Ended September 30, 2015
|
|
Nine Months Ended September 30, 2015
|
|||||||||||
At Date of Securitization
|
|
MSRs
|
|
Senior Securities
|
|
Subordinate Securities
|
|
MSRs
|
|
Senior Securities
|
|
Subordinate Securities
|
|||
Prepayment rate
|
|
N/A
|
|
N/A
|
|
N/A
|
|
5 - 15%
|
|
|
8
|
%
|
|
8
|
%
|
Discount rates
|
|
N/A
|
|
N/A
|
|
N/A
|
|
11
|
%
|
|
3
|
%
|
|
6
|
%
|
Credit loss assumptions
|
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
|
|
0.25
|
%
|
|
0.25
|
%
|
|
|
Issued During The
|
||||||||||||||||
|
|
Three Months Ended September 30, 2014
|
|
Nine Months Ended September 30, 2014
|
||||||||||||||
At Date of Securitization
|
|
MSRs
|
|
Senior Securities
|
|
Subordinate Securities
|
|
MSRs
|
|
Senior Securities
|
|
Subordinate Securities
|
||||||
Prepayment rate
|
|
5 - 16%
|
|
|
8
|
%
|
|
8
|
%
|
|
5 - 16%
|
|
|
8 - 10%
|
|
|
8 - 10%
|
|
Discount rates
|
|
11
|
%
|
|
21
|
%
|
|
5
|
%
|
|
11
|
%
|
|
3
|
%
|
|
5
|
%
|
Credit loss assumptions
|
|
N/A
|
|
|
0.25
|
%
|
|
0.25
|
%
|
|
N/A
|
|
|
0.25
|
%
|
|
0.25
|
%
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
On-balance sheet assets, at fair value:
|
|
|
|
|
||||
Interest-only, senior and subordinate securities, classified as trading
|
|
$
|
61,602
|
|
|
$
|
93,802
|
|
Senior and subordinate securities, classified as AFS
|
|
292,948
|
|
|
460,990
|
|
||
Mortgage servicing rights
|
|
52,940
|
|
|
56,801
|
|
||
Maximum loss exposure
(1)
|
|
$
|
407,490
|
|
|
$
|
611,593
|
|
Assets transferred:
|
|
|
|
|
||||
Principal balance of loans outstanding
|
|
$
|
7,289,025
|
|
|
$
|
7,276,825
|
|
Principal balance of delinquent loans 30+ days delinquent
|
|
14,204
|
|
|
17,022
|
|
(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.
|
September 30, 2015
|
|
MSRs
|
|
Senior
Securities
(1)
|
|
Subordinate Securities
|
||||||
(Dollars in Thousands)
|
|
|
|
|||||||||
Fair value at September 30, 2015
|
|
$
|
52,940
|
|
|
$
|
51,308
|
|
|
$
|
303,242
|
|
Expected life (in years)
(2)
|
|
6
|
|
|
6
|
|
|
11
|
|
|||
Prepayment speed assumption (annual CPR)
(2)
|
|
14
|
%
|
|
11
|
%
|
|
12
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% adverse change
|
|
$
|
1,542
|
|
|
$
|
1,308
|
|
|
$
|
953
|
|
25% adverse change
|
|
5,003
|
|
|
3,103
|
|
|
2,252
|
|
|||
Discount rate assumption
(2)
|
|
11
|
%
|
|
11
|
%
|
|
5
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
100 basis point increase
|
|
$
|
933
|
|
|
$
|
1,984
|
|
|
$
|
22,816
|
|
200 basis point increase
|
|
2,773
|
|
|
3,826
|
|
|
42,885
|
|
|||
Credit loss assumption
(2)
|
|
N/A
|
|
|
0.25
|
%
|
|
0.25
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% higher losses
|
|
N/A
|
|
|
$
|
31
|
|
|
$
|
3,050
|
|
|
25% higher losses
|
|
N/A
|
|
|
76
|
|
|
7,567
|
|
December 31, 2014
|
|
MSRs
|
|
Senior
Securities
(1)
|
|
Subordinate Securities
|
||||||
(Dollars in Thousands)
|
|
|
|
|||||||||
Fair value at December 31, 2014
|
|
$
|
56,801
|
|
|
$
|
93,802
|
|
|
$
|
460,990
|
|
Expected life (in years)
(2)
|
|
7
|
|
|
6
|
|
|
10
|
|
|||
Prepayment speed assumption (annual CPR)
(2)
|
|
14
|
%
|
|
9
|
%
|
|
10
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% adverse change
|
|
$
|
2,419
|
|
|
$
|
3,999
|
|
|
$
|
684
|
|
25% adverse change
|
|
5,639
|
|
|
9,475
|
|
|
2,355
|
|
|||
Discount rate assumption
(2)
|
|
11
|
%
|
|
8
|
%
|
|
5
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
100 basis point increase
|
|
$
|
2,104
|
|
|
$
|
4,214
|
|
|
$
|
34,149
|
|
200 basis point increase
|
|
4,102
|
|
|
8,091
|
|
|
64,474
|
|
|||
Credit loss assumption
(2)
|
|
N/A
|
|
|
0.25
|
%
|
|
0.25
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% higher losses
|
|
N/A
|
|
|
$
|
126
|
|
|
$
|
3,169
|
|
|
25% higher losses
|
|
N/A
|
|
|
299
|
|
|
7,841
|
|
(1)
|
Senior securities include
$29 million
and
$88 million
of interest only securities as of
September 30, 2015
and
December 31, 2014
, respectively.
|
(2)
|
Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages.
|
(Dollars in Thousands)
|
|
September 30, 2015
|
||
Residential Mortgage Backed Securities
|
|
|
||
Senior
|
|
$
|
415,827
|
|
Re-REMIC
|
|
167,639
|
|
|
Subordinate
|
|
147,208
|
|
|
Total Investments in Third-Party Sponsored VIEs
|
|
$
|
730,674
|
|
|
|
September 30, 2015
|
|
December 31, 2014
|
||||||||||||
|
|
Carrying
Value
|
|
Fair
Value
|
|
Carrying
Value
|
|
Fair
Value
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, held-for-sale
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
$
|
1,504,705
|
|
|
$
|
1,504,705
|
|
|
$
|
1,341,032
|
|
|
$
|
1,341,032
|
|
At lower of cost or fair value
|
|
1,446
|
|
|
1,645
|
|
|
1,488
|
|
|
1,669
|
|
||||
Residential loans, held-for-investment
(1)
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
2,530,523
|
|
|
2,530,523
|
|
|
581,668
|
|
|
581,668
|
|
||||
At amortized cost
|
|
—
|
|
|
—
|
|
|
1,474,386
|
|
|
1,381,918
|
|
||||
Commercial loans, held-for-sale
|
|
80,756
|
|
|
80,756
|
|
|
166,234
|
|
|
166,234
|
|
||||
Commercial loans, held-for-investment
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
70,096
|
|
|
70,096
|
|
|
71,262
|
|
|
71,262
|
|
||||
At amortized cost
|
|
317,305
|
|
|
322,535
|
|
|
329,431
|
|
|
334,876
|
|
||||
Trading securities
|
|
114,211
|
|
|
114,211
|
|
|
111,606
|
|
|
111,606
|
|
||||
Available-for-sale securities
|
|
971,013
|
|
|
971,013
|
|
|
1,267,624
|
|
|
1,267,624
|
|
||||
MSRs
|
|
162,726
|
|
|
162,726
|
|
|
139,293
|
|
|
139,293
|
|
||||
Cash and cash equivalents
|
|
235,362
|
|
|
235,362
|
|
|
269,730
|
|
|
269,730
|
|
||||
Restricted cash
|
|
8,361
|
|
|
8,361
|
|
|
628
|
|
|
628
|
|
||||
Accrued interest receivable
|
|
20,223
|
|
|
20,223
|
|
|
18,222
|
|
|
18,222
|
|
||||
Derivative assets
|
|
38,623
|
|
|
38,623
|
|
|
16,417
|
|
|
16,417
|
|
||||
REO
(2)
|
|
3,902
|
|
|
4,620
|
|
|
4,391
|
|
|
4,703
|
|
||||
Margin receivable
(2)
|
|
97,685
|
|
|
97,685
|
|
|
65,374
|
|
|
65,374
|
|
||||
FHLBC stock
(2)
|
|
30,001
|
|
|
30,001
|
|
|
10,688
|
|
|
10,688
|
|
||||
Guarantee asset
(2)
|
|
5,120
|
|
|
5,120
|
|
|
7,201
|
|
|
7,201
|
|
||||
Pledged collateral
(2)
|
|
28,482
|
|
|
28,482
|
|
|
9,927
|
|
|
9,927
|
|
||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Short-term debt
|
|
$
|
1,872,793
|
|
|
$
|
1,872,793
|
|
|
$
|
1,793,825
|
|
|
$
|
1,793,825
|
|
Accrued interest payable
|
|
14,738
|
|
|
14,738
|
|
|
8,502
|
|
|
8,502
|
|
||||
Guarantee obligation
|
|
13,394
|
|
|
12,123
|
|
|
7,201
|
|
|
7,201
|
|
||||
Derivative liabilities
|
|
88,044
|
|
|
88,044
|
|
|
58,331
|
|
|
58,331
|
|
||||
ABS issued
(1)
|
|
|
|
|
|
|
|
|
||||||||
Fair value
|
|
1,105,588
|
|
|
1,105,588
|
|
|
—
|
|
|
—
|
|
||||
Amortized cost
|
|
73,207
|
|
|
73,207
|
|
|
1,545,119
|
|
|
1,446,605
|
|
||||
FHLBC long-term borrowings
|
|
1,124,299
|
|
|
1,124,299
|
|
|
495,860
|
|
|
495,860
|
|
||||
Commercial secured borrowings
|
|
65,578
|
|
|
65,578
|
|
|
66,707
|
|
|
66,707
|
|
||||
Convertible notes
|
|
492,500
|
|
|
464,164
|
|
|
492,500
|
|
|
492,188
|
|
||||
Other long-term debt
|
|
139,500
|
|
|
90,675
|
|
|
139,500
|
|
|
101,835
|
|
(1)
|
Upon adoption of ASU 2014-13 on January 1, 2015, we began to record loans held-for-investment in, and ABS issued by, consolidated Sequoia entities at fair value. See
Note 3
for further discussion.
|
(2)
|
These assets are included in other assets on our consolidated balance sheets.
|
September 30, 2015
|
|
Carrying
Value
|
|
Fair Value Measurements Using
|
||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
4,035,228
|
|
|
$
|
—
|
|
|
$
|
236,314
|
|
|
$
|
3,798,914
|
|
Commercial loans
|
|
150,852
|
|
|
—
|
|
|
—
|
|
|
150,852
|
|
||||
Trading securities
|
|
114,211
|
|
|
—
|
|
|
—
|
|
|
114,211
|
|
||||
Available-for-sale securities
|
|
971,013
|
|
|
—
|
|
|
—
|
|
|
971,013
|
|
||||
Derivative assets
|
|
38,623
|
|
|
8,910
|
|
|
19,580
|
|
|
10,133
|
|
||||
MSRs
|
|
162,726
|
|
|
—
|
|
|
—
|
|
|
162,726
|
|
||||
Pledged collateral
|
|
28,482
|
|
|
28,482
|
|
|
—
|
|
|
—
|
|
||||
FHLBC stock
|
|
30,001
|
|
|
30,001
|
|
|
—
|
|
|
—
|
|
||||
Guarantee asset
|
|
5,120
|
|
|
—
|
|
|
—
|
|
|
5,120
|
|
||||
|
|
|
|
|
|
|
|
|
|
|||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|||||||
Derivative liabilities
|
|
$
|
88,044
|
|
|
$
|
15,182
|
|
|
$
|
72,415
|
|
|
$
|
447
|
|
Commercial secured borrowings
|
|
65,578
|
|
|
—
|
|
|
—
|
|
|
65,578
|
|
||||
ABS issued
|
|
1,105,588
|
|
|
—
|
|
|
—
|
|
|
1,105,588
|
|
|
Assets
|
|
Liabilities
|
||||||||||||||||||||||||||||||||
|
Residential Loans
|
|
Commercial
Loans
|
|
Trading Securities
|
|
AFS
Securities
|
|
MSRs
|
|
Guarantee Asset
|
|
Derivatives
(1)
|
|
Commercial Secured Borrowings
|
|
ABS
Issued
|
||||||||||||||||||
(In Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||||||||||||
Beginning balance -
December 31, 2014
|
$
|
1,677,984
|
|
|
$
|
237,496
|
|
|
$
|
111,606
|
|
|
$
|
1,267,624
|
|
|
$
|
139,293
|
|
|
$
|
7,201
|
|
|
$
|
1,119
|
|
|
$
|
66,707
|
|
|
$
|
—
|
|
Transfer to FVO
(2)
|
1,370,699
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,302,216
|
|
|||||||||
Principal paydowns
|
(369,576
|
)
|
|
(584
|
)
|
|
(1,722
|
)
|
|
(101,944
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(416
|
)
|
|
(201,885
|
)
|
|||||||||
Gains (losses) in net income, net
|
8,024
|
|
|
10,068
|
|
|
(15,970
|
)
|
|
43,860
|
|
|
(32,337
|
)
|
|
(1,954
|
)
|
|
51,638
|
|
|
(750
|
)
|
|
6,198
|
|
|||||||||
Unrealized losses in OCI, net
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,789
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Acquisitions
|
4,084,501
|
|
|
517,894
|
|
|
101,429
|
|
|
14,788
|
|
|
73,976
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Sales
|
(2,968,446
|
)
|
|
(614,022
|
)
|
|
(81,132
|
)
|
|
(237,886
|
)
|
|
(18,206
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,362
|
)
|
|||||||||
Other settlements, net
|
(4,272
|
)
|
|
—
|
|
|
—
|
|
|
360
|
|
|
—
|
|
|
(127
|
)
|
|
(43,071
|
)
|
|
37
|
|
|
421
|
|
|||||||||
Ending balance -
September 30, 2015
|
$
|
3,798,914
|
|
|
$
|
150,852
|
|
|
$
|
114,211
|
|
|
$
|
971,013
|
|
|
$
|
162,726
|
|
|
$
|
5,120
|
|
|
$
|
9,686
|
|
|
$
|
65,578
|
|
|
$
|
1,105,588
|
|
|
|
Included in Net Income
|
||||||||||||||
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans at Redwood
|
|
$
|
16,451
|
|
|
$
|
7,280
|
|
|
$
|
12,115
|
|
|
$
|
8,524
|
|
Residential loans at consolidated Sequoia entities
|
|
(419
|
)
|
|
—
|
|
|
4,912
|
|
|
—
|
|
||||
Commercial loans
|
|
3,175
|
|
|
2,009
|
|
|
1,971
|
|
|
2,009
|
|
||||
Trading securities
|
|
(8,298
|
)
|
|
(1,882
|
)
|
|
(13,274
|
)
|
|
(16,033
|
)
|
||||
Available-for-sale securities
|
|
(226
|
)
|
|
(188
|
)
|
|
(226
|
)
|
|
(434
|
)
|
||||
MSRs
|
|
(25,523
|
)
|
|
3,509
|
|
|
(15,989
|
)
|
|
(3,184
|
)
|
||||
Other assets - Guarantee asset
|
|
(1,098
|
)
|
|
—
|
|
|
(1,799
|
)
|
|
—
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
$
|
9,736
|
|
|
$
|
932
|
|
|
$
|
9,806
|
|
|
$
|
932
|
|
Commercial secured borrowing
|
|
(454
|
)
|
|
(420
|
)
|
|
750
|
|
|
1,339
|
|
||||
ABS issued
|
|
300
|
|
|
—
|
|
|
(6,198
|
)
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
Gain (Loss) for
|
||||||||||||||
September 30, 2015
|
|
Carrying
Value
|
|
Fair Value Measurements Using
|
|
Three Months Ended
|
|
Nine Months Ended
|
||||||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
September 30, 2015
|
|
September 30, 2015
|
|||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Residential loans, at lower of cost or fair value
|
|
$
|
1,099
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,099
|
|
|
$
|
1
|
|
|
$
|
2
|
|
REO
|
|
3,120
|
|
|
—
|
|
|
—
|
|
|
3,120
|
|
|
(621
|
)
|
|
(748
|
)
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Mortgage banking and investment activities, net
|
|
|
|
|
|
|
|
|
||||||||
Residential loans held-for-sale, at fair value
|
|
$
|
11,010
|
|
|
$
|
13,489
|
|
|
$
|
9,892
|
|
|
$
|
34,608
|
|
Residential loan purchase and forward sale commitments
|
|
25,173
|
|
|
2,487
|
|
|
44,482
|
|
|
6,077
|
|
||||
Residential loans held-for-investment, at Redwood
|
|
9,077
|
|
|
(991
|
)
|
|
5,170
|
|
|
(991
|
)
|
||||
Consolidated Sequoia entities
(1)
|
|
(500
|
)
|
|
(361
|
)
|
|
(2,277
|
)
|
|
(825
|
)
|
||||
Commercial loans, at fair value
|
|
3,974
|
|
|
4,305
|
|
|
10,819
|
|
|
13,644
|
|
||||
Trading securities
|
|
(8,783
|
)
|
|
(1,909
|
)
|
|
(15,946
|
)
|
|
(15,072
|
)
|
||||
Impairments on AFS securities
|
|
(226
|
)
|
|
(188
|
)
|
|
(226
|
)
|
|
(565
|
)
|
||||
Risk management derivatives, net
|
|
(52,749
|
)
|
|
(4,036
|
)
|
|
(60,060
|
)
|
|
(29,145
|
)
|
||||
Guarantee asset
|
|
(1,297
|
)
|
|
—
|
|
|
(2,081
|
)
|
|
—
|
|
||||
Other investments
|
|
199
|
|
|
—
|
|
|
282
|
|
|
—
|
|
||||
Total mortgage banking and investment activities, net
(2)
|
|
$
|
(14,122
|
)
|
|
$
|
12,796
|
|
|
$
|
(9,945
|
)
|
|
$
|
7,731
|
|
MSR Income (loss), net
|
|
|
|
|
|
|
|
|
||||||||
MSRs
|
|
$
|
(28,496
|
)
|
|
$
|
2,321
|
|
|
$
|
(32,337
|
)
|
|
$
|
(5,944
|
)
|
Risk management derivatives, net
|
|
23,551
|
|
|
—
|
|
|
1,736
|
|
|
—
|
|
||||
Total MSR income (loss), net
(3)
|
|
$
|
(4,945
|
)
|
|
$
|
2,321
|
|
|
$
|
(30,601
|
)
|
|
$
|
(5,944
|
)
|
Total market valuation gains and losses, net
|
|
$
|
(19,067
|
)
|
|
$
|
15,117
|
|
|
$
|
(40,546
|
)
|
|
$
|
1,787
|
|
(1)
|
On January 1, 2015, we adopted ASU 2014-13 and began to record the assets and liabilities of consolidated Sequoia entities at fair value. This amount includes the net change in fair value of the consolidated assets and liabilities of these entities, which include residential loans held-for-investment, REO, and ABS issued. This combined amount represents the estimated change in value of our retained interests in these entities. See Note 3 for further discussion.
|
(2)
|
Mortgage banking and investment activities, net presented above does not include fee income or provisions for repurchases that are components of mortgage banking and investment activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes.
|
(3)
|
MSR Income (loss), net presented above does not include net fee income or provisions for repurchases that are components of MSR Income (loss), net on our consolidated statements of income, as these amounts do not represent market valuation adjustments.
|
September 30, 2015
|
|
Fair
Value
|
|
|
|
|
|
|
Weighted
Average
|
|||||
(Dollars in Thousands, except input values)
|
|
|
Unobservable Input
|
|
Range
|
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
||||
Residential loans, at fair value:
|
|
|
|
|
|
|
|
|
|
|
||||
Jumbo fixed rate loans uncommitted to sell
|
|
$
|
2,032,815
|
|
|
IO Multiple
|
|
3.8 - 4.0
|
x
|
|
3.8
|
|
x
|
|
|
|
|
|
Prepayment rate (annual CPR)
|
|
12 - 15
|
%
|
|
14
|
|
%
|
|||
|
|
|
|
Senior spread to TBA price
|
|
$3.56 - $3.56
|
|
|
$
|
3.56
|
|
|
||
|
|
|
|
Subordinate spread to swap rate
|
|
373 - 373
|
bps
|
|
373
|
|
bps
|
|||
|
|
|
|
Credit support
|
|
5 - 5
|
%
|
|
5
|
|
%
|
|||
|
|
|
|
Whole loan spread to TBA price
|
|
$2.90 - $4.27
|
|
|
$
|
4.08
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
Jumbo hybrid loans uncommitted to sell
|
|
158,149
|
|
|
Spread to swap rate
|
|
125 - 165
|
bps
|
|
138
|
|
bps
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
Jumbo loans committed to sell
|
|
437,704
|
|
|
Committed Sales Price
|
|
$102.1 - $103.0
|
|
|
$
|
102.4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Loans held by consolidated Sequoia entities
(1)
|
|
1,170,246
|
|
|
Liability price
|
|
N/A
|
|
|
N/A
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
Residential loans, at lower of cost or fair value
|
|
1,099
|
|
|
Loss severity
|
|
13 - 30
|
%
|
|
21
|
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
Commercial loans, at fair value
|
|
150,852
|
|
|
Spread to swap rate
|
|
195 - 195
|
bps
|
|
195
|
|
bps
|
||
|
|
|
|
Credit support
|
|
23 - 23
|
%
|
|
23
|
|
%
|
|||
|
|
|
|
|
|
|
|
|
|
|
||||
Trading and AFS securities
|
|
1,085,224
|
|
|
Discount rate
|
|
4 - 12
|
%
|
|
7
|
|
%
|
||
|
|
|
|
Prepayment rate (annual CPR)
|
|
1 - 35
|
%
|
|
13
|
|
%
|
|||
|
|
|
|
Default rate
|
|
0 - 35
|
%
|
|
8
|
|
%
|
|||
|
|
|
|
Loss severity
|
|
20 - 65
|
%
|
|
34
|
|
%
|
|||
|
|
|
|
Credit support
|
|
0 - 49
|
%
|
|
4
|
|
%
|
|||
|
|
|
|
|
|
|
|
|
|
|
||||
MSRs
|
|
162,726
|
|
|
Discount rate
|
|
8 - 12
|
%
|
|
10
|
|
%
|
||
|
|
|
|
Prepayment rate (annual CPR)
|
|
5 - 55
|
%
|
|
12
|
|
%
|
|||
|
|
|
|
Per loan annual cost to service
|
|
$72 - $82
|
|
|
$
|
78
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
Guarantee asset
|
|
5,120
|
|
|
Discount rate
|
|
10 - 10
|
%
|
|
10
|
|
%
|
||
|
|
|
|
Prepayment rate (annual CPR)
|
|
16 - 16
|
%
|
|
16
|
|
%
|
|||
|
|
|
|
|
|
|
|
|
|
|
||||
REO
|
|
3,120
|
|
|
Loss severity
|
|
0 - 89
|
%
|
|
52
|
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
||||
Loan purchase commitments, net
(2)
|
|
9,687
|
|
|
MSR Multiple
|
|
0 - 5.0
|
x
|
|
3.0
|
|
x
|
||
|
|
|
|
Fallout rate
|
|
2 - 98
|
%
|
|
34
|
|
%
|
|||
|
|
|
|
|
|
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||
ABS issued by consolidated Sequoia entities
(1)
|
|
1,105,588
|
|
|
Discount rate
|
|
5 - 9
|
%
|
|
5
|
|
%
|
||
|
|
|
|
Prepayment rate (annual CPR)
|
|
6 - 20
|
%
|
|
13
|
|
%
|
|||
|
|
|
|
Default rate
|
|
0 - 12
|
%
|
|
6
|
|
%
|
|||
|
|
|
|
Loss severity
|
|
20 - 32
|
%
|
|
27
|
|
%
|
|||
|
|
|
|
Credit support
|
|
0 - 70
|
%
|
|
12
|
|
%
|
|||
|
|
|
|
|
|
|
|
|
|
|
||||
Commercial secured financing
|
|
65,578
|
|
|
Spread to swap rate
|
|
194 - 195
|
bps
|
|
194
|
|
bps
|
||
|
|
|
|
Credit support
|
|
23 - 23
|
%
|
|
23
|
|
%
|
(1)
|
Upon adoption of ASU 2014-13 on January 1, 2015, we began to record loans held-for-investment in, and ABS issued by, consolidated Sequoia entities at fair value. In accordance with this new guidance, the fair value of the loans in these entities was based on the fair value of the liabilities issued by these entities, which we determined were more readily observable. See
Note 3
for further discussion.
