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x
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 |
o
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 |
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Maryland
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68-0329422
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(State or Other Jurisdiction of
Incorporation or Organization) |
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(I.R.S. Employer
Identification No.) |
Title of Each Class:
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Name of Exchange on Which Registered:
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Common Stock, par value $0.01 per share
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New York Stock Exchange
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Large accelerated filer
x
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Accelerated filer
o
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Non-accelerated filer
o
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Smaller reporting company
o
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Page
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PART I
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Item 1.
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Item 1A.
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Item 1B.
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Item 2.
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Item 3.
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Item 4.
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Item 5.
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Market for Registrant’s Common Equity, Related Stockholder Matters, and Issuer Purchases of Equity Securities
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Item 6.
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Item 7.
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Item 7A.
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Item 8.
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Item 9.
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Item 9A.
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Item 9B.
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Item 10.
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Item 11.
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Item 12.
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Item 13.
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Item 14.
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Item 15.
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•
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increasing our vulnerability to adverse economic and industry conditions;
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•
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limiting our ability to obtain additional financing;
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•
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requiring the dedication of a substantial portion of our cash flow from operations to service our indebtedness, thereby reducing the amount of our cash flow available for other purposes;
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•
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requiring asset sales to fund maturing debt;
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•
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limiting our flexibility in planning for, or reacting to, changes in our business;
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•
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dilution experienced by our existing stockholders as a result of the conversion of the convertible notes or exchangeable securities into shares of common stock; and
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•
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placing us at a possible competitive disadvantage with less leveraged competitors and competitors that may have better access to capital resources.
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•
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Compliance with the REIT income and asset rules, or uncertainty about the application of those rules to certain investments, may result in our holding investments in our taxable REIT subsidiaries (where any income they produce is subject to corporate-level taxation) when we would prefer to hold those investments in an entity that is taxed as a REIT (where they would not be subject to corporate-level taxation.
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•
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Compliance with the REIT income and asset rules may limit the type or extent of financing or hedging that we can undertake.
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•
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Our ability to own non-real estate assets and earn non-real estate related income is limited, and the rules for classifying assets and income are complicated. Our ability to own equity interests in other entities is also limited. If we fail to comply with these limits, we may be forced to liquidate attractive investments on short notice on unfavorable terms in order to maintain our REIT status.
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•
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We generally use taxable REIT subsidiaries to own non-real estate assets and engage in activities that may give rise to non-real estate related income under the REIT rules. However, our ability to invest in taxable REIT subsidiaries is limited under the REIT rules. No more than 25% (20% for taxable years beginning after December 31, 2017) of the value of our total securities can be represented by securities of one or more taxable REIT subsidiaries. Maintaining compliance with this limit could require us to constrain the growth of our taxable REIT subsidiaries in the future.
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•
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Meeting minimum REIT dividend distribution requirements could reduce our liquidity. We may earn non-cash REIT taxable income due to timing and/or character mismatches between the computation of our income for tax and accounting purposes. Earning non-cash REIT taxable income could necessitate our selling assets, incurring debt, or raising new equity in order to fund dividend distributions.
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•
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We could be viewed as a “dealer” with respect to certain transactions and become subject to a 100% prohibited transaction tax or other entity-level taxes on income from such transactions.
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•
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Our actual or anticipated financial condition, performance, and prospects and those of our competitors.
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•
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The market for similar securities issued by other REITs and other competitors of ours.
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•
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Changes in the manner that investors and securities analysts who provide research to the marketplace on us analyze the value of our common stock.
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•
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Changes in recommendations or in estimated financial results published by securities analysts who provide research to the marketplace on us, our competitors, or our industry.
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•
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General economic and financial market conditions, including, among other things, actual and projected interest rates, prepayments, and credit performance and the markets for the types of assets we hold or invest in.
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•
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Proposals to significantly change the manner in which financial markets, financial institutions, and related industries, or financial products are regulated under applicable law, or the enactment of such proposals into law or regulation.
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•
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Other events or circumstances which undermine confidence in the financial markets or otherwise have a broad impact on financial markets, such as the sudden instability or collapse of large financial institutions or other significant corporations (whether due to fraud or other factors), terrorist attacks, natural or man-made disasters, or threatened or actual armed conflicts.
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Location
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Lease
Expiration
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One Belvedere Place, Suite 300
|
2018
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Mill Valley, CA 94941
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|
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8310 South Valley Highway, Suite 425
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2021
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Englewood, CO 80112
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225 W. Washington St., Suite 1440
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2019
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Chicago, IL 60606
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Stock Prices
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Common Dividends Declared
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||||||||||||||
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High
|
|
Low
|
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Record
Date
|
|
Payable
Date
|
|
Per
Share
|
|
Dividend
Type
|
||||||
Year Ended December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fourth Quarter
|
$
|
16.20
|
|
|
$
|
13.49
|
|
|
12/15/2016
|
|
12/29/2016
|
|
$
|
0.28
|
|
|
Regular
|
Third Quarter
|
$
|
15.07
|
|
|
$
|
13.29
|
|
|
9/15/2016
|
|
9/30/2016
|
|
$
|
0.28
|
|
|
Regular
|
Second Quarter
|
$
|
14.53
|
|
|
$
|
12.49
|
|
|
6/16/2016
|
|
6/30/2016
|
|
$
|
0.28
|
|
|
Regular
|
First Quarter
|
$
|
13.92
|
|
|
$
|
9.36
|
|
|
3/16/2016
|
|
3/31/2016
|
|
$
|
0.28
|
|
|
Regular
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Year Ended December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Fourth Quarter
|
$
|
14.25
|
|
|
$
|
12.55
|
|
|
12/17/2015
|
|
12/29/2015
|
|
$
|
0.28
|
|
|
Regular
|
Third Quarter
|
$
|
16.20
|
|
|
$
|
13.84
|
|
|
9/15/2015
|
|
9/30/2015
|
|
$
|
0.28
|
|
|
Regular
|
Second Quarter
|
$
|
18.54
|
|
|
$
|
15.70
|
|
|
6/16/2015
|
|
6/30/2015
|
|
$
|
0.28
|
|
|
Regular
|
First Quarter
|
$
|
20.38
|
|
|
$
|
17.87
|
|
|
3/17/2015
|
|
3/31/2015
|
|
$
|
0.28
|
|
|
Regular
|
|
|
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)
|
|
|
|
|
||||||||||
October 1, 2016 - October 31, 2016
|
|
26
|
|
|
$
|
13.53
|
|
|
25
|
|
|
$
|
—
|
|
November 1, 2016 - November 30, 2016
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
December 1, 2016 - December 31, 2016
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
86,109
|
|
Total
|
|
26
|
|
|
$
|
13.53
|
|
|
25
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
2011
|
|
2012
|
|
2013
|
|
2014
|
|
2015
|
|
2016
|
Redwood Trust, Inc.
|
100
|
|
179
|
|
217
|
|
234
|
|
169
|
|
211
|
NAREIT Mortgage REIT Index
|
100
|
|
120
|
|
118
|
|
138
|
|
126
|
|
155
|
S&P Composite-500 Index
|
100
|
|
116
|
|
154
|
|
175
|
|
177
|
|
198
|
(In Thousands, except Share Data)
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Selected Statement of Operations Data:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest income
|
|
$
|
246,355
|
|
|
$
|
259,432
|
|
|
$
|
242,070
|
|
|
$
|
226,156
|
|
|
$
|
231,384
|
|
Interest expense
|
|
(88,528
|
)
|
|
(95,883
|
)
|
|
(87,463
|
)
|
|
(80,971
|
)
|
|
(120,705
|
)
|
|||||
Net Interest Income
|
|
157,827
|
|
|
163,549
|
|
|
154,607
|
|
|
145,185
|
|
|
110,679
|
|
|||||
Reversal of (provision for) loan losses
|
|
7,102
|
|
|
355
|
|
|
(961
|
)
|
|
(4,737
|
)
|
|
(3,648
|
)
|
|||||
Net Interest Income after Provision
|
|
164,929
|
|
|
163,904
|
|
|
153,646
|
|
|
140,448
|
|
|
107,031
|
|
|||||
Non-interest Income
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking activities, net
|
|
38,691
|
|
|
10,972
|
|
|
34,994
|
|
|
102,532
|
|
|
36,593
|
|
|||||
Mortgage servicing rights income (loss), net
|
|
14,353
|
|
|
(3,922
|
)
|
|
(4,261
|
)
|
|
20,309
|
|
|
(1,391
|
)
|
|||||
Investment fair value changes, net
|
|
(28,574
|
)
|
|
(21,357
|
)
|
|
(10,202
|
)
|
|
(5,747
|
)
|
|
1,539
|
|
|||||
Other income
|
|
6,338
|
|
|
3,192
|
|
|
1,781
|
|
|
—
|
|
|
—
|
|
|||||
Realized gains, net
|
|
28,009
|
|
|
36,369
|
|
|
15,478
|
|
|
25,259
|
|
|
54,921
|
|
|||||
Total non-interest income, net
|
|
58,817
|
|
|
25,254
|
|
|
37,790
|
|
|
142,353
|
|
|
91,662
|
|
|||||
Operating expenses
|
|
(88,786
|
)
|
|
(97,416
|
)
|
|
(90,123
|
)
|
|
(86,607
|
)
|
|
(65,633
|
)
|
|||||
Other expense
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(12,000
|
)
|
|
—
|
|
|||||
Net Income before Provision for Income Taxes
|
|
134,960
|
|
|
91,742
|
|
|
101,313
|
|
|
184,194
|
|
|
133,060
|
|
|||||
(Provision for) benefit from income taxes
|
|
(3,708
|
)
|
|
10,346
|
|
|
(744
|
)
|
|
(10,948
|
)
|
|
(1,291
|
)
|
|||||
Net Income
|
|
$
|
131,252
|
|
|
$
|
102,088
|
|
|
$
|
100,569
|
|
|
$
|
173,246
|
|
|
$
|
131,769
|
|
Average common shares – basic
|
|
76,747,047
|
|
|
82,945,103
|
|
|
82,837,369
|
|
|
81,985,897
|
|
|
79,529,950
|
|
|||||
Earnings per share – basic
|
|
$
|
1.66
|
|
|
$
|
1.20
|
|
|
$
|
1.18
|
|
|
$
|
2.05
|
|
|
$
|
1.61
|
|
Average common shares – diluted
(1)
|
|
97,909,090
|
|
|
84,518,395
|
|
|
85,098,579
|
|
|
93,694,924
|
|
|
80,673,682
|
|
|||||
Earnings per share – diluted
|
|
$
|
1.54
|
|
|
$
|
1.18
|
|
|
$
|
1.15
|
|
|
$
|
1.94
|
|
|
$
|
1.59
|
|
Regular dividends declared per common share
|
|
$
|
1.12
|
|
|
$
|
1.12
|
|
|
$
|
1.12
|
|
|
$
|
1.12
|
|
|
$
|
1.00
|
|
Selected Balance Sheet Data:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Earning assets
|
|
$
|
5,240,560
|
|
|
$
|
5,976,911
|
|
|
$
|
5,753,753
|
|
|
$
|
4,519,775
|
|
|
$
|
4,343,628
|
|
Total assets
|
|
$
|
5,483,477
|
|
|
$
|
6,220,047
|
|
|
$
|
5,902,916
|
|
|
$
|
4,595,075
|
|
|
$
|
4,434,805
|
|
Short-term debt
|
|
$
|
791,539
|
|
|
$
|
1,855,003
|
|
|
$
|
1,793,825
|
|
|
$
|
862,763
|
|
|
$
|
551,918
|
|
Asset-backed securities issued –
Resecuritization, net
(2)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
44,909
|
|
|
$
|
94,542
|
|
|
$
|
164,012
|
|
Asset-backed securities issued, net – Commercial
|
|
$
|
—
|
|
|
$
|
52,595
|
|
|
$
|
81,760
|
|
|
$
|
150,796
|
|
|
$
|
167,352
|
|
Asset-backed securities issued, net – Sequoia
|
|
$
|
773,462
|
|
|
$
|
996,820
|
|
|
$
|
1,416,090
|
|
|
$
|
1,692,941
|
|
|
$
|
2,190,480
|
|
Long-term debt, net
(2)
|
|
$
|
2,620,683
|
|
|
$
|
2,027,737
|
|
|
$
|
1,180,877
|
|
|
$
|
467,697
|
|
|
$
|
138,304
|
|
Total liabilities
|
|
$
|
4,334,049
|
|
|
$
|
5,073,782
|
|
|
$
|
4,646,775
|
|
|
$
|
3,349,292
|
|
|
$
|
3,294,641
|
|
Total stockholders’ equity
|
|
$
|
1,149,428
|
|
|
$
|
1,146,265
|
|
|
$
|
1,256,141
|
|
|
$
|
1,245,783
|
|
|
$
|
1,140,164
|
|
Number of common shares outstanding
|
|
76,834,663
|
|
|
78,162,765
|
|
|
83,443,141
|
|
|
82,504,801
|
|
|
81,716,416
|
|
|||||
Book value per common share
|
|
$
|
14.96
|
|
|
$
|
14.67
|
|
|
$
|
15.05
|
|
|
$
|
15.10
|
|
|
$
|
13.95
|
|
Other Selected Data:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Average assets
(3)
|
|
$
|
5,893,998
|
|
|
$
|
6,015,420
|
|
|
$
|
5,356,839
|
|
|
$
|
4,904,878
|
|
|
$
|
5,318,442
|
|
Average debt and ABS issued outstanding
(3)
|
|
$
|
4,617,956
|
|
|
$
|
4,505,079
|
|
|
$
|
3,871,404
|
|
|
$
|
3,571,389
|
|
|
$
|
4,130,216
|
|
Average stockholders’ equity
|
|
$
|
1,112,313
|
|
|
$
|
1,240,345
|
|
|
$
|
1,250,627
|
|
|
$
|
1,200,461
|
|
|
$
|
987,330
|
|
Net income/average stockholders’ equity
|
|
11.8
|
%
|
|
8.2
|
%
|
|
8.0
|
%
|
|
14.4
|
%
|
|
13.3
|
%
|
(1)
|
Diluted average common shares for 2016 and 2013 include certain convertible notes that were determined to be dilutive for those years.
|
(2)
|
At
December 31, 2016
, 2015, 2014, 2013, and 2012, Asset-backed securities issued, net included
$0
,
$542
, $2,360, $4,683, and $8,097, respectively, of deferred debt issuance costs, and long-term debt, net included
$7,081
,
$10,438
, $13,690, $8,770, and $1,196, respectively, of deferred debt issuance costs.
|
(3)
|
Average assets and Average debt and ABS issued outstanding presented above do not include deferred securities issuance costs.
|
•
|
Overview
|
•
|
Results of Operations
|
•
|
Liquidity and Capital Resources
|
•
|
Off Balance Sheet Arrangements and Contractual Obligations
|
•
|
Critical Accounting Policies and Estimates
|
•
|
New Accounting Standards
|
|
|
Years Ended December 31,
|
||||||
(In Thousands, except per Share Data)
|
|
2016
|
|
2015
|
||||
Net income
|
|
$
|
131,252
|
|
|
$
|
102,088
|
|
Net income per diluted common share
|
|
$
|
1.54
|
|
|
$
|
1.18
|
|
GAAP return on equity
|
|
11.8
|
%
|
|
8.2
|
%
|
||
REIT taxable income per share
|
|
$
|
1.27
|
|
|
$
|
1.05
|
|
Dividends per share
|
|
$
|
1.12
|
|
|
$
|
1.12
|
|
Book value per share
|
|
$
|
14.96
|
|
|
$
|
14.67
|
|
|
|
Year Ended
|
||
(In Dollars, per share basis)
|
|
December 31, 2016
|
||
Beginning book value per share
|
|
$
|
14.67
|
|
Net income
|
|
1.54
|
|
|
Changes in unrealized gains on securities, net from:
|
|
|
||
Realized gains recognized in net income
|
|
(0.24
|
)
|
|
Amortization income recognized in net income
|
|
(0.29
|
)
|
|
Mark-to-market adjustments, net
|
|
0.31
|
|
|
Total change in unrealized gains on securities, net
|
|
(0.22
|
)
|
|
Dividends
|
|
(1.12
|
)
|
|
Share repurchases
|
|
0.04
|
|
|
Equity compensation, net
|
|
(0.07
|
)
|
|
Changes in unrealized losses on derivatives hedging long-term debt
|
|
0.05
|
|
|
Other, net
|
|
0.07
|
|
|
Ending Book Value per Share
|
|
$
|
14.96
|
|
At December 31, 2016
|
|
|
|
|
|
|
|
|
|||||||
(Dollars in Thousands)
|
|
Fair Value
|
|
Collateralized Debt
|
|
Allocated Capital
|
|
% of Total Capital
|
|||||||
Residential investments
|
|
|
|
|
|
|
|
|
|||||||
Residential loans/FHLB Stock
|
|
$
|
2,304,409
|
|
|
$
|
(1,999,999
|
)
|
|
$
|
304,410
|
|
|
17
|
%
|
Residential securities
|
|
926,669
|
|
|
(305,995
|
)
|
|
620,674
|
|
|
35
|
%
|
|||
Mortgage servicing rights
|
|
118,526
|
|
|
—
|
|
|
118,526
|
|
|
7
|
%
|
|||
Other assets/(other liabilities)
|
|
168,914
|
|
|
(43,131
|
)
|
|
125,783
|
|
|
7
|
%
|
|||
Cash and liquidity capital
|
|
|
|
|
|
333,702
|
|
|
19
|
%
|
|||||
Total residential investments
|
|
$
|
3,518,518
|
|
|
$
|
(2,349,125
|
)
|
|
1,503,095
|
|
|
85
|
%
|
|
Commercial investments
(1)
|
|
$
|
97,017
|
|
|
$
|
(38
|
)
|
|
96,979
|
|
|
5
|
%
|
|
Residential mortgage banking
|
|
|
|
|
|
170,000
|
|
|
10
|
%
|
|||||
Total
|
|
|
|
|
|
$
|
1,770,074
|
|
|
100
|
%
|
(1)
|
Includes $74 million of multi-family securities, $18 million of investment grade CMBS, and $3 million of commercial mezzanine loans.
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands, except per Share Data)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Net Interest Income
|
|
$
|
157,827
|
|
|
$
|
163,549
|
|
|
$
|
154,607
|
|
|
|
$
|
(5,722
|
)
|
|
$
|
8,942
|
|
Reversal of (provision for) loan losses
|
|
7,102
|
|
|
355
|
|
|
(961
|
)
|
|
|
6,747
|
|
|
1,316
|
|
|||||
Net Interest Income After Provision
|
|
164,929
|
|
|
163,904
|
|
|
153,646
|
|
|
|
1,025
|
|
|
10,258
|
|
|||||
Non-interest Income
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking activities, net
|
|
38,691
|
|
|
10,972
|
|
|
34,994
|
|
|
|
27,719
|
|
|
(24,022
|
)
|
|||||
MSR income (loss), net
|
|
14,353
|
|
|
(3,922
|
)
|
|
(4,261
|
)
|
|
|
18,275
|
|
|
339
|
|
|||||
Investment fair value changes, net
|
|
(28,574
|
)
|
|
(21,357
|
)
|
|
(10,202
|
)
|
|
|
(7,217
|
)
|
|
(11,155
|
)
|
|||||
Other income
|
|
6,338
|
|
|
3,192
|
|
|
1,781
|
|
|
|
3,146
|
|
|
1,411
|
|
|||||
Realized gains, net
|
|
28,009
|
|
|
36,369
|
|
|
15,478
|
|
|
|
(8,360
|
)
|
|
20,891
|
|
|||||
Total non-interest income, net
|
|
58,817
|
|
|
25,254
|
|
|
37,790
|
|
|
|
33,563
|
|
|
(12,536
|
)
|
|||||
Operating expenses
|
|
(88,786
|
)
|
|
(97,416
|
)
|
|
(90,123
|
)
|
|
|
8,630
|
|
|
(7,293
|
)
|
|||||
Net income before income taxes
|
|
134,960
|
|
|
91,742
|
|
|
101,313
|
|
|
|
43,218
|
|
|
(9,571
|
)
|
|||||
(Provision for) benefit from income taxes
|
|
(3,708
|
)
|
|
10,346
|
|
|
(744
|
)
|
|
|
(14,054
|
)
|
|
11,090
|
|
|||||
Net Income
|
|
$
|
131,252
|
|
|
$
|
102,088
|
|
|
$
|
100,569
|
|
|
|
$
|
29,164
|
|
|
$
|
1,519
|
|
Diluted earnings per common share
|
|
$
|
1.54
|
|
|
$
|
1.18
|
|
|
$
|
1.15
|
|
|
|
|
|
|
|
|
Years Ended December 31,
|
|||||||||||||||||||||||||||||||
|
|
2016
|
|
2015
|
|
2014
|
|||||||||||||||||||||||||||
(Dollars in Thousands)
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|||||||||||||||
Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Residential loans, held-for-sale
|
|
$
|
33,120
|
|
|
$
|
908,353
|
|
|
3.6
|
%
|
|
$
|
47,221
|
|
|
$
|
1,289,684
|
|
|
3.7
|
%
|
|
$
|
38,679
|
|
|
$
|
993,089
|
|
|
3.9
|
%
|
Residential loans - HFI at Redwood
(2)
|
|
85,147
|
|
|
2,193,619
|
|
|
3.9
|
%
|
|
42,680
|
|
|
1,107,603
|
|
|
3.9
|
%
|
|
4,484
|
|
|
118,792
|
|
|
3.8
|
%
|
||||||
Residential loans - HFI at Sequoia
(2)
|
|
19,537
|
|
|
882,079
|
|
|
2.2
|
%
|
|
24,814
|
|
|
1,224,857
|
|
|
2.0
|
%
|
|
25,786
|
|
|
1,604,556
|
|
|
1.6
|
%
|
||||||
Commercial loans
|
|
30,496
|
|
|
258,041
|
|
|
11.8
|
%
|
|
46,933
|
|
|
504,685
|
|
|
9.3
|
%
|
|
47,567
|
|
|
530,514
|
|
|
9.0
|
%
|
||||||
Trading securities
|
|
22,484
|
|
|
299,912
|
|
|
7.5
|
%
|
|
17,613
|
|
|
150,372
|
|
|
11.7
|
%
|
|
22,893
|
|
|
136,383
|
|
|
16.8
|
%
|
||||||
Available-for-sale securities
|
|
54,389
|
|
|
530,357
|
|
|
10.3
|
%
|
|
79,835
|
|
|
886,966
|
|
|
9.0
|
%
|
|
102,589
|
|
|
1,308,373
|
|
|
7.8
|
%
|
||||||
Other interest income
|
|
1,182
|
|
|
294,830
|
|
|
0.4
|
%
|
|
336
|
|
|
225,292
|
|
|
0.1
|
%
|
|
72
|
|
|
156,167
|
|
|
—
|
%
|
||||||
Total interest income
|
|
246,355
|
|
|
5,367,191
|
|
|
4.6
|
%
|
|
259,432
|
|
|
5,389,459
|
|
|
4.8
|
%
|
|
242,070
|
|
|
4,847,874
|
|
|
5.0
|
%
|
||||||
Interest Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Short-term debt
|
|
(22,287
|
)
|
|
1,089,352
|
|
|
(2.0
|
)%
|
|
(30,572
|
)
|
|
1,671,184
|
|
|
(1.8
|
)%
|
|
(25,990
|
)
|
|
1,522,965
|
|
|
(1.7
|
)%
|
||||||
ABS issued - Redwood
|
|
(1,632
|
)
|
|
21,159
|
|
|
(7.7
|
)%
|
|
(5,822
|
)
|
|
87,982
|
|
|
(6.6
|
)%
|
|
(10,383
|
)
|
|
190,694
|
|
|
(5.4
|
)%
|
||||||
ABS issued - Sequoia
(2)
|
|
(13,103
|
)
|
|
861,020
|
|
|
(1.5
|
)%
|
|
(15,647
|
)
|
|
1,164,887
|
|
|
(1.3
|
)%
|
|
(20,844
|
)
|
|
1,541,282
|
|
|
(1.4
|
)%
|
||||||
Long-term debt - FHLBC
|
|
(11,579
|
)
|
|
1,980,971
|
|
|
(0.6
|
)%
|
|
(2,848
|
)
|
|
894,671
|
|
|
(0.3
|
)%
|
|
(265
|
)
|
|
99,945
|
|
|
(0.3
|
)%
|
||||||
Long-term debt - other
|
|
(39,927
|
)
|
|
665,453
|
|
|
(6.0
|
)%
|
|
(40,994
|
)
|
|
686,354
|
|
|
(6.0
|
)%
|
|
(29,981
|
)
|
|
516,518
|
|
|
(5.8
|
)%
|
||||||
Total interest expense
|
|
(88,528
|
)
|
|
4,617,955
|
|
|
(1.9
|
)%
|
|
(95,883
|
)
|
|
4,505,078
|
|
|
(2.1
|
)%
|
|
(87,463
|
)
|
|
3,871,404
|
|
|
(2.3
|
)%
|
||||||
Net Interest Income
|
|
$
|
157,827
|
|
|
|
|
|
|
$
|
163,549
|
|
|
|
|
|
|
$
|
154,607
|
|
|
|
|
|
(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.