|
(2)
|
For the purpose of this presentation, loan purchase commitment assets and liabilities are presented net.
|
September 30, 2015
|
|
|
|
|
|
|
||||||
(In Thousands)
|
|
Redwood
|
|
Sequoia
(1)
|
|
Total
|
||||||
Held-for-sale
|
|
|
|
|
|
|
||||||
Fair value - conforming
|
|
$
|
236,314
|
|
|
$
|
—
|
|
|
$
|
236,314
|
|
Fair value - jumbo
|
|
1,268,391
|
|
|
—
|
|
|
1,268,391
|
|
|||
Lower of cost or fair value
|
|
1,446
|
|
|
—
|
|
|
1,446
|
|
|||
Held-for-investment
|
|
|
|
|
|
|
|
|||||
Fair value - jumbo
|
|
1,360,277
|
|
|
1,170,246
|
|
|
2,530,523
|
|
|||
Total Residential Loans
|
|
$
|
2,866,428
|
|
|
$
|
1,170,246
|
|
|
$
|
4,036,674
|
|
December 31, 2014
|
|
|
|
|
|
|
||||||
(In Thousands)
|
|
Redwood
|
|
Sequoia
(1)
|
|
Total
|
||||||
Held-for-sale
|
|
|
|
|
|
|
||||||
Fair value - conforming
|
|
$
|
244,714
|
|
|
$
|
—
|
|
|
$
|
244,714
|
|
Fair value - jumbo
|
|
1,096,317
|
|
|
—
|
|
|
1,096,317
|
|
|||
Lower of cost or fair value
|
|
1,488
|
|
|
—
|
|
|
1,488
|
|
|||
Held-for-investment
|
|
|
|
|
|
|
||||||
Fair value - jumbo
|
|
581,668
|
|
|
—
|
|
|
581,668
|
|
|||
At amortized cost
|
|
—
|
|
|
1,474,386
|
|
|
1,474,386
|
|
|||
Total Residential Loans
|
|
$
|
1,924,187
|
|
|
$
|
1,474,386
|
|
|
$
|
3,398,573
|
|
(1)
|
Upon adoption of ASU 2014-13 on January 1, 2015, we began to record loans held-for-investment at consolidated Sequoia entities at fair value. See
Note 3
for further discussion.
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Principal balance
|
|
$
|
1,275,609
|
|
|
$
|
1,483,213
|
|
Unamortized premium, net
|
|
—
|
|
|
12,511
|
|
||
Allowance for loan losses
|
|
—
|
|
|
(21,338
|
)
|
||
Valuation adjustment
|
|
(105,363
|
)
|
|
—
|
|
||
Carrying value
|
|
$
|
1,170,246
|
|
|
$
|
1,474,386
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Held-for-sale, at fair value
|
|
$
|
80,756
|
|
|
$
|
166,234
|
|
Held-for-investment
|
|
|
|
|
||||
At fair value
|
|
70,096
|
|
|
71,262
|
|
||
At amortized cost
|
|
317,305
|
|
|
329,431
|
|
||
Total Commercial Loans
|
|
$
|
468,157
|
|
|
$
|
566,927
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Principal balance
|
|
$
|
328,925
|
|
|
$
|
341,750
|
|
Unamortized discount, net
|
|
(4,279
|
)
|
|
(4,862
|
)
|
||
Recorded investment
|
|
324,646
|
|
|
336,888
|
|
||
Allowance for loan losses
|
|
(7,341
|
)
|
|
(7,457
|
)
|
||
Carrying Value
|
|
$
|
317,305
|
|
|
$
|
329,431
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Pass
|
|
$
|
303,462
|
|
|
$
|
316,122
|
|
Watch list
|
|
25,463
|
|
|
25,628
|
|
||
Total Commercial Loans Held-for-Investment
|
|
$
|
328,925
|
|
|
$
|
341,750
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Balance at beginning of period
|
|
$
|
7,401
|
|
|
$
|
8,317
|
|
|
$
|
7,456
|
|
|
$
|
7,373
|
|
Charge-offs, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
(Reversal of) provision for loan losses
|
|
(60
|
)
|
|
(888
|
)
|
|
(115
|
)
|
|
56
|
|
||||
Balance at End of Period
|
|
$
|
7,341
|
|
|
$
|
7,429
|
|
|
$
|
7,341
|
|
|
$
|
7,429
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Principal balance
|
|
$
|
328,925
|
|
|
$
|
341,750
|
|
Recorded investment
|
|
324,646
|
|
|
336,888
|
|
||
Related allowance
|
|
7,341
|
|
|
7,457
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Trading
|
|
$
|
114,211
|
|
|
$
|
111,606
|
|
Available-for-sale
|
|
971,013
|
|
|
1,267,624
|
|
||
Total Real Estate Securities
|
|
$
|
1,085,224
|
|
|
$
|
1,379,230
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Senior Securities
|
|
|
|
|
||||
Prime
|
|
$
|
51,308
|
|
|
$
|
93,802
|
|
Non-prime
|
|
6,514
|
|
|
7,951
|
|
||
Total Senior Securities
|
|
57,822
|
|
|
101,753
|
|
||
Subordinate Securities
|
|
|
|
|
||||
Prime mezzanine
|
|
38,750
|
|
|
—
|
|
||
Prime subordinate
|
|
17,639
|
|
|
9,853
|
|
||
Total Subordinate Securities
|
|
56,389
|
|
|
9,853
|
|
||
Total Trading Securities
|
|
$
|
114,211
|
|
|
$
|
111,606
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Senior Securities
|
|
|
|
|
||||
Prime
|
|
$
|
251,273
|
|
|
$
|
307,813
|
|
Non-prime
|
|
158,040
|
|
|
179,744
|
|
||
Total Senior Securities
|
|
409,313
|
|
|
487,557
|
|
||
Re-REMIC Securities
|
|
167,639
|
|
|
168,347
|
|
||
Subordinate Securities
|
|
|
|
|
||||
Prime mezzanine
(1)
|
|
233,458
|
|
|
448,838
|
|
||
Prime subordinate
(2)
|
|
160,603
|
|
|
162,882
|
|
||
Total Subordinate Securities
|
|
394,061
|
|
|
611,720
|
|
||
Total AFS Securities
|
|
$
|
971,013
|
|
|
$
|
1,267,624
|
|
September 30, 2015
|
|
Senior
|
|
|
|
|
|
|
||||||||||||
(In Thousands)
|
|
Prime
|
|
Non-prime
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||||
Principal balance
|
|
$
|
257,526
|
|
|
$
|
174,285
|
|
|
$
|
192,215
|
|
|
$
|
490,891
|
|
|
$
|
1,114,917
|
|
Credit reserve
|
|
(2,377
|
)
|
|
(8,964
|
)
|
|
(11,135
|
)
|
|
(32,865
|
)
|
|
(55,341
|
)
|
|||||
Unamortized discount, net
|
|
(27,476
|
)
|
|
(25,505
|
)
|
|
(74,377
|
)
|
|
(134,371
|
)
|
|
(261,729
|
)
|
|||||
Amortized cost
|
|
227,673
|
|
|
139,816
|
|
|
106,703
|
|
|
323,655
|
|
|
797,847
|
|
|||||
Gross unrealized gains
|
|
26,899
|
|
|
18,515
|
|
|
60,936
|
|
|
71,226
|
|
|
177,576
|
|
|||||
Gross unrealized losses
|
|
(3,299
|
)
|
|
(291
|
)
|
|
—
|
|
|
(820
|
)
|
|
(4,410
|
)
|
|||||
Carrying Value
|
|
$
|
251,273
|
|
|
$
|
158,040
|
|
|
$
|
167,639
|
|
|
$
|
394,061
|
|
|
$
|
971,013
|
|
December 31, 2014
|
|
Senior
|
|
|
|
|
|
|
||||||||||||
(In Thousands)
|
|
Prime
|
|
Non-prime
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||||
Principal balance
|
|
$
|
311,573
|
|
|
$
|
196,258
|
|
|
$
|
195,098
|
|
|
$
|
742,150
|
|
|
$
|
1,445,079
|
|
Credit reserve
|
|
(3,660
|
)
|
|
(9,644
|
)
|
|
(15,202
|
)
|
|
(41,561
|
)
|
|
(70,067
|
)
|
|||||
Unamortized discount, net
|
|
(34,782
|
)
|
|
(31,491
|
)
|
|
(79,611
|
)
|
|
(150,458
|
)
|
|
(296,342
|
)
|
|||||
Amortized cost
|
|
273,131
|
|
|
155,123
|
|
|
100,285
|
|
|
550,131
|
|
|
1,078,670
|
|
|||||
Gross unrealized gains
|
|
35,980
|
|
|
24,682
|
|
|
68,062
|
|
|
63,026
|
|
|
191,750
|
|
|||||
Gross unrealized losses
|
|
(1,298
|
)
|
|
(61
|
)
|
|
—
|
|
|
(1,437
|
)
|
|
(2,796
|
)
|
|||||
Carrying Value
|
|
$
|
307,813
|
|
|
$
|
179,744
|
|
|
$
|
168,347
|
|
|
$
|
611,720
|
|
|
$
|
1,267,624
|
|
|
|
Three Months Ended September 30, 2015
|
|
Nine Months Ended September 30, 2015
|
||||||||||||
|
|
Credit
Reserve
|
|
Unamortized
Discount, Net
|
|
Credit
Reserve |
|
Unamortized
Discount, Net |
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Beginning balance
|
|
$
|
61,700
|
|
|
$
|
273,119
|
|
|
$
|
70,067
|
|
|
$
|
296,342
|
|
Amortization of net discount
|
|
—
|
|
|
(9,115
|
)
|
|
—
|
|
|
(28,277
|
)
|
||||
Realized credit losses
|
|
(1,706
|
)
|
|
—
|
|
|
(7,420
|
)
|
|
—
|
|
||||
Acquisitions
|
|
—
|
|
|
—
|
|
|
858
|
|
|
5,705
|
|
||||
Sales, calls, other
|
|
(1,632
|
)
|
|
(5,522
|
)
|
|
(1,632
|
)
|
|
(18,799
|
)
|
||||
Impairments
|
|
—
|
|
|
226
|
|
|
—
|
|
|
226
|
|
||||
Transfers to (release of) credit reserves, net
|
|
(3,021
|
)
|
|
3,021
|
|
|
(6,532
|
)
|
|
6,532
|
|
||||
Ending Balance
|
|
$
|
55,341
|
|
|
$
|
261,729
|
|
|
$
|
55,341
|
|
|
$
|
261,729
|
|
|
|
Less Than 12 Consecutive Months
|
|
12 Consecutive Months or Longer
|
||||||||||||||||||||
|
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair
Value |
||||||||||||
(In Thousands)
|
|
|
|
|
|
|
||||||||||||||||||
September 30, 2015
|
|
$
|
87,796
|
|
|
$
|
(2,090
|
)
|
|
$
|
85,706
|
|
|
$
|
82,383
|
|
|
$
|
(2,320
|
)
|
|
$
|
80,063
|
|
December 31, 2014
|
|
126,681
|
|
|
(1,374
|
)
|
|
125,307
|
|
|
70,676
|
|
|
(1,422
|
)
|
|
69,254
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Balance at beginning of period
|
|
$
|
32,696
|
|
|
$
|
34,256
|
|
|
$
|
33,849
|
|
|
$
|
37,149
|
|
Additions
|
|
|
|
|
|
|
|
|
||||||||
Initial credit impairments
|
|
226
|
|
|
—
|
|
|
226
|
|
|
261
|
|
||||
Subsequent credit impairments
|
|
—
|
|
|
—
|
|
|
—
|
|
|
70
|
|
||||
Reductions
|
|
|
|
|
|
|
|
|
||||||||
Securities sold, or expected to sell
|
|
—
|
|
|
(18
|
)
|
|
(348
|
)
|
|
(922
|
)
|
||||
Securities with no outstanding principal at period end
|
|
(446
|
)
|
|
—
|
|
|
(1,251
|
)
|
|
(2,320
|
)
|
||||
Balance at End of Period
|
|
$
|
32,476
|
|
|
$
|
34,238
|
|
|
$
|
32,476
|
|
|
$
|
34,238
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Gross realized gains - sales
|
|
$
|
4,053
|
|
|
$
|
10,227
|
|
|
$
|
14,315
|
|
|
$
|
11,219
|
|
Gross realized gains - calls
|
|
1,607
|
|
|
462
|
|
|
1,967
|
|
|
1,449
|
|
||||
Gross realized losses - sales
|
|
—
|
|
|
(2,713
|
)
|
|
—
|
|
|
(2,713
|
)
|
||||
Gross realized losses - calls
|
|
(112
|
)
|
|
—
|
|
|
(112
|
)
|
|
—
|
|
||||
Total Realized Gains on Sales and Calls of AFS Securities, net
|
|
$
|
5,548
|
|
|
$
|
7,976
|
|
|
$
|
16,170
|
|
|
$
|
9,955
|
|
|
|
September 30, 2015
|
|
December 31, 2014
|
||||||||||||
(In Thousands)
|
|
MSR Fair Value
|
|
Associated Principal
|
|
MSR Fair Value
|
|
Associated Principal
|
||||||||
Mortgage Servicing Rights
|
|
|
|
|
|
|
|
|
||||||||
Conforming Loans
|
|
$
|
108,593
|
|
|
$
|
10,790,874
|
|
|
$
|
81,301
|
|
|
$
|
7,705,146
|
|
Jumbo Loans
|
|
54,133
|
|
|
5,943,725
|
|
|
57,992
|
|
|
5,962,784
|
|
||||
Total Mortgage Servicing Rights
|
|
$
|
162,726
|
|
|
$
|
16,734,599
|
|
|
$
|
139,293
|
|
|
$
|
13,667,930
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Balance at beginning of period
|
|
$
|
168,462
|
|
|
$
|
71,225
|
|
|
$
|
139,293
|
|
|
$
|
64,824
|
|
Additions
|
|
22,760
|
|
|
61,606
|
|
|
73,976
|
|
|
76,272
|
|
||||
Sales
|
|
—
|
|
|
—
|
|
|
(18,206
|
)
|
|
—
|
|
||||
Changes in fair value due to:
|
|
|
|
|
|
|
|
|
||||||||
Changes in assumptions
(1)
|
|
(23,786
|
)
|
|
4,323
|
|
|
(18,653
|
)
|
|
(318
|
)
|
||||
Other changes
(2)
|
|
(4,710
|
)
|
|
(2,002
|
)
|
|
(13,684
|
)
|
|
(5,626
|
)
|
||||
Balance at End of Period
|
|
$
|
162,726
|
|
|
$
|
135,152
|
|
|
$
|
162,726
|
|
|
$
|
135,152
|
|
(1)
|
Primarily reflects changes in prepayment assumptions due to changes in market interest rates.
|
(2)
|
Represents changes due to realization of expected cash flows.
|
(In Thousands)
|
|
Three Months Ended September 30, 2015
|
|
Nine Months Ended September 30, 2015
|
||||||||||||
|
|
MSR Fair Value
|
|
Associated Principal
|
|
MSR Fair Value
|
|
Associated Principal
|
||||||||
Jumbo MSR additions:
|
|
|
|
|
|
|
|
|
||||||||
From securitization
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7,874
|
|
|
$
|
835,254
|
|
From loan sales
|
|
237
|
|
|
21,775
|
|
|
501
|
|
|
48,042
|
|
||||
Total jumbo MSR additions
|
|
237
|
|
|
21,775
|
|
|
8,375
|
|
|
883,296
|
|
||||
Conforming MSR additions:
|
|
|
|
|
|
|
|
|
||||||||
From loan sales
|
|
$
|
15,201
|
|
|
$
|
1,384,126
|
|
|
$
|
43,901
|
|
|
$
|
4,085,655
|
|
From purchases
|
|
7,322
|
|
|
728,370
|
|
|
21,700
|
|
|
2,072,284
|
|
||||
Total conforming MSR additions
|
|
22,523
|
|
|
2,112,496
|
|
|
65,601
|
|
|
6,157,939
|
|
||||
Total MSR Additions
|
|
$
|
22,760
|
|
|
$
|
2,134,271
|
|
|
$
|
73,976
|
|
|
$
|
7,041,235
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Servicing income
|
|
|
|
|
|
|
|
|
||||||||
Income
|
|
$
|
10,028
|
|
|
$
|
4,590
|
|
|
$
|
28,199
|
|
|
$
|
12,287
|
|
Cost of sub-servicer
|
|
(1,313
|
)
|
|
(437
|
)
|
|
(3,704
|
)
|
|
(1,040
|
)
|
||||
Net servicing income
|
|
8,715
|
|
|
4,153
|
|
|
24,495
|
|
|
11,247
|
|
||||
Market valuation changes of MSRs
|
|
(28,496
|
)
|
|
2,321
|
|
|
(32,337
|
)
|
|
(5,944
|
)
|
||||
Market valuation changes of associated derivatives
(1)
|
|
23,551
|
|
|
—
|
|
|
1,736
|
|
|
—
|
|
||||
MSR provision for repurchases
|
|
(221
|
)
|
|
(653
|
)
|
|
(439
|
)
|
|
(653
|
)
|
||||
MSR Income (Loss), Net
|
|
$
|
3,549
|
|
|
$
|
5,821
|
|
|
$
|
(6,545
|
)
|
|
$
|
4,650
|
|
(1)
|
In the second quarter of 2015, we began to identify specific derivatives used to hedge the exposure of our MSRs to changes in market interest rates. See
Note 2
for additional detail.
|
|
|
September 30, 2015
|
|
December 31, 2014
|
||||||||||||
|
|
Fair
Value
|
|
Notional
Amount
|
|
Fair
Value
|
|
Notional
Amount
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Assets - Risk Management Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
4,351
|
|
|
$
|
475,000
|
|
|
$
|
—
|
|
|
$
|
—
|
|
TBAs
|
|
8,910
|
|
|
1,460,500
|
|
|
6,654
|
|
|
1,074,000
|
|
||||
Swaptions
|
|
12,437
|
|
|
925,000
|
|
|
7,006
|
|
|
575,000
|
|
||||
Credit default index swaps
|
|
2,792
|
|
|
50,000
|
|
|
1,597
|
|
|
50,000
|
|
||||
Assets - Other Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
10,133
|
|
|
1,338,694
|
|
|
1,160
|
|
|
288,467
|
|
||||
Total Assets
|
|
$
|
38,623
|
|
|
$
|
4,249,194
|
|
|
$
|
16,417
|
|
|
$
|
1,987,467
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities - Cash Flow Hedges
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
(51,853
|
)
|
|
$
|
139,500
|
|
|
$
|
(46,845
|
)
|
|
$
|
139,500
|
|
Liabilities - Risk Management Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
(20,562
|
)
|
|
1,009,500
|
|
|
(1,328
|
)
|
|
206,000
|
|
||||
TBAs
|
|
(14,994
|
)
|
|
1,915,000
|
|
|
(9,506
|
)
|
|
1,110,000
|
|
||||
Futures
|
|
(188
|
)
|
|
36,000
|
|
|
(372
|
)
|
|
90,000
|
|
||||
Liabilities - Other Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
(447
|
)
|
|
189,289
|
|
|
(41
|
)
|
|
27,324
|
|
||||
Loan forward sale commitments
|
|
—
|
|
|
—
|
|
|
(239
|
)
|
|
102,793
|
|
||||
Total Liabilities
|
|
$
|
(88,044
|
)
|
|
$
|
3,289,289
|
|
|
$
|
(58,331
|
)
|
|
$
|
1,675,617
|
|
Total Derivative Financial Instruments, Net
|
|
$
|
(49,421
|
)
|
|
$
|
7,538,483
|
|
|
$
|
(41,914
|
)
|
|
$
|
3,663,084
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Net interest expense on cash flows hedges
|
|
$
|
(1,466
|
)
|
|
$
|
(1,487
|
)
|
|
$
|
(4,425
|
)
|
|
$
|
(4,465
|
)
|
Realized expense due to ineffective portion of cash flow hedges
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Realized net losses reclassified from other comprehensive income
|
|
(19
|
)
|
|
(32
|
)
|
|
(77
|
)
|
|
(131
|
)
|
||||
Total Interest Expense
|
|
$
|
(1,485
|
)
|
|
$
|
(1,519
|
)
|
|
$
|
(4,502
|
)
|
|
$
|
(4,596
|
)
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Margin receivable
|
|
$
|
97,685
|
|
|
$
|
65,374
|
|
FHLBC stock
|
|
30,001
|
|
|
10,688
|
|
||
Pledged collateral
|
|
28,482
|
|
|
9,927
|
|
||
Investment receivable
|
|
11,977
|
|
|
1,103
|
|
||
Income tax receivables
|
|
10,879
|
|
|
175
|
|
||
Guarantee asset
|
|
5,120
|
|
|
7,201
|
|
||
Fixed assets and leasehold improvements
(1)
|
|
5,070
|
|
|
3,008
|
|
||
REO
|
|
3,902
|
|
|
4,391
|
|
||
Prepaid expenses
|
|
3,502
|
|
|
3,372
|
|
||
Deposits
|
|
—
|
|
|
5,000
|
|
||
Other
|
|
4,978
|
|
|
3,657
|
|
||
Total Other Assets
|
|
$
|
201,596
|
|
|
$
|
113,896
|
|
(1)
|
Fixed assets and leasehold improvements have a basis of
$6 million
and accumulated depreciation of
$1 million
at
September 30, 2015
.