|
|
|
Change in Net Interest Income
|
||||||||||||||||||||||
|
|
For the Years Ended December 31,
|
||||||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||||||
(In Thousands)
|
|
Volume
|
|
Rate
|
|
Total
|
|
Volume
|
|
Rate
|
|
Total
|
||||||||||||
Net Interest Income for the Beginning of the Year
|
|
|
|
|
$
|
163,549
|
|
|
|
|
|
|
$
|
154,607
|
|
|||||||||
Impact of Changes in Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Residential loans - HFS
|
|
$
|
(13,962
|
)
|
|
$
|
(139
|
)
|
|
(14,101
|
)
|
|
$
|
11,552
|
|
|
$
|
(3,010
|
)
|
|
8,542
|
|
||
Residential loans - HFI at Redwood
|
|
41,848
|
|
|
619
|
|
|
42,467
|
|
|
37,324
|
|
|
872
|
|
|
38,196
|
|
||||||
Residential loans - HFI at Sequoia
|
|
(6,944
|
)
|
|
1,667
|
|
|
(5,277
|
)
|
|
(6,102
|
)
|
|
5,130
|
|
|
(972
|
)
|
||||||
Commercial loans
|
|
(22,937
|
)
|
|
6,500
|
|
|
(16,437
|
)
|
|
(1,394
|
)
|
|
760
|
|
|
(634
|
)
|
||||||
Trading securities
|
|
17,516
|
|
|
(12,645
|
)
|
|
4,871
|
|
|
2,348
|
|
|
(7,628
|
)
|
|
(5,280
|
)
|
||||||
Available-for-sale securities
|
|
(32,098
|
)
|
|
6,652
|
|
|
(25,446
|
)
|
|
(33,042
|
)
|
|
10,288
|
|
|
(22,754
|
)
|
||||||
Other Interest Income
|
|
104
|
|
|
742
|
|
|
846
|
|
|
32
|
|
|
232
|
|
|
264
|
|
||||||
Net changes in interest income
|
|
(16,473
|
)
|
|
3,396
|
|
|
(13,077
|
)
|
|
10,718
|
|
|
6,644
|
|
|
17,362
|
|
||||||
Impact of Changes in Interest Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Short-term debt
|
|
10,644
|
|
|
(2,359
|
)
|
|
8,285
|
|
|
(2,529
|
)
|
|
(2,053
|
)
|
|
(4,582
|
)
|
||||||
ABS issued - Redwood
|
|
4,422
|
|
|
(232
|
)
|
|
4,190
|
|
|
5,593
|
|
|
(1,032
|
)
|
|
4,561
|
|
||||||
ABS issued - Sequoia
|
|
4,082
|
|
|
(1,538
|
)
|
|
2,544
|
|
|
5,090
|
|
|
107
|
|
|
5,197
|
|
||||||
Long-term debt - FHLBC
|
|
(3,458
|
)
|
|
(5,273
|
)
|
|
(8,731
|
)
|
|
(2,107
|
)
|
|
(476
|
)
|
|
(2,583
|
)
|
||||||
Long-term debt - Other
|
|
1,248
|
|
|
(181
|
)
|
|
1,067
|
|
|
(9,858
|
)
|
|
(1,155
|
)
|
|
(11,013
|
)
|
||||||
Net changes in interest expense
|
|
16,938
|
|
|
(9,583
|
)
|
|
7,355
|
|
|
(3,811
|
)
|
|
(4,609
|
)
|
|
(8,420
|
)
|
||||||
Net changes in interest income and expense
|
|
465
|
|
|
(6,187
|
)
|
|
(5,722
|
)
|
|
6,907
|
|
|
2,035
|
|
|
8,942
|
|
||||||
Net Interest Income for the Year Ended
|
|
|
|
|
$
|
157,827
|
|
|
|
|
|
|
$
|
163,549
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Net Interest Income by Segment
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential Investments
|
|
$
|
141,780
|
|
|
$
|
124,191
|
|
|
$
|
98,585
|
|
|
|
$
|
17,589
|
|
|
$
|
25,606
|
|
Residential Mortgage Banking
|
|
19,470
|
|
|
35,053
|
|
|
45,496
|
|
|
|
(15,583
|
)
|
|
(10,443
|
)
|
|||||
Commercial
|
|
27,779
|
|
|
33,124
|
|
|
31,731
|
|
|
|
(5,345
|
)
|
|
1,393
|
|
|||||
Corporate/Other
|
|
(31,202
|
)
|
|
(28,819
|
)
|
|
(21,205
|
)
|
|
|
(2,383
|
)
|
|
(7,614
|
)
|
|||||
Net Interest Income
|
|
$
|
157,827
|
|
|
$
|
163,549
|
|
|
$
|
154,607
|
|
|
|
$
|
(5,722
|
)
|
|
$
|
8,942
|
|
December 31, 2016
|
|
Residential Loans Held-for-Sale
|
|
Residential
Securities
|
||
Asset yield
|
|
3.81
|
%
|
|
4.83
|
%
|
Short-term debt yield
|
|
2.40
|
%
|
|
1.91
|
%
|
Net Spread
|
|
1.41
|
%
|
|
2.92
|
%
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Segment Contribution from:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential Investments
|
|
$
|
146,884
|
|
|
$
|
136,242
|
|
|
$
|
96,763
|
|
|
|
$
|
10,642
|
|
|
$
|
39,479
|
|
Residential Mortgage Banking
|
|
35,111
|
|
|
4,308
|
|
|
27,612
|
|
|
|
30,803
|
|
|
(23,304
|
)
|
|||||
Commercial
|
|
38,135
|
|
|
26,304
|
|
|
33,529
|
|
|
|
11,831
|
|
|
(7,225
|
)
|
|||||
Corporate/Other
|
|
(88,878
|
)
|
|
(64,766
|
)
|
|
(57,335
|
)
|
|
|
(24,112
|
)
|
|
(7,431
|
)
|
|||||
Net Income
|
|
$
|
131,252
|
|
|
$
|
102,088
|
|
|
$
|
100,569
|
|
|
|
$
|
29,164
|
|
|
$
|
1,519
|
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Interest income
|
|
$
|
160,174
|
|
|
$
|
135,395
|
|
|
$
|
110,433
|
|
|
|
$
|
24,779
|
|
|
$
|
24,962
|
|
Interest expense
|
|
(18,394
|
)
|
|
(11,204
|
)
|
|
(11,848
|
)
|
|
|
(7,190
|
)
|
|
644
|
|
|||||
Net interest income
|
|
141,780
|
|
|
124,191
|
|
|
98,585
|
|
|
|
17,589
|
|
|
25,606
|
|
|||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
MSR income (loss), net
|
|
14,353
|
|
|
(3,922
|
)
|
|
(4,261
|
)
|
|
|
18,275
|
|
|
339
|
|
|||||
Investment fair value changes, net
|
|
(26,945
|
)
|
|
(20,089
|
)
|
|
(9,178
|
)
|
|
|
(6,856
|
)
|
|
(10,911
|
)
|
|||||
Other income
|
|
6,070
|
|
|
3,192
|
|
|
181
|
|
|
|
2,878
|
|
|
3,011
|
|
|||||
Realized gains, net
|
|
22,516
|
|
|
36,369
|
|
|
13,777
|
|
|
|
(13,853
|
)
|
|
22,592
|
|
|||||
Total non-interest income (loss), net
|
|
15,994
|
|
|
15,550
|
|
|
519
|
|
|
|
444
|
|
|
15,031
|
|
|||||
Direct operating expenses
|
|
(9,042
|
)
|
|
(4,346
|
)
|
|
(3,681
|
)
|
|
|
(4,696
|
)
|
|
(665
|
)
|
|||||
Segment contribution before income taxes
|
|
148,732
|
|
|
135,395
|
|
|
95,423
|
|
|
|
13,337
|
|
|
39,972
|
|
|||||
(Provision for) benefit from income taxes
|
|
(1,848
|
)
|
|
847
|
|
|
1,340
|
|
|
|
(2,695
|
)
|
|
(493
|
)
|
|||||
Total Segment Contribution
|
|
$
|
146,884
|
|
|
$
|
136,242
|
|
|
$
|
96,763
|
|
|
|
$
|
10,642
|
|
|
$
|
39,479
|
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
|
Change
|
||||||
Residential loans
held-for-investment
|
|
$
|
2,261,016
|
|
|
$
|
1,791,195
|
|
|
$
|
469,821
|
|
Residential securities
|
|
926,669
|
|
|
1,028,171
|
|
|
(101,502
|
)
|
|||
Mortgage servicing rights
|
|
118,526
|
|
|
191,976
|
|
|
(73,450
|
)
|
|||
Total Residential Investments
|
|
$
|
3,306,211
|
|
|
$
|
3,011,342
|
|
|
$
|
294,869
|
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Net interest income from HFI loans
|
|
$
|
73,560
|
|
|
$
|
39,703
|
|
|
$
|
4,219
|
|
|
|
$
|
33,857
|
|
|
$
|
35,484
|
|
Net interest income from securities
|
|
67,210
|
|
|
84,183
|
|
|
94,307
|
|
|
|
(16,973
|
)
|
|
(10,124
|
)
|
|||||
Other interest income
|
|
1,010
|
|
|
305
|
|
|
59
|
|
|
|
705
|
|
|
246
|
|
|||||
NII from Residential Investments
|
|
$
|
141,780
|
|
|
$
|
124,191
|
|
|
$
|
98,585
|
|
|
|
$
|
17,589
|
|
|
$
|
25,606
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Investment Fair Value Changes, Net
|
|
|
|
|
|
|
||||||
Market valuation changes:
|
|
|
|
|
|
|
||||||
Residential loans held-for-investment
(1)
|
|
$
|
(23,102
|
)
|
|
$
|
(6,337
|
)
|
|
$
|
(697
|
)
|
Trading securities - IOs
|
|
(4,005
|
)
|
|
955
|
|
|
—
|
|
|||
Trading securities - other
|
|
13,264
|
|
|
(2,974
|
)
|
|
(358
|
)
|
|||
Risk sharing investments
|
|
(1,151
|
)
|
|
(1,886
|
)
|
|
104
|
|
|||
Risk management derivatives
|
|
(11,583
|
)
|
|
(9,601
|
)
|
|
(7,662
|
)
|
|||
Impairments on AFS securities
|
|
(368
|
)
|
|
(246
|
)
|
|
(565
|
)
|
|||
Investment Fair Value Changes, Net
|
|
$
|
(26,945
|
)
|
|
$
|
(20,089
|
)
|
|
$
|
(9,178
|
)
|
(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.
|
|
|
Year Ended
|
||
(In Thousands)
|
|
December 31, 2016
|
||
Market valuation changes on:
|
|
|
||
Residential loans held-for-investment
|
|
|
||
Change in fair value from the reduction of principal
(1)
|
|
$
|
(15,523
|
)
|
Change in fair value from changes in interest rates and spreads
(2)
|
|
(7,579
|
)
|
|
Total change in fair value of residential loans held-for-investment
|
|
(23,102
|
)
|
|
|
|
|
||
Residential securities
|
|
|
||
Change in fair value from the reduction of principal
(1)
|
|
(5,214
|
)
|
|
Change in fair value from changes in interest rates and spreads
(2)
|
|
12,954
|
|
|
Total change in fair value of residential securities
|
|
7,740
|
|
|
|
|
|
||
Risk management derivatives
|
|
|
||
Interest component of derivative expense
|
|
(8,922
|
)
|
|
Change in fair value of derivatives from changes in interest rates
(3)
|
|
(2,661
|
)
|
|
Total change in fair value of risk management derivatives
|
|
(11,583
|
)
|
|
|
|
|
||
Total Residential Investments Fair Value Changes, Net
(4)
|
|
$
|
(26,945
|
)
|
(1)
|
Reflects the change in fair value due to principal changes, which is calculated as the change in principal on a given investment during the period, multiplied by the prior quarter ending price or acquisition price for that investment in percentage terms.
|
(2)
|
Reflects changes in prepayment assumptions and credit spreads on our residential loans, residential trading securities and risk-sharing investments primarily due to changes in benchmark interest rates.
|
(3)
|
Reflects the change in fair value of our risk management derivatives that are associated with changes in benchmark interest rates during the period.
|
(4)
|
Total investment fair value changes, net, on our consolidated financial statements also includes
negative
$4 million
of market valuation changes related to our investments in legacy consolidated Sequoia entities, which is included in Corporate/Other for segment reporting, and
positive
$3 million
of market valuation changes related to commercial securities and the associated derivatives, which are included in our Commercial segment.
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Net servicing fee income
|
|
$
|
34,871
|
|
|
$
|
33,885
|
|
|
$
|
17,528
|
|
|
|
$
|
986
|
|
|
$
|
16,357
|
|
Changes in fair value of MSR from the receipt of expected cash flows
|
|
(21,860
|
)
|
|
(18,939
|
)
|
|
(8,614
|
)
|
|
|
(2,921
|
)
|
|
(10,325
|
)
|
|||||
MSR provision for repurchases
|
|
270
|
|
|
(707
|
)
|
|
(708
|
)
|
|
|
977
|
|
|
1
|
|
|||||
MSR income before the effect of changes in interest rates and other assumptions
|
|
13,281
|
|
|
14,239
|
|
|
8,206
|
|
|
|
(958
|
)
|
|
6,033
|
|
|||||
Changes in fair value of MSR from interest rates and other assumptions
(1)
|
|
(14,512
|
)
|
|
(5,453
|
)
|
|
(12,467
|
)
|
|
|
(9,059
|
)
|
|
7,014
|
|
|||||
Changes in fair value of associated derivatives
|
|
15,584
|
|
|
(12,708
|
)
|
|
—
|
|
|
|
28,292
|
|
|
(12,708
|
)
|
|||||
Total net effect of changes in assumptions and rates
|
|
1,072
|
|
|
(18,161
|
)
|
|
(12,467
|
)
|
|
|
19,233
|
|
|
(5,694
|
)
|
|||||
MSR Income (Loss), Net
|
|
$
|
14,353
|
|
|
$
|
(3,922
|
)
|
|
$
|
(4,261
|
)
|
|
|
$
|
18,275
|
|
|
$
|
339
|
|
(1)
|
Primarily reflects changes in prepayment assumptions on our MSRs due to changes in benchmark interest rates.
|
|
|
Years Ended December 31,
|
||||||
(In Thousands)
|
|
2016
|
|
2015
|
||||
Fair value at beginning of period
|
|
$
|
1,791,195
|
|
|
$
|
581,668
|
|
Transfers between portfolios
|
|
1,007,389
|
|
|
1,401,541
|
|
||
Sales and principal repayments
|
|
(514,466
|
)
|
|
(185,677
|
)
|
||
Changes in fair value, net
|
|
(23,102
|
)
|
|
(6,337
|
)
|
||
Fair Value at End of Period
|
|
$
|
2,261,016
|
|
|
$
|
1,791,195
|
|
December 31, 2016
|
|
|
|
|
|||
(Dollars in Thousands)
|
|
Principal Balance
|
|
Weighted Average Coupon
|
|||
Fixed - 30 year
|
|
$
|
2,159,634
|
|
|
4.12
|
%
|
Fixed - 15, 20, & 25 year
|
|
63,906
|
|
|
3.61
|
%
|
|
Hybrid
|
|
10,257
|
|
|
3.83
|
%
|
|
Total Outstanding Principal
|
|
$
|
2,233,797
|
|
|
|
Year Ended December 31, 2016
|
|
Senior
|
|
Re-REMIC
(1)
|
|
Subordinate
|
|
Total
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Beginning fair value
|
|
$
|
336,595
|
|
|
$
|
165,064
|
|
|
$
|
526,512
|
|
|
$
|
1,028,171
|
|
Transfers
(2)
|
|
76,947
|
|
|
(76,947
|
)
|
|
—
|
|
|
—
|
|
||||
Acquisitions
|
|
|
|
|
|
|
|
|
||||||||
Sequoia securities
|
|
—
|
|
|
—
|
|
|
10,606
|
|
|
10,606
|
|
||||
Third-party securities
|
|
4,943
|
|
|
—
|
|
|
227,248
|
|
|
232,191
|
|
||||
Sales
|
|
|
|
|
|
|
|
|
||||||||
Sequoia securities
|
|
(21,016
|
)
|
|
—
|
|
|
(51,034
|
)
|
|
(72,050
|
)
|
||||
Third-party securities
|
|
(186,960
|
)
|
|
—
|
|
|
(41,486
|
)
|
|
(228,446
|
)
|
||||
Gains on sales and calls, net
|
|
16,008
|
|
|
—
|
|
|
6,507
|
|
|
22,515
|
|
||||
Effect of principal payments
(3)
|
|
(28,200
|
)
|
|
(6,758
|
)
|
|
(32,894
|
)
|
|
(67,852
|
)
|
||||
Change in fair value, net
|
|
(24,704
|
)
|
|
4,120
|
|
|
22,118
|
|
|
1,534
|
|
||||
Ending Fair Value
|
|
$
|
173,613
|
|
|
$
|
85,479
|
|
|
$
|
667,577
|
|
|
$
|
926,669
|
|
Year Ended December 31, 2015
|
|
Senior
|
|
Re-REMIC
(1)
|
|
Subordinate
|
|
Total
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Beginning fair value
|
|
$
|
495,508
|
|
|
$
|
168,347
|
|
|
$
|
621,573
|
|
|
$
|
1,285,428
|
|
Transfers
(2)
|
|
65,809
|
|
|
—
|
|
|
—
|
|
|
65,809
|
|
||||
Acquisitions
|
|
|
|
|
|
|
|
|
||||||||
Sequoia securities
|
|
35,074
|
|
|
—
|
|
|
17,980
|
|
|
53,054
|
|
||||
Third-party securities
|
|
9,649
|
|
|
—
|
|
|
161,538
|
|
|
171,187
|
|
||||
Sales
|
|
|
|
|
|
|
|
|
||||||||
Sequoia securities
|
|
(47,738
|
)
|
|
—
|
|
|
(212,145
|
)
|
|
(259,883
|
)
|
||||
Third-party securities
|
|
(110,124
|
)
|
|
(1,170
|
)
|
|
(64,697
|
)
|
|
(175,991
|
)
|
||||
Gains on sales and calls, net
|
|
14,998
|
|
|
—
|
|
|
21,371
|
|
|
36,369
|
|
||||
Effect of principal payments
(3)
|
|
(97,774
|
)
|
|
(518
|
)
|
|
(19,446
|
)
|
|
(117,738
|
)
|
||||
Change in fair value, net
|
|
(28,807
|
)
|
|
(1,595
|
)
|
|
338
|
|
|
(30,064
|
)
|
||||
Ending Fair Value
|
|
$
|
336,595
|
|
|
$
|
165,064
|
|
|
$
|
526,512
|
|
|
$
|
1,028,171
|
|
(1)
|
Re-REMIC securities, as presented herein, were created by third parties through the resecuritization of certain senior RMBS.
|
(2)
|
In 2016, certain Re-REMIC securities we held were exchanged for the underlying senior securities. In 2015, we transferred certain securities from our Residential Mortgage Banking segment into this segment.
|
(3)
|
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.
|
December 31, 2016
|
|
Residential Securities
|
|
Repurchase Debt
|
|
Allocated Capital
|
|
Weighted Average
Price
(1)
|
|
Financing Haircut
(2)
|
|||||||||
(Dollars in Thousands, except Weighted Average Price)
|
|
|
|
|
|
||||||||||||||
Residential Securities
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Senior
|
|
$
|
52,569
|
|
|
$
|
(45,068
|
)
|
|
$
|
7,501
|
|
|
$
|
93
|
|
|
14
|
%
|
Mezzanine
|
|
310,126
|
|
|
(260,927
|
)
|
|
49,199
|
|
|
97
|
|
|
16
|
%
|
||||
Total
|
|
$
|
362,695
|
|
|
$
|
(305,995
|
)
|
|
$
|
56,700
|
|
|
97
|
|
|
16
|
%
|
(1)
|
GAAP fair value per $100 of principal.
|
(2)
|
Allocated capital divided by GAAP fair value.
|
|
|
Sequoia 2012-2015
|
|
Third Party 2012-2015
|
|
Agency CRT 2013-2015
|
|
Third Party 2006-2008
|
|
Third Party <=2005
|
|
Total Securities
|
|
% of Total Securities
|
|||||||||||||
December 31, 2015
|
|
|
|
|
|
|
|||||||||||||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|||||||||||||||||||||
Senior
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Prime
|
|
$
|
51,563
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
36,358
|
|
|
$
|
174,635
|
|
|
$
|
262,556
|
|
|
26
|
%
|
Non-prime
|
|
—
|
|
|
—
|
|
|
—
|
|
|
133
|
|
|
73,906
|
|
|
74,039
|
|
|
7
|
%
|
||||||
Total Senior
|
|
51,563
|
|
|
—
|
|
|
—
|
|
|
36,491
|
|
|
248,541
|
|
|
336,595
|
|
|
33
|
%
|
||||||
Re-REMIC
|
|
—
|
|
|
—
|
|
|
—
|
|
|
108,594
|
|
|
56,470
|
|
|
165,064
|
|
|
16
|
%
|
||||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Prime Mezzanine
(1)
|
|
185,993
|
|
|
127,233
|
|
|
34,976
|
|
|
—
|
|
|
—
|
|
|
348,202
|
|
|
34
|
%
|
||||||
Prime Subordinate
(2)
|
|
96,849
|
|
|
35,361
|
|
|
13,244
|
|
|
812
|
|
|
32,044
|
|
|
178,310
|
|
|
17
|
%
|
||||||
Total Subordinate
|
|
282,842
|
|
|
162,594
|
|
|
48,220
|
|
|
812
|
|
|
32,044
|
|
|
526,512
|
|
|
51
|
%
|
||||||
Total Securities
|
|
$
|
334,405
|
|
|
$
|
162,594
|
|
|
$
|
48,220
|
|
|
$
|
145,897
|
|
|
$
|
337,055
|
|
|
$
|
1,028,171
|
|
|
100
|
%
|
(1)
|
Prime mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later.
|
(2)
|
Subordinate securities inclu
de less than
$1 million
of no
n-prime securities at both
December 31, 2016
and
December 31, 2015
.
|
Year Ended December 31, 2016
|
|
|
|
|
|
|
|
|
|
Yield as a Result of
|
|||||||||||||||
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|
Average Amortized Cost
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||
Residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Senior
|
|
$
|
4,636
|
|
|
$
|
6,055
|
|
|
$
|
10,691
|
|
|
$
|
118,617
|
|
|
3.91
|
%
|
|
5.10
|
%
|
|
9.01
|
%
|
Re-REMIC
|
|
6,619
|
|
|
11,765
|
|
|
18,384
|
|
|
103,762
|
|
|
6.38
|
%
|
|
11.34
|
%
|
|
17.72
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
7,260
|
|
|
2,686
|
|
|
9,946
|
|
|
184,602
|
|
|
3.93
|
%
|
|
1.46
|
%
|
|
5.39
|
%
|
||||
Subordinate
|
|
9,621
|
|
|
5,747
|
|
|
15,368
|
|
|
123,376
|
|
|
7.80
|
%
|
|
4.66
|
%
|
|
12.46
|
%
|
||||
Total AFS Securities
|
|
$
|
28,136
|
|
|
$
|
26,253
|
|
|
$
|
54,389
|
|
|
$
|
530,357
|
|
|
5.31
|
%
|
|
4.95
|
%
|
|
10.26
|
%
|
Year Ended December 31, 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
|
|
$
|
13,633
|
|
|
$
|
17,650
|
|
|
$
|
31,283
|
|
|
$
|
385,072
|
|
|
3.54
|
%
|
|
4.58
|
%
|
|
8.12
|
%
|
Re-REMIC
|
|
8,648
|
|
|
9,200
|
|
|
17,848
|
|
|
104,414
|
|
|
8.28
|
%
|
|
8.81
|
%
|
|
17.09
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
11,466
|
|
|
3,519
|
|
|
14,985
|
|
|
283,049
|
|
|
4.05
|
%
|
|
1.24
|
%
|
|
5.29
|
%
|
||||
Subordinate
|
|
9,238
|
|
|
6,481
|
|
|
15,719
|
|
|
114,431
|
|
|
8.07
|
%
|
|
5.66
|
%
|
|
13.73
|
%
|
||||
Total AFS Securities
|
|
$
|
42,985
|
|
|
$
|
36,850
|
|
|
$
|
79,835
|
|
|
$
|
886,966
|
|
|
4.85
|
%
|
|
4.15
|
%
|
|
9.00
|
%
|
Year Ended December 31, 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
|
|
$
|
22,894
|
|
|
$
|
25,554
|
|
|
$
|
48,448
|
|
|
$
|
676,399
|
|
|
3.38
|
%
|
|
3.78
|
%
|
|
7.16
|
%
|
Re-REMIC
|
|
10,481
|
|
|
6,246
|
|
|
16,727
|
|
|
111,590
|
|
|
9.39
|
%
|
|
5.60
|
%
|
|
14.99
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mezzanine
|
|
16,976
|
|
|
3,876
|
|
|
20,852
|
|
|
411,119
|
|
|
4.13
|
%
|
|
0.94
|
%
|
|
5.07
|
%
|
||||
Subordinate
|
|
9,412
|
|
|
7,159
|
|
|
16,571
|
|
|
109,265
|
|
|
8.61
|
%
|
|
6.55
|
%
|
|
15.16
|
%
|
||||
Total AFS Securities
|
|
$
|
59,763
|
|
|
$
|
42,835
|
|
|
$
|
102,598
|
|
|
$
|
1,308,373
|
|
|
4.57
|
%
|
|
3.27
|
%
|
|
7.84
|
%
|
December 31, 2016
|
|
Senior
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Principal balance
|
|
$
|
148,862
|
|
|
$
|
95,608
|
|
|
$
|
456,359
|
|
|
$
|
700,829
|
|
Credit reserve
|
|
(4,814
|
)
|
|
(6,857
|
)
|
|
(35,802
|
)
|
|
(47,473
|
)
|
||||
Unamortized discount, net
|
|
(41,877
|
)
|
|
(19,613
|
)
|
|
(136,622
|
)
|
|
(198,112
|
)
|
||||
Amortized cost
|
|
102,171
|
|
|
69,138
|
|
|
283,935
|
|
|
455,244
|
|
||||
Gross unrealized gains
|
|
36,304
|
|
|
16,341
|
|
|
68,032
|
|
|
120,677
|
|
||||
Gross unrealized losses
|
|
(1,929
|
)
|
|
—
|
|
|
(1,240
|
)
|
|
(3,169
|
)
|
||||
Carrying Value
|
|
$
|
136,546
|
|
|
$
|
85,479
|
|
|
$
|
350,727
|
|
|
$
|
572,752
|
|
December 31, 2015
|
|
Senior
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Principal balance
|
|
$
|
293,196
|
|
|
$
|
189,782
|
|
|
$
|
490,249
|
|
|
$
|
973,227
|
|
Credit reserve
|
|
(6,406
|
)
|
|
(10,332
|
)
|
|
(32,131
|
)
|
|
(48,869
|
)
|
||||
Unamortized discount, net
|
|
(30,474
|
)
|
|
(71,670
|
)
|
|
(134,963
|
)
|
|
(237,107
|
)
|
||||
Amortized cost
|
|
256,316
|
|
|
107,780
|
|
|
323,155
|
|
|
687,251
|
|
||||
Gross unrealized gains
|
|
26,512
|
|
|
57,284
|
|
|
63,205
|
|
|
147,001
|
|
||||
Gross unrealized losses
|
|
(3,577
|
)
|
|
—
|
|
|
(1,430
|
)
|
|
(5,007
|
)
|
||||
Carrying Value
|
|
$
|
279,251
|
|
|
$
|
165,064
|
|
|
$
|
384,930
|
|
|
$
|
829,245
|
|
|
|
Years Ended December 31,
|
||||||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||||||
(In Thousands)
|
|
Jumbo
|
|
Conforming
|
|
Total MSRs
|
|
Jumbo
|
|
Conforming
|
|
Total MSRs
|
||||||||||||
Balance at beginning of period
|
|
$
|
58,138
|
|
|
$
|
133,838
|
|
|
$
|
191,976
|
|
|
$
|
57,992
|
|
|
$
|
81,301
|
|
|
$
|
139,293
|
|
Additions
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
MSRs retained from Sequoia securitizations
|
|
6,451
|
|
|
—
|
|
|
6,451
|
|
|
8,202
|
|
|
—
|
|
|
8,202
|
|
||||||
MSRs retained from third-party loan sales
|
|
177
|
|
|
3,380
|
|
|
3,557
|
|
|
352
|
|
|
55,954
|
|
|
56,306
|
|
||||||
Purchased MSRs
|
|
—
|
|
|
15,354
|
|
|
15,354
|
|
|
—
|
|
|
30,773
|
|
|
30,773
|
|
||||||
Sold MSRs
|
|
—
|
|
|
(62,440
|
)
|
|
(62,440
|
)
|
|
(132
|
)
|
|
(18,074
|
)
|
|
(18,206
|
)
|
||||||
Market valuation adjustments
|
|
(4,763
|
)
|
|
(31,609
|
)
|
|
(36,372
|
)
|
|
(8,276
|
)
|
|
(16,116
|
)
|
|
(24,392
|
)
|
||||||
Balance at End of Period
|
|
$
|
60,003
|
|
|
$
|
58,523
|
|
|
$
|
118,526
|
|
|
$
|
58,138
|
|
|
$
|
133,838
|
|
|
$
|
191,976
|
|
|
|
December 31, 2016
|
||||||||||
(Dollars In Thousands)
|
|
Jumbo
|
|
Conforming
|
|
Total
|
||||||
Unpaid principal balance
|
|
$
|
5,467,169
|
|
|
$
|
4,989,720
|
|
|
$
|
10,456,889
|
|
Fair value of MSRs
|
|
$
|
60,003
|
|
|
$
|
58,523
|
|
|
$
|
118,526
|
|
MSR values as percent of unpaid principal balance
|
|
1.10
|
%
|
|
1.17
|
%
|
|
1.13
|
%
|
|||
Gross cash yield
(1)
|
|
0.25
|
%
|
|
0.26
|
%
|
|
0.26
|
%
|
|||
Number of loans
|
|
7,969
|
|
|
20,751
|
|
|
28,720
|
|
|||
Average loan size
|
|
$
|
686
|
|
|
$
|
240
|
|
|
$
|
364
|
|
Average coupon
|
|
3.97
|
%
|
|
3.87
|
%
|
|
3.92
|
%
|
|||
Average loan age (months)
|
|
34
|
|
|
24
|
|
|
29
|
|
|||
Average original loan-to-value
|
|
67
|
%
|
|
75
|
%
|
|
71
|
%
|
|||
Average original FICO score
|
|
770
|
|
|
759
|
|
|
765
|
|
|||
60+ day delinquencies
|
|
0.07
|
%
|
|
0.35
|
%
|
|
0.20
|
%
|
(1)
|
Gross cash yield is calculated by dividing the annualized quarterly gross servicing fees we received for the year ended
December 31, 2016
, by the weighted average notional balance of loans associated with MSRs we owned during that period.