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Accrued compensation
|
|
$
|
15,687
|
|
|
$
|
19,273
|
|
Margin payable
|
|
20,529
|
|
|
6,455
|
|
||
Guarantee obligations
|
|
13,394
|
|
|
7,201
|
|
||
Current accounts payable
|
|
8,341
|
|
|
2,112
|
|
||
Residential loan and MSR repurchase reserve
|
|
5,768
|
|
|
3,724
|
|
||
Accrued operating expenses
|
|
3,508
|
|
|
3,334
|
|
||
Legal reserve
|
|
2,000
|
|
|
2,000
|
|
||
Unsettled trades
|
|
1,355
|
|
|
—
|
|
||
Income tax payable
|
|
594
|
|
|
—
|
|
||
Other
|
|
4,792
|
|
|
8,145
|
|
||
Total Other Liabilities
|
|
$
|
75,968
|
|
|
$
|
52,244
|
|
|
|
September 30, 2015
|
||||||||||||||||
(Dollars in Thousands)
|
|
Number of Facilities
|
|
Outstanding
|
|
Limit
|
|
Weighted Average Interest Rate
|
|
Maturity
|
|
Weighted Average Days Until Maturity
|
||||||
Collateral Type
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Held-for-sale residential loans
|
|
4
|
|
|
$
|
1,161,202
|
|
|
$
|
1,550,000
|
|
|
1.73
|
%
|
|
12/2015-6/2016
|
|
147
|
Held-for-investment residential loans
(1)
|
|
1
|
|
|
125,689
|
|
|
—
|
|
|
0.19
|
%
|
|
7/2016-9/2016
|
|
286
|
||
Commercial loans
|
|
3
|
|
|
110,408
|
|
|
450,000
|
|
|
3.59
|
%
|
|
11/2015-9/2016
|
|
225
|
||
Real estate securities
|
|
8
|
|
|
475,494
|
|
|
—
|
|
|
1.44
|
%
|
|
10/2015-12/2015
|
|
18
|
||
Total
|
|
16
|
|
|
$
|
1,872,793
|
|
|
|
|
1.67
|
%
|
|
|
|
128
|
(1)
|
Amount represents the portion of our borrowings from the FHLBC that were due within 12 months as of September 30, 2015. See
Note 14
for additional information on our FHLB-member subsidiary's borrowing agreement with the FHLBC.
|
|
|
December 31, 2014
|
||||||||||||||||
(Dollars in Thousands)
|
|
Number of Facilities
|
|
Outstanding
|
|
Limit
|
|
Weighted Average Interest Rate
|
|
Maturity
|
|
Weighted Average Days Until Maturity
|
||||||
Collateral Type
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Held-for-sale residential loans
|
|
5
|
|
|
$
|
1,076,188
|
|
|
$
|
1,550,000
|
|
|
1.74
|
%
|
|
2/2015-12/2015
|
|
156
|
Commercial loans
|
|
3
|
|
|
109,128
|
|
|
400,000
|
|
|
3.66
|
%
|
|
4/2015-10/2016
|
|
185
|
||
Real estate securities
|
|
9
|
|
|
608,509
|
|
|
—
|
|
|
1.38
|
%
|
|
1/2015-3/2015
|
|
20
|
||
Total
|
|
17
|
|
|
$
|
1,793,825
|
|
|
|
|
1.73
|
%
|
|
|
|
112
|
|
|
September 30, 2015
|
||||||||||||||
(In Thousands)
|
|
Within 30 days
|
|
31 to 90 days
|
|
Over 90 days
|
|
Total
|
||||||||
Collateral Type
|
|
|
|
|
|
|
|
|
||||||||
Held-for sale residential loans
|
|
$
|
—
|
|
|
$
|
465,673
|
|
|
$
|
695,529
|
|
|
$
|
1,161,202
|
|
Held-for-investment residential loans
|
|
—
|
|
|
—
|
|
|
125,689
|
|
|
125,689
|
|
||||
Commercial loans
|
|
—
|
|
|
45,741
|
|
|
64,667
|
|
|
110,408
|
|
||||
Real estate securities
|
|
433,435
|
|
|
42,059
|
|
|
—
|
|
|
475,494
|
|
||||
Total Short-Term Debt
|
|
$
|
433,435
|
|
|
$
|
553,473
|
|
|
$
|
885,885
|
|
|
$
|
1,872,793
|
|
|
|
September 30, 2015
|
||||||||||||||
(Dollars in Thousands)
|
|
Sequoia
|
|
Residential Resecuritization
|
|
Commercial Securitization
|
|
Total
|
||||||||
Certificates with principal balance
|
|
$
|
1,220,419
|
|
|
$
|
5,261
|
|
|
$
|
67,946
|
|
|
$
|
1,293,626
|
|
Interest-only certificates
|
|
4,876
|
|
|
—
|
|
|
—
|
|
|
4,876
|
|
||||
Market valuation adjustments
(1)
|
|
(119,707
|
)
|
|
—
|
|
|
—
|
|
|
(119,707
|
)
|
||||
Total ABS Issued
|
|
$
|
1,105,588
|
|
|
$
|
5,261
|
|
|
$
|
67,946
|
|
|
$
|
1,178,795
|
|
Range of weighted average interest rates, by series
|
|
0.41% to 4.39%
|
|
|
2.20
|
%
|
|
5.62
|
%
|
|
|
|||||
Stated maturities
|
|
2017 - 2041
|
|
|
2046
|
|
|
2018
|
|
|
|
|||||
Number of series
|
|
24
|
|
|
1
|
|
|
1
|
|
|
|
(1)
|
Upon adoption of ASU 2014-13 on January 1, 2015, we began to account for ABS issued by consolidated Sequoia entities at fair value. See Note 3 for additional information.
|
|
|
December 31, 2014
|
||||||||||||||
(Dollars in Thousands)
|
|
Sequoia
|
|
Residential Resecuritization
|
|
Commercial Securitization
|
|
Total
|
||||||||
Certificates with principal balance
|
|
$
|
1,427,056
|
|
|
$
|
45,044
|
|
|
$
|
83,313
|
|
|
$
|
1,555,413
|
|
Interest-only certificates
|
|
2,079
|
|
|
—
|
|
|
—
|
|
|
2,079
|
|
||||
Unamortized discount
|
|
(12,373
|
)
|
|
—
|
|
|
—
|
|
|
(12,373
|
)
|
||||
Total ABS Issued
|
|
$
|
1,416,762
|
|
|
$
|
45,044
|
|
|
$
|
83,313
|
|
|
$
|
1,545,119
|
|
Range of weighted average interest rates, by series
|
|
0.36% to 4.27%
|
|
|
2.16
|
%
|
|
5.62
|
%
|
|
|
|||||
Stated maturities
|
|
2014 - 2041
|
|
|
2046
|
|
|
2018
|
|
|
|
|||||
Number of series
|
|
24
|
|
|
1
|
|
|
1
|
|
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Sequoia
|
|
$
|
770
|
|
|
$
|
976
|
|
Residential Resecuritization
|
|
1
|
|
|
5
|
|
||
Commercial Securitization
|
|
318
|
|
|
390
|
|
||
Total Accrued Interest Payable on ABS Issued
|
|
$
|
1,089
|
|
|
$
|
1,371
|
|
|
|
September 30, 2015
|
||||||||||||||
(In Thousands)
|
|
Sequoia
|
|
Residential Resecuritization
|
|
Commercial Securitization
|
|
Total
|
||||||||
Residential loans
|
|
$
|
1,170,246
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,170,246
|
|
Commercial loans
|
|
—
|
|
|
—
|
|
|
180,394
|
|
|
180,394
|
|
||||
Real estate securities
|
|
—
|
|
|
181,253
|
|
|
—
|
|
|
181,253
|
|
||||
Restricted cash
|
|
191
|
|
|
—
|
|
|
138
|
|
|
329
|
|
||||
Accrued interest receivable
|
|
1,505
|
|
|
364
|
|
|
1,357
|
|
|
3,226
|
|
||||
REO
|
|
3,902
|
|
|
—
|
|
|
—
|
|
|
3,902
|
|
||||
Total Collateral for ABS Issued
|
|
$
|
1,175,844
|
|
|
$
|
181,617
|
|
|
$
|
181,889
|
|
|
$
|
1,539,350
|
|
|
|
December 31, 2014
|
||||||||||||||
(In Thousands)
|
|
Sequoia
|
|
Residential Resecuritization
|
|
Commercial Securitization
|
|
Total
|
||||||||
Residential loans
|
|
$
|
1,474,386
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,474,386
|
|
Commercial loans
|
|
—
|
|
|
—
|
|
|
194,991
|
|
|
194,991
|
|
||||
Real estate securities
|
|
—
|
|
|
221,676
|
|
|
—
|
|
|
221,676
|
|
||||
Restricted cash
|
|
147
|
|
|
43
|
|
|
137
|
|
|
327
|
|
||||
Accrued interest receivable
|
|
2,359
|
|
|
477
|
|
|
1,511
|
|
|
4,347
|
|
||||
REO
|
|
4,391
|
|
|
—
|
|
|
—
|
|
|
4,391
|
|
||||
Total Collateral for ABS Issued
|
|
$
|
1,481,283
|
|
|
$
|
222,196
|
|
|
$
|
196,639
|
|
|
$
|
1,900,118
|
|
(In Thousands)
|
|
September 30, 2015
|
||
2015 (3 months)
|
|
$
|
699
|
|
2016
|
|
2,838
|
|
|
2017
|
|
2,879
|
|
|
2018
|
|
1,827
|
|
|
2019
|
|
1,189
|
|
|
2020 and thereafter
|
|
1,495
|
|
|
Total Lease Commitments
|
|
$
|
10,927
|
|
|
|
Three Months Ended September 30, 2015
|
|
Three Months Ended September 30, 2014
|
||||||||||||
(In Thousands)
|
|
Net Unrealized Gains on Available-for-Sale Securities
|
|
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges
|
|
Net Unrealized Gains on Available-for-Sale Securities
|
|
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges
|
||||||||
Balance at beginning of period
|
|
$
|
179,659
|
|
|
$
|
(38,965
|
)
|
|
$
|
197,542
|
|
|
$
|
(29,985
|
)
|
Other comprehensive income (loss)
before reclassifications
|
|
(5,673
|
)
|
|
(12,049
|
)
|
|
1,849
|
|
|
(3,258
|
)
|
||||
Amounts reclassified from other
accumulated comprehensive income
|
|
(3,270
|
)
|
|
19
|
|
|
(6,409
|
)
|
|
32
|
|
||||
Net current-period other comprehensive loss
|
|
(8,943
|
)
|
|
(12,030
|
)
|
|
(4,560
|
)
|
|
(3,226
|
)
|
||||
Balance at End of Period
|
|
$
|
170,716
|
|
|
$
|
(50,995
|
)
|
|
$
|
192,982
|
|
|
$
|
(33,211
|
)
|
|
|
Nine Months Ended September 30, 2015
|
|
Nine Months Ended September 30, 2014
|
||||||||||||
(In Thousands)
|
|
Net Unrealized Gains on Available-for-Sale Securities
|
|
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges
|
|
Net Unrealized Gains on Available-for-Sale Securities
|
|
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges
|
||||||||
Balance at beginning of period
|
|
$
|
186,737
|
|
|
$
|
(46,049
|
)
|
|
$
|
164,654
|
|
|
$
|
(15,888
|
)
|
Other comprehensive income (loss)
before reclassifications |
|
(5,701
|
)
|
|
(5,023
|
)
|
|
35,078
|
|
|
(17,454
|
)
|
||||
Amounts reclassified from other
accumulated comprehensive income |
|
(10,320
|
)
|
|
77
|
|
|
(6,750
|
)
|
|
131
|
|
||||
Net current-period other comprehensive income (loss)
|
|
(16,021
|
)
|
|
(4,946
|
)
|
|
28,328
|
|
|
(17,323
|
)
|
||||
Balance at End of Period
|
|
$
|
170,716
|
|
|
$
|
(50,995
|
)
|
|
$
|
192,982
|
|
|
$
|
(33,211
|
)
|
|
|
|
|
Amount Reclassified From Accumulated Other Comprehensive Income
|
||||||
|
|
Affected Line Item in the
|
|
Three Months Ended September 30,
|
||||||
(In Thousands)
|
|
Income Statement
|
|
2015
|
|
2014
|
||||
Net realized (gain) loss on AFS securities
|
|
|
|
|
|
|
||||
Other than temporary impairment
(1)
|
|
Mortgage banking and investment activities, net
|
|
$
|
198
|
|
|
$
|
188
|
|
Gain on sale of AFS securities
|
|
Realized gains, net
|
|
(3,468
|
)
|
|
(6,597
|
)
|
||
|
|
|
|
$
|
(3,270
|
)
|
|
$
|
(6,409
|
)
|
Net realized loss on interest rate
agreements designated as cash flow hedges |
|
|
|
|
|
|
||||
Amortization of deferred loss
|
|
Interest expense
|
|
$
|
19
|
|
|
$
|
32
|
|
|
|
|
|
$
|
19
|
|
|
$
|
32
|
|
|
|
|
|
Amount Reclassified From Accumulated Other Comprehensive Income
|
||||||
|
|
Affected Line Item in the
|
|
Nine Months Ended September 30,
|
||||||
(In Thousands)
|
|
Income Statement
|
|
2015
|
|
2014
|
||||
Net realized (gain) loss on AFS securities
|
|
|
|
|
|
|
||||
Other than temporary impairment
(1)
|
|
Mortgage banking and investment activities, net
|
|
$
|
198
|
|
|
$
|
565
|
|
Gain on sale of AFS securities
|
|
Realized gains, net
|
|
(10,518
|
)
|
|
(7,315
|
)
|
||
|
|
|
|
$
|
(10,320
|
)
|
|
$
|
(6,750
|
)
|
Net realized loss on interest rate
agreements designated as cash flow hedges |
|
|
|
|
|
|
||||
Amortization of deferred loss
|
|
Interest expense
|
|
$
|
77
|
|
|
$
|
131
|
|
|
|
|
|
$
|
77
|
|
|
$
|
131
|
|
(1)
|
For both the three and
nine months ended September 30, 2015
, other-than-temporary impairments were
$257
, of which
$198
were recognized through the Income Statement and
$59
were recognized in Accumulated Other Comprehensive Income. For the
three months ended September 30, 2014
, other-than-temporary impairments were
$188
, all of which were recognized through the Income Statement.
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands, Except Share Data)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Basic Earnings Per Common Share:
|
|
|
|
|
|
|
|
|
||||||||
Net income attributable to Redwood
|
|
$
|
19,164
|
|
|
$
|
45,097
|
|
|
$
|
61,029
|
|
|
$
|
73,447
|
|
Less: Dividends and undistributed earnings allocated to participating securities
|
|
(553
|
)
|
|
(1,054
|
)
|
|
(1,928
|
)
|
|
(1,819
|
)
|
||||
Net income allocated to common shareholders
|
|
$
|
18,611
|
|
|
$
|
44,043
|
|
|
$
|
59,101
|
|
|
$
|
71,628
|
|
Basic weighted average common shares outstanding
|
|
83,787,533
|
|
|
83,017,534
|
|
|
83,696,461
|
|
|
82,722,079
|
|
||||
Basic Earnings Per Common Share
|
|
$
|
0.22
|
|
|
$
|
0.53
|
|
|
$
|
0.71
|
|
|
$
|
0.87
|
|
Diluted Earnings Per Common Share:
|
|
|
|
|
|
|
|
|
||||||||
Net income attributable to Redwood
|
|
$
|
19,164
|
|
|
$
|
45,097
|
|
|
$
|
61,029
|
|
|
$
|
73,447
|
|
Less: Dividends and undistributed earnings allocated to participating securities
|
|
(553
|
)
|
|
(756
|
)
|
|
(1,928
|
)
|
|
(1,784
|
)
|
||||
Add back: Interest expense on convertible notes for the period, net of tax
|
|
—
|
|
|
3,855
|
|
|
—
|
|
|
—
|
|
||||
Net income allocated to common shareholders
|
|
$
|
18,611
|
|
|
$
|
48,196
|
|
|
$
|
59,101
|
|
|
$
|
71,663
|
|
Weighted average common shares outstanding
|
|
83,787,533
|
|
|
83,017,534
|
|
|
83,696,461
|
|
|
82,722,079
|
|
||||
Net effect of dilutive equity awards
|
|
1,287,171
|
|
|
2,113,248
|
|
|
1,642,535
|
|
|
2,309,051
|
|
||||
Net effect of assumed convertible notes conversion to common shares
|
|
—
|
|
|
11,825,450
|
|
|
—
|
|
|
—
|
|
||||
Diluted weighted average common shares outstanding
|
|
85,074,704
|
|
|
96,956,232
|
|
|
85,338,996
|
|
|
85,031,130
|
|
||||
Diluted Earnings Per Common Share
|
|
$
|
0.22
|
|
|
$
|
0.50
|
|
|
$
|
0.69
|
|
|
$
|
0.84
|
|
|
|
Nine Months Ended September 30, 2015
|
||||||||||||||||||
(In Thousands)
|
|
Restricted Stock
|
|
Deferred Stock Units
|
|
Performance Stock Units
|
|
Employee Stock Purchase Plan
|
|
Total
|
||||||||||
Unrecognized compensation cost at beginning of period
|
|
$
|
1,091
|
|
|
$
|
12,304
|
|
|
$
|
6,874
|
|
|
$
|
—
|
|
|
$
|
20,269
|
|
Equity grants
|
|
2,758
|
|
|
5,997
|
|
|
—
|
|
|
236
|
|
|
8,991
|
|
|||||
Equity grant forfeitures
|
|
(387
|
)
|
|
(169
|
)
|
|
—
|
|
|
—
|
|
|
(556
|
)
|
|||||
Equity compensation expense
|
|
(813
|
)
|
|
(5,561
|
)
|
|
(2,563
|
)
|
|
(175
|
)
|
|
(9,112
|
)
|
|||||
Unrecognized Compensation Cost at End of Period
|
|
$
|
2,649
|
|
|
$
|
12,571
|
|
|
$
|
4,311
|
|
|
$
|
61
|
|
|
$
|
19,592
|
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Residential mortgage banking activities, net:
|
|
|
|
|
|
|
|
|
||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, at fair value
(1)
|
|
$
|
36,183
|
|
|
$
|
15,976
|
|
|
$
|
54,375
|
|
|
$
|
40,685
|
|
Real estate securities
(2)
|
|
—
|
|
|
(1,332
|
)
|
|
(14,359
|
)
|
|
(14,419
|
)
|
||||
Risk management derivatives
(3)
|
|
(35,346
|
)
|
|
(4,297
|
)
|
|
(36,962
|
)
|
|
(16,433
|
)
|
||||
Hedging allocation
(2)
|
|
(1,683
|
)
|
|
—
|
|
|
1,120
|
|
|
—
|
|
||||
Other income, net
(4)
|
|
1,177
|
|
|
1,082
|
|
|
3,209
|
|
|
1,871
|
|
||||
Total residential mortgage banking activities, net:
|
|
331
|
|
|
11,429
|
|
|
7,383
|
|
|
11,704
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Commercial mortgage banking activities, net:
|
|
|
|
|
|
|
|
|
||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
||||||||
Commercial loans, at fair value
|
|
3,974
|
|
|
4,305
|
|
|
10,819
|
|
|
13,644
|
|
||||
Risk management derivatives
(3)
|
|
(3,081
|
)
|
|
1,892
|
|
|
(7,832
|
)
|
|
(1,726
|
)
|
||||
Other
fee income
|
|
109
|
|
|
289
|
|
|
336
|
|
|
382
|
|
||||
Total commercial mortgage banking activities, net:
|
|
1,002
|
|
|
6,486
|
|
|
3,323
|
|
|
12,300
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Investment activities, net
|
|
|
|
|
|
|
|
|
||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
||||||||
Residential loans held-for-investment, at Redwood
|
|
9,077
|
|
|
(991
|
)
|
|
5,170
|
|
|
(991
|
)
|
||||
Real estate securities
|
|
(9,010
|
)
|
|
(765
|
)
|
|
(1,813
|
)
|
|
(1,218
|
)
|
||||
Net investments in consolidated Sequoia entities
|
|
(500
|
)
|
|
(361
|
)
|
|
(2,277
|
)
|
|
(825
|
)
|
||||
Risk sharing investments
|
|
(1,098
|
)
|
|
—
|
|
|
(1,799
|
)
|
|
—
|
|
||||
Risk management derivatives
|
|
(14,321
|
)
|
|
(1,632
|
)
|
|
(15,266
|
)
|
|
(10,986
|
)
|
||||
Hedging allocation
(2)
|
|
1,683
|
|
|
—
|
|
|
(1,120
|
)
|
|
—
|
|
||||
Total investment activities:
|
|
(14,169
|
)
|
|
(3,749
|
)
|
|
(17,105
|
)
|
|
(14,020
|
)
|
||||
Mortgage banking and investment activities, net
|
|
$
|
(12,836
|
)
|
|
$
|
14,166
|
|
|
$
|
(6,399
|
)
|
|
$
|
9,984
|
|
(1)
|
Includes changes in fair value for associated loan purchase and forward sale commitments.
|
(2)
|
In the second quarter of 2015, we transferred securities previously utilized as hedges for our mortgage banking segment to our residential investments segment and began to record a hedging allocation between our business segments. See
Note 21
for further discussion.
|
(3)
|
Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential and commercial loans.
|
(4)
|
Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net.