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Interest income
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Loans
|
|
$
|
33,089
|
|
|
$
|
47,222
|
|
|
$
|
38,680
|
|
|
|
$
|
(14,133
|
)
|
|
$
|
8,542
|
|
Sequoia securities
|
|
572
|
|
|
5,038
|
|
|
19,592
|
|
|
|
(4,466
|
)
|
|
(14,554
|
)
|
|||||
Total interest income
|
|
33,661
|
|
|
52,260
|
|
|
58,272
|
|
|
|
(18,599
|
)
|
|
(6,012
|
)
|
|||||
Interest expense
|
|
(14,191
|
)
|
|
(17,207
|
)
|
|
(12,776
|
)
|
|
|
3,016
|
|
|
(4,431
|
)
|
|||||
Net interest income
|
|
19,470
|
|
|
35,053
|
|
|
45,496
|
|
|
|
(15,583
|
)
|
|
(10,443
|
)
|
|||||
Mortgage banking activities, net
|
|
40,753
|
|
|
8,268
|
|
|
21,554
|
|
|
|
32,485
|
|
|
(13,286
|
)
|
|||||
Direct operating expenses
|
|
(23,252
|
)
|
|
(43,182
|
)
|
|
(37,664
|
)
|
|
|
19,930
|
|
|
(5,518
|
)
|
|||||
Segment contribution before income taxes
|
|
36,971
|
|
|
139
|
|
|
29,386
|
|
|
|
36,832
|
|
|
(29,247
|
)
|
|||||
(Provision for) benefit from income taxes
|
|
(1,860
|
)
|
|
4,169
|
|
|
(1,774
|
)
|
|
|
(6,029
|
)
|
|
5,943
|
|
|||||
Segment Contribution
|
|
$
|
35,111
|
|
|
$
|
4,308
|
|
|
$
|
27,612
|
|
|
|
$
|
30,803
|
|
|
$
|
(23,304
|
)
|
|
|
Years Ended December 31,
|
||||||||||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||||||||||
(In Thousands)
|
|
Jumbo
|
|
Conforming
|
|
Total
|
|
Jumbo
|
|
Conforming
|
|
Total
|
||||||||||||
Balance at beginning of period
|
|
$
|
985,919
|
|
|
$
|
129,819
|
|
|
$
|
1,115,738
|
|
|
$
|
1,097,805
|
|
|
$
|
244,714
|
|
|
$
|
1,342,519
|
|
Acquisitions
|
|
4,747,564
|
|
|
197,860
|
|
|
4,945,424
|
|
|
5,140,362
|
|
|
5,335,388
|
|
|
10,475,750
|
|
||||||
Sales
|
|
(3,813,538
|
)
|
|
(329,620
|
)
|
|
(4,143,158
|
)
|
|
(3,862,155
|
)
|
|
(5,454,215
|
)
|
|
(9,316,370
|
)
|
||||||
Transfers between portfolios
(1)
|
|
(1,007,389
|
)
|
|
—
|
|
|
(1,007,389
|
)
|
|
(1,309,919
|
)
|
|
—
|
|
|
(1,309,919
|
)
|
||||||
Principal repayments
|
|
(80,838
|
)
|
|
(84
|
)
|
|
(80,922
|
)
|
|
(77,463
|
)
|
|
(2,490
|
)
|
|
(79,953
|
)
|
||||||
Changes in fair value, net
|
|
3,681
|
|
|
2,025
|
|
|
5,706
|
|
|
(2,711
|
)
|
|
6,422
|
|
|
3,711
|
|
||||||
Balance at End of Period
|
|
$
|
835,399
|
|
|
$
|
—
|
|
|
$
|
835,399
|
|
|
$
|
985,919
|
|
|
$
|
129,819
|
|
|
$
|
1,115,738
|
|
(1)
|
Represents the net transfers of loans out of our Residential Mortgage Banking segment into our Residential Investments segment and their reclassification from held-for-sale to held-for-investment.
|
|
|
Years Ended December 31,
|
||||||
(In Thousands)
|
|
2016
|
|
2015
|
||||
Beginning fair value
|
|
$
|
197,007
|
|
|
$
|
93,802
|
|
Transfers between portfolios
|
|
—
|
|
|
(65,809
|
)
|
||
Acquisitions
|
|
—
|
|
|
201,041
|
|
||
Sales
|
|
(195,107
|
)
|
|
(13,588
|
)
|
||
Effect of principal payments
(2)
|
|
(3,403
|
)
|
|
(3,261
|
)
|
||
Change in fair value, net
|
|
1,503
|
|
|
(15,178
|
)
|
||
Ending Fair Value
|
|
$
|
—
|
|
|
$
|
197,007
|
|
(1)
|
Prior to the second quarter of 2015, this segment included Sequoia securities that were used in part to mitigate certain risks related to interest rate movements on our residential loan pipeline. During the second quarter of 2015, we transferred all then outstanding Sequoia securities from our Residential Mortgage Banking segment to our Residential Investments segment. In addition, in the fourth quarter of 2015, we retained senior securities from a Sequoia securitization we sponsored that quarter, which we subsequently sold during the first quarter of 2016.
|
(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.
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans, at fair value
(1)
|
|
$
|
31,399
|
|
|
$
|
53,946
|
|
|
$
|
65,202
|
|
|
|
$
|
(22,547
|
)
|
|
$
|
(11,256
|
)
|
Sequoia securities
|
|
1,455
|
|
|
(15,261
|
)
|
|
(23,839
|
)
|
|
|
16,716
|
|
|
8,578
|
|
|||||
Risk management derivatives
(2)
|
|
5,696
|
|
|
(34,457
|
)
|
|
(23,277
|
)
|
|
|
40,153
|
|
|
(11,180
|
)
|
|||||
Other income, net
(3)
|
|
2,203
|
|
|
4,040
|
|
|
3,468
|
|
|
|
(1,837
|
)
|
|
572
|
|
|||||
Total Residential Mortgage Banking Activities, Net
|
|
$
|
40,753
|
|
|
$
|
8,268
|
|
|
$
|
21,554
|
|
|
|
$
|
32,485
|
|
|
$
|
(13,286
|
)
|
(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.
|
December 31, 2016
|
|
Principal Value
|
|
Weighted Average Coupon
|
|||
(Dollars in Thousands)
|
|
|
|||||
First Lien Prime
|
|
|
|
|
|||
Fixed - 30 year
|
|
$
|
650,223
|
|
|
4.01
|
%
|
Fixed - 15, 20, & 25 year
|
|
38,106
|
|
|
3.42
|
%
|
|
Hybrid
|
|
143,481
|
|
|
3.34
|
%
|
|
Total Outstanding Principal
|
|
$
|
831,810
|
|
|
|
|
|
Years Ended December 31,
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Interest income
|
|
$
|
32,780
|
|
|
$
|
46,933
|
|
|
$
|
47,567
|
|
|
$
|
(14,153
|
)
|
|
$
|
(634
|
)
|
Interest expense
|
|
(5,001
|
)
|
|
(13,809
|
)
|
|
(15,836
|
)
|
|
8,808
|
|
|
2,027
|
|
|||||
Net interest income
|
|
27,779
|
|
|
33,124
|
|
|
31,731
|
|
|
(5,345
|
)
|
|
1,393
|
|
|||||
Reversal of (provision for) loan losses
|
|
7,102
|
|
|
355
|
|
|
(84
|
)
|
|
6,747
|
|
|
439
|
|
|||||
Mortgage banking activities, net
|
|
(2,062
|
)
|
|
2,704
|
|
|
13,440
|
|
|
(4,766
|
)
|
|
(10,736
|
)
|
|||||
Investment fair value changes, net
|
|
2,578
|
|
|
—
|
|
|
—
|
|
|
2,578
|
|
|
—
|
|
|||||
Other income
|
|
268
|
|
|
—
|
|
|
—
|
|
|
268
|
|
|
—
|
|
|||||
Realized gains, net
|
|
5,201
|
|
|
—
|
|
|
—
|
|
|
5,201
|
|
|
—
|
|
|||||
Direct operating expenses
|
|
(2,731
|
)
|
|
(11,331
|
)
|
|
(11,324
|
)
|
|
8,600
|
|
|
(7
|
)
|
|||||
Segment contribution before income taxes
|
|
38,135
|
|
|
24,852
|
|
|
33,763
|
|
|
13,283
|
|
|
(8,911
|
)
|
|||||
Benefit from (provision for) income taxes
|
|
—
|
|
|
1,452
|
|
|
(234
|
)
|
|
(1,452
|
)
|
|
1,686
|
|
|||||
Total Segment Contribution
|
|
$
|
38,135
|
|
|
$
|
26,304
|
|
|
$
|
33,529
|
|
|
$
|
11,831
|
|
|
$
|
(7,225
|
)
|
|
|
Years Ended December 31,
|
||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||
(In Thousands)
|
|
Held-for-Sale
|
|
Held-for-Investment
|
|
Held-for-Sale
|
|
Held-for-Investment
|
||||||||
Balance at beginning of period
|
|
$
|
39,141
|
|
|
$
|
363,506
|
|
|
$
|
166,234
|
|
|
$
|
400,693
|
|
Originations/acquisitions
|
|
37,625
|
|
|
—
|
|
|
617,518
|
|
|
22,218
|
|
||||
Sales
|
|
(366,486
|
)
|
|
—
|
|
|
(754,691
|
)
|
|
—
|
|
||||
Transfers between portfolios
|
|
302,580
|
|
|
(302,580
|
)
|
|
—
|
|
|
—
|
|
||||
Principal repayments
|
|
(15,864
|
)
|
|
(70,529
|
)
|
|
(185
|
)
|
|
(57,496
|
)
|
||||
Discount amortization
|
|
—
|
|
|
330
|
|
|
—
|
|
|
747
|
|
||||
Reversal of provision for loan losses
|
|
—
|
|
|
7,102
|
|
|
—
|
|
|
355
|
|
||||
Changes in fair value, net
|
|
5,704
|
|
|
2,171
|
|
|
10,265
|
|
|
(3,011
|
)
|
||||
Balance at End of Period
|
|
$
|
2,700
|
|
|
$
|
—
|
|
|
$
|
39,141
|
|
|
$
|
363,506
|
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Senior loans held-for-sale
|
|
$
|
356
|
|
|
$
|
2,404
|
|
|
$
|
4,324
|
|
|
|
$
|
(2,048
|
)
|
|
$
|
(1,920
|
)
|
Mezzanine loans
|
|
25,168
|
|
|
30,720
|
|
|
27,407
|
|
|
|
(5,552
|
)
|
|
3,313
|
|
|||||
Trading securities
|
|
2,255
|
|
|
—
|
|
|
—
|
|
|
|
2,255
|
|
|
—
|
|
|||||
Net Interest Income
|
|
$
|
27,779
|
|
|
$
|
33,124
|
|
|
$
|
31,731
|
|
|
|
$
|
(7,600
|
)
|
|
$
|
1,393
|
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Commercial loans held-for sale
|
|
$
|
433
|
|
|
$
|
10,265
|
|
|
$
|
20,789
|
|
|
|
$
|
(9,832
|
)
|
|
$
|
(10,524
|
)
|
Risk management derivatives
|
|
(2,538
|
)
|
|
(8,011
|
)
|
|
(7,890
|
)
|
|
|
5,473
|
|
|
(121
|
)
|
|||||
Other fee income
|
|
43
|
|
|
450
|
|
|
541
|
|
|
|
(407
|
)
|
|
(91
|
)
|
|||||
Total Mortgage Banking Activities, Net
|
|
$
|
(2,062
|
)
|
|
$
|
2,704
|
|
|
$
|
13,440
|
|
|
|
$
|
(4,766
|
)
|
|
$
|
(10,736
|
)
|
|
|
Years Ended December 31,
|
|
|
Changes
|
||||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
|
|
'16/'15
|
|
'15/'14
|
||||||||||
Interest income
|
|
$
|
19,537
|
|
|
$
|
24,814
|
|
|
$
|
25,786
|
|
|
|
$
|
(5,277
|
)
|
|
$
|
(972
|
)
|
Interest expense
|
|
(13,103
|
)
|
|
(15,646
|
)
|
|
(20,844
|
)
|
|
|
2,543
|
|
|
5,198
|
|
|||||
Net interest income
|
|
6,434
|
|
|
9,168
|
|
|
4,942
|
|
|
|
(2,734
|
)
|
|
4,226
|
|
|||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
(877
|
)
|
|
|
—
|
|
|
877
|
|
|||||
Investment fair value changes, net
|
|
(4,200
|
)
|
|
(1,192
|
)
|
|
(894
|
)
|
|
|
(3,008
|
)
|
|
(298
|
)
|
|||||
Realized gains
|
|
—
|
|
|
—
|
|
|
1,701
|
|
|
|
—
|
|
|
(1,701
|
)
|
|||||
Operating expenses
|
|
—
|
|
|
—
|
|
|
(165
|
)
|
|
|
—
|
|
|
165
|
|
|||||
Net Income from Consolidated Sequoia Entities
|
|
$
|
2,234
|
|
|
$
|
7,976
|
|
|
$
|
4,707
|
|
|
|
$
|
(5,742
|
)
|
|
$
|
3,269
|
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Residential loans held for investment, at fair value
|
|
$
|
791,636
|
|
|
$
|
1,021,870
|
|
Other assets
|
|
6,681
|
|
|
6,254
|
|
||
Total Assets
|
|
$
|
798,317
|
|
|
$
|
1,028,124
|
|
Other liabilities
|
|
$
|
518
|
|
|
$
|
655
|
|
Asset-backed securities issued, at fair value
|
|
773,462
|
|
|
996,820
|
|
||
Total liabilities
|
|
773,980
|
|
|
997,475
|
|
||
Equity (fair value of Redwood's retained investments in entities)
|
|
24,337
|
|
|
30,649
|
|
||
Total Liabilities and Equity
|
|
$
|
798,317
|
|
|
$
|
1,028,124
|
|
|
|
Years Ended December 31,
|
||||||
(In Thousands)
|
|
2016
|
|
2015
|
||||
Balance at beginning of period
|
|
$
|
1,021,870
|
|
|
$
|
1,474,386
|
|
ASU 2014-13 election adjustment
(1)
|
|
—
|
|
|
(103,649
|
)
|
||
Adjusted beginning balance
|
|
1,021,870
|
|
|
1,370,737
|
|
||
Principal repayments
|
|
(197,407
|
)
|
|
(258,876
|
)
|
||
Transfers to REO
|
|
(11,566
|
)
|
|
(5,792
|
)
|
||
Transfers between portfolios
(2)
|
|
—
|
|
|
(91,622
|
)
|
||
Deconsolidation adjustments
|
|
(6,871
|
)
|
|
—
|
|
||
Changes in fair value, net
|
|
(14,390
|
)
|
|
7,423
|
|
||
Balance at End of Period
|
|
$
|
791,636
|
|
|
$
|
1,021,870
|
|
(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 at fair value. See
Note 3 — Summary of Significant Accounting Policies
to our Consolidated Financial Statements included in Part II, Item 8 of this Annual Report on Form 10-K for further discussion.
|
(2)
|
During the fourth quarter of 2015, we exercised our rights to call three consolidated Sequoia entities.
|
December 31, 2016
|
|
|
|
|
|||
(Dollars in Thousands)
|
|
Principal Balance
|
|
Weighted Average Coupon
|
|||
First Lien
|
|
|
|
|
|||
ARM
|
|
$
|
869,290
|
|
|
2.12
|
%
|
Hybrid
(1)
|
|
17,691
|
|
|
3.03
|
%
|
|
Total Outstanding Principal
|
|
$
|
886,981
|
|
|
|
(1)
|
All of these loans have reached the initial interest rate reset date and are currently adjustable rate mortgages.
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands except per Share Data)
|
|
2016 est.
(1)
|
|
2015
|
|
2014
|
||||||
REIT taxable income
|
|
$
|
97,278
|
|
|
$
|
85,685
|
|
|
$
|
63,989
|
|
Taxable REIT subsidiary income (loss)
|
|
68,072
|
|
|
(42,034
|
)
|
|
(18,242
|
)
|
|||
Total Taxable Income
|
|
$
|
165,350
|
|
|
$
|
43,651
|
|
|
$
|
45,747
|
|
|
|
|
|
|
|
|
||||||
REIT taxable income per share
|
|
$
|
1.27
|
|
|
$
|
1.05
|
|
|
$
|
0.77
|
|
Total taxable income per share
|
|
$
|
2.15
|
|
|
$
|
0.55
|
|
|
$
|
0.55
|
|
|
|
|
|
|
|
|
||||||
Distributions to shareholders
|
|
$
|
86,240
|
|
|
$
|
92,493
|
|
|
$
|
92,935
|
|
Distributions to shareholders per share
|
|
$
|
1.12
|
|
|
$
|
1.12
|
|
|
$
|
1.12
|
|
(1)
|
Our tax results for the
year
ended
December 31, 2016
are estimates until we file tax returns for
2016
.
|
|
|
Loss Carryforward Expiration by Period
|
||||||||||||||||||
|
|
1 to 3
|
|
3 to 5
|
|
5 to 15
|
|
After 15
|
|
|
||||||||||
(In Thousands)
|
Years
|
Years
|
Years
|
Years
|
Total
|
|||||||||||||||
REIT Loss Carryforwards
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net operating loss
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(58,782
|
)
|
|
$
|
(58,782
|
)
|
Capital loss
|
|
(121,468
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(121,468
|
)
|
|||||
Total REIT Loss Carryforwards
|
|
$
|
(121,468
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(58,782
|
)
|
|
$
|
(180,250
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
TRS Loss Carryforwards
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net operating loss
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(28,050
|
)
|
|
$
|
(28,050
|
)
|
Capital loss
|
|
(3,820
|
)
|
|
(2,895
|
)
|
|
—
|
|
|
—
|
|
|
(6,715
|
)
|
|||||
Total TRS Loss Carryforwards
|
|
$
|
(3,820
|
)
|
|
$
|
(2,895
|
)
|
|
$
|
—
|
|
|
$
|
(28,050
|
)
|
|
$
|
(34,765
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended December 31, 2016
|
||||||||||||||||||
(In Thousands, except per Share Data)
|
|
REIT (Est.)
|
|
TRS (Est.)
|
|
Total Tax (Est.)
|
|
GAAP
|
|
Differences
|
||||||||||
Interest income
|
|
$
|
200,094
|
|
|
$
|
32,903
|
|
|
$
|
232,997
|
|
|
$
|
246,355
|
|
|
$
|
(13,358
|
)
|
Interest expense
|
|
(48,534
|
)
|
|
(27,862
|
)
|
|
(76,396
|
)
|
|
(88,528
|
)
|
|
12,132
|
|
|||||
Net interest income
|
|
151,560
|
|
|
5,041
|
|
|
156,601
|
|
|
157,827
|
|
|
(1,226
|
)
|
|||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,102
|
|
|
(7,102
|
)
|
|||||
Realized credit losses
|
|
(7,989
|
)
|
|
—
|
|
|
(7,989
|
)
|
|
—
|
|
|
(7,989
|
)
|
|||||
Mortgage banking activities, net
|
|
—
|
|
|
26,459
|
|
|
26,459
|
|
|
38,691
|
|
|
(12,232
|
)
|
|||||
MSR income (loss), net
|
|
—
|
|
|
86,638
|
|
|
86,638
|
|
|
14,353
|
|
|
72,285
|
|
|||||
Investment fair value changes, net
|
|
(2,277
|
)
|
|
(8,133
|
)
|
|
(10,410
|
)
|
|
(28,574
|
)
|
|
18,164
|
|
|||||
Operating expenses
|
|
(45,373
|
)
|
|
(43,465
|
)
|
|
(88,838
|
)
|
|
(88,786
|
)
|
|
(52
|
)
|
|||||
Other income
|
|
1,386
|
|
|
1,374
|
|
|
2,760
|
|
|
6,338
|
|
|
(3,578
|
)
|
|||||
Realized gains, net
|
|
—
|
|
|
284
|
|
|
284
|
|
|
28,009
|
|
|
(27,725
|
)
|
|||||
Benefit from (provision for) income taxes
|
|
(29
|
)
|
|
(126
|
)
|
|
(155
|
)
|
|
(3,708
|
)
|
|
3,553
|
|
|||||
Net Income
|
|
$
|
97,278
|
|
|
$
|
68,072
|
|
|
$
|
165,350
|
|
|
$
|
131,252
|
|
|
$
|
34,098
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Income per basic common share
|
|
$
|
1.27
|
|
|
$
|
0.88
|
|
|
$
|
2.15
|
|
|
$
|
1.54
|
|
|
$
|
0.61
|
|
|
|
Year Ended December 31, 2015
|
||||||||||||||||||
(In Thousands, except per Share Data)
|
|
REIT
|
|
TRS
|
|
Total Tax
|
|
GAAP
|
|
Differences
|
||||||||||
Interest income
|
|
$
|
187,146
|
|
|
$
|
39,987
|
|
|
$
|
227,133
|
|
|
$
|
259,432
|
|
|
$
|
(32,299
|
)
|
Interest expense
|
|
(43,485
|
)
|
|
(36,345
|
)
|
|
(79,830
|
)
|
|
(95,883
|
)
|
|
16,053
|
|
|||||
Net interest income
|
|
143,661
|
|
|
3,642
|
|
|
147,303
|
|
|
163,549
|
|
|
(16,246
|
)
|
|||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
355
|
|
|
(355
|
)
|
|||||
Realized credit losses
|
|
(8,645
|
)
|
|
—
|
|
|
(8,645
|
)
|
|
—
|
|
|
(8,645
|
)
|
|||||
Mortgage banking activities, net
|
|
—
|
|
|
(24,637
|
)
|
|
(24,637
|
)
|
|
10,972
|
|
|
(35,609
|
)
|
|||||
MSR income (loss), net
|
|
—
|
|
|
33,669
|
|
|
33,669
|
|
|
(3,922
|
)
|
|
37,591
|
|
|||||
Investment fair value changes, net
|
|
(390
|
)
|
|
(2,437
|
)
|
|
(2,827
|
)
|
|
(21,357
|
)
|
|
18,530
|
|
|||||
Operating expenses
|
|
(49,304
|
)
|
|
(53,932
|
)
|
|
(103,236
|
)
|
|
(97,416
|
)
|
|
(5,820
|
)
|
|||||
Other income
|
|
403
|
|
|
1,771
|
|
|
2,174
|
|
|
3,192
|
|
|
(1,018
|
)
|
|||||
Realized gains, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
36,369
|
|
|
(36,369
|
)
|
|||||
Benefit from (provision for) income taxes
|
|
(40
|
)
|
|
(110
|
)
|
|
(150
|
)
|
|
10,346
|
|
|
(10,496
|
)
|
|||||
Net Income (Loss)
|
|
$
|
85,685
|
|
|
$
|
(42,034
|
)
|
|
$
|
43,651
|
|
|
$
|
102,088
|
|
|
$
|
(58,437
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Income (loss) per basic common share
|
|
$
|
1.05
|
|
|
$
|
(0.50
|
)
|
|
$
|
0.55
|
|
|
$
|
1.18
|
|
|
$
|
(0.63
|
)
|
|
|
Year Ended December 31, 2014
|
||||||||||||||||||
(In Thousands, except per Share Data)
|
|
REIT
|
|
TRS
|
|
Total Tax
|
|
GAAP
|
|
Differences
|
||||||||||
Interest income
|
|
$
|
164,136
|
|
|
$
|
42,078
|
|
|
$
|
206,214
|
|
|
$
|
242,070
|
|
|
$
|
(35,856
|
)
|
Interest expense
|
|
(48,233
|
)
|
|
(18,975
|
)
|
|
(67,208
|
)
|
|
(87,463
|
)
|
|
20,255
|
|
|||||
Net interest income
|
|
115,903
|
|
|
23,103
|
|
|
139,006
|
|
|
154,607
|
|
|
(15,601
|
)
|
|||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(961
|
)
|
|
961
|
|
|||||
Realized credit losses
|
|
(6,734
|
)
|
|
—
|
|
|
(6,734
|
)
|
|
—
|
|
|
(6,734
|
)
|
|||||
Mortgage banking activities, net
|
|
—
|
|
|
3,498
|
|
|
3,498
|
|
|
34,994
|
|
|
(31,496
|
)
|
|||||
MSR income (loss), net
|
|
—
|
|
|
15,763
|
|
|
15,763
|
|
|
(4,261
|
)
|
|
20,024
|
|
|||||
Investment fair value changes, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(10,202
|
)
|
|
10,202
|
|
|||||
Operating expenses
|
|
(45,122
|
)
|
|
(52,313
|
)
|
|
(97,435
|
)
|
|
(90,123
|
)
|
|
(7,312
|
)
|
|||||
Other income (expense)
|
|
12
|
|
|
(8,231
|
)
|
|
(8,219
|
)
|
|
1,781
|
|
|
(10,000
|
)
|
|||||
Realized gains, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,478
|
|
|
(15,478
|
)
|
|||||
Benefit from (provision for) income taxes
|
|
(70
|
)
|
|
(62
|
)
|
|
(132
|
)
|
|
(744
|
)
|
|
612
|
|
|||||
Net Income (Loss)
|
|
$
|
63,989
|
|
|
$
|
(18,242
|
)
|
|
$
|
45,747
|
|
|
$
|
100,569
|
|
|
$
|
(54,822
|
)
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Income (loss) per share
|
|
$
|
0.77
|
|
|
$
|
(0.22
|
)
|
|
$
|
0.55
|
|
|
$
|
1.15
|
|
|
$
|
(0.60
|
)
|
|
|
Years Ended December 31,
|
||||||||||||||||||
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Ratio of earnings to fixed charges
|
|
3.04
|
|
x
|
|
2.40
|
|
x
|
|
2.65
|
|
x
|
|
3.90
|
|
x
|
|
2.20
|
|
x
|
•
|
Residential Loan Warehouse Facilities
. As noted above, one source of our short-term debt financing is secured borrowings under residential loan warehouse facilities we have established and, as of
December 31, 2016
, were in place with four different financial institution counterparties. Financial covenants included in these warehouse facilities are as follows and at
December 31, 2016
, and through the date of this Annual Report on Form 10-K, we were in compliance with each of these financial covenants:
|
•
|
Maintenance of a minimum dollar amount of stockholders’ equity/tangible net worth at Redwood.
|
•
|
Maintenance of a minimum dollar amount of cash and cash equivalents at Redwood or maintenance of an amount of cash and cash equivalents in excess of a specified percentage of outstanding short-term recourse indebtedness.
|
•
|
Maintenance of a minimum ratio of consolidated recourse indebtedness to stockholders’ equity and tangible net worth at Redwood.
|
•
|
Maintenance of uncommitted residential loan warehouse facilities with a specified level of unused borrowing capacity.
|
•
|
Securities Repurchase Facilities
. As noted above, another source of our short-term debt financing is through secured borrowings under securities repurchase facilities we have established with various financial institution counterparties. Financial covenants included in these securities repurchase facilities are as follows and at
December 31, 2016
, and through the date of this Annual Report on Form 10-K, we were in compliance with each of these financial covenants:
|
•
|
Maintenance of a minimum dollar amount of stockholders’ equity/tangible net worth at Redwood.
|
•
|
Maintenance of a minimum dollar amount of cash and cash equivalents at Redwood.
|
•
|
Maintenance of a minimum ratio of consolidated recourse indebtedness to consolidated adjusted tangible net worth at Redwood.
|
•
|
Committed Line of Credit
. As noted above, we also maintain a
$10 million
committed line of short-term credit from a bank, which is secured by our pledge of certain mortgage-backed securities we own. The types of financial covenants included in this bank line of credit are a subset of the covenants summarized above.
|
•
|
FHLB Borrowing Facility
. As noted above, a wholly-owned subsidiary of ours, RWT Financial, also maintains a borrowing facility with the FHLBC, borrowings under which are required to be secured by eligible collateral including, but not limited to, residential mortgage loans and residential mortgage-backed securities. Financial covenants included in this facility are as follows and at
December 31, 2016
, and through the date of this Annual Report on Form 10-K, we were in compliance with each of these financial covenants:
|
•
|
Maintenance by RWT Financial of a minimum ratio of total liabilities (excluding debt subordinated to the FHLBC and non-recourse debt) to stockholders’ equity and debt subordinated to the FHLBC.
|
•
|
Maintenance by RWT Financial of a minimum level of unencumbered assets based on the level of indebtedness to the FHLBC.
|
•
|
Maintenance of a minimum ratio of total liabilities (excluding non-recourse debt) to stockholders’ equity at Redwood.
|
•
|
Maintenance of a minimum dollar amount of cash and cash equivalents at Redwood.
|
•
|
Residential Loan Warehouse Facilities
. As noted above, one source of our short-term debt financing is secured borrowings under residential loan warehouse facilities we have established and, as of
December 31, 2016
, were in place with
four
different financial institution counterparties. These warehouse facilities include the margin call provisions described below and during the twelve months ended
December 31, 2016
, and through the date of this Annual Report on Form 10-K, we complied with any margin calls received from creditors under these warehouse facilities:
|
•
|
If at any time the market value (as determined by the creditor) of any residential mortgage loan financed under a facility declines, then the creditor may demand that we transfer additional collateral to the creditor (in the form of cash, U.S. Treasury obligations (in certain cases), or additional residential mortgage loans) with a value equal to the amount of the decline. If we receive any such demand, (i) under two of our residential loan warehouse facilities, we would generally be required to transfer the additional collateral on the same day (although demands received after a certain time would only require the transfer of additional collateral on the following business day) and (ii) under two of our residential loan warehouse facilities, we would generally be required to transfer the additional collateral on the following business day. The value of additional residential mortgage loans transferred as additional collateral is determined by the creditor.
|
•
|
Securities Repurchase Facilities
. Another source of our short-term debt financing is through secured borrowings under securities repurchase facilities we have established with various financial institution counterparties. These repurchase facilities include the margin call provisions described below and during the twelve months ended
December 31, 2016
, and through the date of this Annual Report on Form 10-K, we complied with any margin calls received from creditors under these repurchase facilities:
|
•
|
If at any time the market value (as determined by the creditor) of any securities financed under a facility declines, then the creditor may demand that we transfer additional collateral to the creditor (in the form of cash, U.S. Treasury obligations, or additional securities) with a value equal to the amount of the decline. If we receive any such demand, we would generally be required to transfer the additional collateral on the same day. The value of additional securities transferred as additional collateral is determined by the creditor.
|
•
|
Committed Line of Credit
. As noted above, we also maintain a
$10 million
committed line of short-term credit from a bank, which is secured by our pledge of certain mortgage-backed securities we own. Margin call provisions included in this bank line of credit are as follows and during the twelve months ended
December 31, 2016
, and through the date of this Annual Report on Form 10-K, we complied with any margin calls received from this creditor under this line of credit:
|
•
|
If at any time the total market value (as determined by two broker-dealers) of the securities that are pledged as collateral under this facility declines to a value less than the outstanding amount of borrowings under this facility, then the creditor may demand that we transfer additional collateral to the creditor (in the form of cash, U.S. Treasury obligations, or additional securities) with a value equal to the amount of the difference. If we receive any such demand, we would generally be required to transfer the additional collateral within two business days. The value of additional collateral pledged is determined by the creditor.
|
•
|
FHLB Borrowing Facility
. As noted above, a wholly-owned subsidiary of ours, RWT Financial, also maintains a borrowing facility with the FHLBC, borrowings under which are required to be secured by eligible collateral including, but not limited to, residential mortgage loans and residential mortgage-backed securities. This facility includes the margin call provisions described below during the twelve months ended
December 31, 2016
, and through the date of this Annual Report on Form 10-K, we complied with any margin calls received from the creditor under this facility.
|
•
|
If at any time the aggregate market value (as determined by the FHLBC) of the residential mortgage loans and residential mortgage-backed securities pledged as collateral under this facility declines to a value less than the required collateral level, or if any collateral ceases to be qualifying collateral under the terms of this facility, we would be required to promptly deliver additional collateral sufficient to maintain the required collateral level. The value of additional loans or securities transferred as additional collateral is determined by the FHLBC.
|
December 31, 2016
|
|
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
|
|
$
|
792
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
792
|
|
Convertible notes
|
|
—
|
|
|
488
|
|
|
—
|
|
|
—
|
|
|
488
|
|
|||||
Anticipated interest payments on convertible notes
|
|
25
|
|
|
29
|
|
|
—
|
|
|
—
|
|
|
54
|
|
|||||
FHLBC borrowings
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,000
|
|
|
2,000
|
|
|||||
Anticipated interest payments on FHLBC borrowings
|
|
25
|
|
|
79
|
|
|
98
|
|
|
197
|
|
|
399
|
|
|||||
Other long-term debt
|
|
—
|
|
|
—
|
|
|
—
|
|
|
140
|
|
|
140
|
|
|||||
Anticipated interest payments on other long-term debt
(1)
|
|
9
|
|
|
19
|
|
|
19
|
|
|
143
|
|
|
190
|
|
|||||
Accrued interest payable
|
|
9
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9
|
|
|||||
Operating leases
|
|
2
|
|
|
2
|
|
|
1
|
|
|
—
|
|
|
5
|
|
|||||
Total Redwood Obligations and Commitments
|
|
$
|
862
|
|
|
$
|
617
|
|
|
$
|
118
|
|
|
$
|
2,480
|
|
|
$
|
4,077
|
|
Obligations of Consolidated Entities for Financial Reporting Purposes
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Consolidated ABS
(2)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
881
|
|
|
$
|
881
|
|
Anticipated interest payments on ABS
(3)
|
|
15
|
|
|
39
|
|
|
41
|
|
|
114
|
|
|
209
|
|
|||||
Accrued interest payable
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|||||
Total Obligations of Entities Consolidated for Financial Reporting Purposes
|
|
16
|
|
|
39
|
|
|
41
|
|
|
995
|
|
|
1,091
|
|
|||||
Total Consolidated Obligations and Commitments
|
|
$
|
878
|
|
|
$
|
656
|
|
|
$
|
159
|
|
|
$
|
3,475
|
|
|
$
|
5,168
|
|
(1)
|
Includes anticipated interest payments related to hedges.
|
(2)
|
All consolidated ABS issued are collateralized by real estate loans. 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
December 31, 2016
.
|
Quantitative Information on Market Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
|
|
Principal Amounts Maturing and Effective Rates During Period
|
|
December 31, 2016
|
||||||||||||||||||||
(Dollars in Thousands)
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
2021
|
|
Thereafter
|
|
Principal
Balance
|
|
Fair
Value
|
|||||||||
Interest rate sensitive assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Residential loans - HFI at Redwood
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Fixed Rate
|
Principal
|
|
212,441
|
|
|
192,144
|
|
|
173,786
|
|
|
157,182
|
|
|
142,165
|
|
|
1,345,822
|
|
|
2,223,540
|
|
|
2,250,662
|
|
|
Interest Rate
|
|
4.12
|
%
|
|
4.12
|
%
|
|
4.12
|
%
|
|
4.12
|
%
|
|
4.12
|
%
|
|
4.12
|
%
|
|
|
|
|
||
Hybrid
|
Principal
|
|
980
|
|
|
886
|
|
|
802
|
|
|
725
|
|
|
656
|
|
|
6,208
|
|
|
10,257
|
|
|
10,354
|
|
|
Interest Rate
|
|
3.73
|
%
|
|
3.73
|
%
|
|
3.73
|
%
|
|
5.16
|
%
|
|
5.36
|
%
|
|
5.55
|
%
|
|
|
|
|
||
Residential loans - HFI at Sequoia
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Adjustable Rate
|
Principal
|
|
162,900
|
|
|
141,681
|
|
|
122,709
|
|
|
106,674
|
|
|
92,770
|
|
|
260,247
|
|
|
886,981
|
|
|
791,636
|
|
|
Interest Rate
|
|
2.62
|
%
|
|
3.10
|
%
|
|
3.51
|
%
|
|
3.75
|
%
|
|
3.91
|
%
|
|
3.47
|
%
|
|
|
|
|
||
Residential loans - HFS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Adjustable Rate
|
Principal
|
|
882
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
882
|
|
|
616
|
|
|
Interest Rate
|
|
2.40
|
%
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
||
Fixed Rate
|
Principal
|
|
144,174
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
144,174
|
|
|
144,226
|
|
|
Interest Rate
|
|
3.97
|
%
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
||
Hybrid
|
Principal
|
|
688,329
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
688,329
|
|
|
690,557
|
|
|
Interest Rate
|
|
3.35
|
%
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
||
Commercial Loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Fixed Rate
|
Principal
|
|
3,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,000
|
|
|
2,700
|
|
|
Interest Rate
|
|
11.00
|
%
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
||
Residential Senior Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Adjustable Rate
|
Principal
|
|
3,978
|
|
|
3,384
|
|
|
2,868
|
|
|
2,439
|
|
|
2,075
|
|
|
9,544
|
|
|
24,289
|
|
|
22,866
|
|
|
Interest Rate
|
|
2.59
|
%
|
|
3.14
|
%
|
|
3.35
|
%
|
|
3.58
|
%
|
|
3.74
|
%
|
|
3.90
|
%
|
|
|
|
|
||
Fixed Rate
|
Principal
|
|
3,644
|
|
|
3,257
|
|
|
2,798
|
|
|
2,322
|
|
|
1,992
|
|
|
12,484
|
|
|
26,498
|
|
|
59,957
|
|
|
Interest Rate
|
|
5.30
|
%
|
|
2.39
|
%
|
|
5.48
|
%
|
|
5.52
|
%
|
|
5.55
|
%
|
|
5.36
|
%
|
|
|
|
|
||
Hybrid
|
Principal
|
|
15,279
|
|
|
13,162
|
|
|
11,327
|
|
|
9,742
|
|
|
8,491
|
|
|
40,074
|
|
|
98,075
|
|
|
90,790
|
|
|
Interest Rate
|
|
3.48
|
%
|
|
4.13
|
%
|
|
4.00
|
%
|
|
4.11
|
%
|
|
4.18
|
%
|
|
4.15
|
%
|
|
|
|
|
||
Residential Re-REMIC Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Fixed Rate
|
Principal
|
|
1,999
|
|
|
2,021
|
|
|
3,074
|
|
|
3,867
|
|
|
27,465
|
|
|
3,905
|
|
|
42,331
|
|
|
35,854
|
|
|
Interest Rate
|
|
5.74
|
%
|
|
5.74
|
%
|
|
5.76
|
%
|
|
5.77
|
%
|
|
5.78
|
%
|
|
5.62
|
%
|
|
|
|
|
||
Hybrid
|
Principal
|
|
2,802
|
|
|
5,193
|
|
|
5,239
|
|
|
4,728
|
|
|
29,627
|
|
|
5,689
|
|
|
53,277
|
|
|
49,625
|
|
|
Interest Rate
|
|
3.33
|
%
|
|
3.87
|
%
|
|
4.33
|
%
|
|
4.78
|
%
|
|
4.95
|
%
|
|
5.39
|
%
|
|
|
|
|
||
Residential Subordinate
Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Adjustable Rate
|
Principal
|
|
1,164
|
|
|
1,444
|
|
|
1,495
|
|
|
1,595
|
|
|
10,656
|
|
|
1,640
|
|
|
17,994
|
|
|
16,485
|
|
|
Interest Rate
|
|
3.64
|
%
|
|
4.11
|
%
|
|
3.86
|
%
|
|
3.93
|
%
|
|
3.98
|
%
|
|
3.86
|
%
|
|
|
|
|
||
Fixed Rate
|
Principal
|
|
23,145
|
|
|
28,382
|
|
|
36,233
|
|
|
41,277
|
|
|
483,650
|
|
|
49,707
|
|
|
662,393
|
|
|
581,476
|
|
|
Interest Rate
|
|
4.53
|
%
|
|
5.32
|
%
|
|
4.80
|
%
|
|
4.78
|
%
|
|
4.82
|
%
|
|
4.86
|
%
|
|
|
|
|
||
Hybrid
|
Principal
|
|
5,002
|
|
|
5,222
|
|
|
4,793
|
|
|
5,393
|
|
|
63,460
|
|
|
5,221
|
|
|
89,091
|
|
|
69,616
|
|
|
Interest Rate
|
|
2.51
|
%
|
|
3.67
|
%
|
|
3.13
|
%
|
|
3.36
|
%
|
|
3.65
|
%
|
|
3.94
|
%
|
|
|
|
|
Quantitative Information on Market Risk
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
|
|
|
Principal Amounts Maturing and Effective Rates During Period
|
|
December 31, 2016
|
||||||||||||||||||||||||||||
(Dollars in Thousands)
|
|
2017
|
|
2018
|
|
2019
|
|
2020
|
|
2021
|
|
Thereafter
|
|
Principal
Balance
|
|
Fair
Value
|
|||||||||||||||||
Interest rate sensitive assets (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Commercial Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Adjustable Rate
|
Principal
|
|
$
|
1,817
|
|
|
$
|
2,518
|
|
|
$
|
2,490
|
|
|
$
|
2,309
|
|
|
$
|
2,190
|
|
|
$
|
17,492
|
|
|
$
|
28,816
|
|
|
$
|
28,957
|
|
|
Interest Rate
|
|
6.34
|
%
|
|
6.83
|
%
|
|
7.21
|
%
|
|
7.42
|
%
|
|
7.63
|
%
|
|
7.84
|
%
|
|
|
|
|
||||||||||
Fixed Rate
|
Principal
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
80,315
|
|
|
80,315
|
|
|
62,813
|
|
||||||||
|
Interest Rate
|
|
3.83
|
%
|
|
3.83
|
%
|
|
3.83
|
%
|
|
3.83
|
%
|
|
3.83
|
%
|
|
3.83
|
%
|
|
|
|
|
||||||||||
Interest rate sensitive liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Asset-backed securities issued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Sequoia Entities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Adjustable Rate
|
Principal
|
|
54,413
|
|
|
54,017
|
|
|
54,058
|
|
|
54,892
|
|
|
56,010
|
|
|
589,434
|
|
|
862,825
|
|
|
757,067
|
|
||||||||
|
Interest Rate
|
|
1.46
|
%
|
|
1.89
|
%
|
|
2.25
|
%
|
|
2.46
|
%
|
|
2.60
|
%
|
|
2.63
|
%
|
|
|
|
|
||||||||||
Hybrid
|
Principal
|
|
766
|
|
|
754
|
|
|
760
|
|
|
766
|
|
|
794
|
|
|
13,852
|
|
|
17,692
|
|
|
16,394
|
|
||||||||
|
Interest Rate
|
|
3.30
|
%
|
|
3.92
|
%
|
|
4.39
|
%
|
|
4.92
|
%
|
|
5.16
|
%
|
|
5.14
|
%
|
|
|
|
|
||||||||||
Short-term Debt
|
Principal
|
|
791,539
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
791,539
|
|
|
791,539
|
|
||||||||
|
Interest Rate
|
|
2.21
|
%
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
N/A
|
|
|
|
|
|
||||||||||
Long-term Debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
FHLBC
Borrowings
|
Principal
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,999,999
|
|
|
1,999,999
|
|
|
1,999,999
|
|
||||||||
|
Interest Rate
|
|
1.25
|
%
|
|
1.79
|
%
|
|
2.17
|
%
|
|
2.37
|
%
|
|
2.51
|
%
|
|
2.74
|
%
|
|
|
|
|
||||||||||
Convertible Notes
|
Principal
|
|
—
|
|
|
287,500
|
|
|
200,765
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
488,265
|
|
|
493,365
|
|
||||||||
|
Interest Rate
|
|
5.04
|
%
|
|
5.04
|
%
|
|
5.63
|
%
|
|
—
|
%
|
|
—
|
%
|
|
—
|
%
|
|
|
|
|
||||||||||
Other long-term debt
|
Principal
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
139,500
|
|
|
139,500
|
|
|
96,255
|
|
||||||||
|
Interest Rate
|
|
6.75
|
%
|
|
6.75
|
%
|
|
6.75
|
%
|
|
6.75
|
%
|
|
6.75
|
%
|
|
6.75
|
%
|
|
|
|
|
||||||||||
Interest rate agreements
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
(Purchased)
|
Notional
Amount
|
|
—
|
|
|
90,000
|
|
|
513,000
|
|
|
95,000
|
|
|
342,000
|
|
|
805,000
|
|
|
1,845,000
|
|
|
(27,572
|
)
|
||||||||
|
Receive Strike Rate
|
|
1.30
|
%
|
|
1.83
|
%
|
|
2.19
|
%
|
|
2.39
|
%
|
|
2.52
|
%
|
|
2.84
|
%
|
|
|
|
|
||||||||||
|
Pay Strike Rate
|
|
1.96
|
%
|
|
1.96
|
%
|
|
1.96
|
%
|
|
1.96
|
%
|
|
1.96
|
%
|
|
1.96
|
%
|
|
|
|
|
||||||||||
(Sold)
|
Notional
Amount
|
|
—
|
|
|
—
|
|
|
—
|
|
|
60,000
|
|
|
20,000
|
|
|
325,000
|
|
|
405,000
|
|
|
(9,488
|
)
|
||||||||
|
Receive Strike Rate
|
|
1.78
|
%
|
|
1.78
|
%
|
|
1.78
|
%
|
|
1.78
|
%
|
|
1.78
|
%
|
|
1.78
|
%
|
|
|
|
|
||||||||||
|
Pay Strike Rate
|
|
1.30
|
%
|
|
1.83
|
%
|
|
2.19
|
%
|
|
2.39
|
%
|
|
2.52
|
%
|
|
2.84
|
%
|
|
|
|
|
•
|
Martin S. Hughes, Chief Executive Officer
|
•
|
Christopher J. Abate, President and Chief Financial Officer
|
•
|
Shoshone (Bo) Stern, Chief Investment Officer
|
•
|
Andrew P. Stone, Executive Vice President, General Counsel, and Secretary
|
•
|
Brett D. Nicholas, former President
|
•
|
Fred J. Matera, former Executive Vice President, Commercial Investments and Finance
|
|
|
2016 Base Salary
(per annum)
|
|
2016 Target Annual Bonus (as % of Base Salary)
|
|
Total 2016 Target Annual Bonus ($)
|
|
Long-Term Equity Based Awards
|
||||||||||
|
|
|
DSUs
(Aggregate Grant Date
Fair Value)
(1)
|
|
PSUs
(Aggregate Grant Date
Fair Value)
(1)
|
|||||||||||||
Mr. Hughes,
Chief Executive Officer
|
|
$
|
750,000
|
|
|
175%
|
|
$
|
1,312,500
|
|
|
$
|
1,250,000
|
|
|
$
|
1,250,000
|
|
(1)
|
Grant date fair value of deferred stock units (DSUs) and performance stock units (PSUs) was determined at the time the grant was made (December 14, 2016) in accordance with FASB Accounting Standards Codification Topic 718.
|
NEO
(1)
|
|
Company Performance Component of 2016 Target Annual Bonus ($)
|
|
% of Company Performance Component Earned
|
|
2016 Company Performance Component of Annual Bonus Earned ($)
|
||||
Current Executive Officers
|
|
|
|
|
|
|
||||
Mr. Hughes,
Chief Executive Officer
|
|
$
|
984,375
|
|
|
232%
|
|
$
|
2,282,352
|
|
Mr. Abate,
President and Chief Financial Officer
|
|
$
|
576,563
|
|
|
232%
|
|
$
|
1,336,806
|
|
Mr. Stern,
Chief Investment Officer
|
|
$
|
304,688
|
|
|
232%
|
|
$
|
706,442
|
|
Mr. Stone,
Executive Vice President and General Counsel
|
|
$
|
309,375
|
|
|
232%
|
|
$
|
717,311
|
|
(1)
|
Mr. Nicholas departed from employment with Redwood as President on July 1, 2016 and Mr. Matera departed from employment with Redwood as Executive Vice President, Commercial Investments and Finance on May 1, 2016. As a result, neither Mr. Nicholas nor Mr. Matera received a 2016 annual bonus.
|
NEO
(1)
|
|
Individual Performance Component of 2016 Target Annual Bonus ($)
|
|
% of Individual Performance Component Earned
|
|
2016 Individual Performance Component of Annual Bonus Earned ($)
|
||||
Current Executive Officers
|
|
|
|
|
|
|
||||
Mr. Hughes,
Chief Executive Officer
|
|
$
|
328,125
|
|
|
100%
|
|
$
|
328,125
|
|
Mr. Abate,
President and Chief Financial Officer
|
|
$
|
192,188
|
|
|
100%
|
|
$
|
192,188
|
|
Mr. Stern,
Chief Investment Officer
|
|
$
|
101,563
|
|
|
100%
|
|
$
|
101,563
|
|
Mr. Stone,
Executive Vice President and General Counsel
|
|
$
|
103,125
|
|
|
100%
|
|
$
|
103,125
|
|
(1)
|
Mr. Nicholas departed from employment with Redwood as President on July 1, 2016 and Mr. Matera departed from employment with Redwood as Executive Vice President, Commercial Investments and Finance on May 1, 2016. As a result, neither Mr. Nicholas nor Mr. Matera received a 2016 annual bonus.