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Fixed compensation expense
|
|
$
|
8,642
|
|
|
$
|
7,445
|
|
|
$
|
27,083
|
|
|
$
|
21,109
|
|
Variable compensation expense
|
|
3,567
|
|
|
2,422
|
|
|
11,135
|
|
|
8,396
|
|
||||
Equity compensation expense
|
|
2,835
|
|
|
2,261
|
|
|
9,112
|
|
|
7,415
|
|
||||
Total compensation expense
|
|
15,044
|
|
|
12,128
|
|
|
47,330
|
|
|
36,920
|
|
||||
Systems and consulting
|
|
2,355
|
|
|
3,463
|
|
|
6,718
|
|
|
10,906
|
|
||||
Loan acquisition costs
(1)
|
|
2,464
|
|
|
1,789
|
|
|
5,992
|
|
|
3,606
|
|
||||
Accounting and legal
|
|
1,047
|
|
|
1,223
|
|
|
3,754
|
|
|
4,039
|
|
||||
Office costs
|
|
1,314
|
|
|
1,282
|
|
|
3,912
|
|
|
3,437
|
|
||||
Corporate costs
|
|
484
|
|
|
569
|
|
|
1,521
|
|
|
1,679
|
|
||||
Other operating expenses
|
|
1,789
|
|
|
952
|
|
|
5,551
|
|
|
3,073
|
|
||||
Total Operating Expenses
|
|
$
|
24,497
|
|
|
$
|
21,406
|
|
|
$
|
74,778
|
|
|
$
|
63,660
|
|
(1)
|
Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value.
|
|
|
September 30, 2015
|
|
September 30, 2014
|
||
Federal statutory rate
|
|
34.0
|
%
|
|
34.0
|
%
|
State statutory rate, net of Federal tax effect
|
|
7.2
|
%
|
|
7.2
|
%
|
Differences in taxable (loss) income from GAAP income
|
|
(36.5
|
)%
|
|
(10.0
|
)%
|
Change in valuation allowance
|
|
20.9
|
%
|
|
(1.0
|
)%
|
Dividends paid deduction
|
|
(45.8
|
)%
|
|
(25.4
|
)%
|
Effective Tax Rate
|
|
(20.2
|
)%
|
|
4.8
|
%
|
|
|
Three Months Ended September 30, 2015
|
||||||||||||||||||
(In Thousands)
|
|
Residential Mortgage Banking
|
|
Residential Investments
|
|
Commercial Mortgage Banking and Investments
|
|
Corporate/
Other
|
|
Total
|
||||||||||
Interest income
|
|
$
|
12,115
|
|
|
$
|
34,074
|
|
|
$
|
11,191
|
|
|
$
|
6,104
|
|
|
$
|
63,484
|
|
Interest expense
|
|
(4,313
|
)
|
|
(2,660
|
)
|
|
(3,502
|
)
|
|
(13,400
|
)
|
|
(23,875
|
)
|
|||||
Net interest income (loss)
|
|
7,802
|
|
|
31,414
|
|
|
7,689
|
|
|
(7,296
|
)
|
|
39,609
|
|
|||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
60
|
|
|
—
|
|
|
60
|
|
|||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking and investment activities, net
(1)
|
|
331
|
|
|
(13,622
|
)
|
|
1,002
|
|
|
(547
|
)
|
|
(12,836
|
)
|
|||||
MSR income (loss), net
|
|
—
|
|
|
3,549
|
|
|
—
|
|
|
—
|
|
|
3,549
|
|
|||||
Other income
|
|
—
|
|
|
327
|
|
|
—
|
|
|
—
|
|
|
327
|
|
|||||
Realized gains, net
|
|
—
|
|
|
5,548
|
|
|
—
|
|
|
—
|
|
|
5,548
|
|
|||||
Total non-interest income, net
|
|
331
|
|
|
(4,198
|
)
|
|
1,002
|
|
|
(547
|
)
|
|
(3,412
|
)
|
|||||
Direct operating expenses
|
|
(11,278
|
)
|
|
(1,311
|
)
|
|
(3,136
|
)
|
|
(8,772
|
)
|
|
(24,497
|
)
|
|||||
Benefit from income taxes
|
|
2,690
|
|
|
4,082
|
|
|
(389
|
)
|
|
1,021
|
|
|
7,404
|
|
|||||
Segment Contribution
|
|
$
|
(455
|
)
|
|
$
|
29,987
|
|
|
$
|
5,226
|
|
|
$
|
(15,594
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
|
|
$
|
19,164
|
|
||||||||
Non-cash amortization income (expense)
|
|
$
|
(45
|
)
|
|
$
|
9,115
|
|
|
$
|
(61
|
)
|
|
$
|
(1,007
|
)
|
|
$
|
8,002
|
|
Hedging allocations
(1)
|
|
(1,683
|
)
|
|
1,683
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
|
Three Months Ended September 30, 2014
|
||||||||||||||||||
(In Thousands)
|
|
Residential Mortgage Banking
|
|
Residential Investments
|
|
Commercial Mortgage Banking and Investments
|
|
Corporate/
Other
|
|
Total
|
||||||||||
Interest income
|
|
$
|
16,911
|
|
|
$
|
27,600
|
|
|
$
|
12,603
|
|
|
$
|
6,237
|
|
|
$
|
63,351
|
|
Interest expense
|
|
(4,192
|
)
|
|
(3,142
|
)
|
|
(4,526
|
)
|
|
(11,490
|
)
|
|
(23,350
|
)
|
|||||
Net interest income (loss)
|
|
12,719
|
|
|
24,458
|
|
|
8,077
|
|
|
(5,253
|
)
|
|
40,001
|
|
|||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
888
|
|
|
708
|
|
|
1,596
|
|
|||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking and investment activities, net
|
|
11,429
|
|
|
(3,371
|
)
|
|
6,486
|
|
|
(378
|
)
|
|
14,166
|
|
|||||
MSR income (loss), net
|
|
—
|
|
|
5,821
|
|
|
—
|
|
|
—
|
|
|
5,821
|
|
|||||
Other income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,600
|
|
|
1,600
|
|
|||||
Realized gains, net
|
|
—
|
|
|
7,836
|
|
|
—
|
|
|
696
|
|
|
8,532
|
|
|||||
Total non-interest income, net
|
|
11,429
|
|
|
10,286
|
|
|
6,486
|
|
|
1,918
|
|
|
30,119
|
|
|||||
Direct operating expenses
|
|
(9,982
|
)
|
|
(802
|
)
|
|
(2,279
|
)
|
|
(8,343
|
)
|
|
(21,406
|
)
|
|||||
(Provision for) benefit from income taxes
|
|
(3,352
|
)
|
|
150
|
|
|
(1,764
|
)
|
|
(247
|
)
|
|
(5,213
|
)
|
|||||
Segment Contribution
|
|
$
|
10,814
|
|
|
$
|
34,092
|
|
|
$
|
11,408
|
|
|
$
|
(11,217
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
|
|
$
|
45,097
|
|
||||||||
Non-cash amortization income (expense)
|
|
$
|
(43
|
)
|
|
$
|
10,890
|
|
|
$
|
(191
|
)
|
|
$
|
(2,049
|
)
|
|
$
|
8,607
|
|
|
|
Nine Months Ended September 30, 2015
|
||||||||||||||||||
(In Thousands)
|
|
Residential Mortgage Banking
|
|
Residential Investments
|
|
Commercial Mortgage Banking and Investments
|
|
Corporate/
Other |
|
Total
|
||||||||||
Interest income
|
|
$
|
37,886
|
|
|
$
|
98,335
|
|
|
$
|
34,784
|
|
|
$
|
19,598
|
|
|
$
|
190,603
|
|
Interest expense
|
|
(11,389
|
)
|
|
(8,137
|
)
|
|
(10,488
|
)
|
|
(40,830
|
)
|
|
(70,844
|
)
|
|||||
Net interest income (loss)
|
|
26,497
|
|
|
90,198
|
|
|
24,296
|
|
|
(21,232
|
)
|
|
119,759
|
|
|||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
115
|
|
|
—
|
|
|
115
|
|
|||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking and investment activities, net
(1)
|
|
7,383
|
|
|
(14,745
|
)
|
|
3,323
|
|
|
(2,360
|
)
|
|
(6,399
|
)
|
|||||
MSR income (loss), net
|
|
—
|
|
|
(6,545
|
)
|
|
—
|
|
|
—
|
|
|
(6,545
|
)
|
|||||
Other income
|
|
—
|
|
|
2,435
|
|
|
—
|
|
|
—
|
|
|
2,435
|
|
|||||
Realized gains, net
|
|
—
|
|
|
16,170
|
|
|
—
|
|
|
—
|
|
|
16,170
|
|
|||||
Total non-interest income, net
|
|
7,383
|
|
|
(2,685
|
)
|
|
3,323
|
|
|
(2,360
|
)
|
|
5,661
|
|
|||||
Direct operating expenses
|
|
(33,214
|
)
|
|
(3,600
|
)
|
|
(9,638
|
)
|
|
(28,326
|
)
|
|
(74,778
|
)
|
|||||
Benefit from income taxes
|
|
3,562
|
|
|
3,824
|
|
|
321
|
|
|
2,565
|
|
|
10,272
|
|
|||||
Segment Contribution
|
|
$
|
4,228
|
|
|
$
|
87,737
|
|
|
$
|
18,417
|
|
|
$
|
(49,353
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
|
|
$
|
61,029
|
|
||||||||
Non-cash amortization income (expense)
|
|
$
|
(135
|
)
|
|
$
|
28,277
|
|
|
$
|
(188
|
)
|
|
$
|
(2,984
|
)
|
|
$
|
24,970
|
|
Hedging allocations
(1)
|
|
1,120
|
|
|
(1,070
|
)
|
|
—
|
|
|
(50
|
)
|
|
—
|
|
|
|
Nine Months Ended September 30, 2014
|
||||||||||||||||||
(In Thousands)
|
|
Residential Mortgage Banking
|
|
Residential Investments
|
|
Commercial Mortgage Banking and Investments
|
|
Corporate/
Other |
|
Total
|
||||||||||
Interest income
|
|
$
|
40,015
|
|
|
$
|
83,120
|
|
|
$
|
34,204
|
|
|
$
|
19,481
|
|
|
$
|
176,820
|
|
Interest expense
|
|
(7,674
|
)
|
|
(9,106
|
)
|
|
(12,234
|
)
|
|
(34,546
|
)
|
|
(63,560
|
)
|
|||||
Net interest income (loss)
|
|
32,341
|
|
|
74,014
|
|
|
21,970
|
|
|
(15,065
|
)
|
|
113,260
|
|
|||||
Reversal of (provision for) loan losses
|
|
—
|
|
|
—
|
|
|
(56
|
)
|
|
685
|
|
|
629
|
|
|||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking and investment activities, net
|
|
11,704
|
|
|
(13,117
|
)
|
|
12,300
|
|
|
(903
|
)
|
|
9,984
|
|
|||||
MSR income (loss), net
|
|
—
|
|
|
4,650
|
|
|
—
|
|
|
—
|
|
|
4,650
|
|
|||||
Other income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,600
|
|
|
1,600
|
|
|||||
Realized gains, net
|
|
—
|
|
|
9,815
|
|
|
—
|
|
|
872
|
|
|
10,687
|
|
|||||
Total non-interest income, net
|
|
11,704
|
|
|
1,348
|
|
|
12,300
|
|
|
1,569
|
|
|
26,921
|
|
|||||
Direct operating expenses
|
|
(26,577
|
)
|
|
(2,667
|
)
|
|
(7,085
|
)
|
|
(27,330
|
)
|
|
(63,660
|
)
|
|||||
(Provision for) benefit from income taxes
|
|
(3,258
|
)
|
|
1,826
|
|
|
(2,159
|
)
|
|
(112
|
)
|
|
(3,703
|
)
|
|||||
Segment Contribution
|
|
$
|
14,210
|
|
|
$
|
74,521
|
|
|
$
|
24,970
|
|
|
$
|
(40,253
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
|
|
$
|
73,447
|
|
||||||||
Non-cash amortization income (expense)
|
|
$
|
(131
|
)
|
|
$
|
32,724
|
|
|
$
|
(579
|
)
|
|
$
|
(6,068
|
)
|
|
$
|
25,946
|
|
(1)
|
Intersegment hedging allocation presented in the tables above is included in the mortgage banking and investment activities, net line item of the segment income statements for the
three and nine
months ended
September 30, 2015
.
|
|
|
Three Months Ended September 30,
|
||||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||||
(In Thousands)
|
|
Legacy Consolidated VIEs
|
|
Other
|
|
Total
|
|
Legacy Consolidated VIEs
|
|
Other
|
|
Total
|
||||||||||||
Interest income
|
|
$
|
6,098
|
|
|
$
|
6
|
|
|
$
|
6,104
|
|
|
$
|
6,233
|
|
|
$
|
4
|
|
|
$
|
6,237
|
|
Interest expense
|
|
(3,842
|
)
|
|
(9,558
|
)
|
|
(13,400
|
)
|
|
(5,250
|
)
|
|
(6,240
|
)
|
|
(11,490
|
)
|
||||||
Net interest income (loss)
|
|
2,256
|
|
|
(9,552
|
)
|
|
(7,296
|
)
|
|
983
|
|
|
(6,236
|
)
|
|
(5,253
|
)
|
||||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
708
|
|
|
—
|
|
|
708
|
|
||||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage banking and investment activities, net
|
|
(501
|
)
|
|
(46
|
)
|
|
(547
|
)
|
|
(361
|
)
|
|
(17
|
)
|
|
(378
|
)
|
||||||
MSR income (loss), net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,600
|
|
|
1,600
|
|
||||||
Realized gains, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
696
|
|
|
—
|
|
|
696
|
|
||||||
Total non-interest income, net
|
|
(501
|
)
|
|
(46
|
)
|
|
(547
|
)
|
|
335
|
|
|
1,583
|
|
|
1,918
|
|
||||||
Direct operating expenses
|
|
—
|
|
|
(8,772
|
)
|
|
(8,772
|
)
|
|
(26
|
)
|
|
(8,317
|
)
|
|
(8,343
|
)
|
||||||
(Provision for) benefit from income taxes
|
|
—
|
|
|
1,021
|
|
|
1,021
|
|
|
—
|
|
|
(247
|
)
|
|
(247
|
)
|
||||||
Total
|
|
$
|
1,755
|
|
|
$
|
(17,349
|
)
|
|
$
|
(15,594
|
)
|
|
$
|
2,000
|
|
|
$
|
(13,217
|
)
|
|
$
|
(11,217
|
)
|
|
|
Nine Months Ended September 30,
|
||||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||||
(In Thousands)
|
|
Legacy Consolidated VIEs
|
|
Other
|
|
Total
|
|
Legacy Consolidated VIEs
|
|
Other
|
|
Total
|
||||||||||||
Interest income
|
|
$
|
19,578
|
|
|
$
|
20
|
|
|
$
|
19,598
|
|
|
$
|
19,473
|
|
|
$
|
8
|
|
|
$
|
19,481
|
|
Interest expense
|
|
(12,372
|
)
|
|
(28,458
|
)
|
|
(40,830
|
)
|
|
(15,950
|
)
|
|
(18,596
|
)
|
|
(34,546
|
)
|
||||||
Net interest income (loss)
|
|
7,206
|
|
|
(28,438
|
)
|
|
(21,232
|
)
|
|
3,523
|
|
|
(18,588
|
)
|
|
(15,065
|
)
|
||||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
685
|
|
|
—
|
|
|
685
|
|
||||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage banking and investment activities, net
|
|
(2,277
|
)
|
|
(83
|
)
|
|
(2,360
|
)
|
|
(825
|
)
|
|
(78
|
)
|
|
(903
|
)
|
||||||
MSR income (loss), net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Other income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,600
|
|
|
1,600
|
|
||||||
Realized gains, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
872
|
|
|
—
|
|
|
872
|
|
||||||
Total non-interest income, net
|
|
(2,277
|
)
|
|
(83
|
)
|
|
(2,360
|
)
|
|
47
|
|
|
1,522
|
|
|
1,569
|
|
||||||
Direct operating expenses
|
|
—
|
|
|
(28,326
|
)
|
|
(28,326
|
)
|
|
(120
|
)
|
|
(27,210
|
)
|
|
(27,330
|
)
|
||||||
(Provision for) benefit from income taxes
|
|
—
|
|
|
2,565
|
|
|
2,565
|
|
|
—
|
|
|
(112
|
)
|
|
(112
|
)
|
||||||
Total
|
|
$
|
4,929
|
|
|
$
|
(54,282
|
)
|
|
$
|
(49,353
|
)
|
|
$
|
4,135
|
|
|
$
|
(44,388
|
)
|
|
$
|
(40,253
|
)
|
(In Thousands)
|
|
Residential Mortgage Banking
|
|
Residential Investments
|
|
Commercial Mortgage Banking and Investments
|
|
Corporate/
Other
|
|
Total
|
||||||||||
September 30, 2015
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans
|
|
$
|
1,506,151
|
|
|
$
|
1,360,277
|
|
|
$
|
—
|
|
|
$
|
1,170,246
|
|
|
$
|
4,036,674
|
|
Commercial loans
|
|
—
|
|
|
—
|
|
|
468,157
|
|
|
—
|
|
|
468,157
|
|
|||||
Real estate securities
|
|
—
|
|
|
1,085,224
|
|
|
—
|
|
|
—
|
|
|
1,085,224
|
|
|||||
Mortgage servicing rights
|
|
—
|
|
|
162,726
|
|
|
—
|
|
|
—
|
|
|
162,726
|
|
|||||
Total assets
|
|
1,563,306
|
|
|
2,723,955
|
|
|
475,924
|
|
|
1,505,841
|
|
|
6,269,026
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
December 31, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Residential loans
|
|
$
|
1,342,519
|
|
|
$
|
581,668
|
|
|
$
|
—
|
|
|
$
|
1,474,386
|
|
|
$
|
3,398,573
|
|
Commercial loans
|
|
—
|
|
|
—
|
|
|
566,927
|
|
|
—
|
|
|
566,927
|
|
|||||
Real estate securities
|
|
93,802
|
|
|
1,285,428
|
|
|
—
|
|
|
—
|
|
|
1,379,230
|
|
|||||
Mortgage servicing rights
|
|
—
|
|
|
139,293
|
|
|
—
|
|
|
—
|
|
|
139,293
|
|
|||||
Total assets
|
|
1,468,856
|
|
|
2,057,256
|
|
|
575,943
|
|
|
1,816,911
|
|
|
5,918,966
|
|
•
|
Overview
|
•
|
Results of Operations
|
•
|
Liquidity and Capital Resources
|
•
|
Off Balance Sheet Arrangements and Contractual Obligations
|
•
|
Critical Accounting Policies and Estimates
|
•
|
New Accounting Standards
|
•
|
We earned $0.22 per share for the third quarter of 2015, as compared to $0.31 per share for the second quarter of 2015. While our investment portfolio continued to exhibit strong fundamental performance, earnings declined in the third quarter due to hedging expenses for residential securities, some of which were offset through valuation gains recorded to our balance sheet, and lower pre-tax returns for our residential and commercial mortgage banking businesses.
|
•
|
Our GAAP book value was $14.69 per share at September 30, 2015, as compared to $14.96 per share at June 30, 2015. The decline was largely due to an increase in unrealized losses on derivatives hedging our long-term debt, and a decrease in unrealized gains on securities. Additionally, our third quarter dividend of $0.28 per share exceeded our GAAP earnings for the third quarter.
|
•
|
We deployed $87 million of capital in the third quarter toward new investments, including $44 million invested in loans held by our FHLB-member subsidiary, $23 million of investments in MSRs, and $13 million of investments in commercial mezzanine loans. Additionally, we deployed $35 million of capital to repurchase 2.5 million shares of Redwood common stock at an average price of $14.43 per share.
|
•
|
We purchased $2.99 billion of residential loans during the third quarter of 2015, a 5% increase from the second quarter. At September 30, 2015, our pipeline of residential loans identified for purchase was $1.53 billion and included $1.09 billion of jumbo loans and $0.44 billion of conforming loans, unadjusted for fallout expectations.
|
•
|
We sold $2.13 billion of residential loans during the third quarter, including $0.70 billion of jumbo loans to third parties, and $1.44 billion of conforming loans to the GSEs. These conforming loan sales included $915 million of loans that were sold under the risk-sharing arrangements previously established with both GSEs.
|
•
|
Residential loans held by our FHLB-member subsidiary increased by 23% during the third quarter of 2015, from $1.16 billion at June 30, 2015, to $1.42 billion at September 30, 2015.
|
•
|
We originated $168 million of senior commercial loans during the third quarter of 2015, bringing senior loan originations to $518 million through the first three quarters of 2015.
|
•
|
Our combined residential and commercial investment portfolios increased by $127 million during the third quarter to $3.00 billion at September 30, 2015, and included $1.09 billion of residential securities, $1.36 billion of residential loans held-for-investment, $163 million of MSR investments, and $387 million of commercial loans held-for-investment.