|
|
|
|
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)
|
|
|
|
4.1
|
|
Form of Common Stock Certificate (incorporated by reference to the Registrant’s Registration Statement on Form S-11 (No. 333-08363), Exhibit 4.3, filed on August 6, 1996)
|
|
|
|
4.2
|
|
Indenture dated as of October 1, 2001 between Sequoia Mortgage Trust 5 and Bankers Trust Company of California, N.A., as Trustee (incorporated by reference to Sequoia Mortgage Funding Corporation’s Current Report on Form 8-K, Exhibit 99.1, filed on November 15, 2001)
|
|
|
|
|
|
Exhibit
Number
|
|
Exhibit
|
4.3
|
|
Indenture dated as April 1, 2002 between Sequoia Mortgage Trust 6 and Deutsche Bank National Trust Company, as Trustee (incorporated by reference to Sequoia Mortgage Funding Corporation’s Current Report on Form 8-K, Exhibit 99.1, filed on May 13, 2002)
|
|
|
|
4.4
|
|
Junior Subordinated Indenture dated as of December 12, 2006 between the Registrant and The Bank of New York Trust Company, National Association, as Trustee (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.4, filed on December 12, 2006)
|
|
|
|
4.5
|
|
Amended and Restated Trust Agreement dated December 12, 2006 among the Registrant, The Bank of New York Trust Company, National Association, The Bank of New York (Delaware), the Administrative Trustees (as named therein) and the several holders of the Preferred Securities from time to time (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.3, filed on December 12, 2006)
|
4.6
|
|
Purchase Agreement dated December 12, 2006 among the Registrant, Redwood Capital Trust I and Merrill Lynch International (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.1, filed on December 12, 2006)
|
|
|
|
4.7
|
|
Purchase Agreement dated December 12, 2006 among the Registrant, Redwood Capital Trust I and Bear, Stearns & Co. Inc. (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.2, filed on December 12, 2006)
|
|
|
|
4.8
|
|
Subordinated Indenture dated as of May 23, 2007 between the Registrant and Wilmington Trust Company (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.2, filed on May 23, 2007)
|
|
|
|
4.9
|
|
Purchase Agreement dated May 23, 2007 between the Registrant and Obsidian CDO Warehouse, LLC (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 1.1, filed on May 23, 2007)
|
|
|
|
4.10
|
|
Indenture, dated as of November 28, 2012, among RCMC 2012-CREL1, LLC, as Issuer, KeyCorp Real Estate Capital Markets, Inc., as Advancing Agent, and Wells Fargo Bank, National Association, as Trustee, Paying Agent, Transfer Agent, Custodian, Backup Advancing Agent and Notes Registrar (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 4, 2012)
|
|
|
|
4.11
|
|
Indenture, dated March 6, 2013, between Redwood Trust, Inc. and Wilmington Trust, National Association, as Trustee (incorporated by reference to the Registrant’s Current Report on Form 8-K/A, Exhibit 4.1, filed on March 6, 2013)
|
|
|
|
4.12
|
|
First Supplemental Indenture, dated March 6, 2013, between Redwood Trust, Inc. and Wilmington Trust, National Association, as Trustee (including the form of 4.625% Convertible Senior Note due 2018) (incorporated by reference to the Registrant’s Current Report on Form 8-K/A, Exhibit 4.2, filed on March 6, 2013)
|
|
|
|
4.13
|
|
Indenture, by and among Redwood Trust, Inc., RWT Holdings, Inc. and Wilmington Trust, National Association, as Trustee, dated as of November 24, 2014 (including the form of 5.625% Exchangeable Senior Note due 2019) (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 4.1, filed on November 25, 2014)
|
|
|
|
9.1
|
|
Waiver Agreement dated as of November 15, 2007 between the Registrant and Davis Selected Advisors, L.P. (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 9.1, filed on March 5, 2008)
|
|
|
|
9.2
|
|
Amendment of Waiver Agreement dated as of January 16, 2008 between Registrant and Davis Selected Advisors, L.P. (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 9.2, filed on March 5, 2008)
|
|
|
|
10.1*
|
|
2014 Incentive Award Plan (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on May 23, 2014)
|
|
|
|
10.2*
|
|
Form of Redwood Trust, Inc. Deferred Stock Unit Award Agreement under 2014 Incentive Award Plan (2014) (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.2, filed on August 8, 2014)
|
|
|
|
10.3*
|
|
Form of Redwood Trust, Inc. Performance Stock Unit Award Agreement under 2014 Incentive Award Plan (2014) (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 19, 2016)
|
|
|
|
10.4*
|
|
Form of Redwood Trust, Inc. Restricted Stock Award Agreement under 2014 Incentive Award Plan (2014) (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.4, filed on August 8, 2014)
|
|
|
|
10.5*
|
|
Amended and Restated 1994 Executive and Non-Employee Director Stock Option Plan, as last amended January 24, 2002 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.14.5, filed on May 15, 2002)
|
|
|
|
Exhibit
Number
|
|
Exhibit
|
|
|
|
10.6*
|
|
2002 Incentive Plan, as amended through May 16, 2013 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on May 21, 2013)
|
|
|
|
10.7*
|
|
Form of Employee Incentive Stock Option Grant Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.8.1, filed on March 16, 2005)
|
|
|
|
10.8*
|
|
Form of Employee Non-Qualified Stock Option Grant Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.8.2, filed on filed on March 16, 2005)
|
|
|
|
10.9*
|
|
Form of Amendment to Employee Non-Qualified Stock Option Grant Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on November 17, 2005)
|
|
|
|
10.10*
|
|
Form of Restricted Stock Award Agreement under 2002 Incentive Plan – Pre-December 2011 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.8.3, filed on March 16, 2005)
|
|
|
|
10.11*
|
|
Form of Deferred Stock Unit Award Agreement under 2002 Incentive Plan – Pre-December 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 2, 2010)
|
|
|
|
10.12*
|
|
Form of Performance Stock Unit Award Agreement under 2002 Incentive Plan – Pre-December 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on December 2, 2010)
|
|
|
|
10.13*
|
|
Form of Restricted Stock Award Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.3, filed on December 8, 2011)
|
10.14*
|
|
Form of Deferred Stock Unit Award Agreement under 2002 Incentive Plan (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 8, 2011)
|
|
|
|
10.15*
|
|
Form of Performance Stock Unit Award Agreement under 2002 Incentive Plan – December 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on December 8, 2011)
|
|
|
|
10.16*
|
|
Form of Performance Stock Unit Award Agreement under 2002 Incentive Plan – December 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on December 11, 2012)
|
|
|
|
10.17*
|
|
2002 Employee Stock Purchase Plan, as amended through May 16, 2013 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on May 21, 2013)
|
|
|
|
10.18*
|
|
Executive Deferred Compensation Plan, as amended and restated on December 10, 2008 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.1, filed on January 14, 2009)
|
|
|
|
10.19*
|
|
First Amendment to Amended and Restated Executive Deferred Compensation Plan, effective as of November 23, 2013 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.15, filed on February 26, 2014)
|
|
|
|
10.20*
|
|
Direct Stock Purchase and Dividend Reinvestment Plan (incorporated by reference to the Plan text included in the Registrant’s Prospectus Supplement filed on September 5, 2012)
|
|
|
|
10.21*
|
|
Summary of the Registrant’s Compensation Arrangements for Non-Employee Directors (incorporated by reference to the “Director Compensation” section of the Registrant’s Definitive Proxy Statement filed on March 20, 2015)
|
|
|
|
10.22*
|
|
Revised Form of Indemnification Agreement for Directors and Executive Officers (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 99.3, filed on November 16, 2009)
|
|
|
|
10.23
|
|
Office Building Lease, dated February 27, 2003 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.30.2, filed on March 12, 2004)
|
|
|
|
10.24
|
|
Office Building Lease (second floor), dated July 31, 2006 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.1, filed November 2, 2006)
|
|
|
|
10.25
|
|
Second Amendment to Lease, dated July 31, 2006 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.3, filed November 2, 2006)
|
|
|
|
10.26
|
|
Office Building Lease, effective as of and dated as of June 1, 2012 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.1, filed November 3, 2011)
|
|
|
|
|
|
|
Exhibit
Number
|
|
Exhibit
|
10.27
|
|
Lease Agreement, dated as of January 11, 2013, between MG-Point, LLC, as Landlord, and the Registrant, as Tenant (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.22, filed on February 26, 2013)
|
|
|
|
10.28
|
|
First Amendment to Lease, effective as of June 27, 2013, between MG-Point, LLC, as Landlord, and the Registrant, as Tenant (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.4, filed August 8, 2013)
|
|
|
|
10.29
|
|
Second Amendment to Lease, effective as of June 23, 2014, between MG-Point, LLC, as Landlord, and the Registrant, as Tenant (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.7, filed August 8, 2014)
|
|
|
|
10.31*
|
|
Amended and Restated Employment Agreement, dated as of February 22, 2017, by and between Martin S. Hughes and the Registrant (filed herewith)
|
|
|
|
10.32*
|
|
Amended and Restated Employment Agreement, dated as of March 31, 2009, by and between Brett D. Nicholas and the Registrant (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.3, filed on May 5, 2009)
|
|
|
|
10.35*
|
|
First Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of March 17, 2010 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on March 18, 2010)
|
|
|
|
10.37*
|
|
Second Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of February 24, 2011 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.24, filed on February 24, 2011)
|
|
|
|
10.40*
|
|
Third Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of May 17, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.4, filed on May 21, 2012)
|
|
|
|
10.43*
|
|
Fourth Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of December 14, 2012 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.36, filed on February 26, 2013)
|
|
|
|
10.46*
|
|
Fifth Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of August 6, 2014 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.6, filed on August 8, 2014)
|
|
|
|
10.48*
|
|
Sixth Amendment to Amended and Restated Employment Agreement, by and between Brett D. Nicholas and the Registrant, dated as of August 5, 2015 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.1, filed on November 6, 2015)
|
|
|
|
10.49*
|
|
Amended and Restated Employment Agreement, by and between Christopher J. Abate and the Registrant, dated as of February 22, 2017 (filed herewith)
|
|
|
|
10.50*
|
|
Employment Agreement, by and between Fred J. Matera and the Registrant, dated as of January 1, 2016 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 10.2, filed on January 4, 2016)
|
|
|
|
10.51*
|
|
Amended and Restated Employment Agreement, by and between Andrew P. Stone and the Registrant, dated as of February 22, 2017 (filed herewith)
|
|
|
|
10.55
|
|
Advances, Collateral Pledge, and Security Agreement between the Federal Home Loan Bank of Chicago and RWT Financial, LLC, dated as of July 16, 2014 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.8, filed on August 8, 2014)
|
|
|
|
10.56
|
|
Financial Covenant Supplement to Advances, Collateral Pledge, and Security Agreement between the Federal Home Loan Bank of Chicago and RWT Financial, LLC, dated as of July 16, 2014 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.9, filed on August 8, 2014)
|
|
|
|
10.57
|
|
Guaranty, dated July 16, 2014, given by Redwood Trust, Inc. in favor of the Federal Home Loan Bank of Chicago (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 10.10, filed on August 8, 2014)
|
|
|
|
|
|
|
Exhibit
Number
|
|
Exhibit
|
10.58
|
|
Second Supplement to Advances, Collateral Pledge and Security Agreement between the Federal Home Loan Bank of Chicago and RWT Financial, LLC, dated as of February 19, 2015 (incorporated by reference to the Registrant’s Annual Report on Form 10-K, Exhibit 10.53, filed on February 25, 2015)
|
|
|
|
12
|
|
Computation of Ratio of Earnings to Fixed Charges (filed herewith)
|
|
|
|
21
|
|
List of Subsidiaries (filed herewith)
|
|
|
|
23
|
|
Consent of Grant Thornton LLP (filed herewith)
|
31.1
|
|
Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 (filed herewith)
|
|
|
|
31.2
|
|
Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 (filed herewith)
|
32.1
|
|
Certification of the Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (filed herewith)
|
|
|
|
32.2
|
|
Certification of the Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (filed herewith)
|
101
|
|
Pursuant to Rule 405 of Regulation S-T, the following financial information from the Registrant’s Annual Report on Form 10-K for the period ended December 31, 2016, is filed in XBRL-formatted interactive data files:
(i) Consolidated Balance Sheets at December 31, 2016 and 2015; (ii) Consolidated Statements of Income for the years ended December 31, 2016, 2015, and 2014; (iii) Statements of Consolidated Comprehensive (Loss) Income for the years ended December 31, 2016, 2015, and 2014; (iv) Consolidated Statements of Changes in Equity for the years ended December 31, 2016, 2015, and 2014; (v) Consolidated Statements of Cash Flows for the years ended December 31, 2016, 2015, and 2014; and (vi) Notes to Consolidated Financial Statements. |
|
|
REDWOOD TRUST, INC.
|
|
|
|
|
Date: February 24, 2017
|
By:
|
/s/ MARTIN S. HUGHES
|
|
|
Martin S. Hughes
Chief Executive Officer
|
Signature
|
|
Title
|
|
Date
|
/s/ MARTIN S. HUGHES
|
|
Director and Chief Executive Officer
|
|
February 24, 2017
|
Martin S. Hughes
|
|
(Principal Executive Officer)
|
|
|
|
|
|
|
|
/s/ CHRISTOPHER J. ABATE
|
|
President and Chief Financial Officer
|
|
February 24, 2017
|
Christopher J. Abate
|
|
(Principal Financial Officer)
|
|
|
|
|
|
|
|
/s/ COLLIN L. COCHRANE
|
|
Controller and Managing Director
|
|
February 24, 2017
|
Collin L. Cochrane
|
|
(Principal Accounting Officer)
|
|
|
|
|
|
|
|
/s/ RICHARD D. BAUM
|
|
Director, Chairman of the Board
|
|
February 24, 2017
|
Richard D. Baum
|
|
|
|
|
|
|
|
|
|
/s/ DOUGLAS B. HANSEN
|
|
Director, Vice-Chairman of the Board
|
|
February 24, 2017
|
Douglas B. Hansen
|
|
|
|
|
|
|
|
|
|
/s/ MARIANN BYERWALTER
|
|
Director
|
|
February 24, 2017
|
Mariann Byerwalter
|
|
|
|
|
|
|
|
|
|
/s/ DEBORA D. HORVATH
|
|
Director
|
|
February 24, 2017
|
Debora D. Horvath
|
|
|
|
|
|
|
|
|
|
/s/ GREG H. KUBICEK
|
|
Director
|
|
February 24, 2017
|
Greg H. Kubicek
|
|
|
|
|
|
|
|
|
|
/s/ KAREN R. PALLOTTA
|
|
Director
|
|
February 24, 2017
|
Karen R. Pallotta
|
|
|
|
|
|
|
|
|
|
/s/ JEFFREY T. PERO
|
|
Director
|
|
February 24, 2017
|
Jeffrey T. Pero
|
|
|
|
|
|
|
|
|
|
/s/ GEORGANNE C. PROCTOR
|
|
Director
|
|
February 24, 2017
|
Georganne C. Proctor
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Page
|
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
||
|
|
|
|
/s/ GRANT THORNTON LLP
|
|
Irvine, CA
February 24, 2017
|
/s/ GRANT THORNTON LLP
|
|
Irvine, CA
February 24, 2017
|
(In Thousands, except Share Data)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
ASSETS
(1)
|
|
|
|
|
||||
Residential loans, held-for-sale, at fair value
|
|
$
|
835,399
|
|
|
$
|
1,115,738
|
|
Residential loans, held-for-investment, at fair value
|
|
3,052,652
|
|
|
2,813,065
|
|
||
Commercial loans, held-for-sale, (includes $0 and $39,141 at fair value)
|
|
2,700
|
|
|
39,141
|
|
||
Commercial loans, held-for-investment (includes $0 and $67,657 at fair value)
|
|
—
|
|
|
363,506
|
|
||
Real estate securities, at fair value
|
|
1,018,439
|
|
|
1,233,256
|
|
||
Mortgage servicing rights, at fair value
|
|
118,526
|
|
|
191,976
|
|
||
Cash and cash equivalents
|
|
212,844
|
|
|
220,229
|
|
||
Total earning assets
|
|
5,240,560
|
|
|
5,976,911
|
|
||
Restricted cash
|
|
8,623
|
|
|
5,567
|
|
||
Accrued interest receivable
|
|
18,454
|
|
|
23,290
|
|
||
Derivative assets
|
|
36,595
|
|
|
16,393
|
|
||
Other assets
|
|
179,245
|
|
|
197,886
|
|
||
Total Assets
|
|
$
|
5,483,477
|
|
|
$
|
6,220,047
|
|
|
|
|
|
|
||||
LIABILITIES AND EQUITY
(1)
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
||||
Short-term debt
|
|
$
|
791,539
|
|
|
$
|
1,855,003
|
|
Accrued interest payable
|
|
9,608
|
|
|
8,936
|
|
||
Derivative liabilities
|
|
66,329
|
|
|
62,794
|
|
||
Accrued expenses and other liabilities
|
|
72,428
|
|
|
69,897
|
|
||
Asset-backed securities issued (includes $773,462 and $996,820 at fair value), net
(2)
|
|
773,462
|
|
|
1,049,415
|
|
||
Long-term debt (includes $0 and $63,152 at fair value), net
(2)
|
|
2,620,683
|
|
|
2,027,737
|
|
||
Total liabilities
|
|
4,334,049
|
|
|
5,073,782
|
|
||
Equity
|
|
|
|
|
||||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 76,834,663 and 78,162,765 issued and outstanding
|
|
768
|
|
|
782
|
|
||
Additional paid-in capital
|
|
1,676,486
|
|
|
1,695,956
|
|
||
Accumulated other comprehensive income
|
|
71,853
|
|
|
91,993
|
|
||
Cumulative earnings
|
|
1,149,935
|
|
|
1,018,683
|
|
||
Cumulative distributions to stockholders
|
|
(1,749,614
|
)
|
|
(1,661,149
|
)
|
||
Total equity
|
|
1,149,428
|
|
|
1,146,265
|
|
||
Total Liabilities and Equity
|
|
$
|
5,483,477
|
|
|
$
|
6,220,047
|
|
(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
December 31, 2016
and
December 31, 2015
, assets of consolidated VIEs totaled
$798,317
and
$1,195,574
, respectively. At
December 31, 2016
and
December 31, 2015
, liabilities of consolidated VIEs totaled
$773,980
and
$1,050,861
, respectively. See
Note 4
for further discussion.
|
(2)
|
At
December 31, 2016
and
December 31, 2015
, Asset-backed securities issued, net included
$0
and
$542
, respectively, of deferred debt issuance costs, and long-term debt, net included
$7,081
and
$10,438
, respectively, of deferred debt issuance costs.
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands, except Share Data)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Interest Income
|
|
|
|
|
|
|
||||||
Residential loans
|
|
$
|
137,804
|
|
|
$
|
114,715
|
|
|
$
|
68,949
|
|
Commercial loans
|
|
30,496
|
|
|
46,933
|
|
|
47,567
|
|
|||
Real estate securities
|
|
76,873
|
|
|
97,448
|
|
|
125,482
|
|
|||
Other interest income
|
|
1,182
|
|
|
336
|
|
|
72
|
|
|||
Total interest income
|
|
246,355
|
|
|
259,432
|
|
|
242,070
|
|
|||
Interest Expense
|
|
|
|
|
|
|
||||||
Short-term debt
|
|
(22,287
|
)
|
|
(30,572
|
)
|
|
(25,990
|
)
|
|||
Asset-backed securities issued
|
|
(14,735
|
)
|
|
(21,469
|
)
|
|
(31,227
|
)
|
|||
Long-term debt
|
|
(51,506
|
)
|
|
(43,842
|
)
|
|
(30,246
|
)
|
|||
Total interest expense
|
|
(88,528
|
)
|
|
(95,883
|
)
|
|
(87,463
|
)
|
|||
Net Interest Income
|
|
157,827
|
|
|
163,549
|
|
|
154,607
|
|
|||
Reversal of (provision for) loan losses
|
|
7,102
|
|
|
355
|
|
|
(961
|
)
|
|||
Net Interest Income after Provision
|
|
164,929
|
|
|
163,904
|
|
|
153,646
|
|
|||
Non-interest Income
|
|
|
|
|
|
|
||||||
Mortgage banking activities, net
|
|
38,691
|
|
|
10,972
|
|
|
34,994
|
|
|||
Mortgage servicing rights income (loss), net
|
|
14,353
|
|
|
(3,922
|
)
|
|
(4,261
|
)
|
|||
Investment fair value changes, net
|
|
(28,574
|
)
|
|
(21,357
|
)
|
|
(10,202
|
)
|
|||
Other income
|
|
6,338
|
|
|
3,192
|
|
|
1,781
|
|
|||
Realized gains, net
|
|
28,009
|
|
|
36,369
|
|
|
15,478
|
|
|||
Total non-interest income, net
|
|
58,817
|
|
|
25,254
|
|
|
37,790
|
|
|||
Operating expenses
|
|
(88,786
|
)
|
|
(97,416
|
)
|
|
(90,123
|
)
|
|||
Net Income before Provision for Income Taxes
|
|
134,960
|
|
|
91,742
|
|
|
101,313
|
|
|||
(Provision for) benefit from income taxes
|
|
(3,708
|
)
|
|
10,346
|
|
|
(744
|
)
|
|||
Net Income
|
|
$
|
131,252
|
|
|
$
|
102,088
|
|
|
$
|
100,569
|
|
|
|
|
|
|
|
|
||||||
Basic earnings per common share
|
|
$
|
1.66
|
|
|
$
|
1.20
|
|
|
$
|
1.18
|
|
Diluted earnings per common share
|
|
$
|
1.54
|
|
|
$
|
1.18
|
|
|
$
|
1.15
|
|
Regular dividends declared per common share
|
|
$
|
1.12
|
|
|
$
|
1.12
|
|
|
$
|
1.12
|
|
Basic weighted average shares outstanding
|
|
76,747,047
|
|
|
82,945,103
|
|
|
82,837,369
|
|
|||
Diluted weighted average shares outstanding
|
|
97,909,090
|
|
|
84,518,395
|
|
|
85,098,579
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Net Income
|
|
$
|
131,252
|
|
|
$
|
102,088
|
|
|
$
|
100,569
|
|
Other comprehensive (loss) income:
|
|
|
|
|
|
|
||||||
Net unrealized (loss) gain on available-for-sale securities
(1)
|
|
(2,316
|
)
|
|
(17,955
|
)
|
|
32,635
|
|
|||
Reclassification of unrealized gain on available-for-sale securities to net income
|
|
(21,167
|
)
|
|
(29,426
|
)
|
|
(10,552
|
)
|
|||
Net unrealized gain (loss) on interest rate agreements
|
|
3,271
|
|
|
(1,409
|
)
|
|
(30,325
|
)
|
|||
Reclassification of unrealized loss on interest rate agreements to net income
|
|
72
|
|
|
95
|
|
|
164
|
|
|||
Total other comprehensive (loss) income
|
|
(20,140
|
)
|
|
(48,695
|
)
|
|
(8,078
|
)
|
|||
Total Comprehensive Income
|
|
$
|
111,112
|
|
|
$
|
53,393
|
|
|
$
|
92,491
|
|
(1)
|
Amounts are presented net of tax benefit (provision) of
$1 million
,
$(0.4) million
, and
$(2) million
for the years ended
December 31, 2016
,
2015
, and
2014
, respectively.
|
(In Thousands, except Share Data)
|
|
Common Stock
|
|
Additional
Paid-In
Capital
|
|
Accumulated
Other
Comprehensive
Income
|
|
Cumulative
Earnings
|
|
Cumulative
Distributions
to Stockholders
|
|
Total
|
|||||||||||||||
|
Shares
|
|
Amount
|
|
|
|
|
|
|||||||||||||||||||
December 31, 2015
|
|
78,162,765
|
|
|
$
|
782
|
|
|
$
|
1,695,956
|
|
|
$
|
91,993
|
|
|
$
|
1,018,683
|
|
|
$
|
(1,661,149
|
)
|
|
$
|
1,146,265
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
131,252
|
|
|
—
|
|
|
131,252
|
|
||||||
Other comprehensive loss
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(20,140
|
)
|
|
—
|
|
|
—
|
|
|
(20,140
|
)
|
||||||
Employee stock purchase and incentive plans
|
|
614,952
|
|
|
5
|
|
|
(7,030
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,025
|
)
|
||||||
Non-cash equity award compensation
|
|
—
|
|
|
—
|
|
|
12,648
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,648
|
|
||||||
Share repurchases
|
|
(1,943,054
|
)
|
|
(19
|
)
|
|
(25,088
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(25,107
|
)
|
||||||
Common dividends declared
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(88,465
|
)
|
|
(88,465
|
)
|
||||||
December 31, 2016
|
|
76,834,663
|
|
|
$
|
768
|
|
|
$
|
1,676,486
|
|
|
$
|
71,853
|
|
|
$
|
1,149,935
|
|
|
$
|
(1,749,614
|
)
|
|
$
|
1,149,428
|
|
(In Thousands, except Share Data)
|
|
Common Stock
|
|
Additional
Paid-In Capital |
|
Accumulated
Other Comprehensive Income |
|
Cumulative
Earnings |
|
Cumulative
Distributions to Stockholders |
|
Total
|
|||||||||||||||
|
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
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
102,088
|
|
|
—
|
|
|
102,088
|
|
||||||
Other comprehensive loss
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(48,695
|
)
|
|
—
|
|
|
—
|
|
|
(48,695
|
)
|
||||||
Dividend reinvestment & stock purchase plans
|
|
418,508
|
|
|
4
|
|
|
6,830
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,834
|
|
||||||
Employee stock purchase and incentive plans
|
|
753,429
|
|
|
7
|
|
|
(7,988
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,981
|
)
|
||||||
Non-cash equity award compensation
|
|
—
|
|
|
—
|
|
|
11,806
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11,806
|
|
||||||
Share repurchases
|
|
(6,452,313
|
)
|
|
(63
|
)
|
|
(88,722
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(88,785
|
)
|
||||||
Common dividends declared
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(94,871
|
)
|
|
(94,871
|
)
|
||||||
December 31, 2015
|
|
78,162,765
|
|
|
$
|
782
|
|
|
$
|
1,695,956
|
|
|
$
|
91,993
|
|
|
$
|
1,018,683
|
|
|
$
|
(1,661,149
|
)
|
|
$
|
1,146,265
|
|
(In Thousands, except Share Data)
|
|
Common Stock
|
|
Additional
Paid-In
Capital
|
|
Accumulated
Other Comprehensive Income |
|
Cumulative
Earnings
|
|
Cumulative
Distributions
to Stockholders
|
|
Total
|
|||||||||||||||
|
Shares
|
|
Amount
|
|
|
|
|
|
|||||||||||||||||||
December 31, 2013
|
|
82,504,801
|
|
|
$
|
825
|
|
|
$
|
1,760,899
|
|
|
$
|
148,766
|
|
|
$
|
806,298
|
|
|
$
|
(1,471,005
|
)
|
|
$
|
1,245,783
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
100,569
|
|
|
—
|
|
|
100,569
|
|
||||||
Other comprehensive income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(8,078
|
)
|
|
—
|
|
|
—
|
|
|
(8,078
|
)
|
||||||
Dividend reinvestment & stock purchase plans
|
|
488,174
|
|
|
5
|
|
|
9,012
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9,017
|
|
||||||
Employee stock purchase and incentive plans
|
|
450,166
|
|
|
4
|
|
|
(7,152
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,148
|
)
|
||||||
Non-cash equity award compensation
|
|
—
|
|
|
—
|
|
|
11,271
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11,271
|
|
||||||
Common dividends declared
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(95,273
|
)
|
|
(95,273
|
)
|
||||||
December 31, 2014
|
|
83,443,141
|
|
|
$
|
834
|
|
|
$
|
1,774,030
|
|
|
$
|
140,688
|
|
|
$
|
906,867
|
|
|
$
|
(1,566,278
|
)
|
|
$
|
1,256,141
|
|
(1)
|
On January 1, 2015, we adopted ASU 2014-13. See
Note 3
for further discussion.
|
(In Thousands)
|
|
Years Ended December 31,
|
||||||||||
|
2016
|
|
2015
|
|
2014
|
|||||||
Cash Flows From Operating Activities:
|
|
|
|
|
|
|
||||||
Net income
|
|
$
|
131,252
|
|
|
$
|
102,088
|
|
|
$
|
100,569
|
|
Adjustments to reconcile net income to net cash used in operating activities:
|
|
|
|
|
|
|
||||||
Amortization of premiums, discounts, and securities issuance costs, net
|
|
(26,487
|
)
|
|
(34,089
|
)
|
|
(34,133
|
)
|
|||
Depreciation and amortization of non-financial assets
|
|
1,140
|
|
|
824
|
|
|
513
|
|
|||
Purchases of held-for-sale loans
|
|
(4,953,619
|
)
|
|
(11,045,813
|
)
|
|
(9,917,943
|
)
|
|||
Proceeds from sales of held-for-sale loans
|
|
4,192,671
|
|
|
9,761,010
|
|
|
8,126,249
|
|
|||
Principal payments on held-for-sale loans
|
|
80,033
|
|
|
80,299
|
|
|
30,233
|
|
|||
Net settlements of derivatives
|
|
(7,301
|
)
|
|
(59,406
|
)
|
|
(33,220
|
)
|
|||
(Reversal of) provision for loan losses
|
|
(7,102
|
)
|
|
(355
|
)
|
|
961
|
|
|||
Non-cash equity award compensation expense
|
|
12,648
|
|
|
11,806
|
|
|
11,271
|
|
|||
Market valuation adjustments
|
|
12,917
|
|
|
51,975
|
|
|
298
|
|
|||
Realized gains, net
|
|
(28,009
|
)
|
|
(36,369
|
)
|
|
(15,478
|
)
|
|||
Net change in:
|
|
|
|
|
|
|
||||||
Accrued interest receivable and other assets
|
|
42,572
|
|
|
(88,173
|
)
|
|
(57,685
|
)
|
|||
Accrued interest payable, deferred tax liabilities, and accrued expenses and other liabilities
|
|
3,632
|
|
|
5,993
|
|
|
(2,768
|
)
|
|||
Net cash used in operating activities
|
|
(545,653
|
)
|
|
(1,250,210
|
)
|
|
(1,791,133
|
)
|
|||
Cash Flows From Investing Activities:
|
|
|
|
|
|
|
||||||
Purchases of loans held-for-investment
|
|
—
|
|
|
(22,219
|
)
|
|
(87,454
|
)
|
|||
Proceeds from sales of loans held-for-investment
|
|
235,604
|
|
|
6,459
|
|
|
—
|
|
|||
Principal payments on loans held-for-investment
|
|
798,831
|
|
|
500,239
|
|
|
364,040
|
|
|||
Purchases of real estate securities
|
|
(318,268
|
)
|
|
(179,265
|
)
|
|
(168,654
|
)
|
|||
Proceeds from sales of real estate securities
|
|
497,191
|
|
|
439,493
|
|
|
504,754
|
|
|||
Principal payments on real estate securities
|
|
80,055
|
|
|
138,630
|
|
|
174,241
|
|
|||
Purchase of mortgage servicing rights
|
|
(15,338
|
)
|
|
(32,388
|
)
|
|
(46,113
|
)
|
|||
Proceeds from sales of mortgage servicing rights
|
|
58,642
|
|
|
17,235
|
|
|
—
|
|
|||
Net change in restricted cash
|
|
(3,056
|
)
|
|
(4,939
|
)
|
|
(230
|
)
|
|||
Net cash provided by investing activities
|
|
1,333,661
|
|
|
863,245
|
|
|
740,584
|
|
|||
Cash Flows From Financing Activities:
|
|
|
|
|
|
|
||||||
Proceeds from borrowings on short-term debt
|
|
3,918,083
|
|
|
8,570,291
|
|
|
8,320,982
|
|
|||
Repayments on short-term debt
|
|
(4,981,547
|
)
|
|
(8,534,802
|
)
|
|
(7,442,836
|
)
|
|||
Repayments on asset-backed securities issued
|
|
(261,351
|
)
|
|
(388,962
|
)
|
|
(396,734
|
)
|
|||
Deferred securities issuance costs
|
|
—
|
|
|
(33
|
)
|
|
(6,934
|
)
|
|||
Proceeds from issuance of long-term debt
|
|
771,287
|
|
|
1,400,222
|
|
|
770,042
|
|
|||
Repayments on long-term debt
|
|
(118,146
|
)
|
|
(527,371
|
)
|
|
(685
|
)
|
|||
Net settlements of derivatives
|
|
(156
|
)
|
|
(43
|
)
|
|
(3,352
|
)
|
|||
Net proceeds from issuance of common stock
|
|
304
|
|
|
7,301
|
|
|
9,511
|
|
|||
Net payments on repurchase of common stock
|
|
(28,073
|
)
|
|
(85,820
|
)
|
|
—
|
|
|||
Taxes paid on equity award distributions
|
|
(7,329
|
)
|
|
(8,448
|
)
|
|
(7,643
|
)
|
|||
Dividends paid
|
|
(88,465
|
)
|
|
(94,871
|
)
|
|
(95,273
|
)
|
|||
Net cash (used in) provided by financing activities
|
|
(795,393
|
)
|
|
337,464
|
|
|
1,147,078
|
|
|||
Net (decrease) increase in cash and cash equivalents
|
|
(7,385
|
)
|
|
(49,501
|
)
|
|
96,529
|
|
|||
Cash and cash equivalents at beginning of period
|
|
220,229
|
|
|
269,730
|
|
|
173,201
|
|
|||
Cash and cash equivalents at end of period
|
|
$
|
212,844
|
|
|
$
|
220,229
|
|
|
$
|
269,730
|
|
Supplemental Cash Flow Information:
|
|
|
|
|
|
|
||||||
Cash paid during the period for:
|
|
|
|
|
|
|
||||||
Interest
|
|
$
|
87,164
|
|
|
$
|
86,849
|
|
|
$
|
81,350
|
|
Taxes
|
|
1,303
|
|
|
165
|
|
|
1,407
|
|
|||
Supplemental Noncash Information:
|
|
|
|
|
|
|
||||||
Real estate securities retained from loan securitizations
|
|
$
|
9,127
|
|
|
$
|
244,177
|
|
|
$
|
150,387
|
|
Retention of mortgage servicing rights from loan securitizations and sales
|
|
10,060
|
|
|
64,725
|
|
|
48,000
|
|
|||
Transfers from loans held-for-sale to loans held-for-investment
|
|
1,063,860
|
|
|
1,555,814
|
|
|
633,707
|
|
|||
Transfers from loans held-for-investment to loans held-for-sale
|
|
359,005
|
|
|
154,012
|
|
|
—
|
|
|||
Transfers from residential loans to real estate owned
|
|
11,632
|
|
|
8,500
|
|
|
6,844
|
|
|
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in Consolidated Balance Sheet
|
|
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet
|
|
Gross Amounts Not Offset in Consolidated
Balance Sheet (1) |
|
Net Amount
|
||||||||||||||
December 31, 2016
(In Thousands) |
|
|
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
||||||||||||||||
Assets
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
24,980
|
|
|
$
|
—
|
|
|
$
|
24,980
|
|
|
$
|
(7,736
|
)
|
|
$
|
(4,784
|
)
|
|
$
|
12,460
|
|
TBAs
|
|
8,300
|
|
|
—
|
|
|
8,300
|
|
|
(3,936
|
)
|
|
(4,364
|
)
|
|
—
|
|
||||||
Total Assets
|
|
$
|
33,280
|
|
|
$
|
—
|
|
|
$
|
33,280
|
|
|
$
|
(11,672
|
)
|
|
$
|
(9,148
|
)
|
|
$
|
12,460
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Liabilities
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
(56,919
|
)
|
|
$
|
—
|
|
|
$
|
(56,919
|
)
|
|
$
|
7,736
|
|
|
$
|
49,183
|
|
|
$
|
—
|
|
TBAs
|
|
(4,681
|
)
|
|
—
|
|
|
(4,681
|
)
|
|
3,936
|
|
|
—
|
|
|
(745
|
)
|
||||||
Futures
|
|
(928
|
)
|
|
—
|
|
|
(928
|
)
|
|
—
|
|
|
928
|
|
|
—
|
|
||||||
Loan warehouse debt
|
|
(485,544
|
)
|
|
—
|
|
|
(485,544
|
)
|
|
485,544
|
|
|
—
|
|
|
—
|
|
||||||
Security repurchase agreements
|
|
(305,995
|
)
|
|
—
|
|
|
(305,995
|
)
|
|
305,995
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
|
$
|
(854,067
|
)
|
|
$
|
—
|
|
|
$
|
(854,067
|
)
|
|
$
|
803,211
|
|
|
$
|
50,111
|
|
|
$
|
(745
|
)
|
|
|
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, 2015
(In Thousands) |
|
|
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
||||||||||||||||
Assets
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
7,781
|
|
|
$
|
—
|
|
|
$
|
7,781
|
|
|
$
|
(5,651
|
)
|
|
$
|
(1,917
|
)
|
|
$
|
213
|
|
Credit default index swaps
|
|
1,207
|
|
|
—
|
|
|
1,207
|
|
|
—
|
|
|
(720
|
)
|
|
487
|
|
||||||
TBAs
|
|
2,734
|
|
|
—
|
|
|
2,734
|
|
|
(1,898
|
)
|
|
(293
|
)
|
|
543
|
|
||||||
Total Assets
|
|
$
|
11,722
|
|
|
$
|
—
|
|
|
$
|
11,722
|
|
|
$
|
(7,549
|
)
|
|
$
|
(2,930
|
)
|
|
$
|
1,243
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Liabilities
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
(58,366
|
)
|
|
$
|
—
|
|
|
$
|
(58,366
|
)
|
|
$
|
5,651
|
|
|
$
|
52,715
|
|
|
$
|
—
|
|
TBAs
|
|
(2,519
|
)
|
|
—
|
|
|
(2,519
|
)
|
|
1,898
|
|
|
7
|
|
|
(614
|
)
|
||||||
Futures
|
|
(445
|
)
|
|
—
|
|
|
(445
|
)
|
|
—
|
|
|
445
|
|
|
—
|
|
||||||
Loan warehouse debt
|
|
(1,023,740
|
)
|
|
—
|
|
|
(1,023,740
|
)
|
|
1,023,740
|
|
|
—
|
|
|
—
|
|
||||||
Security repurchase agreements
|
|
(693,641
|
)
|
|
—
|
|
|
(693,641
|
)
|
|
693,641
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
|
$
|
(1,778,711
|
)
|
|
$
|
—
|
|
|
$
|
(1,778,711
|
)
|
|
$
|
1,724,930
|
|
|
$
|
53,167
|
|
|
$
|
(614
|
)
|
(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, credit default index swaps, 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.
|
December 31, 2016
|
|
Sequoia
Entities
|
|
Commercial Securitization
|
|
Total
|
||||||
(Dollars in Thousands)
|
|
|
|
|||||||||
Residential loans, held-for-investment
|
|
$
|
791,636
|
|
|
$
|
—
|
|
|
$
|
791,636
|
|
Restricted cash
|
|
148
|
|
|
—
|
|
|
148
|
|
|||
Accrued interest receivable
|
|
1,000
|
|
|
—
|
|
|
1,000
|
|
|||
Other assets
|
|
5,533
|
|
|
—
|
|
|
5,533
|
|
|||
Total Assets
|
|
$
|
798,317
|
|
|
$
|
—
|
|
|
$
|
798,317
|
|
Accrued interest payable
|
|
$
|
518
|
|
|
$
|
—
|
|
|
$
|
518
|
|
Asset-backed securities issued
|
|
773,462
|
|
|
—
|
|
|
773,462
|
|
|||
Total Liabilities
|
|
$
|
773,980
|
|
|
$
|
—
|
|
|
$
|
773,980
|
|
|
|
|
|
|
|
|
||||||
Number of VIEs
|
|
20
|
|
|
—
|
|
|
20
|
|
|||
|
|
|
|
|
|
|
||||||
December 31, 2015
|
|
Sequoia
Entities |
|
Commercial
Securitization |
|
Total
|
||||||
(Dollars in Thousands)
|
|
|
|
|||||||||
Residential loans, held-for-investment
|
|
$
|
1,021,870
|
|
|
$
|
—
|
|
|
$
|
1,021,870
|
|
Commercial loans, held-for-investment
|
|
—
|
|
|
166,016
|
|
|
166,016
|
|
|||
Restricted cash
|
|
228
|
|
|
137
|
|
|
365
|
|
|||
Accrued interest receivable
|
|
1,131
|
|
|
1,297
|
|
|
2,428
|
|
|||
Other assets
|
|
4,895
|
|
|
—
|
|
|
4,895
|
|
|||
Total Assets
|
|
$
|
1,028,124
|
|
|
$
|
167,450
|
|
|
$
|
1,195,574
|
|
Accrued interest payable
|
|
$
|
555
|
|
|
$
|
249
|
|
|
$
|
804
|
|
Accrued expenses and other liabilities
|
|
100
|
|
|
—
|
|
|
100
|
|
|||
Asset-backed securities issued, net
|
|
996,820
|
|
|
53,137
|
|
|
1,049,957
|
|
|||
Total Liabilities
|
|
$
|
997,475
|
|
|
$
|
53,386
|
|
|
$
|
1,050,861
|
|
|
|
|
|
|
|
|
||||||
Number of VIEs
|
|
21
|
|
|
1
|
|
|
22
|
|
|
|
Years Ended December 31,
|
||||||
(In Thousands)
|
|
2016
|
|
2015
|
||||
Principal balance of loans transferred
|
|
$
|
1,036,584
|
|
|
$
|
1,375,532
|
|
Trading securities retained, at fair value
|
|
3,573
|
|
|
252,222
|
|
||
AFS securities retained, at fair value
|
|
5,554
|
|
|
7,852
|
|
||
MSRs recognized
|
|
6,451
|
|
|
8,202
|
|
|
|
Years Ended December 31,
|
||||||
(In Thousands)
|
|
2016
|
|
2015
|
||||
Proceeds from new transfers
|
|
$
|
1,057,688
|
|
|
$
|
1,139,052
|
|
MSR fees received
|
|
13,842
|
|
|
14,874
|
|
||
Funding of compensating interest
|
|
(338
|
)
|
|
(363
|
)
|
||
Cash flows received on retained securities
|
|
30,191
|
|
|
43,460
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
|
Year Ended December 31, 2016
|
|
Year Ended December 31, 2015
|
|||||||||||||
At Date of Securitization
|
|
MSRs
|
|
Senior Securities
|
|
Subordinate Securities
|
|
MSRs
|
|
Senior Securities
|
|
Subordinate Securities
|
|||||
Prepayment rates
|
|
21
|
%
|
|
N/A
|
|
15
|
%
|
|
14
|
%
|
|
10
|
%
|
|
8
|
%
|
Discount rates
|
|
11
|
%
|
|
N/A
|
|
6
|
%
|
|
11
|
%
|
|
3
|
%
|
|
6
|
%
|
Credit loss assumptions
|
|
N/A
|
|
|
N/A
|
|
0.25
|
%
|
|
N/A
|
|
|
0.12
|
%
|
|
0.24
|
%
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
On-balance sheet assets, at fair value:
|
|
|
|
|
||||
Interest-only, senior and subordinate securities, classified as trading
|
|
$
|
41,909
|
|
|
$
|
258,697
|
|
Subordinate securities, classified as AFS
|
|
234,025
|
|
|
272,715
|
|
||
Mortgage servicing rights
|
|
58,800
|
|
|
56,984
|
|
||
Maximum loss exposure
(1)
|
|
$
|
334,734
|
|
|
$
|
588,396
|
|
Assets transferred:
|
|
|
|
|
||||
Principal balance of loans outstanding
|
|
$
|
6,870,398
|
|
|
$
|
7,318,167
|
|
Principal balance of loans 30+ days delinquent
|
|
21,427
|
|
|
18,300
|
|
(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.
|
December 31, 2016
|
|
MSRs
|
|
Senior
Securities
(1)
|
|
Subordinate Securities
|
||||||
(Dollars in Thousands)
|
|
|
|
|||||||||
Fair value at December 31, 2016
|
|
$
|
58,800
|
|
|
$
|
26,618
|
|
|
$
|
249,317
|
|
Expected life (in years)
(2)
|
|
7
|
|
|
6
|
|
|
12
|
|
|||
Prepayment speed assumption (annual CPR)
(2)
|
|
11
|
%
|
|
8
|
%
|
|
12
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% adverse change
|
|
$
|
2,226
|
|
|
$
|
1,075
|
|
|
$
|
997
|
|
25% adverse change
|
|
5,284
|
|
|
2,569
|
|
|
2,494
|
|
|||
Discount rate assumption
(2)
|
|
11
|
%
|
|
8
|
%
|
|
6
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
100 basis point increase
|
|
$
|
2,088
|
|
|
$
|
1,105
|
|
|
$
|
19,574
|
|
200 basis point increase
|
|
4,032
|
|
|
2,128
|
|
|
36,574
|
|
|||
Credit loss assumption
(2)
|
|
N/A
|
|
|
0.25
|
%
|
|
0.25
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% higher losses
|
|
N/A
|
|
|
$
|
19
|
|
|
$
|
1,174
|
|
|
25% higher losses
|
|
N/A
|
|
|
49
|
|
|
2,933
|
|
December 31, 2015
|
|
MSRs
|
|
Senior
Securities
(1)
|
|
Subordinate Securities
|
||||||
(Dollars in Thousands)
|
|
|
|
|||||||||
Fair value at December 31, 2015
|
|
$
|
56,984
|
|
|
$
|
248,570
|
|
|
$
|
282,842
|
|
Expected life (in years)
(2)
|
|
7
|
|
|
5
|
|
|
12
|
|
|||
Prepayment speed assumption (annual CPR)
(2)
|
|
11
|
%
|
|
10
|
%
|
|
12
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% adverse change
|
|
$
|
2,868
|
|
|
$
|
2,042
|
|
|
$
|
901
|
|
25% adverse change
|
|
6,119
|
|
|
4,810
|
|
|
2,278
|
|
|||
Discount rate assumption
(2)
|
|
11
|
%
|
|
5
|
%
|
|
6
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
100 basis point increase
|
|
$
|
2,711
|
|
|
$
|
10,029
|
|
|
$
|
21,981
|
|
200 basis point increase
|
|
4,745
|
|
|
19,365
|
|
|
41,156
|
|
|||
Credit loss assumption
(2)
|
|
N/A
|
|
|
0.25
|
%
|
|
0.25
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% higher losses
|
|
N/A
|
|
|
$
|
35
|
|
|
$
|
1,244
|
|
|
25% higher losses
|
|
N/A
|
|
|
86
|
|
|
3,129
|
|
(1)
|
Senior securities included
$27 million
and
$31 million
of interest only securities at
December 31, 2016
and
December 31, 2015
, 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)
|
|
December 31, 2016
|
||
Mortgage Backed Securities
|
|
|
||
Senior
|
|
$
|
146,995
|
|
Re-REMIC
|
|
85,479
|
|
|
Subordinate
|
|
510,030
|
|
|
Total Investments in Third-Party Sponsored VIEs
|
|
$
|
742,504
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||
|
|
Carrying
Value
|
|
Fair
Value
|
|
Carrying
Value
|
|
Fair
Value
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, held-for-sale
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
$
|
834,193
|
|
|
$
|
834,193
|
|
|
$
|
1,114,305
|
|
|
$
|
1,114,305
|
|
At lower of cost or fair value
|
|
1,206
|
|
|
1,365
|
|
|
1,433
|
|
|
1,635
|
|
||||
Residential loans, held-for-investment
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
3,052,652
|
|
|
3,052,652
|
|
|
2,813,065
|
|
|
2,813,065
|
|
||||
Commercial loans, held-for-sale
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
—
|
|
|
—
|
|
|
39,141
|
|
|
39,141
|
|
||||
At lower of cost or fair value
|
|
2,700
|
|
|
2,700
|
|
|
—
|
|
|
—
|
|
||||
Commercial loans, held-for-investment
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
—
|
|
|
—
|
|
|
67,657
|
|
|
67,657
|
|
||||
At amortized cost
|
|
—
|
|
|
—
|
|
|
295,849
|
|
|
300,824
|
|
||||
Trading securities
|
|
445,687
|
|
|
445,687
|
|
|
404,011
|
|
|
404,011
|
|
||||
Available-for-sale securities
|
|
572,752
|
|
|
572,752
|
|
|
829,245
|
|
|
829,245
|
|
||||
MSRs
|
|
118,526
|
|
|
118,526
|
|
|
191,976
|
|
|
191,976
|
|
||||
Cash and cash equivalents
|
|
212,844
|
|
|
212,844
|
|
|
220,229
|
|
|
220,229
|
|
||||
Restricted cash
|
|
8,623
|
|
|
8,623
|
|
|
5,567
|
|
|
5,567
|
|
||||
Accrued interest receivable
|
|
18,454
|
|
|
18,454
|
|
|
23,290
|
|
|
23,290
|
|
||||
Derivative assets
|
|
36,595
|
|
|
36,595
|
|
|
16,393
|
|
|
16,393
|
|
||||
REO
(1)
|
|
5,533
|
|
|
5,560
|
|
|
4,896
|
|
|
5,282
|
|
||||
Margin receivable
(1)
|
|
68,038
|
|
|
68,038
|
|
|
83,191
|
|
|
83,191
|
|
||||
FHLBC stock
(1)
|
|
43,393
|
|
|
43,393
|
|
|
34,437
|
|
|
34,437
|
|
||||
Guarantee asset
(1)
|
|
4,092
|
|
|
4,092
|
|
|
5,697
|
|
|
5,697
|
|
||||
Pledged collateral
(1)
|
|
42,875
|
|
|
42,875
|
|
|
53,600
|
|
|
53,600
|
|
||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Short-term debt
|
|
$
|
791,539
|
|
|
$
|
791,539
|
|
|
$
|
1,855,003
|
|
|
$
|
1,855,003
|
|
Accrued interest payable
|
|
9,608
|
|
|
9,608
|
|
|
8,936
|
|
|
8,936
|
|
||||
Margin payable
|
|
12,783
|
|
|
12,783
|
|
|
6,415
|
|
|
6,415
|
|
||||
Guarantee obligation
|
|
21,668
|
|
|
22,181
|
|
|
22,704
|
|
|
22,702
|
|
||||
Derivative liabilities
|
|
66,329
|
|
|
66,329
|
|
|
62,794
|
|
|
62,794
|
|
||||
ABS issued, net
(2)
|
|
|
|
|
|
|
|
|
||||||||
Fair value
|
|
773,462
|
|
|
773,462
|
|
|
996,820
|
|
|
996,820
|
|
||||
Amortized cost
|
|
—
|
|
|
—
|
|
|
52,595
|
|
|
53,137
|
|
||||
FHLBC long-term borrowings
|
|
1,999,999
|
|
|
1,999,999
|
|
|
1,343,023
|
|
|
1,343,023
|
|
||||
Commercial secured borrowings
|
|
—
|
|
|
—
|
|
|
63,152
|
|
|
63,152
|
|
||||
Convertible notes, net
(2)
|
|
482,195
|
|
|
493,365
|
|
|
483,119
|
|
|
461,053
|
|
||||
Trust preferred securities and subordinated notes, net
(2)
|
|
138,489
|
|
|
96,255
|
|
|
138,443
|
|
|
83,700
|
|
(1)
|
These assets are included in Other assets on our consolidated balance sheets.
|
(2)
|
On January 1, 2016, we adopted ASU 2015-03 and began to present ABS issued, convertible notes, and trust preferred securities and subordinated notes, each net of deferred debt issuance costs. See
Note 3
for further discussion.