|
|
|
Three Months Ended
|
||
(In Dollars, per share basis)
|
|
September 30, 2015
|
||
Beginning book value
|
|
$
|
14.96
|
|
Net income
|
|
0.22
|
|
|
Change in unrealized gains on securities, net
|
|
|
||
Senior and subordinate securities
|
|
(0.13
|
)
|
|
Mezzanine securities used for hedging
|
|
0.02
|
|
|
Total change in unrealized gains on securities, net
|
|
(0.11
|
)
|
|
Dividends
|
|
(0.28
|
)
|
|
Share repurchases
|
|
0.02
|
|
|
Changes in derivatives used to hedge long-term debt
|
|
(0.15
|
)
|
|
Other, net
|
|
0.03
|
|
|
Ending Book Value per Share
|
|
$
|
14.69
|
|
|
|
Three Months Ended
|
||
(In Thousands)
|
|
September 30, 2015
|
||
Residential
|
|
|
||
Third-party RMBS
|
|
10,784
|
|
|
Less: Short-term debt/Other liabilities
|
|
(8,283
|
)
|
|
Total RMBS
|
|
2,501
|
|
|
Agency risk sharing transactions
|
|
4,560
|
|
|
Loans held-for-investment, net - FHLBC
(1)
|
|
43,985
|
|
|
MSR investments
|
|
22,760
|
|
|
Total residential
|
|
73,806
|
|
|
Commercial
|
|
|
||
Mezzanine loans
|
|
12,869
|
|
|
Capital Invested
|
|
$
|
86,675
|
|
(1)
|
Includes loans transferred to our FHLB-member subsidiary and FHLBC stock acquired, less secured borrowings.
|
|
|
Three Months Ended September 30,
|
|
|
|
|
Nine Months Ended September 30,
|
|
|
||||||||||||||||
(In Thousands, Except per Share Data)
|
|
2015
|
|
2014
|
|
Change
|
|
|
2015
|
|
2014
|
|
Change
|
||||||||||||
Net Interest Income
|
|
$
|
39,609
|
|
|
$
|
40,001
|
|
|
$
|
(392
|
)
|
|
|
$
|
119,759
|
|
|
$
|
113,260
|
|
|
$
|
6,499
|
|
Reversal of (provision for) loan losses
|
|
60
|
|
|
1,596
|
|
|
(1,536
|
)
|
|
|
115
|
|
|
629
|
|
|
(514
|
)
|
||||||
Net Interest Income After Provision
|
|
39,669
|
|
|
41,597
|
|
|
(1,928
|
)
|
|
|
119,874
|
|
|
113,889
|
|
|
5,985
|
|
||||||
Non-interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking and investment activities, net
|
|
(12,836
|
)
|
|
14,166
|
|
|
(27,002
|
)
|
|
|
(6,399
|
)
|
|
9,984
|
|
|
(16,383
|
)
|
||||||
MSR income (loss), net
|
|
3,549
|
|
|
5,821
|
|
|
(2,272
|
)
|
|
|
(6,545
|
)
|
|
4,650
|
|
|
(11,195
|
)
|
||||||
Other income
|
|
327
|
|
|
1,600
|
|
|
(1,273
|
)
|
|
|
2,435
|
|
|
1,600
|
|
|
835
|
|
||||||
Realized gains, net
|
|
5,548
|
|
|
8,532
|
|
|
(2,984
|
)
|
|
|
16,170
|
|
|
10,687
|
|
|
5,483
|
|
||||||
Total non-interest income (loss)
|
|
(3,412
|
)
|
|
30,119
|
|
|
(33,531
|
)
|
|
|
5,661
|
|
|
26,921
|
|
|
(21,260
|
)
|
||||||
Operating expenses
|
|
(24,497
|
)
|
|
(21,406
|
)
|
|
(3,091
|
)
|
|
|
(74,778
|
)
|
|
(63,660
|
)
|
|
(11,118
|
)
|
||||||
Net income before income taxes
|
|
11,760
|
|
|
50,310
|
|
|
(38,550
|
)
|
|
|
50,757
|
|
|
77,150
|
|
|
(26,393
|
)
|
||||||
(Provision for) benefit from income taxes
|
|
7,404
|
|
|
(5,213
|
)
|
|
12,617
|
|
|
|
10,272
|
|
|
(3,703
|
)
|
|
13,975
|
|
||||||
Net Income
|
|
$
|
19,164
|
|
|
$
|
45,097
|
|
|
$
|
(25,933
|
)
|
|
|
$
|
61,029
|
|
|
$
|
73,447
|
|
|
$
|
(12,418
|
)
|
Diluted earnings per common share
|
|
$
|
0.22
|
|
|
$
|
0.50
|
|
|
$
|
(0.28
|
)
|
|
|
$
|
0.69
|
|
|
$
|
0.84
|
|
|
$
|
(0.15
|
)
|
|
|
Three Months Ended September 30,
|
||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||
(Dollars in Thousands)
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
||||||||||
Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans, held-for-sale
|
|
$
|
12,116
|
|
|
$
|
1,295,018
|
|
|
3.7
|
%
|
|
$
|
11,990
|
|
|
$
|
1,268,231
|
|
|
3.8
|
%
|
Residential loans - HFI at Redwood
(2)
|
|
11,258
|
|
|
1,167,534
|
|
|
3.9
|
%
|
|
1,057
|
|
|
100,409
|
|
|
4.2
|
%
|
||||
Residential loans - HFI at Sequoia
(2)
|
|
6,098
|
|
|
1,191,702
|
|
|
2.0
|
%
|
|
6,233
|
|
|
1,570,425
|
|
|
1.6
|
%
|
||||
Commercial loans - held-for-sale
|
|
1,544
|
|
|
134,658
|
|
|
4.6
|
%
|
|
2,043
|
|
|
170,156
|
|
|
4.8
|
%
|
||||
Commercial loans - HFI
(3)
|
|
9,647
|
|
|
392,701
|
|
|
9.8
|
%
|
|
10,560
|
|
|
420,494
|
|
|
10.0
|
%
|
||||
Trading securities
|
|
3,476
|
|
|
115,712
|
|
|
12.0
|
%
|
|
5,698
|
|
|
133,049
|
|
|
17.1
|
%
|
||||
Available-for-sale securities
|
|
19,273
|
|
|
838,305
|
|
|
9.2
|
%
|
|
25,763
|
|
|
1,295,217
|
|
|
8.0
|
%
|
||||
Other interest income
|
|
72
|
|
|
204,746
|
|
|
0.1
|
%
|
|
7
|
|
|
151,447
|
|
|
—
|
%
|
||||
Total interest income
|
|
63,484
|
|
|
5,340,376
|
|
|
4.8
|
%
|
|
63,351
|
|
|
5,109,428
|
|
|
5.0
|
%
|
||||
Interest Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt
|
|
(7,627
|
)
|
|
1,693,263
|
|
|
(1.8
|
)%
|
|
(8,441
|
)
|
|
1,873,704
|
|
|
(1.8
|
)%
|
||||
ABS issued - Redwood
|
|
(1,348
|
)
|
|
76,788
|
|
|
(7.0
|
)%
|
|
(2,587
|
)
|
|
183,944
|
|
|
(5.6
|
)%
|
||||
ABS issued - Sequoia
(2)
|
|
(3,842
|
)
|
|
1,128,334
|
|
|
(1.4
|
)%
|
|
(5,251
|
)
|
|
1,507,998
|
|
|
(1.4
|
)%
|
||||
Long-term debt - FHLBC
|
|
(747
|
)
|
|
911,014
|
|
|
(0.3
|
)%
|
|
(51
|
)
|
|
81,428
|
|
|
(0.3
|
)%
|
||||
Long-term debt - other
|
|
(10,311
|
)
|
|
685,617
|
|
|
(6.0
|
)%
|
|
(7,020
|
)
|
|
486,077
|
|
|
(5.8
|
)%
|
||||
Total interest expense
|
|
(23,875
|
)
|
|
4,495,016
|
|
|
(2.1
|
)%
|
|
(23,350
|
)
|
|
4,133,151
|
|
|
(2.3
|
)%
|
||||
Net Interest Income
|
|
$
|
39,609
|
|
|
|
|
|
|
$
|
40,001
|
|
|
|
|
|
|
|
Nine Months Ended September 30,
|
||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||
(Dollars in Thousands)
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
||||||||||
Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans, held-for-sale
|
|
$
|
33,561
|
|
|
$
|
1,222,550
|
|
|
3.7
|
%
|
|
$
|
25,009
|
|
|
$
|
844,821
|
|
|
3.9
|
%
|
Residential loans - HFI at Redwood
(2)
|
|
27,150
|
|
|
952,802
|
|
|
3.8
|
%
|
|
1,057
|
|
|
33,837
|
|
|
4.2
|
%
|
||||
Residential loans - HFI at Sequoia
(2)
|
|
19,578
|
|
|
1,270,786
|
|
|
2.1
|
%
|
|
19,473
|
|
|
1,640,908
|
|
|
1.6
|
%
|
||||
Commercial loans - held-for-sale
|
|
3,978
|
|
|
126,541
|
|
|
4.2
|
%
|
|
3,888
|
|
|
105,348
|
|
|
4.9
|
%
|
||||
Commercial loans - HFI
(3)
|
|
30,806
|
|
|
400,246
|
|
|
10.3
|
%
|
|
30,315
|
|
|
399,607
|
|
|
10.1
|
%
|
||||
Trading securities
|
|
13,346
|
|
|
114,524
|
|
|
15.5
|
%
|
|
17,555
|
|
|
146,076
|
|
|
16.0
|
%
|
||||
Available-for-sale securities
|
|
62,017
|
|
|
932,837
|
|
|
8.9
|
%
|
|
79,508
|
|
|
1,387,364
|
|
|
7.6
|
%
|
||||
Other interest income
|
|
167
|
|
|
219,792
|
|
|
0.1
|
%
|
|
15
|
|
|
147,336
|
|
|
—
|
%
|
||||
Total interest income
|
|
190,603
|
|
|
5,240,078
|
|
|
4.8
|
%
|
|
176,820
|
|
|
4,705,297
|
|
|
5.0
|
%
|
||||
Interest Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt
|
|
(21,378
|
)
|
|
1,555,180
|
|
|
(1.8
|
)%
|
|
(17,410
|
)
|
|
1,406,384
|
|
|
(1.7
|
)%
|
||||
ABS issued - Redwood
|
|
(4,665
|
)
|
|
97,946
|
|
|
(6.4
|
)%
|
|
(8,512
|
)
|
|
209,875
|
|
|
(5.4
|
)%
|
||||
ABS issued - Sequoia
(2)
|
|
(12,372
|
)
|
|
1,206,032
|
|
|
(1.4
|
)%
|
|
(15,950
|
)
|
|
1,576,337
|
|
|
(1.3
|
)%
|
||||
Long-term debt - FHLBC
|
|
(1,748
|
)
|
|
781,924
|
|
|
(0.3
|
)%
|
|
(51
|
)
|
|
27,441
|
|
|
(0.2
|
)%
|
||||
Long-term debt - other
|
|
(30,681
|
)
|
|
686,230
|
|
|
(6.0
|
)%
|
|
(21,637
|
)
|
|
499,213
|
|
|
(5.8
|
)%
|
||||
Total interest expense
|
|
(70,844
|
)
|
|
4,327,312
|
|
|
(2.2
|
)%
|
|
(63,560
|
)
|
|
3,719,250
|
|
|
(2.3
|
)%
|
||||
Net Interest Income
|
|
$
|
119,759
|
|
|
|
|
|
|
$
|
113,260
|
|
|
|
|
|
(1)
|
Average balances for residential and commercial loans held-for-sale, residential loans held-for-investment, and trading securities are calculated based upon carrying values, which represent estimated fair values. Average balances for available-for-sale securities and debt are calculated based upon amortized historical cost, except for ABS issued-Sequoia, which is based upon fair value.
|
(2)
|
Interest income from residential loans held-for-investment ("HFI") at Redwood exclude loans HFI at consolidated Sequoia entities. Interest income from residential loans - HFI at Sequoia and the interest expense from ABS issued - Sequoia represent activity from our consolidated Sequoia entities.
|
(3)
|
Excluding A-notes sold, but accounted for as secured borrowings, the yield on commercial loans HFI was
10.8%
and
11.1%
for the three months ended
September 30, 2015
and 2014, respectively, and
11.4%
and
10.9%
for the
nine
months ended
September 30, 2015
and 2014, respectively.
|
|
Three Months Ended September 30,
|
|
|
|
|
Nine Months Ended September 30,
|
|
|
||||||||||||||||
(In Thousands)
|
2015
|
|
2014
|
|
Change
|
|
|
2015
|
|
2014
|
|
Change
|
||||||||||||
Net interest income by Segment
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Residential Mortgage Banking
|
$
|
7,802
|
|
|
$
|
12,719
|
|
|
$
|
(4,917
|
)
|
|
|
$
|
26,497
|
|
|
$
|
32,341
|
|
|
$
|
(5,844
|
)
|
Residential Investments
|
31,414
|
|
|
24,458
|
|
|
6,956
|
|
|
|
90,198
|
|
|
74,014
|
|
|
16,184
|
|
||||||
Commercial Mortgage Banking and Investments
|
7,689
|
|
|
8,077
|
|
|
(388
|
)
|
|
|
24,296
|
|
|
21,970
|
|
|
2,326
|
|
||||||
Corporate/Other
|
(7,296
|
)
|
|
(5,253
|
)
|
|
(2,043
|
)
|
|
|
(21,232
|
)
|
|
(15,065
|
)
|
|
(6,167
|
)
|
||||||
Net Interest Income
|
$
|
39,609
|
|
|
$
|
40,001
|
|
|
$
|
(392
|
)
|
|
|
$
|
119,759
|
|
|
$
|
113,260
|
|
|
$
|
6,499
|
|
September 30, 2015
|
|
Residential Loans Held-for-Sale
|
|
Commercial
Loans Held-for-Sale
|
|
Commercial
Loans Held-for-Investment
|
|
Residential
Securities
|
||||
Asset yield
|
|
3.98
|
%
|
|
4.69
|
%
|
|
10.10
|
%
|
|
8.82
|
%
|
Short-term debt yield
|
|
1.73
|
%
|
|
2.44
|
%
|
|
4.21
|
%
|
|
1.44
|
%
|
Net spread
|
|
2.25
|
%
|
|
2.25
|
%
|
|
5.89
|
%
|
|
7.38
|
%
|
|
|
Three Months Ended
September 30, |
|
|
|
|
Nine Months Ended September 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
Change
|
|
|
2015
|
|
2014
|
|
Change
|
||||||||||||
Interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loans
|
|
$
|
12,115
|
|
|
$
|
11,991
|
|
|
$
|
124
|
|
|
|
$
|
33,557
|
|
|
$
|
25,011
|
|
|
$
|
8,546
|
|
Sequoia securities
(1)
|
|
—
|
|
|
4,920
|
|
|
(4,920
|
)
|
|
|
4,329
|
|
|
15,004
|
|
|
(10,675
|
)
|
||||||
Total interest income
|
|
12,115
|
|
|
16,911
|
|
|
(4,796
|
)
|
|
|
37,886
|
|
|
40,015
|
|
|
(2,129
|
)
|
||||||
Interest expense
|
|
(4,313
|
)
|
|
(4,192
|
)
|
|
(121
|
)
|
|
|
(11,389
|
)
|
|
(7,674
|
)
|
|
(3,715
|
)
|
||||||
Net interest income
|
|
7,802
|
|
|
12,719
|
|
|
(4,917
|
)
|
|
|
26,497
|
|
|
32,341
|
|
|
(5,844
|
)
|
||||||
Mortgage banking activities, net
|
|
331
|
|
|
11,429
|
|
|
(11,098
|
)
|
|
|
7,383
|
|
|
11,704
|
|
|
(4,321
|
)
|
||||||
Direct operating expenses
|
|
(11,278
|
)
|
|
(9,982
|
)
|
|
(1,296
|
)
|
|
|
(33,214
|
)
|
|
(26,577
|
)
|
|
(6,637
|
)
|
||||||
Segment contribution before income taxes
|
|
(3,145
|
)
|
|
14,166
|
|
|
(17,311
|
)
|
|
|
666
|
|
|
17,468
|
|
|
(16,802
|
)
|
||||||
Benefit from income taxes
|
|
2,690
|
|
|
(3,352
|
)
|
|
6,042
|
|
|
|
3,562
|
|
|
(3,258
|
)
|
|
6,820
|
|
||||||
Segment Contribution
|
|
$
|
(455
|
)
|
|
$
|
10,814
|
|
|
$
|
(11,269
|
)
|
|
|
$
|
4,228
|
|
|
$
|
14,210
|
|
|
$
|
(9,982
|
)
|
(1)
|
Effective April 1, 2015, we permanently transferred all securities (primarily consisting of Sequoia IO securities) held in our Residential Mortgage Banking segment into our Residential Investments segment.
|
|
|
Three Months Ended
|
||||||||||||||||||||||
|
|
September 30, 2015
|
|
September 30, 2014
|
||||||||||||||||||||
(In Thousands)
|
|
Jumbo
|
|
Conforming
|
|
Total
|
|
Jumbo
|
|
Conforming
|
|
Total
|
||||||||||||
Balance at beginning of period
|
|
$
|
643,924
|
|
|
$
|
248,157
|
|
|
$
|
892,081
|
|
|
$
|
848,202
|
|
|
$
|
259,675
|
|
|
$
|
1,107,877
|
|
Acquisitions
|
|
1,565,472
|
|
|
1,421,715
|
|
|
2,987,187
|
|
|
1,840,509
|
|
|
1,547,354
|
|
|
3,387,863
|
|
||||||
Sales
|
|
(695,138
|
)
|
|
(1,437,757
|
)
|
|
(2,132,895
|
)
|
|
(1,351,844
|
)
|
|
(1,405,987
|
)
|
|
(2,757,831
|
)
|
||||||
Transfers between portfolios
(1)
|
|
(233,429
|
)
|
|
—
|
|
|
(233,429
|
)
|
|
(241,282
|
)
|
|
—
|
|
|
(241,282
|
)
|
||||||
Principal repayments
|
|
(17,021
|
)
|
|
(781
|
)
|
|
(17,802
|
)
|
|
(7,295
|
)
|
|
(393
|
)
|
|
(7,688
|
)
|
||||||
Changes in fair value, net
|
|
6,029
|
|
|
4,980
|
|
|
11,009
|
|
|
14,994
|
|
|
(1,505
|
)
|
|
13,489
|
|
||||||
Balance at End of Period
|
|
$
|
1,269,837
|
|
|
$
|
236,314
|
|
|
$
|
1,506,151
|
|
|
$
|
1,103,284
|
|
|
$
|
399,144
|
|
|
$
|
1,502,428
|
|
|
|
Nine Months Ended
|
||||||||||||||||||||||
|
|
September 30, 2015
|
|
September 30, 2014
|
||||||||||||||||||||
(In Thousands)
|
|
Jumbo
|
|
Conforming
|
|
Total
|
|
Jumbo
|
|
Conforming
|
|
Total
|
||||||||||||
Balance at beginning of period
|
|
$
|
1,097,805
|
|
|
$
|
244,716
|
|
|
$
|
1,342,521
|
|
|
$
|
392,765
|
|
|
$
|
11,502
|
|
|
$
|
404,267
|
|
Acquisitions
|
|
4,084,952
|
|
|
4,227,014
|
|
|
8,311,966
|
|
|
3,557,754
|
|
|
2,713,989
|
|
|
6,271,743
|
|
||||||
Sales
|
|
(2,972,887
|
)
|
|
(4,241,550
|
)
|
|
(7,214,437
|
)
|
|
(2,623,848
|
)
|
|
(2,323,341
|
)
|
|
(4,947,189
|
)
|
||||||
Transfers between portfolios
(1)
|
|
(897,095
|
)
|
|
—
|
|
|
(897,095
|
)
|
|
(241,282
|
)
|
|
—
|
|
|
(241,282
|
)
|
||||||
Principal repayments
|
|
(45,322
|
)
|
|
(1,373
|
)
|
|
(46,695
|
)
|
|
(18,960
|
)
|
|
(760
|
)
|
|
(19,720
|
)
|
||||||
Changes in fair value, net
|
|
2,384
|
|
|
7,507
|
|
|
9,891
|
|
|
36,855
|
|
|
(2,246
|
)
|
|
34,609
|
|
||||||
Balance at End of Period
|
|
$
|
1,269,837
|
|
|
$
|
236,314
|
|
|
$
|
1,506,151
|
|
|
$
|
1,103,284
|
|
|
$
|
399,144
|
|
|
$
|
1,502,428
|
|
(1)
|
Represents the net transfers of loans into our Residential Investments segment and their reclassification from held-for-sale to held-for-investment.