|
December 31, 2016
|
|
Carrying Value
|
|
Fair Value Measurements Using
|
||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
3,886,845
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,886,845
|
|
Trading securities
|
|
445,687
|
|
|
—
|
|
|
—
|
|
|
445,687
|
|
||||
Available-for-sale securities
|
|
572,752
|
|
|
—
|
|
|
—
|
|
|
572,752
|
|
||||
Derivative assets
|
|
36,595
|
|
|
8,300
|
|
|
24,980
|
|
|
3,315
|
|
||||
MSRs
|
|
118,526
|
|
|
—
|
|
|
—
|
|
|
118,526
|
|
||||
Pledged collateral
|
|
42,875
|
|
|
42,875
|
|
|
—
|
|
|
—
|
|
||||
FHLBC stock
|
|
43,393
|
|
|
—
|
|
|
43,393
|
|
|
—
|
|
||||
Guarantee asset
|
|
4,092
|
|
|
—
|
|
|
—
|
|
|
4,092
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
|
$
|
66,329
|
|
|
$
|
5,609
|
|
|
$
|
56,919
|
|
|
$
|
3,801
|
|
ABS issued
|
|
773,462
|
|
|
—
|
|
|
—
|
|
|
773,462
|
|
December 31, 2015
|
|
Carrying
Value |
|
Fair Value Measurements Using
|
||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
3,927,370
|
|
|
$
|
—
|
|
|
$
|
129,819
|
|
|
$
|
3,797,551
|
|
Commercial loans
|
|
106,798
|
|
|
—
|
|
|
—
|
|
|
106,798
|
|
||||
Trading securities
|
|
404,011
|
|
|
—
|
|
|
—
|
|
|
404,011
|
|
||||
Available-for-sale securities
|
|
829,245
|
|
|
—
|
|
|
—
|
|
|
829,245
|
|
||||
Derivative assets
|
|
16,393
|
|
|
2,734
|
|
|
8,988
|
|
|
4,671
|
|
||||
MSRs
|
|
191,976
|
|
|
—
|
|
|
—
|
|
|
191,976
|
|
||||
Pledged collateral
|
|
53,600
|
|
|
53,600
|
|
|
—
|
|
|
—
|
|
||||
FHLBC stock
|
|
34,437
|
|
|
—
|
|
|
34,437
|
|
|
—
|
|
||||
Guarantee asset
|
|
5,697
|
|
|
—
|
|
|
—
|
|
|
5,697
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
|
$
|
62,794
|
|
|
$
|
2,963
|
|
|
$
|
58,368
|
|
|
$
|
1,463
|
|
Commercial secured borrowings
|
|
63,152
|
|
|
—
|
|
|
—
|
|
|
63,152
|
|
||||
ABS issued
|
|
996,820
|
|
|
—
|
|
|
—
|
|
|
996,820
|
|
|
|
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, 2015
|
|
$
|
3,797,551
|
|
|
$
|
106,798
|
|
|
$
|
404,011
|
|
|
$
|
829,245
|
|
|
$
|
191,976
|
|
|
$
|
5,697
|
|
|
$
|
3,208
|
|
|
$
|
63,152
|
|
|
$
|
996,820
|
|
Acquisitions
|
|
4,747,564
|
|
|
37,625
|
|
|
292,875
|
|
|
34,520
|
|
|
25,362
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Sales
|
|
(3,813,538
|
)
|
|
(81,523
|
)
|
|
(244,219
|
)
|
|
(252,696
|
)
|
|
(62,440
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Principal paydowns
|
|
(806,081
|
)
|
|
(476
|
)
|
|
(17,827
|
)
|
|
(62,229
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(306
|
)
|
|
(208,215
|
)
|
|||||||||
Gains (losses) in net income, net
|
|
(33,893
|
)
|
|
2,791
|
|
|
10,847
|
|
|
48,399
|
|
|
(36,372
|
)
|
|
(1,605
|
)
|
|
30,193
|
|
|
2,369
|
|
|
(8,275
|
)
|
|||||||||
Unrealized losses in OCI, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(24,487
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Other settlements, net
(2)
|
|
(4,758
|
)
|
|
(65,215
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(33,887
|
)
|
|
(65,215
|
)
|
|
(6,868
|
)
|
|||||||||
Ending balance - December 31, 2016
|
|
$
|
3,886,845
|
|
|
$
|
—
|
|
|
$
|
445,687
|
|
|
$
|
572,752
|
|
|
$
|
118,526
|
|
|
$
|
4,092
|
|
|
$
|
(486
|
)
|
|
$
|
—
|
|
|
$
|
773,462
|
|
|
|
Assets
|
|
Liabilities
|
||||||||||||||||||||||||||||||||
(In Thousands)
|
|
Residential
Loans
|
|
Commercial
Loans
|
|
Trading
Securities
|
|
AFS
Securities
|
|
MSRs
|
|
Guarantee
Asset
|
|
Derivatives
(1)
|
|
Commercial
Secured
Borrowings
|
|
ABS
Issued
|
||||||||||||||||||
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
(3)
|
|
1,370,699
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,302,216
|
|
|||||||||
Acquisitions
|
|
5,231,532
|
|
|
617,519
|
|
|
399,990
|
|
|
33,370
|
|
|
95,281
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Sales
|
|
(3,857,807
|
)
|
|
(754,636
|
)
|
|
(83,038
|
)
|
|
(366,373
|
)
|
|
(18,206
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,362
|
)
|
|||||||||
Principal paydowns
|
|
(612,473
|
)
|
|
(780
|
)
|
|
(7,245
|
)
|
|
(131,387
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(593
|
)
|
|
(312,800
|
)
|
|||||||||
Gains (losses) in net income, net
|
|
(6,071
|
)
|
|
7,199
|
|
|
(17,302
|
)
|
|
72,612
|
|
|
(24,392
|
)
|
|
(1,377
|
)
|
|
60,823
|
|
|
(3,011
|
)
|
|
8,366
|
|
|||||||||
Unrealized gains in OCI, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(46,961
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Other settlements, net
(2)
|
|
(6,313
|
)
|
|
—
|
|
|
—
|
|
|
360
|
|
|
—
|
|
|
(127
|
)
|
|
(58,734
|
)
|
|
49
|
|
|
400
|
|
|||||||||
Ending balance - December 31, 2015
|
|
$
|
3,797,551
|
|
|
$
|
106,798
|
|
|
$
|
404,011
|
|
|
$
|
829,245
|
|
|
$
|
191,976
|
|
|
$
|
5,697
|
|
|
$
|
3,208
|
|
|
$
|
63,152
|
|
|
$
|
996,820
|
|
(1)
|
For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis.
|
(2)
|
Other settlements, net for derivatives represents the transfer of the fair value of loan purchase commitments at the time loans are acquired to the basis of residential loans. For commercial secured borrowings and commercial loans, the reduction in 2016 represents the derecognition of our commercial secured borrowings and related commercial A-note investments upon sale of the associated B-notes.
|
(3)
|
Upon adoption of ASU 2014-13 on January 1, 2015, loans held-for-investment in, and ABS issued by, consolidated financial entities are now recorded at fair value. See
Note 3
for further discussion.
|
|
|
Included in Net Income
|
||||||||||
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Assets
|
|
|
|
|
|
|
||||||
Residential loans at Redwood
|
|
$
|
(17,370
|
)
|
|
$
|
(5,541
|
)
|
|
$
|
16,512
|
|
Residential loans at consolidated Sequoia entities
|
|
(14,391
|
)
|
|
7,422
|
|
|
—
|
|
|||
Commercial loans
|
|
—
|
|
|
(2,620
|
)
|
|
3,357
|
|
|||
Trading securities
|
|
7,184
|
|
|
(13,391
|
)
|
|
(25,216
|
)
|
|||
Available-for-sale securities
|
|
(368
|
)
|
|
(246
|
)
|
|
(434
|
)
|
|||
MSRs
|
|
42,964
|
|
|
(3,471
|
)
|
|
(15,239
|
)
|
|||
Loan purchase commitments
|
|
—
|
|
|
4,252
|
|
|
1,119
|
|
|||
Other assets - Guarantee asset
|
|
(1,605
|
)
|
|
(1,504
|
)
|
|
—
|
|
|||
|
|
|
|
|
|
|
||||||
Liabilities
|
|
|
|
|
|
|
||||||
Loan purchase commitments
|
|
$
|
(486
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Commercial secured borrowing
|
|
—
|
|
|
3,011
|
|
|
2,033
|
|
|||
ABS issued
|
|
8,275
|
|
|
(8,366
|
)
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
Gain (Loss) for
Year Ended
|
||||||||||
December 31, 2016
|
|
Carrying
Value
|
|
Fair Value Measurements Using
|
|
|||||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
December 31, 2016
|
|||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans, at lower of cost or fair value
|
|
$
|
867
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
867
|
|
|
$
|
(17
|
)
|
Commercial loans, at lower of cost or fair value
|
|
2,700
|
|
|
—
|
|
|
—
|
|
|
2,700
|
|
|
(300
|
)
|
|||||
REO
|
|
5,207
|
|
|
—
|
|
|
—
|
|
|
5,207
|
|
|
(1,831
|
)
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
|
|
|
|
|
|
|
|
|
Gain (Loss) for
Year Ended
|
||||||||||
December 31, 2015
|
|
Carrying
Value |
|
Fair Value Measurements Using
|
|
|||||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
December 31, 2015
|
|||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans, at lower of cost or fair value
|
|
$
|
1,096
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,096
|
|
|
$
|
3
|
|
REO
|
|
2,395
|
|
|
—
|
|
|
—
|
|
|
2,395
|
|
|
(764
|
)
|
|||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Guarantee obligation
|
|
4,414
|
|
|
—
|
|
|
—
|
|
|
4,414
|
|
|
—
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Mortgage Banking Activities, Net
|
|
|
|
|
|
|
||||||
Residential loans held-for-sale, at fair value
|
|
$
|
5,786
|
|
|
$
|
3,712
|
|
|
$
|
51,312
|
|
Residential loan purchase and forward sale commitments
|
|
25,613
|
|
|
50,234
|
|
|
13,891
|
|
|||
Commercial loans, at fair value
(1)
|
|
433
|
|
|
10,265
|
|
|
20,788
|
|
|||
Sequoia securities
|
|
1,455
|
|
|
(15,261
|
)
|
|
(23,839
|
)
|
|||
Risk management derivatives, net
|
|
3,158
|
|
|
(42,468
|
)
|
|
(31,167
|
)
|
|||
Total mortgage banking activities, net
(2)
|
|
$
|
36,445
|
|
|
$
|
6,482
|
|
|
$
|
30,985
|
|
Investment Fair Value Changes, Net
|
|
|
|
|
|
|
||||||
Residential loans held-for-investment at Redwood
|
|
(23,102
|
)
|
|
(6,337
|
)
|
|
(697
|
)
|
|||
Trading securities
|
|
9,666
|
|
|
(2,019
|
)
|
|
(358
|
)
|
|||
Valuation adjustments on commercial loans held-for-sale
|
|
(307
|
)
|
|
—
|
|
|
—
|
|
|||
Net investments in consolidated Sequoia entities
|
|
(4,200
|
)
|
|
(1,192
|
)
|
|
(894
|
)
|
|||
Risk sharing investments
|
|
(1,151
|
)
|
|
(1,886
|
)
|
|
104
|
|
|||
Risk management derivatives, net
|
|
(9,112
|
)
|
|
(9,677
|
)
|
|
(7,792
|
)
|
|||
Impairments on AFS securities
|
|
(368
|
)
|
|
(246
|
)
|
|
(565
|
)
|
|||
Total investment fair value changes, net
|
|
$
|
(28,574
|
)
|
|
$
|
(21,357
|
)
|
|
$
|
(10,202
|
)
|
MSR Income (Loss), Net
|
|
|
|
|
|
|
||||||
MSRs
|
|
$
|
(36,372
|
)
|
|
$
|
(24,392
|
)
|
|
$
|
(21,081
|
)
|
Risk management derivatives, net
|
|
15,584
|
|
|
(12,708
|
)
|
|
—
|
|
|||
Total MSR loss, net
(3)
|
|
$
|
(20,788
|
)
|
|
$
|
(37,100
|
)
|
|
$
|
(21,081
|
)
|
Total Market Valuation Gains (Losses), Net
|
|
$
|
(12,917
|
)
|
|
$
|
(51,975
|
)
|
|
$
|
(298
|
)
|
(1)
|
Commercial loans at fair value does not include commercial A-notes, which were sold in 2014, but did not qualify for sale treatment under GAAP. The market valuation gains and losses on the commercial A-notes and associated commercial secured borrowings net to zero in each period presented.
|
(2)
|
Mortgage banking activities, net presented above does not include fee income or provisions for repurchases that are components of Mortgage banking activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes.
|
(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. In addition, we did not specifically identify derivatives used to hedge MSRs prior to the second quarter of 2015. See
Note 2
for additional detail.
|
December 31, 2016
|
|
Fair
Value
|
|
|
|
Input Values
|
||||||||||||||
(Dollars in Thousands, except Input Values)
|
|
|
Unobservable Input
|
|
Range
|
|
|
Weighted
Average
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Jumbo fixed rate loans
|
|
$
|
2,871,120
|
|
|
Whole loan spread to TBA price
|
|
$
|
3.05
|
|
-
|
$
|
4.06
|
|
|
|
$
|
3.94
|
|
|
|
|
|
|
Whole loan spread to swap rate
|
|
275
|
|
-
|
305
|
|
bps
|
|
304
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Jumbo hybrid loans
|
|
50,974
|
|
|
Prepayment rate (annual CPR)
|
|
15
|
|
-
|
15
|
|
%
|
|
15
|
|
%
|
||||
|
|
|
|
Whole loan spread to swap rate
|
|
135
|
|
-
|
275
|
|
bps
|
|
168
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Jumbo loans committed to sell
|
|
173,114
|
|
|
Whole loan committed sales price
|
|
$
|
99.98
|
|
-
|
$
|
102.06
|
|
|
|
$
|
100.61
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Loans held by consolidated Sequoia entities
(1)
|
|
791,636
|
|
|
Liability price
|
|
|
|
N/A
|
|
|
|
N/A
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, at lower of cost or fair value
|
|
867
|
|
|
Loss severity
|
|
15
|
|
-
|
30
|
|
%
|
|
20
|
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Trading and AFS securities
|
|
1,018,439
|
|
|
Discount rate
|
|
4
|
|
-
|
12
|
|
%
|
|
7
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
1
|
|
-
|
57
|
|
%
|
|
20
|
|
%
|
|||||
|
|
|
|
Default rate
|
|
0
|
|
-
|
35
|
|
%
|
|
2
|
|
%
|
|||||
|
|
|
|
Loss severity
|
|
20
|
|
-
|
65
|
|
%
|
|
22
|
|
%
|
|||||
|
|
|
|
Credit support
|
|
0
|
|
-
|
48
|
|
%
|
|
3
|
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
MSRs
|
|
118,526
|
|
|
Discount rate
|
|
10
|
|
-
|
11
|
|
%
|
|
10
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
5
|
|
-
|
11
|
|
%
|
|
9
|
|
%
|
|||||
|
|
|
|
Per loan annual cost to service
|
|
$
|
72
|
|
-
|
$
|
82
|
|
|
|
$
|
77
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Guarantee asset
|
|
4,092
|
|
|
Discount rate
|
|
11
|
|
-
|
11
|
|
%
|
|
11
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
10
|
|
-
|
10
|
|
%
|
|
10
|
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
REO
|
|
5,207
|
|
|
Loss severity
|
|
1
|
|
-
|
100
|
|
%
|
|
24
|
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments, net
(2)
|
|
486
|
|
|
MSR multiple
|
|
0.9
|
|
-
|
5.4
|
|
x
|
|
3.6
|
|
x
|
||||
|
|
|
|
Pull-through rate
|
|
12
|
|
-
|
100
|
|
%
|
|
75
|
|
%
|
|||||
|
|
|
|
Whole loan spread to TBA price
|
|
$
|
2.66
|
|
-
|
$
|
4.06
|
|
|
|
$
|
3.98
|
|
|
||
|
|
|
|
Whole loan spread to swap rate - fixed rate
|
|
275
|
|
-
|
305
|
|
bps
|
|
305
|
|
bps
|
|||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
15
|
|
-
|
15
|
|
%
|
|
15
|
|
%
|
|||||
|
|
|
|
Whole loan spread to swap rate - hybrid
|
|
135
|
|
-
|
275
|
|
bps
|
|
163
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
ABS issued
(1)
|
|
773,462
|
|
|
Discount rate
|
|
4
|
|
-
|
8
|
|
%
|
|
5
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
1
|
|
-
|
20
|
|
%
|
|
15
|
|
%
|
|||||
|
|
|
|
Default rate
|
|
1
|
|
-
|
12
|
|
%
|
|
7
|
|
%
|
|||||
|
|
|
|
Loss severity
|
|
20
|
|
-
|
32
|
|
%
|
|
27
|
|
%
|
|||||
|
|
|
|
Credit support
|
|
—
|
|
-
|
34
|
|
%
|
|
9
|
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The fair value of the loans held by consolidated Sequoia entities was based on the fair value of the ABS issued by these entities, which we determined were more readily observable, in accordance with accounting guidance for collateralized financing entities.
|
(2)
|
For the purpose of this presentation, loan purchase commitment assets and liabilities are presented net.
|
December 31, 2016
|
|
|
|
|
|
|
||||||
(In Thousands)
|
|
Redwood
|
|
Sequoia
|
|
Total
|
||||||
Held-for-sale
|
|
|
|
|
|
|
||||||
At fair value - jumbo
|
|
$
|
834,193
|
|
|
$
|
—
|
|
|
$
|
834,193
|
|
At lower of cost or fair value - jumbo
|
|
1,206
|
|
|
—
|
|
|
1,206
|
|
|||
Total held-for-sale
|
|
835,399
|
|
|
—
|
|
|
835,399
|
|
|||
Held-for-investment
|
|
|
|
|
|
|
||||||
At fair value - jumbo
|
|
2,261,016
|
|
|
791,636
|
|
|
3,052,652
|
|
|||
Total Residential Loans
|
|
$
|
3,096,415
|
|
|
$
|
791,636
|
|
|
$
|
3,888,051
|
|
December 31, 2015
|
|
|
|
|
|
|
||||||
(In Thousands)
|
|
Redwood
|
|
Sequoia
|
|
Total
|
||||||
Held-for-sale
|
|
|
|
|
|
|
||||||
At fair value - conforming
|
|
$
|
129,819
|
|
|
$
|
—
|
|
|
$
|
129,819
|
|
At fair value - jumbo
|
|
984,486
|
|
|
—
|
|
|
984,486
|
|
|||
At lower of cost or fair value - jumbo
|
|
1,433
|
|
|
—
|
|
|
1,433
|
|
|||
Total held-for-sale
|
|
1,115,738
|
|
|
—
|
|
|
1,115,738
|
|
|||
Held-for-investment
|
|
|
|
|
|
|
||||||
At fair value - jumbo
|
|
1,791,195
|
|
|
1,021,870
|
|
|
2,813,065
|
|
|||
Total Residential Loans
|
|
$
|
2,906,933
|
|
|
$
|
1,021,870
|
|
|
$
|
3,928,803
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||
Geographic Concentration
(by Principal)
|
|
Held-for-Sale
|
|
Held-for-
Investment at Sequoia
|
|
Held-for-
Investment at
FVO
|
|
Held-for-Sale
|
|
Held-for-
Investment at Sequoia
|
|
Held-for-
Investment at
FVO
|
||||||
California
|
|
40
|
%
|
|
18
|
%
|
|
42
|
%
|
|
41
|
%
|
|
18
|
%
|
|
39
|
%
|
Texas
|
|
9
|
%
|
|
6
|
%
|
|
10
|
%
|
|
9
|
%
|
|
6
|
%
|
|
11
|
%
|
Washington
|
|
8
|
%
|
|
2
|
%
|
|
4
|
%
|
|
6
|
%
|
|
2
|
%
|
|
3
|
%
|
Colorado
|
|
4
|
%
|
|
3
|
%
|
|
4
|
%
|
|
5
|
%
|
|
3
|
%
|
|
5
|
%
|
Florida
|
|
3
|
%
|
|
14
|
%
|
|
5
|
%
|
|
4
|
%
|
|
14
|
%
|
|
4
|
%
|
Virginia
|
|
2
|
%
|
|
3
|
%
|
|
3
|
%
|
|
3
|
%
|
|
3
|
%
|
|
4
|
%
|
Georgia
|
|
2
|
%
|
|
5
|
%
|
|
1
|
%
|
|
3
|
%
|
|
5
|
%
|
|
1
|
%
|
Massachusetts
|
|
2
|
%
|
|
2
|
%
|
|
4
|
%
|
|
2
|
%
|
|
2
|
%
|
|
4
|
%
|
New York
|
|
2
|
%
|
|
8
|
%
|
|
4
|
%
|
|
1
|
%
|
|
8
|
%
|
|
5
|
%
|
Other states (none greater than 5%)
|
|
28
|
%
|
|
39
|
%
|
|
23
|
%
|
|
26
|
%
|
|
39
|
%
|
|
24
|
%
|
Total
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
|
100
|
%
|
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Loan Balance
|
|
|
Number of
Loans
|
|
Interest
Rate
(1)
|
|
Maturity
Date
|
|
Total
Principal
|
|
30-89
Days
DQ
|
|
90+
Days
DQ
|
|||||||||||||||||
Held-for-Investment at Redwood
(1)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Hybrid ARM loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
251
|
|
to
|
$500
|
|
|
1
|
|
|
3.63
|
%
|
to
|
3.63%
|
|
2044-07
|
-
|
2044-07
|
|
264
|
|
|
—
|
|
|
—
|
|
|||
|
$
|
501
|
|
to
|
$750
|
|
|
4
|
|
|
2.88
|
%
|
to
|
4.65%
|
|
2040-09
|
-
|
2045-10
|
|
2,722
|
|
|
—
|
|
|
—
|
|
|||
|
$
|
751
|
|
to
|
$1,000
|
|
|
2
|
|
|
3.50
|
%
|
to
|
4.00%
|
|
2045-09
|
-
|
2045-10
|
|
1,726
|
|
|
—
|
|
|
—
|
|
|||
|
|
over
|
$1,000
|
|
|
4
|
|
|
3.00
|
%
|
to
|
4.20%
|
|
2040-10
|
-
|
2045-10
|
|
5,545
|
|
|
—
|
|
|
—
|
|
|||||
|
|
|
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
10,257
|
|
|
—
|
|
|
—
|
|
||||||
Fixed loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
—
|
|
to
|
$250
|
|
|
26
|
|
|
3.67
|
%
|
to
|
5.08%
|
|
2039-04
|
-
|
2045-10
|
|
4,643
|
|
|
—
|
|
|
237
|
|
|||
|
$
|
251
|
|
to
|
$500
|
|
|
633
|
|
|
2.80
|
%
|
to
|
5.13%
|
|
2028-02
|
-
|
2046-12
|
|
278,560
|
|
|
264
|
|
|
—
|
|
|||
|
$
|
501
|
|
to
|
$750
|
|
|
1,306
|
|
|
2.75
|
%
|
to
|
6.25%
|
|
2027-09
|
-
|
2046-12
|
|
807,714
|
|
|
2,803
|
|
|
—
|
|
|||
|
$
|
751
|
|
to
|
$1,000
|
|
|
690
|
|
|
2.75
|
%
|
to
|
5.63%
|
|
2027-07
|
-
|
2046-12
|
|
597,002
|
|
|
—
|
|
|
—
|
|
|||
|
|
|
over
|
$1,000
|
|
|
402
|
|
|
2.80
|
%
|
to
|
5.00%
|
|
2027-04
|
-
|
2047-01
|
|
535,621
|
|
|
1,232
|
|
|
—
|
|
||||
|
|
|
|
|
|
3,057
|
|
|
|
|
|
|
|
|
|
|
2,223,540
|
|
|
4,299
|
|
|
237
|
|
||||||
Total HFI at Redwood:
|
|
3,068
|
|
|
|
|
|
|
|
|
|
|
$
|
2,233,797
|
|
|
$
|
4,299
|
|
|
$
|
237
|
|
|||||||
Held-for-Investment at Sequoia:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
ARM loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
—
|
|
to
|
$250
|
|
|
2,623
|
|
|
0.63
|
%
|
to
|
5.60%
|
|
2019-02
|
-
|
2035-11
|
|
$
|
297,646
|
|
|
$
|
9,158
|
|
|
$
|
7,410
|
|
|
$
|
251
|
|
to
|
$500
|
|
|
694
|
|
|
0.25
|
%
|
to
|
5.75%
|
|
2019-12
|
-
|
2036-05
|
|
241,253
|
|
|
9,177
|
|
|
10,059
|
|
|||
|
$
|
501
|
|
to
|
$750
|
|
|
203
|
|
|
0.88
|
%
|
to
|
3.89%
|
|
2024-05
|
-
|
2035-09
|
|
121,919
|
|
|
5,812
|
|
|
5,069
|
|
|||
|
$
|
751
|
|
to
|
$1,000
|
|
|
100
|
|
|
0.63
|
%
|
to
|
3.00%
|
|
2022-01
|
-
|
2035-07
|
|
86,988
|
|
|
2,750
|
|
|
3,322
|
|
|||
|
|
|
over
|
$1,000
|
|
|
78
|
|
|
0.25
|
%
|
to
|
3.75%
|
|
2027-03
|
-
|
2036-05
|
|
121,484
|
|
|
4,790
|
|
|
4,306
|
|
||||
|
|
|
|
|
|
3,698
|
|
|
|
|
|
|
|
|
|
|
869,290
|
|
|
31,687
|
|
|
30,166
|
|
||||||
Hybrid ARM loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
|
$
|
—
|
|
to
|
$250
|
|
|
4
|
|
|
3.00
|
%
|
to
|
3.00%
|
|
2033-09
|
-
|
2034-06
|
|
453
|
|
|
—
|
|
|
—
|
|
|||
|
$
|
251
|
|
to
|
$500
|
|
|
18
|
|
|
2.63
|
%
|
to
|
3.13%
|
|
2033-07
|
-
|
2034-12
|
|
6,516
|
|
|
—
|
|
|
—
|
|
|||
|
$
|
501
|
|
to
|
$750
|
|
|
13
|
|
|
2.75
|
%
|
to
|
3.13%
|
|
2033-07
|
-
|
2034-12
|
|
8,483
|
|
|
669
|
|
|
—
|
|
|||
|
$
|
751
|
|
to
|
$1,000
|
|
|
1
|
|
|
3.13
|
%
|
to
|
3.13%
|
|
2033-08
|
-
|
2033-08
|
|
751
|
|
|
—
|
|
|
—
|
|
|||
|
|
|
over
|
$1,000
|
|
|
1
|
|
|
3.00
|
%
|
to
|
3.00%
|
|
2033-09
|
-
|
2033-09
|
|
1,488
|
|
|
—
|
|
|
—
|
|
||||
|
|
|
|
|
|
37
|
|
|
|
|
|
|
|
|
|
|
17,691
|
|
|
669
|
|
|
—
|
|
||||||
Total HFI at Sequoia:
|
|
3,735
|
|
|
|
|
|
|
|
|
|
|
$
|
886,981
|
|
|
$
|
32,356
|
|
|
$
|
30,166
|
|
|||||||
Held-for-Sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
ARM loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
61
|
|
to
|
$396
|
|
|
6
|
|
|
1.88
|
%
|
to
|
2.75%
|
|
2033-10
|
-
|
2032-11
|
|
$
|
882
|
|
|
$
|
—
|
|
|
$
|
300
|
|
Hybrid ARM loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
2
|
|
to
|
$1,947
|
|
|
173
|
|
|
2.50
|
%
|
to
|
6.00%
|
|
2037-06
|
-
|
2047-01
|
|
144,174
|
|
|
—
|
|
|
—
|
|
|||
Fixed loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
404
|
|
to
|
$1,997
|
|
|
942
|
|
|
2.99
|
%
|
to
|
6.25%
|
|
2026-12
|
-
|
2047-01
|
|
688,329
|
|
|
—
|
|
|
—
|
|
|||
Total Held-for-Sale
|
|
1,121
|
|
|
|
|
|
|
|
|
|
|
$
|
833,385
|
|
|
$
|
—
|
|
|
$
|
300
|
|
December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Loan Balance
|
|
|
Number of
Loans
|
|
Interest
Rate
(1)
|
|
Maturity
Date
|
|
Total
Principal
|
|
30-89
Days
DQ
|
|
90+
Days
DQ
|
|||||||||||||||||
Held-for-Investment at Redwood
(1)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
ARM loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
251
|
|
to
|
$500
|
|
|
2
|
|
|
3.63
|
%
|
to
|
3.75%
|
|
2044-07
|
-
|
2044-07
|
|
$
|
563
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
501
|
|
to
|
$750
|
|
|
2
|
|
|
3.50
|
%
|
to
|
3.50%
|
|
2045-09
|
-
|
2045-10
|
|
1,671
|
|
|
—
|
|
|
—
|
|
|||
|
$
|
751
|
|
to
|
$1,000
|
|
|
1
|
|
|
3.63
|
%
|
to
|
3.63%
|
|
2044-08
|
-
|
2044-08
|
|
1,267
|
|
|
—
|
|
|
—
|
|
|||
|
|
|
5
|
|
|
|
|
|
|
|
|
|
|
3,501
|
|
|
—
|
|
|
—
|
|
|||||||||
Hybrid ARM loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
251
|
|
to
|
$500
|
|
|
7
|
|
|
2.88
|
%
|
to
|
3.88%
|
|
2044-01
|
-
|
2044-09
|
|
2,963
|
|
|
—
|
|
|
—
|
|
|||
|
$
|
501
|
|
to
|
$750
|
|
|
28
|
|
|
2.63
|
%
|
to
|
4.90%
|
|
2040-09
|
-
|
2044-10
|
|
17,514
|
|
|
—
|
|
|
—
|
|
|||
|
$
|
751
|
|
to
|
$1,000
|
|
|
15
|
|
|
2.75
|
%
|
to
|
5.05%
|
|
2039-05
|
-
|
2044-11
|
|
12,994
|
|
|
—
|
|
|
—
|
|
|||
|
|
|
over
|
$1,000
|
|
|
6
|
|
|
2.88
|
%
|
to
|
5.20%
|
|
2039-04
|
-
|
2044-12
|
|
8,797
|
|
|
—
|
|
|
—
|
|
||||
|
|
|
|
|
|
56
|
|
|
|
|
|
|
|
|
|
|
42,268
|
|
|
—
|
|
|
—
|
|
||||||
Fixed loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
—
|
|
to
|
$250
|
|
|
29
|
|
|
3.64
|
%
|
to
|
5.38%
|
|
2039-04
|
-
|
2045-10
|
|
5,295
|
|
|
242
|
|
|
—
|
|
|||
|
$
|
251
|
|
to
|
$500
|
|
|
484
|
|
|
3.13
|
%
|
to
|
5.13%
|
|
2029-07
|
-
|
2045-12
|
|
212,732
|
|
|
913
|
|
|
—
|
|
|||
|
$
|
501
|
|
to
|
$750
|
|
|
959
|
|
|
2.94
|
%
|
to
|
5.25%
|
|
2026-11
|
-
|
2045-12
|
|
595,863
|
|
|
3,213
|
|
|
—
|
|
|||
|
$
|
751
|
|
to
|
$1,000
|
|
|
552
|
|
|
2.90
|
%
|
to
|
5.00%
|
|
2024-01
|
-
|
2045-12
|
|
480,557
|
|
|
989
|
|
|
—
|
|
|||
|
|
|
over
|
$1,000
|
|
|
313
|
|
|
3.14
|
%
|
to
|
5.00%
|
|
2027-04
|
-
|
2045-12
|
|
418,774
|
|
|
—
|
|
|
—
|
|
||||
|
|
|
|
|
|
2,337
|
|
|
|
|
|
|
|
|
|
|
1,713,221
|
|
|
5,357
|
|
|
—
|
|
||||||
Total HFI at Redwood:
|
|
2,398
|
|
|
|
|
|
|
|
|
|
|
$
|
1,758,990
|
|
|
$
|
5,357
|
|
|
$
|
—
|
|
|||||||
Held-for-Investment at Sequoia:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
ARM loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
—
|
|
to
|
$250
|
|
|
3,133
|
|
|
0.38
|
%
|
to
|
5.16%
|
|
2013-02
|
-
|
2035-11
|
|
$
|
355,415
|
|
|
$
|
10,661
|
|
|
$
|
13,078
|
|
|
$
|
251
|
|
to
|
$500
|
|
|
858
|
|
|
—
|
%
|
to
|
5.63%
|
|
2013-12
|
-
|
2036-05
|
|
296,425
|
|
|
9,620
|
|
|
15,345
|
|
|||
|
$
|
501
|
|
to
|
$750
|
|
|
269
|
|
|
0.63
|
%
|
to
|
4.66%
|
|
2014-05
|
-
|
2035-09
|
|
161,273
|
|
|
4,578
|
|
|
7,209
|
|
|||
|
$
|
751
|
|
to
|
$1,000
|
|
|
135
|
|
|
0.38
|
%
|
to
|
2.38%
|
|
2019-02
|
-
|
2035-07
|
|
118,983
|
|
|
3,586
|
|
|
8,473
|
|
|||
|
|
|
over
|
$1,000
|
|
|
109
|
|
|
—
|
%
|
to
|
2.63%
|
|
2022-01
|
-
|
2036-05
|
|
169,492
|
|
|
1,341
|
|
|
14,718
|
|
||||
|
|
|
|
|
|
4,504
|
|
|
|
|
|
|
|
|
|
|
1,101,588
|
|
|
29,786
|
|
|
58,823
|
|
||||||
Hybrid ARM loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
—
|
|
to
|
$250
|
|
|
3
|
|
|
2.75
|
%
|
to
|
2.88%
|
|
2033-09
|
-
|
2034-06
|
|
317
|
|
|
—
|
|
|
—
|
|
|||
|
$
|
251
|
|
to
|
$500
|
|
|
20
|
|
|
2.63
|
%
|
to
|
2.88%
|
|
2033-07
|
-
|
2034-12
|
|
7,523
|
|
|
—
|
|
|
—
|
|
|||
|
$
|
501
|
|
to
|
$750
|
|
|
15
|
|
|
2.63
|
%
|
to
|
2.88%
|
|
2033-08
|
-
|
2034-12
|
|
9,874
|
|
|
542
|
|
|
—
|
|
|||
|
$
|
751
|
|
to
|
$1,000
|
|
|
2
|
|
|
2.75
|
%
|
to
|
2.75%
|
|
2033-07
|
-
|
2033-08
|
|
1,547
|
|
|
—
|
|
|
—
|
|
|||
|
|
|
over
|
$1,000
|
|
|
1
|
|
|
2.75
|
%
|
to
|
2.75%
|
|
2033-09
|
-
|
2033-09
|
|
1,566
|
|
|
—
|
|
|
—
|
|
||||
|
|
|
|
|
|
41
|
|
|
|
|
|
|
|
|
|
|
20,827
|
|
|
542
|
|
|
—
|
|
||||||
Total HFI at Sequoia:
|
|
4,545
|
|
|
|
|
|
|
|
|
|
|
$
|
1,122,415
|
|
|
$
|
30,328
|
|
|
$
|
58,823
|
|
|||||||
Held-for-Sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
ARM loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
64
|
|
to
|
$1,298
|
|
|
14
|
|
|
1.50
|
%
|
to
|
4.00%
|
|
2032-11
|
-
|
2045-12
|
|
$
|
5,258
|
|
|
$
|
—
|
|
|
$
|
415
|
|
Hybrid ARM loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
164
|
|
to
|
$1,989
|
|
|
356
|
|
|
2.50
|
%
|
to
|
4.25%
|
|
2037-06
|
-
|
2046-01
|
|
276,457
|
|
|
2,249
|
|
|
—
|
|
|||
Fixed loans
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
|
$
|
30
|
|
to
|
$2,332
|
|
|
1,402
|
|
|
2.75
|
%
|
to
|
5.25%
|
|
2025-09
|
-
|
2046-01
|
|
809,803
|
|
|
2,097
|
|
|
1,437
|
|
|||
Total Held-for-Sale
|
|
1,772
|
|
|
|
|
|
|
|
|
|
|
$
|
1,091,518
|
|
|
$
|
4,346
|
|
|
$
|
1,852
|
|
(1)
|
Rate is net of servicing fee for consolidated loans for which we do not own the MSR. For borrowers whose current rate is less than the applicable servicing fee, the rate shown in the table above is
zero
.