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Beginning fair value
|
|
$
|
—
|
|
|
$
|
159,311
|
|
|
$
|
93,802
|
|
|
$
|
110,505
|
|
Transfers between portfolios
(1)
|
|
—
|
|
|
—
|
|
|
(65,809
|
)
|
|
—
|
|
||||
Acquisitions
|
|
—
|
|
|
1,680
|
|
|
—
|
|
|
71,243
|
|
||||
Sales
|
|
—
|
|
|
(55,914
|
)
|
|
(13,588
|
)
|
|
(60,874
|
)
|
||||
Effect of principal payments
(2)
|
|
—
|
|
|
(3,179
|
)
|
|
(98
|
)
|
|
(5,904
|
)
|
||||
Change in fair value, net
|
|
—
|
|
|
(1,285
|
)
|
|
(14,307
|
)
|
|
(14,357
|
)
|
||||
Ending Fair Value
|
|
$
|
—
|
|
|
$
|
100,613
|
|
|
$
|
—
|
|
|
$
|
100,613
|
|
(1)
|
Effective April 1, 2015, we permanently transferred all securities (primarily consisting of Sequoia IOs) held in our Residential Mortgage Banking segment into our Residential Investments segment.
|
(2)
|
The effect of principal payments reflects the change in fair value due to principal payments, which is calculated as the cash principal received on a given security during the period multiplied by the prior quarter ending price or acquisition price for that security.
|
|
|
Three Months Ended September 30,
|
|
|
|
|
Nine Months Ended September 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
Change
|
|
|
2015
|
|
2014
|
|
Change
|
||||||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Residential loans, at fair value
(1)
|
|
$
|
36,183
|
|
|
$
|
15,976
|
|
|
$
|
20,207
|
|
|
|
$
|
54,375
|
|
|
$
|
40,685
|
|
|
$
|
13,690
|
|
Sequoia securities
|
|
—
|
|
|
(1,332
|
)
|
|
1,332
|
|
|
|
(14,359
|
)
|
|
(14,419
|
)
|
|
60
|
|
||||||
Risk management derivatives
(2)
|
|
(35,346
|
)
|
|
(4,297
|
)
|
|
(31,049
|
)
|
|
|
(36,962
|
)
|
|
(16,433
|
)
|
|
(20,529
|
)
|
||||||
Hedging allocation
|
|
(1,683
|
)
|
|
—
|
|
|
(1,683
|
)
|
|
|
1,120
|
|
|
—
|
|
|
1,120
|
|
||||||
Other income, net
(3)
|
|
1,177
|
|
|
1,082
|
|
|
95
|
|
|
|
3,209
|
|
|
1,871
|
|
|
1,338
|
|
||||||
Total residential mortgage banking activities, net
|
|
$
|
331
|
|
|
$
|
11,429
|
|
|
$
|
(11,098
|
)
|
|
|
$
|
7,383
|
|
|
$
|
11,704
|
|
|
$
|
(4,321
|
)
|
(1)
|
Includes changes in fair value for loan purchase and forward sale commitments.
|
(2)
|
Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential loans.
|
(3)
|
Amounts in this line include other fee income from loan acquisitions and the provision for repurchase expense, presented net.
|
September 30, 2015
|
|
Principal Value
|
|
Weighted Average Coupon
|
|||
(Dollars In Thousands)
|
|
|
|||||
First Lien Prime
|
|
|
|
|
|||
Fixed - 30 year
|
|
$
|
1,050,529
|
|
|
4.20
|
%
|
Fixed - 15, 20, & 25 year
|
|
164,363
|
|
|
3.42
|
%
|
|
Hybrid
|
|
248,211
|
|
|
3.35
|
%
|
|
ARM
|
|
2,573
|
|
|
2.71
|
%
|
|
Total Outstanding Principal
|
|
$
|
1,465,676
|
|
|
3.97
|
%
|
|
|
Three Months Ended September 30,
|
|
|
|
|
Nine Months Ended September 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
Change
|
|
|
2015
|
|
2014
|
|
Change
|
||||||||||||
Interest income
|
|
$
|
34,074
|
|
|
$
|
27,600
|
|
|
$
|
6,474
|
|
|
|
$
|
98,335
|
|
|
$
|
83,120
|
|
|
$
|
15,215
|
|
Interest expense
|
|
(2,660
|
)
|
|
(3,142
|
)
|
|
482
|
|
|
|
(8,137
|
)
|
|
(9,106
|
)
|
|
969
|
|
||||||
Net interest income
|
|
31,414
|
|
|
24,458
|
|
|
6,956
|
|
|
|
90,198
|
|
|
74,014
|
|
|
16,184
|
|
||||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment activities, net
|
|
(13,622
|
)
|
|
(3,371
|
)
|
|
(10,251
|
)
|
|
|
(14,745
|
)
|
|
(13,117
|
)
|
|
(1,628
|
)
|
||||||
MSR income (loss), net
|
|
3,549
|
|
|
5,821
|
|
|
(2,272
|
)
|
|
|
(6,545
|
)
|
|
4,650
|
|
|
(11,195
|
)
|
||||||
Other income
|
|
327
|
|
|
—
|
|
|
327
|
|
|
|
2,435
|
|
|
—
|
|
|
2,435
|
|
||||||
Realized gains, net
|
|
5,548
|
|
|
7,836
|
|
|
(2,288
|
)
|
|
|
16,170
|
|
|
9,815
|
|
|
6,355
|
|
||||||
Total non-interest income (loss), net
|
|
(4,198
|
)
|
|
10,286
|
|
|
(14,484
|
)
|
|
|
(2,685
|
)
|
|
1,348
|
|
|
(4,033
|
)
|
||||||
Direct operating expenses
|
|
(1,311
|
)
|
|
(802
|
)
|
|
(509
|
)
|
|
|
(3,600
|
)
|
|
(2,667
|
)
|
|
(933
|
)
|
||||||
Segment contribution before income taxes
|
|
25,905
|
|
|
33,942
|
|
|
(8,037
|
)
|
|
|
83,913
|
|
|
72,695
|
|
|
11,218
|
|
||||||
Benefit from income taxes
|
|
4,082
|
|
|
150
|
|
|
3,932
|
|
|
|
3,824
|
|
|
1,826
|
|
|
1,998
|
|
||||||
Total Segment Contribution
|
|
$
|
29,987
|
|
|
$
|
34,092
|
|
|
$
|
(4,105
|
)
|
|
|
$
|
87,737
|
|
|
$
|
74,521
|
|
|
$
|
13,216
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
|
Change
|
||||||
Residential loans held-for-investment
|
|
$
|
1,360,277
|
|
|
$
|
581,668
|
|
|
$
|
778,609
|
|
Residential securities
|
|
1,085,224
|
|
|
1,285,428
|
|
|
(200,204
|
)
|
|||
Mortgage servicing rights
|
|
162,726
|
|
|
139,293
|
|
|
23,433
|
|
|||
Total residential investments
|
|
$
|
2,608,227
|
|
|
$
|
2,006,389
|
|
|
$
|
601,838
|
|
|
|
Three Months Ended September 30,
|
||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||
(Dollars in Thousands)
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
||||||||||
Residential loans held-for-investment
|
|
$
|
11,258
|
|
|
$
|
1,167,534
|
|
|
3.9
|
%
|
|
$
|
1,057
|
|
|
$
|
100,409
|
|
|
4.2
|
%
|
Long-term debt - FHLBC
|
|
(747
|
)
|
|
911,014
|
|
|
(0.3
|
)%
|
|
(51
|
)
|
|
81,428
|
|
|
(0.3
|
)%
|
||||
Net interest income from HFI loans
|
|
10,511
|
|
|
|
|
|
|
1,006
|
|
|
|
|
|
||||||||
Trading securities
|
|
3,476
|
|
|
115,712
|
|
|
12.0
|
%
|
|
778
|
|
|
9,461
|
|
|
32.9
|
%
|
||||
AFS securities
|
|
19,273
|
|
|
838,305
|
|
|
9.2
|
%
|
|
25,763
|
|
|
1,295,217
|
|
|
8.0
|
%
|
||||
Short-term debt
|
|
(1,802
|
)
|
|
491,527
|
|
|
(1.5
|
)%
|
|
(2,672
|
)
|
|
800,952
|
|
|
(1.3
|
)%
|
||||
ABS issued
|
|
(111
|
)
|
|
9,688
|
|
|
(4.6
|
)%
|
|
(419
|
)
|
|
60,932
|
|
|
(2.8
|
)%
|
||||
Net interest income from securities
|
|
20,836
|
|
|
|
|
|
|
23,450
|
|
|
|
|
|
||||||||
Other interest income
|
|
67
|
|
|
|
|
|
|
2
|
|
|
|
|
|
||||||||
NII from Residential Investments
|
|
$
|
31,414
|
|
|
|
|
|
|
$
|
24,458
|
|
|
|
|
|
|
|
Nine Months Ended September 30,
|
||||||||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||||||||
(Dollars in Thousands)
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
||||||||||
Residential loans held-for-investment
|
|
$
|
27,150
|
|
|
$
|
952,802
|
|
|
3.8
|
%
|
|
$
|
1,057
|
|
|
$
|
33,837
|
|
|
4.2
|
%
|
Long-term debt - FHLBC
|
|
(1,748
|
)
|
|
781,924
|
|
|
(0.3
|
)%
|
|
(51
|
)
|
|
27,441
|
|
|
(0.2
|
)%
|
||||
Net interest income from HFI loans
|
|
25,402
|
|
|
|
|
|
|
1,006
|
|
|
|
|
|
||||||||
Trading securities
|
|
9,017
|
|
|
86,347
|
|
|
13.9
|
%
|
|
2,555
|
|
|
12,453
|
|
|
27.4
|
%
|
||||
AFS securities
|
|
62,017
|
|
|
932,837
|
|
|
8.9
|
%
|
|
79,508
|
|
|
1,387,364
|
|
|
7.6
|
%
|
||||
Short-term debt
|
|
(5,807
|
)
|
|
543,656
|
|
|
(1.4
|
)%
|
|
(7,590
|
)
|
|
775,704
|
|
|
(1.3
|
)%
|
||||
ABS issued
|
|
(582
|
)
|
|
23,655
|
|
|
(3.3
|
)%
|
|
(1,465
|
)
|
|
73,173
|
|
|
(2.7
|
)%
|
||||
Net interest income from securities
|
|
64,645
|
|
|
|
|
|
|
73,008
|
|
|
|
|
|
||||||||
Other interest income
|
|
151
|
|
|
|
|
|
|
—
|
|
|
|
|
|
||||||||
NII from Residential Investments
|
|
$
|
90,198
|
|
|
|
|
|
|
$
|
74,014
|
|
|
|
|
|
(1)
|
Average balances for residential loans held-for-investment and trading securities are calculated based upon carrying values, which represent estimated fair values. Average balances for available-for-sale securities and debt are calculated based upon amortized historical cost.
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended
September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Investment activities
|
|
|
|
|
|
|
|
|
||||||||
Market valuation changes:
|
|
|
|
|
|
|
|
|
||||||||
Residential loans held-for-investment
(1)
|
|
$
|
9,077
|
|
|
$
|
(991
|
)
|
|
$
|
5,170
|
|
|
$
|
(991
|
)
|
Trading securities - IOs
|
|
(9,263
|
)
|
|
(577
|
)
|
|
(616
|
)
|
|
(653
|
)
|
||||
Securities - other
|
|
253
|
|
|
(188
|
)
|
|
(1,197
|
)
|
|
(565
|
)
|
||||
Risk sharing investment
|
|
(1,098
|
)
|
|
—
|
|
|
(1,799
|
)
|
|
—
|
|
||||
Risk management derivatives
|
|
(14,274
|
)
|
|
(1,615
|
)
|
|
(15,233
|
)
|
|
(10,908
|
)
|
||||
Hedging allocation
|
|
1,683
|
|
|
—
|
|
|
(1,070
|
)
|
|
—
|
|
||||
Investment activities, net
|
|
$
|
(13,622
|
)
|
|
$
|
(3,371
|
)
|
|
$
|
(14,745
|
)
|
|
$
|
(13,117
|
)
|
|
|
|
|
|
|
|
|
|
||||||||
Supplemental information:
|
|
|
|
|
|
|
|
|
||||||||
Change in AOCI of AFS mezzanine securities
|
|
$
|
1,962
|
|
|
$
|
5,347
|
|
|
$
|
3,637
|
|
|
$
|
28,780
|
|
Gains realized on sales of AFS mezzanine securities
|
|
2,286
|
|
|
3,387
|
|
|
12,334
|
|
|
3,387
|
|
||||
Total economic investment activities, net
(2)
|
|
(9,374
|
)
|
|
5,363
|
|
|
1,226
|
|
|
19,050
|
|
(1)
|
Market valuation changes from residential loans held-for-investment above do not include loans at consolidated Sequoia entities, which are not included in this segment.
|
(2)
|
Total economic investment activities, net, represents the sum of investment activities, net, the change in accumulated other comprehensive income ("AOCI") of AFS mezzanine securities, and gains realized on sales of AFS mezzanine securities.
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Servicing income
|
|
$
|
10,028
|
|
|
$
|
4,590
|
|
|
$
|
28,199
|
|
|
$
|
12,287
|
|
Cost of sub-servicer
|
|
(1,313
|
)
|
|
(437
|
)
|
|
(3,704
|
)
|
|
(1,040
|
)
|
||||
Net servicing fee income
|
|
8,715
|
|
|
4,153
|
|
|
24,495
|
|
|
11,247
|
|
||||
Market valuation changes of MSRs
|
|
|
|
|
|
|
|
|
||||||||
Changes in assumptions
(1)
|
|
(23,786
|
)
|
|
4,323
|
|
|
(18,653
|
)
|
|
(318
|
)
|
||||
Other changes
(2)
|
|
(4,710
|
)
|
|
(2,002
|
)
|
|
(13,684
|
)
|
|
(5,626
|
)
|
||||
Market valuation changes of associated derivatives
|
|
23,551
|
|
|
—
|
|
|
1,736
|
|
|
—
|
|
||||
Provision for repurchases
|
|
(221
|
)
|
|
(653
|
)
|
|
(439
|
)
|
|
(653
|
)
|
||||
MSR Income (Loss), Net
|
|
$
|
3,549
|
|
|
$
|
5,821
|
|
|
$
|
(6,545
|
)
|
|
$
|
4,650
|
|
(1)
|
Primarily reflects changes in prepayment assumptions due to changes in market interest rates.
|
(2)
|
Represents changes due to the realization of expected cash flows.
|
Three Months Ended September 30, 2015
|
|
Senior
|
|
Re-REMIC
(1)
|
|
Subordinate
|
|
Total
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Beginning fair value
|
|
$
|
514,468
|
|
|
$
|
169,084
|
|
|
$
|
474,047
|
|
|
$
|
1,157,599
|
|
Transfers
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Acquisitions
|
|
|
|
|
|
|
|
|
||||||||
Sequoia securities
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Third-party securities
|
|
—
|
|
|
—
|
|
|
9,423
|
|
|
9,423
|
|
||||
Sales
|
|
|
|
|
|
|
|
|
||||||||
Sequoia securities
|
|
(1,675
|
)
|
|
—
|
|
|
(6,320
|
)
|
|
(7,995
|
)
|
||||
Third-party securities
|
|
(2,867
|
)
|
|
—
|
|
|
(26,276
|
)
|
|
(29,143
|
)
|
||||
Gains on sales and calls, net
|
|
807
|
|
|
—
|
|
|
4,741
|
|
|
5,548
|
|
||||
Effect of principal payments
(2)
|
|
(25,018
|
)
|
|
(123
|
)
|
|
(4,715
|
)
|
|
(29,856
|
)
|
||||
Change in fair value, net
|
|
(18,580
|
)
|
|
(1,322
|
)
|
|
(450
|
)
|
|
(20,352
|
)
|
||||
Ending Fair Value
|
|
$
|
467,135
|
|
|
$
|
167,639
|
|
|
$
|
450,450
|
|
|
$
|
1,085,224
|
|
Nine Months Ended September 30, 2015
|
|
Senior
|
|
Re-REMIC
(1)
|
|
Subordinate
|
|
Total
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Beginning fair value
|
|
$
|
495,508
|
|
|
$
|
168,347
|
|
|
$
|
621,573
|
|
|
$
|
1,285,428
|
|
Transfers
|
|
65,809
|
|
|
—
|
|
|
—
|
|
|
65,809
|
|
||||
Acquisitions
|
|
|
|
|
|
|
|
|
||||||||
Sequoia securities
|
|
33,179
|
|
|
—
|
|
|
16,437
|
|
|
49,616
|
|
||||
Third-party securities
|
|
8,479
|
|
|
—
|
|
|
58,122
|
|
|
66,601
|
|
||||
Sales
|
|
|
|
|
|
|
|
|
||||||||
Sequoia securities
|
|
(45,832
|
)
|
|
—
|
|
|
(193,311
|
)
|
|
(239,143
|
)
|
||||
Third-party securities
|
|
(4,687
|
)
|
|
—
|
|
|
(61,652
|
)
|
|
(66,339
|
)
|
||||
Gains on sales and calls, net
|
|
1,072
|
|
|
—
|
|
|
15,098
|
|
|
16,170
|
|
||||
Effect of principal payments
(2)
|
|
(72,850
|
)
|
|
(431
|
)
|
|
(14,430
|
)
|
|
(87,711
|
)
|
||||
Change in fair value, net
|
|
(13,543
|
)
|
|
(277
|
)
|
|
8,613
|
|
|
(5,207
|
)
|
||||
Ending Fair Value
|
|
$
|
467,135
|
|
|
$
|
167,639
|
|
|
$
|
450,450
|
|
|
$
|
1,085,224
|
|
(1)
|
Re-REMIC securities, as presented herein, were created by third parties through the resecuritization of certain senior RMBS.
|
(2)
|
The effect of principal payments reflects the change in fair value due to principal payments, which is calculated as the cash principal received on a given security during the period multiplied by the prior quarter ending price or acquisition price for that security.
|
|
|
Sequoia Securities 2012-2015
|
|
Third-party Securities
|
|
Total
|
|
% of Total Securities
|
|||||||||||||||
September 30, 2015
|
|
|
2012-2015
|
|
2006-2008
|
|
2005 & Earlier
|
|
|||||||||||||||
(In Thousands)
|
|
|
|
|
|
||||||||||||||||||
Senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Prime
|
|
$
|
51,308
|
|
|
$
|
—
|
|
|
$
|
53,050
|
|
|
$
|
198,223
|
|
|
$
|
302,581
|
|
|
28
|
%
|
Non-prime
|
|
—
|
|
|
—
|
|
|
3,515
|
|
|
161,039
|
|
|
164,554
|
|
|
15
|
%
|
|||||
Total Senior
|
|
51,308
|
|
|
—
|
|
|
56,565
|
|
|
359,262
|
|
|
467,135
|
|
|
43
|
%
|
|||||
Re-REMIC
|
|
—
|
|
|
—
|
|
|
108,944
|
|
|
58,695
|
|
|
167,639
|
|
|
15
|
%
|
|||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Prime Mezzanine
(2)
|
|
199,074
|
|
|
73,134
|
|
|
—
|
|
|
—
|
|
|
272,208
|
|
|
25
|
%
|
|||||
Prime Subordinate
(3)
|
|
104,168
|
|
|
37,052
|
|
|
923
|
|
|
36,099
|
|
|
178,242
|
|
|
17
|
%
|
|||||
Total Subordinate
|
|
303,242
|
|
|
110,186
|
|
|
923
|
|
|
36,099
|
|
|
450,450
|
|
|
42
|
%
|
|||||
Total Securities
|
|
$
|
354,550
|
|
|
$
|
110,186
|
|
|
$
|
166,432
|
|
|
$
|
454,056
|
|
|
$
|
1,085,224
|
|
|
100
|
%
|
|
|
Sequoia Securities 2012-2014
|
|
Third-party Securities
|
Total
|
|
% of Total Securities
|
||||||||||||||||
December 31, 2014
|
|
|
2012-2014
|
|
2006-2008
|
|
2005 & Earlier
|
|
|||||||||||||||
(In Thousands)
|
|
|
|
|
|
||||||||||||||||||
Senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Prime
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
63,950
|
|
|
$
|
243,863
|
|
|
$
|
307,813
|
|
|
24
|
%
|
Non-prime
|
|
—
|
|
|
—
|
|
|
4,273
|
|
|
183,422
|
|
|
187,695
|
|
|
15
|
%
|
|||||
Total Senior
|
|
—
|
|
|
—
|
|
|
68,223
|
|
|
427,285
|
|
|
495,508
|
|
|
39
|
%
|
|||||
Re-REMIC
|
|
—
|
|
|
—
|
|
|
108,369
|
|
|
59,978
|
|
|
168,347
|
|
|
13
|
%
|
|||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Prime Mezzanine
(2)
|
|
371,706
|
|
|
77,132
|
|
|
—
|
|
|
—
|
|
|
448,838
|
|
|
35
|
%
|
|||||
Prime Subordinate
(3)
|
|
89,284
|
|
|
28,069
|
|
|
1,157
|
|
|
54,225
|
|
|
172,735
|
|
|
13
|
%
|
|||||
Total Subordinate
|
|
460,990
|
|
|
105,201
|
|
|
1,157
|
|
|
54,225
|
|
|
621,573
|
|
|
48
|
%
|
|||||
Total Securities
|
|
$
|
460,990
|
|
|
$
|
105,201
|
|
|
$
|
177,749
|
|
|
$
|
541,488
|
|
|
$
|
1,285,428
|
|
|
100
|
%
|
(1)
|
The securities and interests that we acquired from the Residential Resecuritization entity (which are eliminated for consolidation purposes) were
$170 million
at
September 30, 2015
. As a result, to adjust at
September 30, 2015
, for the legal and economic interests that resulted from the Residential Resecuritization, total residential senior securities would be decreased by
$181 million
to
$286 million
, total re-REMIC residential securities would be increased by
$170 million
to
$338 million
, and total residential securities would be reduced by
$11 million
to
$1.07 billion
.
|
(2)
|
Prime mezzanine includes securities initially rated AA, A, and BBB and issued in 2012 or later.
|
(3)
|
Subordinate securities include less than
$1 million
of non-prime securities at both
September 30, 2015
and
December 31, 2014
.
|
Three Months Ended September 30, 2015
|
|
|
|
|
|
|
|
|
|
Yield as a Result of
|
|||||||||||||||
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|
Average Amortized Cost
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||
Residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Senior
|
|
$
|
3,276
|
|
|
$
|
4,381
|
|
|
$
|
7,657
|
|
|
$
|
383,736
|
|
|
3.41
|
%
|
|
4.57
|
%
|
|
7.98
|
%
|
Re-REMIC
|
|
2,216
|
|
|
2,339
|
|
|
4,555
|
|
|
105,571
|
|
|
8.40
|
%
|
|
8.86
|
%
|
|
17.26
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
2,348
|
|
|
789
|
|
|
3,137
|
|
|
234,204
|
|
|
4.01
|
%
|
|
1.35
|
%
|
|
5.36
|
%
|
||||
Subordinate
|
|
2,318
|
|
|
1,606
|
|
|
3,924
|
|
|
114,794
|
|
|
8.08
|
%
|
|
5.60
|
%
|
|
13.67
|
%
|
||||
Total AFS Securities
|
|
$
|
10,158
|
|
|
$
|
9,115
|
|
|
$
|
19,273
|
|
|
$
|
838,305
|
|
|
4.85
|
%
|
|
4.35
|
%
|
|
9.20
|
%
|
Three Months Ended September 30, 2014
|
|
|
|
|
|
|
|
|
|
Yield as a Result of
|
|||||||||||||||
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|
Average Amortized Cost
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||
Residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Senior
|
|
$
|
5,474
|
|
|
$
|
6,610
|
|
|
$
|
12,084
|
|
|
$
|
649,179
|
|
|
3.37
|
%
|
|
4.07
|
%
|
|
7.45
|
%
|
Re-REMIC
|
|
2,659
|
|
|
1,618
|
|
|
4,277
|
|
|
114,433
|
|
|
9.29
|
%
|
|
5.66
|
%
|
|
14.95
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
4,363
|
|
|
945
|
|
|
5,308
|
|
|
421,111
|
|
|
4.14
|
%
|
|
0.90
|
%
|
|
5.04
|
%
|
||||
Subordinate
|
|
2,377
|
|
|
1,717
|
|
|
4,094
|
|
|
110,494
|
|
|
8.60
|
%
|
|
6.22
|
%
|
|
14.82
|
%
|
||||
Total AFS Securities
|
|
$
|
14,873
|
|
|
$
|
10,890
|
|
|
$
|
25,763
|
|
|
$
|
1,295,217
|
|
|
4.59
|
%
|
|
3.36
|
%
|
|
7.96
|
%
|
Nine Months Ended September 30, 2015
|
|
|
|
|
|
|
|
|
|
Yield as a Result of
|
|||||||||||||||
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|
Average Amortized Cost
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||
Residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Senior
|
|
$
|
10,640
|
|
|
$
|
13,681
|
|
|
$
|
24,321
|
|
|
$
|
404,020
|
|
|
3.51
|
%
|
|
4.51
|
%
|
|
8.03
|
%
|
Re-REMIC
|
|
6,644
|
|
|
6,863
|
|
|
13,507
|
|
|
103,414
|
|
|
8.57
|
%
|
|
8.85
|
%
|
|
17.41
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
9,406
|
|
|
2,828
|
|
|
12,234
|
|
|
308,986
|
|
|
4.06
|
%
|
|
1.22
|
%
|
|
5.28
|
%
|
||||
Subordinate
|
|
7,050
|
|
|
4,905
|
|
|
11,955
|
|
|
116,417
|
|
|
8.07
|
%
|
|
5.62
|
%
|
|
13.69
|
%
|
||||
Total AFS Securities
|
|
$
|
33,740
|
|
|
$
|
28,277
|
|
|
$
|
62,017
|
|
|
$
|
932,837
|
|
|
4.82
|
%
|
|
4.04
|
%
|
|
8.86
|
%
|
Nine Months Ended September 30, 2014
|
|
|
|
|
|
|
|
|
|
Yield as a Result of
|
|||||||||||||||
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|
Average Amortized Cost
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||
Residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Senior
|
|
$
|
18,844
|
|
|
$
|
20,107
|
|
|
$
|
38,951
|
|
|
$
|
753,488
|
|
|
3.33
|
%
|
|
3.56
|
%
|
|
6.89
|
%
|
Re-REMIC
|
|
8,103
|
|
|
4,502
|
|
|
12,605
|
|
|
113,328
|
|
|
9.53
|
%
|
|
5.30
|
%
|
|
14.83
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
12,781
|
|
|
2,979
|
|
|
15,760
|
|
|
411,968
|
|
|
4.14
|
%
|
|
0.96
|
%
|
|
5.10
|
%
|
||||
Subordinate
|
|
7,006
|
|
|
5,186
|
|
|
12,192
|
|
|
108,580
|
|
|
8.60
|
%
|
|
6.37
|
%
|
|
14.97
|
%
|
||||
Total AFS Securities
|
|
$
|
46,734
|
|
|
$
|
32,774
|
|
|
$
|
79,508
|
|
|
$
|
1,387,364
|
|
|
4.49
|
%
|
|
3.15
|
%
|
|
7.64
|
%
|
September 30, 2015
|
|
Senior
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Principal balance
|
|
$
|
431,811
|
|
|
$
|
192,215
|
|
|
$
|
490,891
|
|
|
$
|
1,114,917
|
|
Credit reserve
|
|
(11,341
|
)
|
|
(11,135
|
)
|
|
(32,865
|
)
|
|
(55,341
|
)
|
||||
Unamortized discount, net
|
|
(52,981
|
)
|
|
(74,377
|
)
|
|
(134,371
|
)
|
|
(261,729
|
)
|
||||
Amortized cost
|
|
367,489
|
|
|
106,703
|
|
|
323,655
|
|
|
797,847
|
|
||||
Gross unrealized gains
|
|
45,414
|
|
|
60,936
|
|
|
71,226
|
|
|
177,576
|
|
||||
Gross unrealized losses
|
|
(3,590
|
)
|
|
—
|
|
|
(820
|
)
|
|
(4,410
|
)
|
||||
Carrying Value
|
|
$
|
409,313
|
|
|
$
|
167,639
|
|
|
$
|
394,061
|
|
|
$
|
971,013
|
|
December 31, 2014
|
|
Senior
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Principal balance
|
|
$
|
507,831
|
|
|
$
|
195,098
|
|
|
$
|
742,150
|
|
|
$
|
1,445,079
|
|
Credit reserve
|
|
(13,304
|
)
|
|
(15,202
|
)
|
|
(41,561
|
)
|
|
(70,067
|
)
|
||||
Unamortized discount, net
|
|
(66,273
|
)
|
|
(79,611
|
)
|
|
(150,458
|
)
|
|
(296,342
|
)
|
||||
Amortized cost
|
|
428,254
|
|
|
100,285
|
|
|
550,131
|
|
|
1,078,670
|
|
||||
Gross unrealized gains
|
|
60,662
|
|
|
68,062
|
|
|
63,026
|
|
|
191,750
|
|
||||
Gross unrealized losses
|
|
(1,359
|
)
|
|
—
|
|
|
(1,437
|
)
|
|
(2,796
|
)
|
||||
Carrying Value
|
|
$
|
487,557
|
|
|
$
|
168,347
|
|
|
$
|
611,720
|
|
|
$
|
1,267,624
|
|
Three Months Ended September 30, 2015
|
|
Jumbo
|
|
Conforming
|
|
Total MSRs
|
||||||
(Dollars In Thousands)
|
|
|
|
|||||||||
Balance at beginning of period
|
|
$
|
67,004
|
|
|
$
|
101,458
|
|
|
$
|
168,462
|
|
Additions
|
|
|
|
|
|
|
||||||
MSRs retained from Sequoia securitizations
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
MSRs retained from third-party loan sales
|
|
237
|
|
|
15,201
|
|
|
15,438
|
|
|||
Purchased MSRs
|
|
—
|
|
|
7,322
|
|
|
7,322
|
|
|||
Sold MSRs
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Market valuation adjustments
|
|
(13,108
|
)
|
|
(15,388
|
)
|
|
(28,496
|
)
|
|||
Balance at End of Period
|
|
$
|
54,133
|
|
|
$
|
108,593
|
|
|
$
|
162,726
|
|
Nine Months Ended September 30, 2015
|
|
Jumbo
|
|
Conforming
|
|
Total MSRs
|
||||||
(Dollars In Thousands)
|
|
|
|
|||||||||
Balance at beginning of period
|
|
$
|
57,992
|
|
|
$
|
81,301
|
|
|
$
|
139,293
|
|
Additions
|
|
|
|
|
|
|
||||||
MSRs retained from Sequoia securitizations
|
|
7,874
|
|
|
—
|
|
|
7,874
|
|
|||
MSRs retained from third-party loan sales
|
|
501
|
|
|
43,901
|
|
|
44,402
|
|
|||
Purchased MSRs
|
|
—
|
|
|
21,700
|
|
|
21,700
|
|
|||
Sold MSRs
|
|
(132
|
)
|
|
(18,074
|
)
|
|
(18,206
|
)
|
|||
Market valuation adjustments
|
|
(12,102
|
)
|
|
(20,235
|
)
|
|
(32,337
|
)
|
|||
Balance at End of Period
|
|
$
|
54,133
|
|
|
$
|
108,593
|
|
|
$
|
162,726
|
|
|
|
September 30, 2015
|
||||||||||
(Dollars In Thousands)
|
|
Jumbo
|
|
Conforming
|
|
Total
|
||||||
Unpaid principal balance
|
|
$
|
5,943,725
|
|
|
10,790,874
|
|
|
$
|
16,734,599
|
|
|
Fair value of MSRs
|
|
$
|
54,133
|
|
|
$
|
108,593
|
|
|
$
|
162,726
|
|
MSR values as percent of unpaid principal balance
|
|
0.91
|
%
|
|
1.01
|
%
|
|
0.97
|
%
|
|||
Gross cash yield
(1)
|
|
0.27
|
%
|
|
0.23
|
%
|
|
0.24
|
%
|
|||
Number of loans
|
|
8,369
|
|
|
44,398
|
|
|
52,767
|
|
|||
Average loan size
|
|
$
|
710
|
|
|
$
|
245
|
|
|
$
|
319
|
|
Average coupon
|
|
3.98
|
%
|
|
3.82
|
%
|
|
3.88
|
%
|
|||
Average loan age (months)
|
|
25
|
|
|
12
|
|
|
17
|
|
|||
Average original loan-to-value
|
|
67
|
%
|
|
72
|
%
|
|
71
|
%
|
|||
Average original FICO score
|
|
771
|
|
|
761
|
|
|
764
|
|
|||
60+ day delinquencies
|
|
0.04
|
%
|
|
0.07
|
%
|
|
0.06
|
%
|
(1)
|
Gross cash yield is calculated by dividing the annualized quarterly gross servicing fees we received for the three months ended
September 30, 2015
, by the weighted average notional balance of loans associated with MSRs we owned during that period.
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Fair value at beginning of period
|
|
$
|
1,157,285
|
|
|
$
|
—
|
|
|
$
|
581,667
|
|
|
$
|
—
|
|
Transfers between portfolios
|
|
233,429
|
|
|
241,282
|
|
|
897,050
|
|
|
241,282
|
|
||||
Principal repayments
|
|
(39,514
|
)
|
|
(1,639
|
)
|
|
(123,610
|
)
|
|
(1,639
|
)
|
||||
Changes in fair value, net
|
|
9,077
|
|
|
(992
|
)
|
|
5,170
|
|
|
(992
|
)
|
||||
Fair Value at End of Period
|
|
$
|
1,360,277
|
|
|
$
|
238,651
|
|
|
$
|
1,360,277
|
|
|
$
|
238,651
|
|
September 30, 2015
|
|
|
|
|
|||
(In Thousands)
|
|
Principal Balance
|
|
Percent of Total
|
|||
Fixed-rate
|
|
$
|
1,289,237
|
|
|
97
|
%
|
Hybrid
|
|
36,389
|
|
|
3
|
%
|
|
Total Outstanding Principal
|
|
$
|
1,325,626
|
|
|
100
|
%
|
|
|
Three Months Ended September 30,
|
|
|
|
|
Nine Months Ended September 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
Change
|
|
|
2015
|
|
2014
|
|
Change
|
||||||||||||
Interest income
|
|
$
|
11,191
|
|
|
$
|
12,603
|
|
|
$
|
(1,412
|
)
|
|
|
$
|
34,784
|
|
|
$
|
34,204
|
|
|
$
|
580
|
|
Interest expense
|
|
(3,502
|
)
|
|
(4,526
|
)
|
|
1,024
|
|
|
|
(10,488
|
)
|
|
(12,234
|
)
|
|
1,746
|
|
||||||
Net interest income
|
|
7,689
|
|
|
8,077
|
|
|
(388
|
)
|
|
|
24,296
|
|
|
21,970
|
|
|
2,326
|
|
||||||
Provision for loan losses
|
|
60
|
|
|
888
|
|
|
(828
|
)
|
|
|
115
|
|
|
(56
|
)
|
|
171
|
|
||||||
Mortgage banking activities, net
|
|
1,002
|
|
|
6,486
|
|
|
(5,484
|
)
|
|
|
3,323
|
|
|
12,300
|
|
|
(8,977
|
)
|
||||||
Direct operating expenses
|
|
(3,136
|
)
|
|
(2,279
|
)
|
|
(857
|
)
|
|
|
(9,638
|
)
|
|
(7,085
|
)
|
|
(2,553
|
)
|
||||||
Segment contribution before income taxes
|
|
5,615
|
|
|
13,172
|
|
|
(7,557
|
)
|
|
|
18,096
|
|
|
27,129
|
|
|
(9,033
|
)
|
||||||
(Provision for) benefit from income taxes
|
|
(389
|
)
|
|
(1,764
|
)
|
|
1,375
|
|
|
|
321
|
|
|
(2,159
|
)
|
|
2,480
|
|
||||||
Total Segment Contribution
|
|
$
|
5,226
|
|
|
$
|
11,408
|
|
|
$
|
(6,182
|
)
|
|
|
$
|
18,417
|
|
|
$
|
24,970
|
|
|
$
|
(6,553
|
)
|
|
|
Three Months Ended September 30,
|
||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||
(In Thousands)
|
|
Held-for-Sale
|
|
Held-for-Investment
|
|
Held-for-Sale
|
|
Held-for-Investment
|
||||||||
Balance at beginning of period
|
|
$
|
165,853
|
|
|
$
|
385,478
|
|
|
$
|
50,848
|
|
|
$
|
417,918
|
|
Originations/acquisitions
|
|
167,510
|
|
|
12,869
|
|
|
340,200
|
|
|
26,140
|
|
||||
Sales
|
|
(256,581
|
)
|
|
—
|
|
|
(290,563
|
)
|
|
—
|
|
||||
Transfers between portfolios
(1)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Principal repayments
|
|
—
|
|
|
(11,638
|
)
|
|
(83
|
)
|
|
(51,422
|
)
|
||||
Discount amortization
|
|
—
|
|
|
178
|
|
|
—
|
|
|
184
|
|
||||
Provision for loan losses
|
|
—
|
|
|
60
|
|
|
—
|
|
|
888
|
|
||||
Changes in fair value, net
|
|
3,974
|
|
|
454
|
|
|
4,307
|
|
|
(420
|
)
|
||||
Balance at End of Period
|
|
$
|
80,756
|
|
|
$
|
387,401
|
|
|
$
|
104,709
|
|
|
$
|
393,288
|
|
|
|
Nine Months Ended September 30,
|
||||||||||||||
|
|
2015
|
|
2014
|
||||||||||||
(In Thousands)
|
|
Held-for-Sale
|
|
Held-for-Investment
|
|
Held-for-Sale
|
|
Held-for-Investment
|
||||||||
Balance at beginning of period
|
|
$
|
166,234
|
|
|
$
|
400,693
|
|
|
$
|
89,111
|
|
|
$
|
343,344
|
|
Originations/acquisitions
|
|
517,894
|
|
|
22,219
|
|
|
577,530
|
|
|
65,131
|
|
||||
Sales
|
|
(614,024
|
)
|
|
—
|
|
|
(536,549
|
)
|
|
—
|
|
||||
Transfers between portfolios
(1)
|
|
—
|
|
|
—
|
|
|
(37,631
|
)
|
|
37,631
|
|
||||
Principal repayments
|
|
(167
|
)
|
|
(35,441
|
)
|
|
(253
|
)
|
|
(55,723
|
)
|
||||
Discount amortization
|
|
—
|
|
|
565
|
|
|
—
|
|
|
481
|
|
||||
Provision for loan losses
|
|
—
|
|
|
115
|
|
|
—
|
|
|
(56
|
)
|
||||
Changes in fair value, net
|
|
10,819
|
|
|
(750
|
)
|
|
12,501
|
|
|
2,480
|
|
||||
Balance at End of Period
|
|
$
|
80,756
|
|
|
$
|
387,401
|
|
|
$
|
104,709
|
|
|
$
|
393,288
|
|
(1)
|
During the first quarter of 2014, we sold two senior A-note commercial mortgages to third parties that did not qualify as sales under GAAP, and were not derecognized from our balance sheet. These loans and the associated B-note mortgage loans we retained were transferred from held-for-sale to held-for-investment classification and are carried at fair value on our consolidated balance sheets.
|
|
|
Three Months Ended September 30,
|
|
|
|
Nine Months Ended September 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
Change
|
|
2015
|
|
2014
|
|
Change
|
||||||||||||
Loans held-for-sale
|
|
$
|
789
|
|
|
$
|
1,187
|
|
|
$
|
(398
|
)
|
|
$
|
2,129
|
|
|
$
|
2,464
|
|
|
$
|
(335
|
)
|
Loans held-for-investment
|
|
6,900
|
|
|
6,890
|
|
|
10
|
|
|
22,167
|
|
|
19,506
|
|
|
2,661
|
|
||||||
Net interest income
|
|
$
|
7,689
|
|
|
$
|
8,077
|
|
|
$
|
(388
|
)
|
|
$
|
24,296
|
|
|
$
|
21,970
|
|
|
$
|
2,326
|
|
|
|
Three Months Ended September 30,
|
|
|
|
|
Nine Months Ended September 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
Change
|
|
|
2015
|
|
2014
|
|
Change
|
||||||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Commercial loans held-for sale
|
|
$
|
3,974
|
|
|
$
|
4,305
|
|
|
$
|
(331
|
)
|
|
|
$
|
10,819
|
|
|
$
|
13,644
|
|
|
$
|
(2,825
|
)
|
Risk management derivatives
|
|
(3,081
|
)
|
|
1,892
|
|
|
(4,973
|
)
|
|
|
(7,832
|
)
|
|
(1,726
|
)
|
|
(6,106
|
)
|
||||||
Other fee income
|
|
109
|
|
|
289
|
|
|
(180
|
)
|
|
|
336
|
|
|
382
|
|
|
(46
|
)
|
||||||
Total Mortgage Banking Activities, Net
|
|
$
|
1,002
|
|
|
$
|
6,486
|
|
|
$
|
(5,484
|
)
|
|
|
$
|
3,323
|
|
|
$
|
12,300
|
|
|
$
|
(8,977
|
)
|
September 30, 2015
|
|
Number of Loans
|
|
Average Loan Size
|
|
Principal Balance
|
|
Percent of Total Principal
|
|
Weighted Average
DSCR
(1)
|
|
Weighted
Average
LTV
(2)
|
||||||||
(Dollars In Thousands)
|
|
|
|
|
|
|
||||||||||||||
Multi-family
|
|
25
|
|
|
$
|
3,519
|
|
|
$
|
87,983
|
|
|
26
|
%
|
|
1.30
|
|
|
79
|
%
|
Hospitality
|
|
11
|
|
|
6,603
|
|
|
72,635
|
|
|
22
|
%
|
|
1.39
|
|
|
66
|
%
|
||
Office
|
|
12
|
|
|
7,167
|
|
|
86,002
|
|
|
26
|
%
|
|
1.22
|
|
|
77
|
%
|
||
Retail
|
|
10
|
|
|
5,744
|
|
|
57,440
|
|
|
17
|
%
|
|
1.18
|
|
|
77
|
%
|
||
Self-storage
|
|
3
|
|
|
6,332
|
|
|
18,995
|
|
|
6
|
%
|
|
1.39
|
|
|
75
|
%
|
||
Other
|
|
4
|
|
|
2,597
|
|
|
10,388
|
|
|
3
|
%
|
|
1.43
|
|
|
76
|
%
|
||
Total
|
|
65
|
|
|
$
|
5,130
|
|
|
$
|
333,443
|
|
|
100
|
%
|
|
1.29
|
|
|
75
|
%
|
(1)
|
The debt service coverage ratio (“DSCR”) is defined as the property’s annual net operating income divided by the annual principal and interest payments of all outstanding borrowings. The weighted average DSCRs in this table are based on the ratios at the time the loans were originated and are not based on subsequent time periods during which there may have been increases or decreases in each property’s operating income.
|
(2)
|
The loan-to-value (“LTV”) calculation is defined as the sum of the senior and all subordinate loan amounts divided by the value of the property at the time the loan was originated.
|
Geographic Concentration (by Principal)
|
|
September 30, 2015
|
|
California
|
|
21
|
%
|
New York
|
|
18
|
%
|
Florida
|
|
12
|
%
|
Michigan
|
|
9
|
%
|
Texas
|
|
6
|
%
|
Tennessee
|
|
5
|
%
|
Washington
|
|
4
|
%
|
District of Columbia
|
|
4
|
%
|
Delaware
|
|
3
|
%
|
Other states (none greater than 3%)
|
|
18
|
%
|
Total
|
|
100
|
%
|
|
|
Three Months Ended September 30,
|
|
|
|
|
Nine Months Ended September 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
Change
|
|
|
2015
|
|
2014
|
|
Change
|
||||||||||||
Interest income
|
|
$
|
6,098
|
|
|
$
|
6,233
|
|
|
$
|
(135
|
)
|
|
|
$
|
19,578
|
|
|
$
|
19,473
|
|
|
$
|
105
|
|
Interest expense
|
|
(3,842
|
)
|
|
(5,250
|
)
|
|
1,408
|
|
|
|
(12,372
|
)
|
|
(15,950
|
)
|
|
3,578
|
|
||||||
Net interest income
|
|
2,256
|
|
|
983
|
|
|
1,273
|
|
|
|
7,206
|
|
|
3,523
|
|
|
3,683
|
|
||||||
Reversal of provision for loan losses
|
|
—
|
|
|
708
|
|
|
(708
|
)
|
|
|
—
|
|
|
685
|
|
|
(685
|
)
|
||||||
Investing activities, net
|
|
(501
|
)
|
|
(361
|
)
|
|
(140
|
)
|
|
|
(2,277
|
)
|
|
(825
|
)
|
|
(1,452
|
)
|
||||||
Realized gains
|
|
—
|
|
|
696
|
|
|
(696
|
)
|
|
|
—
|
|
|
872
|
|
|
(872
|
)
|
||||||
Operating expenses
|
|
—
|
|
|
(26
|
)
|
|
26
|
|
|
|
—
|
|
|
(120
|
)
|
|
120
|
|
||||||
Net Income from Consolidated Sequoia Entities
|
|
$
|
1,755
|
|
|
$
|
2,000
|
|
|
$
|
(245
|
)
|
|
|
$
|
4,929
|
|
|
$
|
4,135
|
|
|
$
|
794
|
|
(In Thousands)
|
|
September 30, 2015
|
|
December 31, 2014
|
||||
Residential loans held for investment, at fair value
(1)
|
|
$
|
1,170,246
|
|
|
$
|
1,474,386
|
|
Other assets
|
|
5,598
|
|
|
7,589
|
|
||
Total Assets
|
|
$
|
1,175,844
|
|
|
$
|
1,481,975
|
|
Other liabilities
|
|
$
|
814
|
|
|
$
|
981
|
|
Asset-backed securities issued, at fair value
(1)
|
|
1,105,588
|
|
|
1,416,762
|
|
||
Total liabilities
|
|
1,106,402
|
|
|
1,417,743
|
|
||
Equity (fair value of Redwood's retained investments in entities)
|
|
69,442
|
|
|
64,232
|
|
||
Total Liabilities and Equity
|
|
$
|
1,175,844
|
|
|
$
|
1,481,975
|
|
(1)
|
On January 1, 2015, we adopted ASU 2014-13 and began to account for residential loans held-for-investment and asset backed securities issued at consolidated Sequoia entities (which are VIEs) at fair value. At December 31, 2014, amounts presented in residential loans held-for-investment and asset-based securities issued are at historical cost. See
Note 3 - Summary of Significant Accounting Policies
included in Part I, Item 1 of this Quarterly Report on Form 10-Q for further discussion.
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
||||||||
Balance at beginning of period
|
|
$
|
1,237,114
|
|
|
$
|
1,616,505
|
|
|
$
|
1,474,386
|
|
|
$
|
1,762,168
|
|
ASU 2014-13 election adjustment
|
|
—
|
|
|
—
|
|
|
(103,649
|
)
|
|
—
|
|
||||
Adjusted beginning balance
|
|
1,237,114
|
|
|
1,616,505
|
|
|
1,370,737
|
|
|
1,762,168
|
|
||||
Principal repayments
|
|
(65,556
|
)
|
|
(67,026
|
)
|
|
(201,353
|
)
|
|
(209,578
|
)
|
||||
Charge-offs, net
|
|
—
|
|
|
1,354
|
|
|
—
|
|
|
2,832
|
|
||||
Premium amortization
|
|
—
|
|
|
(1,046
|
)
|
|
—
|
|
|
(3,251
|
)
|
||||
Transfers to REO
|
|
(893
|
)
|
|
(3,988
|
)
|
|
(4,050
|
)
|
|
(6,349
|
)
|
||||
Provision for loan losses
|
|
—
|
|
|
708
|
|
|
—
|
|
|
685
|
|
||||
Changes in fair value, net
|
|
(419
|
)
|
|
—
|
|
|
4,912
|
|
|
—
|
|
||||
Balance at End of Period
|
|
$
|
1,170,246
|
|
|
$
|
1,546,507
|
|
|
$
|
1,170,246
|
|
|
$
|
1,546,507
|
|
September 30, 2015
|
|
|
|
|
|||
(Dollars In Thousands)
|
|
Principal Balance
|
|
Percent of Total
|
|||
First Lien
|
|
|
|
|
|||
ARM
|
|
$
|
1,144,645
|
|
|
89.73
|
%
|
Fixed
|
|
87,582
|
|
|
6.87
|
%
|
|
Hybrid (years to reset)
|
|
|
|
|
|||
Reset
(1)
|
|
27,704
|
|
|
2.17
|
%
|
|
0-4
|
|
2,749
|
|
|
0.22
|
%
|
|
5-8
|
|
3,698
|
|
|
0.29
|
%
|
|
Second Lien
|
|
|
|
|
|||
ARM
|
|
9,231
|
|
|
0.72
|
%
|
|
Total Outstanding Principal
|
|
$
|
1,275,609
|
|
|
100
|
%
|
(1)
|
These loans represent hybrid loans that have reached the initial interest rate reset date and are currently adjustable rate mortgages.
|
|
|
Three Months Ended September 30,
|
|
Nine Months Ended September 30,
|
||||||||||||
(In Thousands)
|
|
2015 est.
(1)
|
|
2014
|
|
2015 est.
(1)
|
|
2014
|
||||||||
REIT taxable income
|
|
$
|
23,717
|
|
|
$
|
17,832
|
|
|
$
|
56,440
|
|
|
$
|
47,497
|
|
Taxable REIT subsidiary loss
|
|
(408
|
)
|
|
(1,988
|
)
|
|
(29,869
|
)
|
|
(5,734
|
)
|
||||
Total taxable income
|
|
$
|
23,309
|
|
|
$
|
15,844
|
|
|
$
|
26,571
|
|
|
$
|
41,763
|
|
Distributions to shareholders
|
|
$
|
23,318
|
|
|
$
|
23,274
|
|
|
$
|
70,322
|
|
|
$
|
69,616
|
|
|
|
|
|
|
|
|
|
|
||||||||
REIT taxable income per share
|
|
$
|
0.29
|
|
|
$
|
0.21
|
|
|
$
|
0.68
|
|
|
$
|
0.57
|
|
Total taxable income per share
|
|
$
|
0.29
|
|
|
$
|
0.19
|
|
|
$
|
0.33
|
|
|
$
|
0.50
|
|
(1)
|
Our tax results for the
three and nine
months ended
September 30, 2015
are estimates until we file tax returns for 2015.
|
|
|
Three Months Ended September 30, 2015
|
||||||||||
(In Thousands, Except per Share Data)
|
|
Tax (Est.)
|
|
GAAP
|
|
Differences
|
||||||
Interest income
|
|
$
|
56,042
|
|
|
$
|
63,484
|
|
|
$
|
(7,442
|
)
|
Interest expense
|
|
(19,959
|
)
|
|
(23,875
|
)
|
|
3,916
|
|
|||
Net interest income
|
|
36,083
|
|
|
39,609
|
|
|
(3,526
|
)
|
|||
Reversal of provision for loan losses
|
|
—
|
|
|
60
|
|
|
(60
|
)
|
|||
Realized credit losses
|
|
(1,122
|
)
|
|
—
|
|
|
(1,122
|
)
|
|||
Mortgage banking and investment activities, net
|
|
(14,275
|
)
|
|
(12,836
|
)
|
|
(1,439
|
)
|
|||
MSR income (loss), net
|
|
27,230
|
|
|
3,549
|
|
|
23,681
|
|
|||
Operating expenses
|
|
(25,175
|
)
|
|
(24,497
|
)
|
|
(678
|
)
|
|||
Other income
|
|
572
|
|
|
327
|
|
|
245
|
|
|||
Realized gains, net
|
|
—
|
|
|
5,548
|
|
|
(5,548
|
)
|
|||
Benefit from (provision for) income taxes
|
|
(4
|
)
|
|
7,404
|
|
|
(7,408
|
)
|
|||
Net Income
|
|
$
|
23,309
|
|
|
$
|
19,164
|
|
|
$
|
4,145
|
|
|
|
|
|
|
|
|
||||||
Income per share
|
|
$
|
0.29
|
|
|
$
|
0.22
|
|
|
$
|
0.07
|
|
|
|
Three Months Ended September 30, 2014
|
||||||||||
(In Thousands, Except per Share Data)
|
|
Tax
|
|
GAAP
|
|
Differences
|
||||||
Interest income
|
|
$
|
54,243
|
|
|
$
|
63,351
|
|
|
$
|
(9,108
|
)
|
Interest expense
|
|
(19,602
|
)
|
|
(23,350
|
)
|
|
3,748
|
|
|||
Net interest income
|
|
34,641
|
|
|
40,001
|
|
|
(5,360
|
)
|
|||
Reversal of provision for loan losses
|
|
—
|
|
|
1,596
|
|
|
(1,596
|
)
|
|||
Realized credit losses
|
|
(1,083
|
)
|
|
—
|
|
|
(1,083
|
)
|
|||
Mortgage banking and investment activities, net
|
|
759
|
|
|
14,166
|
|
|
(13,407
|
)
|
|||
MSR income (loss), net
|
|
3,981
|
|
|
5,821
|
|
|
(1,840
|
)
|
|||
Operating expenses
|
|
(22,422
|
)
|
|
(21,406
|
)
|
|
(1,016
|
)
|
|||
Other income
|
|
—
|
|
|
1,600
|
|
|
(1,600
|
)
|
|||
Realized gains, net
|
|
—
|
|
|
8,532
|
|
|
(8,532
|
)
|
|||
Benefit from (provision for) income taxes
|
|
(32
|
)
|
|
(5,213
|
)
|
|
5,181
|
|
|||
Net Income
|
|
$
|
15,844
|
|
|
$
|
45,097
|
|
|
$
|
(29,253
|
)
|
|
|
|
|
|
|
|
||||||
Income per share
|
|
$
|
0.19
|
|
|
$
|
0.50
|
|
|
$
|
(0.31
|
)
|
|
|
Nine Months Ended September 30, 2015
|
||||||||||
(In Thousands, Except per Share Data)
|
|
Tax (Est.)
|
|
GAAP
|
|
Differences
|
||||||
Interest income
|
|
$
|
164,699
|
|
|
$
|
190,603
|
|
|
$
|
(25,904
|
)
|
Interest expense
|
|
(58,324
|
)
|
|
(70,844
|
)
|
|
12,520
|
|
|||
Net interest income
|
|
106,375
|
|
|
119,759
|
|
|
(13,384
|
)
|
|||
Reversal of provision for loan losses
|
|
—
|
|
|
115
|
|
|
(115
|
)
|
|||
Realized credit losses
|
|
(4,947
|
)
|
|
—
|
|
|
(4,947
|
)
|
|||
Mortgage banking activities, net
|
|
(32,111
|
)
|
|
(6,399
|
)
|
|
(25,712
|
)
|
|||
MSR income (loss), net
|
|
36,706
|
|
|
(6,545
|
)
|
|
43,251
|
|
|||
Operating expenses
|
|
(81,066
|
)
|
|
(74,778
|
)
|
|
(6,288
|
)
|
|||
Other income
|
|
1,625
|
|
|
2,435
|
|
|
(810
|
)
|
|||
Realized gains, net
|
|
—
|
|
|
16,170
|
|
|
(16,170
|
)
|
|||
Benefit from (provision for) income taxes
|
|
(11
|
)
|
|
10,272
|
|
|
(10,283
|
)
|
|||
Net Income
|
|
$
|
26,571
|
|
|
$
|
61,029
|
|
|
$
|
(34,458
|
)
|
|
|
|
|
|
|
|
||||||
Income per share
|
|
$
|
0.33
|
|
|
$
|
0.69
|
|
|
$
|
(0.36
|
)
|
|
|
Nine Months Ended September 30, 2014
|
||||||||||
(In Thousands, Except per Share Data)
|
|
Tax
|
|
GAAP
|
|
Differences
|
||||||
Interest income
|
|
$
|
149,538
|
|
|
$
|
176,820
|
|
|
$
|
(27,282
|
)
|
Interest expense
|
|
(58,014
|
)
|
|
(63,560
|
)
|
|
5,546
|
|
|||
Net interest income
|
|
91,524
|
|
|
113,260
|
|
|
(21,736
|
)
|
|||
Reversal of provision for loan losses
|
|
—
|
|
|
629
|
|
|
(629
|
)
|
|||
Realized credit losses
|
|
(5,186
|
)
|
|
—
|
|
|
(5,186
|
)
|
|||
Mortgage banking activities, net
|
|
8,925
|
|
|
9,984
|
|
|
(1,059
|
)
|
|||
MSR income (loss), net
|
|
10,855
|
|
|
4,650
|
|
|
6,205
|
|
|||
Operating expenses
|
|
(64,258
|
)
|
|
(63,660
|
)
|
|
(598
|
)
|
|||
Other income
|
|
—
|
|
|
1,600
|
|
|
(1,600
|
)
|
|||
Realized gains, net
|
|
—
|
|
|
10,687
|
|
|
(10,687
|
)
|
|||
Benefit from (provision for) income taxes
|
|
(97
|
)
|
|
(3,703
|
)
|
|
3,606
|
|
|||
Net Income
|
|
$
|
41,763
|
|
|
$
|
73,447
|
|
|
$
|
(31,684
|
)
|
|
|
|
|
|
|
|
||||||
Income per share
|
|
$
|
0.50
|
|
|
$
|
0.84
|
|
|
$
|
(0.34
|
)
|
September 30, 2015
|
|
Payments Due or Commitment Expiration by Period
|
||||||||||||||||||
(In Millions)
|
|
Less Than
1 Year
|
|
1 to 3
Years
|
|
3 to 5
Years
|
|
After 5
Years
|
|
Total
|
||||||||||
Obligations of Redwood
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt
|
|
$
|
1,747
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,747
|
|
Convertible notes
|
|
—
|
|
|
288
|
|
|
205
|
|
|
—
|
|
|
493
|
|
|||||
Anticipated interest payments on convertible notes
|
|
25
|
|
|
44
|
|
|
23
|
|
|
—
|
|
|
92
|
|
|||||
FHLBC borrowings
|
|
126
|
|
|
74
|
|
|
—
|
|
|
1,050
|
|
|
1,250
|
|
|||||
Anticipated interest payments on FHLBC borrowings
|
|
5
|
|
|
26
|
|
|
42
|
|
|
136
|
|
|
209
|
|
|||||
Other long-term debt
|
|
—
|
|
|
—
|
|
|
—
|
|
|
140
|
|
|
140
|
|
|||||
Anticipated interest payments on other long-term debt
(1)
|
|
9
|
|
|
19
|
|
|
19
|
|
|
154
|
|
|
201
|
|
|||||
Accrued interest payable
|
|
14
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
14
|
|
|||||
Operating leases
|
|
3
|
|
|
5
|
|
|
2
|
|
|
1
|
|
|
11
|
|
|||||
Total Redwood Obligations and Commitments
|
|
$
|
1,929
|
|
|
$
|
456
|
|
|
$
|
291
|
|
|
$
|
1,481
|
|
|
$
|
4,157
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Obligations of Consolidated Entities for Financial Reporting Purposes
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Consolidated ABS
(2)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,294
|
|
|
$
|
1,294
|
|
Anticipated interest payments on ABS
(3)
|
|
19
|
|
|
43
|
|
|
52
|
|
|
189
|
|
|
303
|
|
|||||
Accrued interest payable
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|||||
Total Obligations of Entities Consolidated for Financial Reporting Purposes
|
|
20
|
|
|
43
|
|
|
52
|
|
|
1,483
|
|
|
1,598
|
|
|||||
Total Consolidated Obligations and Commitments
|
|
$
|
1,949
|
|
|
$
|
499
|
|
|
$
|
343
|
|
|
$
|
2,964
|
|
|
$
|
5,755
|
|
(1)
|
Includes anticipated interest payments related to hedges.
|
(2)
|
All consolidated ABS issued are collateralized by real estate loans and securities. Although the stated maturity is as shown, the ABS obligations will pay down as the principal balances of these real estate loans or securities pay down. The amount shown is the principal balance of the ABS issued and not necessarily the value reported in our consolidated financial statements.
|
(3)
|
The anticipated interest payments on consolidated ABS issued is calculated based on the contractual maturity of the ABS and therefore assumes no prepayments of the principal outstanding at
September 30, 2015
.
|
|
|
Total Number of Shares Purchased or Acquired
|
|
Average
Price per
Share Paid
|
|
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
|
|
Maximum Number (or approximate dollar value) of Shares that May Yet be Purchased Under the Plans or Programs
|
||||||
(In Thousands, Except Per Share data)
|
|
|
|
|
||||||||||
July 1, 2015 - July 31, 2015
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
August 1, 2015 - August 31, 2015
|
|
497
|
|
|
$
|
14.64
|
|
|
497
|
|
|
$
|
92,724
|
|
September 1, 2015 - September 30, 2015
|
|
1,955
|
|
|
$
|
14.38
|
|
|
1,955
|
|
|
$
|
64,624
|
|
Total
|
|
2,452
|
|
|
$
|
14.43
|
|
|
2,452
|
|
|
$
|
64,624
|
|
|
|
|
|
|
|
|
|
|
Exhibit
Number |
|
Exhibit
|
3.1
|
|
Articles of Amendment and Restatement of the Registrant, effective July 6, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1, filed on August 6, 2008)
|
3.1.1
|
|
Articles Supplementary of the Registrant, effective August 10, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.1, filed on August 6, 2008)
|
3.1.2
|
|
Articles Supplementary of the Registrant, effective August 11, 1995 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.2, filed on August 6, 2008)
|
3.1.3
|
|
Articles Supplementary of the Registrant, effective August 9, 1996 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.3, filed on August 6, 2008)
|
3.1.4
|
|
Certificate of Amendment of the Registrant, effective June 30, 1998 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.4, filed on August 6, 2008)
|
3.1.5
|
|
Articles Supplementary of the Registrant, effective April 7, 2003 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.5, filed on August 6, 2008)
|
3.1.6
|
|
Articles of Amendment of the Registrant, effective June 12, 2008 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.6, filed on August 6, 2008)
|
3.1.7
|
|
Articles of Amendment of the Registrant, effective May 19, 2009 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2009)
|
3.1.8
|
|
Articles of Amendment of the Registrant, effective May 24, 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 20, 2011)
|
3.1.9
|
|
Articles of Amendment of the Registrant, effective May 18, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2012)
|
3.1.10
|
|
Articles of Amendment of the Registrant, effective May 16, 2013 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2013)
|
3.2.1
|
|
Amended and Restated Bylaws of the Registrant, as adopted on March 5, 2008 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on March 11, 2008)
|
3.2.2
|
|
First Amendment to Amended and Restated Bylaws of the Registrant, as adopted on May 17, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.2, filed on May 21, 2012)
|
10.1
|
|
Sixth Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of August 5, 2015
|
31.1
|
|
Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
31.2
|
|
Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
32.1
|
|
Certification of the Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
32.2
|
|
Certification of the Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
101
|
|
Pursuant to Rule 405 of Regulation S-T, the following financial information from the Company’s Quarterly Report on Form 10-Q for the period ended September 30, 2015, is filed in XBRL-formatted interactive data files:
(i) Consolidated Balance Sheets at September 30, 2015 and December 31, 2014;
(ii) Consolidated Statements of Income for the three and nine months ended September 30, 2015 and 2014;
(iii) Statements of Consolidated Comprehensive Income for the three and nine months ended September 30, 2015 and 2014;
(iv) Consolidated Statements of Changes in Equity for the nine months ended September 30, 2015 and 2014;
(v) Consolidated Statements of Cash Flows for the nine months ended September 30, 2015 and 2014; and
(vi) Notes to Consolidated Financial Statements.
|
|
|
REDWOOD TRUST, INC.
|
|
|
|
|
|
Date:
|
November 6, 2015
|
By:
|
/s/ Martin S. Hughes
|
|
|
|
Martin S. Hughes
|
|
|
|
Chief Executive Officer
|
|
|
|
(Principal Executive Officer)
|
|
|
|
|
Date:
|
November 6, 2015
|
By:
|
/s/ Christopher J. Abate
|
|
|
|
Christopher J. Abate
|
|
|
|
Chief Financial Officer
|
|
|
|
(Principal Financial Officer)
|
|
|
|
|
Date:
|
November 6, 2015
|
By:
|
/s/ Collin L. Cochrane
|
|
|
|
Collin L. Cochrane
|
|
|
|
Controller
|
|
|
|
(Principal Accounting Officer)
|
Exhibit
Number |
|
Exhibit
|
3.1
|
|
Articles of Amendment and Restatement of the Registrant, effective July 6, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1, filed on August 6, 2008)
|
3.1.1
|
|
Articles Supplementary of the Registrant, effective August 10, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.1, filed on August 6, 2008)
|
3.1.2
|
|
Articles Supplementary of the Registrant, effective August 11, 1995 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.2, filed on August 6, 2008)
|
3.1.3
|
|
Articles Supplementary of the Registrant, effective August 9, 1996 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.3, filed on August 6, 2008)
|
3.1.4
|
|
Certificate of Amendment of the Registrant, effective June 30, 1998 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.4, filed on August 6, 2008)
|
3.1.5
|
|
Articles Supplementary of the Registrant, effective April 7, 2003 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.5, filed on August 6, 2008)
|
3.1.6
|
|
Articles of Amendment of the Registrant, effective June 12, 2008 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.6, filed on August 6, 2008)
|
3.1.7
|
|
Articles of Amendment of the Registrant, effective May 19, 2009 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2009)
|
3.1.8
|
|
Articles of Amendment of the Registrant, effective May 24, 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 20, 2011)
|
3.1.9
|
|
Articles of Amendment of the Registrant, effective May 18, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2012)
|
3.1.10
|
|
Articles of Amendment of the Registrant, effective May 16, 2013 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2013)
|
3.2.1
|
|
Amended and Restated Bylaws of the Registrant, as adopted on March 5, 2008 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on March 11, 2008)
|
3.2.2
|
|
First Amendment to Amended and Restated Bylaws of the Registrant, as adopted on May 17, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.2, filed on May 21, 2012)
|
10.1
|
|
Sixth Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of August 5, 2015
|
31.1
|
|
Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
31.2
|
|
Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
32.1
|
|
Certification of the Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
32.2
|
|
Certification of the Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
101
|
|
Pursuant to Rule 405 of Regulation S-T, the following financial information from the Company’s Quarterly Report on Form 10-Q for the period ended September 30, 2015, is filed in XBRL-formatted interactive data files:
(i) Consolidated Balance Sheets at September 30, 2015 and December 31, 2014;
(ii) Consolidated Statements of Income for the three and nine months ended September 30, 2015 and 2014;
(iii) Statements of Consolidated Comprehensive Income for the three and nine months ended September 30, 2015 and 2014;
(iv) Consolidated Statements of Changes in Equity for the nine months ended September 30, 2015 and 2014; (v) Consolidated Statements of Cash Flows for the nine months ended September 30, 2015 and 2014; and (vi) Notes to Consolidated Financial Statements. |
|
(1)
|
Section 3(a) of the Employment Agreement shall be amended, effective as of January 1, 2015, to replace the base salary amount of “$575,000” specified therein with “$600,000”.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REDWOOD TRUST, INC.
|
|
|
||
|
|
|
|
|
||||
|
|
|
|
By:
|
|
/s/ MARTIN S. HUGHES
|
|
|
|
|
|
|
|
|
Name: Martin S. Hughes
|
|
|
|
|
|
|
|
|
Title: Chief Executive Officer
|
|
|
|
|
|
|
|||||
|
|
|
|
BRETT D. NICHOLAS
|
|
|
||
|
|
|
|
|
||||
|
|
|
|
|
|
/s/ BRETT D. NICHOLAS
|
|
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Redwood Trust, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over the financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: November 6, 2015
|
|
/s/ Martin S. Hughes
|
|
|
Martin S. Hughes
|
|
|
Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Redwood Trust, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over the financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: November 6, 2015
|
|
/s/ Christopher J. Abate
|
|
|
Christopher J. Abate
|
|
|
Chief Financial Officer
|
Date: November 6, 2015
|
|
/s/ Martin S. Hughes
|
|
|
Martin S. Hughes
|
|
|
Chief Executive Officer
|
Date: November 6, 2015
|
|
/s/ Christopher J. Abate
|
|
|
Christopher J. Abate
|
|
|
Chief Financial Officer
|