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
2016
|
|
2015
|
|
2014
|
||||||
Balance at beginning of period
|
$
|
—
|
|
|
$
|
21,338
|
|
|
$
|
25,427
|
|
Charge-offs, net
|
—
|
|
|
—
|
|
|
(4,966
|
)
|
|||
Provision for loan losses
|
—
|
|
|
—
|
|
|
877
|
|
|||
Other adjustments
(1)
|
—
|
|
|
(21,338
|
)
|
|
—
|
|
|||
Balance at End of Period
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
21,338
|
|
(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)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Held-for-sale
|
|
|
|
|
||||
At fair value
|
|
$
|
—
|
|
|
$
|
39,141
|
|
At lower of cost or fair value
|
|
2,700
|
|
|
—
|
|
||
Held-for-investment
|
|
|
|
|
||||
At fair value
|
|
—
|
|
|
67,657
|
|
||
At amortized cost
|
|
—
|
|
|
295,849
|
|
||
Total Commercial Loans
|
|
$
|
2,700
|
|
|
$
|
402,647
|
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Principal balance
|
|
$
|
—
|
|
|
$
|
307,047
|
|
Unamortized discount, net
|
|
—
|
|
|
(4,096
|
)
|
||
Recorded investment
|
|
—
|
|
|
302,951
|
|
||
Allowance for loan losses
|
|
—
|
|
|
(7,102
|
)
|
||
Carrying Value
|
|
$
|
—
|
|
|
$
|
295,849
|
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Pass
|
|
$
|
—
|
|
|
$
|
272,768
|
|
Watch list
|
|
—
|
|
|
34,279
|
|
||
Workout
|
|
—
|
|
|
—
|
|
||
Total Commercial Loans Held-for-Investment
|
|
$
|
—
|
|
|
$
|
307,047
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Balance at beginning of period
|
|
$
|
7,102
|
|
|
$
|
7,457
|
|
|
$
|
7,373
|
|
Charge-offs, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
(Reversal of) provision for loan losses
|
|
(7,102
|
)
|
|
(355
|
)
|
|
84
|
|
|||
Balance at End of Period
|
|
$
|
—
|
|
|
$
|
7,102
|
|
|
$
|
7,457
|
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Principal balance
|
|
$
|
—
|
|
|
$
|
307,047
|
|
Recorded investment
|
|
—
|
|
|
302,951
|
|
||
Related allowance
|
|
—
|
|
|
7,102
|
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Trading
|
|
$
|
445,687
|
|
|
$
|
404,011
|
|
Available-for-sale
|
|
572,752
|
|
|
829,245
|
|
||
Total Real Estate Securities
|
|
$
|
1,018,439
|
|
|
$
|
1,233,256
|
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Senior Securities
|
|
|
|
|
||||
Prime
|
|
$
|
32,230
|
|
|
$
|
248,570
|
|
Non-prime
|
|
4,837
|
|
|
5,781
|
|
||
Total Senior Securities
|
|
37,067
|
|
|
254,351
|
|
||
Subordinate Securities
|
|
|
|
|
||||
Prime mezzanine
|
|
243,451
|
|
|
136,140
|
|
||
Prime subordinate
|
|
165,169
|
|
|
13,520
|
|
||
Total Subordinate Securities
|
|
408,620
|
|
|
149,660
|
|
||
Total Trading Securities
|
|
$
|
445,687
|
|
|
$
|
404,011
|
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Senior Securities
|
|
|
|
|
||||
Prime
|
|
$
|
128,843
|
|
|
$
|
210,993
|
|
Non-prime
|
|
7,703
|
|
|
68,258
|
|
||
Total Senior Securities
|
|
136,546
|
|
|
279,251
|
|
||
Re-REMIC Securities
|
|
85,479
|
|
|
165,064
|
|
||
Subordinate Securities
|
|
|
|
|
||||
Prime mezzanine
|
|
163,715
|
|
|
224,624
|
|
||
Prime subordinate
|
|
187,012
|
|
|
160,306
|
|
||
Total Subordinate Securities
|
|
350,727
|
|
|
384,930
|
|
||
Total AFS Securities
|
|
$
|
572,752
|
|
|
$
|
829,245
|
|
December 31, 2016
|
|
Senior
|
|
|
|
|
|
|
||||||||||||
(In Thousands)
|
|
Prime
|
|
Non-prime
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||||
Principal balance
|
|
$
|
139,736
|
|
|
$
|
9,126
|
|
|
$
|
95,608
|
|
|
$
|
456,359
|
|
|
$
|
700,829
|
|
Credit reserve
|
|
(4,174
|
)
|
|
(640
|
)
|
|
(6,857
|
)
|
|
(35,802
|
)
|
|
(47,473
|
)
|
|||||
Unamortized discount, net
|
|
(40,379
|
)
|
|
(1,498
|
)
|
|
(19,613
|
)
|
|
(136,622
|
)
|
|
(198,112
|
)
|
|||||
Amortized cost
|
|
95,183
|
|
|
6,988
|
|
|
69,138
|
|
|
283,935
|
|
|
455,244
|
|
|||||
Gross unrealized gains
|
|
35,589
|
|
|
715
|
|
|
16,341
|
|
|
68,032
|
|
|
120,677
|
|
|||||
Gross unrealized losses
|
|
(1,929
|
)
|
|
—
|
|
|
—
|
|
|
(1,240
|
)
|
|
(3,169
|
)
|
|||||
Carrying Value
|
|
$
|
128,843
|
|
|
$
|
7,703
|
|
|
$
|
85,479
|
|
|
$
|
350,727
|
|
|
$
|
572,752
|
|
December 31, 2015
|
|
Senior
|
|
|
|
|
|
|
||||||||||||
(In Thousands)
|
|
Prime
|
|
Non-prime
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||||
Principal balance
|
|
$
|
217,605
|
|
|
$
|
75,591
|
|
|
$
|
189,782
|
|
|
$
|
490,249
|
|
|
$
|
973,227
|
|
Credit reserve
|
|
(1,305
|
)
|
|
(5,101
|
)
|
|
(10,332
|
)
|
|
(32,131
|
)
|
|
(48,869
|
)
|
|||||
Unamortized discount, net
|
|
(22,079
|
)
|
|
(8,395
|
)
|
|
(71,670
|
)
|
|
(134,963
|
)
|
|
(237,107
|
)
|
|||||
Amortized cost
|
|
194,221
|
|
|
62,095
|
|
|
107,780
|
|
|
323,155
|
|
|
687,251
|
|
|||||
Gross unrealized gains
|
|
20,263
|
|
|
6,249
|
|
|
57,284
|
|
|
63,205
|
|
|
147,001
|
|
|||||
Gross unrealized losses
|
|
(3,491
|
)
|
|
(86
|
)
|
|
—
|
|
|
(1,430
|
)
|
|
(5,007
|
)
|
|||||
Carrying Value
|
|
$
|
210,993
|
|
|
$
|
68,258
|
|
|
$
|
165,064
|
|
|
$
|
384,930
|
|
|
$
|
829,245
|
|
|
|
Year Ended December 31, 2016
|
|
Year Ended December 31, 2015
|
||||||||||||
|
|
Credit
Reserve |
|
Unamortized
Discount, Net |
|
Credit
Reserve |
|
Unamortized
Discount, Net |
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Beginning balance
|
|
$
|
48,869
|
|
|
$
|
237,107
|
|
|
$
|
70,067
|
|
|
$
|
296,342
|
|
Amortization of net discount
|
|
—
|
|
|
(26,253
|
)
|
|
—
|
|
|
(36,850
|
)
|
||||
Realized credit losses
|
|
(5,830
|
)
|
|
—
|
|
|
(8,535
|
)
|
|
—
|
|
||||
Acquisitions
|
|
9,311
|
|
|
11,461
|
|
|
2,557
|
|
|
15,791
|
|
||||
Sales, calls, other
|
|
(4,968
|
)
|
|
(24,480
|
)
|
|
(7,296
|
)
|
|
(46,346
|
)
|
||||
Impairments
|
|
368
|
|
|
—
|
|
|
—
|
|
|
246
|
|
||||
Transfers to (release of) credit reserves, net
|
|
(277
|
)
|
|
277
|
|
|
(7,924
|
)
|
|
7,924
|
|
||||
Ending Balance
|
|
$
|
47,473
|
|
|
$
|
198,112
|
|
|
$
|
48,869
|
|
|
$
|
237,107
|
|
|
|
Less Than 12 Consecutive Months
|
|
12 Consecutive Months or Longer
|
||||||||||||||||||||
|
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair
Value |
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair
Value |
||||||||||||
(In Thousands)
|
|
|
|
|
|
|
||||||||||||||||||
December 31, 2016
|
|
$
|
15,772
|
|
|
$
|
(330
|
)
|
|
$
|
15,442
|
|
|
$
|
60,035
|
|
|
$
|
(2,839
|
)
|
|
$
|
57,196
|
|
December 31, 2015
|
|
87,718
|
|
|
(1,972
|
)
|
|
85,746
|
|
|
77,539
|
|
|
(3,035
|
)
|
|
74,504
|
|
December 31, 2016
|
|
Range for Securities
|
|||
Prepayment rates
|
|
8
|
%
|
-
|
15%
|
Projected losses
|
|
—
|
%
|
-
|
7%
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Balance at beginning of period
|
|
$
|
28,277
|
|
|
$
|
33,849
|
|
|
$
|
37,149
|
|
Additions
|
|
|
|
|
|
|
||||||
Initial credit impairments
|
|
346
|
|
|
246
|
|
|
261
|
|
|||
Subsequent credit impairments
|
|
8
|
|
|
—
|
|
|
70
|
|
|||
Reductions
|
|
|
|
|
|
|
||||||
Securities sold, or expected to sell
|
|
(261
|
)
|
|
(4,567
|
)
|
|
(922
|
)
|
|||
Securities with no outstanding principal at period end
|
|
(109
|
)
|
|
(1,251
|
)
|
|
(2,709
|
)
|
|||
Balance at End of Period
|
|
$
|
28,261
|
|
|
$
|
28,277
|
|
|
$
|
33,849
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Gross realized gains - sales
|
|
$
|
23,598
|
|
|
$
|
34,922
|
|
|
$
|
15,030
|
|
Gross realized gains - calls
|
|
1,210
|
|
|
2,167
|
|
|
1,600
|
|
|||
Gross realized losses - sales
|
|
(2,293
|
)
|
|
(608
|
)
|
|
(2,713
|
)
|
|||
Gross realized losses - calls
|
|
—
|
|
|
(112
|
)
|
|
—
|
|
|||
Total Realized Gains on Sales and Calls of AFS Securities, net
|
|
$
|
22,515
|
|
|
$
|
36,369
|
|
|
$
|
13,917
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||
(In Thousands)
|
|
MSR Fair Value
|
|
Associated Principal
|
|
MSR Fair Value
|
|
Associated Principal
|
||||||||
Mortgage Servicing Rights
|
|
|
|
|
|
|
|
|
||||||||
Conforming Loans
|
|
$
|
58,523
|
|
|
$
|
4,989,720
|
|
|
$
|
133,838
|
|
|
$
|
12,560,533
|
|
Jumbo Loans
|
|
60,003
|
|
|
5,467,169
|
|
|
58,138
|
|
|
5,705,939
|
|
||||
Total Mortgage Servicing Rights
|
|
$
|
118,526
|
|
|
$
|
10,456,889
|
|
|
$
|
191,976
|
|
|
$
|
18,266,472
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Balance at beginning of period
|
|
$
|
191,976
|
|
|
$
|
139,293
|
|
|
$
|
64,824
|
|
Additions
|
|
25,362
|
|
|
95,281
|
|
|
95,550
|
|
|||
Sales
|
|
(62,440
|
)
|
|
(18,206
|
)
|
|
—
|
|
|||
Changes in fair value due to:
|
|
|
|
|
|
|
||||||
Changes in assumptions
(1)
|
|
(14,512
|
)
|
|
(5,453
|
)
|
|
(12,467
|
)
|
|||
Other changes
(2)
|
|
(21,860
|
)
|
|
(18,939
|
)
|
|
(8,614
|
)
|
|||
Balance at End of Period
|
|
$
|
118,526
|
|
|
$
|
191,976
|
|
|
$
|
139,293
|
|
(1)
|
Primarily reflects changes in prepayment assumptions due to changes in market interest rates.
|
(2)
|
Represents changes due to receipt of expected cash flows.
|
|
|
Years Ended December 31,
|
||||||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
||||||||||||
|
|
MSR Fair Value
|
|
Associated Principal
|
|
MSR Fair Value
|
|
Associated Principal
|
||||||||
Jumbo MSR additions:
|
|
|
|
|
|
|
|
|
||||||||
From securitization
|
|
$
|
6,451
|
|
|
$
|
939,861
|
|
|
$
|
8,202
|
|
|
$
|
882,860
|
|
From loan sales
|
|
177
|
|
|
26,844
|
|
|
352
|
|
|
33,022
|
|
||||
Total jumbo MSR additions
|
|
6,628
|
|
|
966,705
|
|
|
8,554
|
|
|
915,882
|
|
||||
Conforming MSR additions:
|
|
|
|
|
|
|
|
|
||||||||
From loan sales
|
|
3,380
|
|
|
316,290
|
|
|
55,954
|
|
|
5,251,537
|
|
||||
From purchases
|
|
15,354
|
|
|
1,643,577
|
|
|
30,773
|
|
|
2,952,345
|
|
||||
Total conforming MSR additions
|
|
18,734
|
|
|
1,959,867
|
|
|
86,727
|
|
|
8,203,882
|
|
||||
Total MSR Additions
|
|
$
|
25,362
|
|
|
$
|
2,926,572
|
|
|
$
|
95,281
|
|
|
$
|
9,119,764
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Servicing income
|
|
|
|
|
|
|
||||||
Income
|
|
$
|
41,152
|
|
|
$
|
38,964
|
|
|
$
|
19,362
|
|
Cost of sub-servicer
|
|
(6,281
|
)
|
|
(5,079
|
)
|
|
(1,834
|
)
|
|||
Net servicing income
|
|
34,871
|
|
|
33,885
|
|
|
17,528
|
|
|||
Market valuation changes of MSRs
|
|
(36,372
|
)
|
|
(24,392
|
)
|
|
(21,081
|
)
|
|||
Market valuation changes of associated derivatives
(1)
|
|
15,584
|
|
|
(12,708
|
)
|
|
—
|
|
|||
MSR reversal of (provision for) repurchases
|
|
270
|
|
|
(707
|
)
|
|
(708
|
)
|
|||
MSR Income (Loss), Net
|
|
$
|
14,353
|
|
|
$
|
(3,922
|
)
|
|
$
|
(4,261
|
)
|
(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.
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||
|
|
Fair
Value
|
|
Notional
Amount
|
|
Fair
Value
|
|
Notional
Amount
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Assets - Risk Management Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
19,859
|
|
|
$
|
1,009,000
|
|
|
$
|
2,590
|
|
|
$
|
658,000
|
|
TBAs
|
|
8,300
|
|
|
850,000
|
|
|
2,734
|
|
|
1,028,500
|
|
||||
Swaptions
|
|
5,121
|
|
|
345,000
|
|
|
5,191
|
|
|
925,000
|
|
||||
Credit default index swaps
|
|
—
|
|
|
—
|
|
|
1,207
|
|
|
25,000
|
|
||||
Assets - Other Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
3,315
|
|
|
352,981
|
|
|
4,671
|
|
|
764,161
|
|
||||
Total Assets
|
|
$
|
36,595
|
|
|
$
|
2,556,981
|
|
|
$
|
16,393
|
|
|
$
|
3,400,661
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities - Cash Flow Hedges
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
(44,822
|
)
|
|
$
|
139,500
|
|
|
$
|
(48,232
|
)
|
|
$
|
139,500
|
|
Liabilities - Risk Management Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
(12,097
|
)
|
|
1,101,500
|
|
|
(10,134
|
)
|
|
1,039,500
|
|
||||
TBAs
|
|
(4,681
|
)
|
|
510,000
|
|
|
(2,519
|
)
|
|
1,450,500
|
|
||||
Futures
|
|
(928
|
)
|
|
87,500
|
|
|
(445
|
)
|
|
78,000
|
|
||||
Liabilities - Other Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
(3,801
|
)
|
|
584,862
|
|
|
(1,464
|
)
|
|
375,815
|
|
||||
Total Liabilities
|
|
$
|
(66,329
|
)
|
|
$
|
2,423,362
|
|
|
$
|
(62,794
|
)
|
|
$
|
3,083,315
|
|
Total Derivative Financial Instruments, Net
|
|
$
|
(29,734
|
)
|
|
$
|
4,980,343
|
|
|
$
|
(46,401
|
)
|
|
$
|
6,483,976
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Net interest expense on cash flows hedges
|
|
$
|
(5,317
|
)
|
|
$
|
(5,883
|
)
|
|
$
|
(5,951
|
)
|
Realized net losses reclassified from other comprehensive income
|
|
(72
|
)
|
|
(95
|
)
|
|
(164
|
)
|
|||
Total Interest Expense
|
|
$
|
(5,389
|
)
|
|
$
|
(5,978
|
)
|
|
$
|
(6,115
|
)
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Margin receivable
|
|
$
|
68,038
|
|
|
$
|
83,191
|
|
FHLBC stock
|
|
43,393
|
|
|
34,437
|
|
||
Pledged collateral
|
|
42,875
|
|
|
53,600
|
|
||
REO
|
|
5,533
|
|
|
4,896
|
|
||
Guarantee asset
|
|
4,092
|
|
|
5,697
|
|
||
Fixed assets and leasehold improvements
(1)
|
|
2,750
|
|
|
4,117
|
|
||
Prepaid expenses
|
|
1,639
|
|
|
3,640
|
|
||
Investment receivable
|
|
1,068
|
|
|
3,870
|
|
||
Other
|
|
9,857
|
|
|
4,438
|
|
||
Total Other Assets
|
|
$
|
179,245
|
|
|
$
|
197,886
|
|
(1)
|
Fixed assets and leasehold improvements have a basis of
$5 million
and accumulated depreciation of
$3 million
at
December 31, 2016
.
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Guarantee obligations
|
|
$
|
21,668
|
|
|
$
|
22,704
|
|
Accrued compensation
|
|
18,830
|
|
|
17,527
|
|
||
Margin payable
|
|
12,783
|
|
|
6,415
|
|
||
Residential loan and MSR repurchase reserve
|
|
5,432
|
|
|
6,403
|
|
||
Accrued operating expenses
|
|
4,493
|
|
|
1,845
|
|
||
Restructuring liabilities
|
|
2,297
|
|
|
—
|
|
||
Legal reserve
|
|
2,000
|
|
|
2,000
|
|
||
Current accounts payable
|
|
1,151
|
|
|
4,764
|
|
||
Deferred tax liability
|
|
898
|
|
|
—
|
|
||
Other
|
|
2,876
|
|
|
8,239
|
|
||
Total Other Liabilities
|
|
$
|
72,428
|
|
|
$
|
69,897
|
|
|
|
Year Ended December 31, 2016
|
||||||||||
(In Thousands)
|
|
Termination Benefits
|
|
Contract Termination Costs
|
|
Total Restructuring Liabilities
|
||||||
Beginning balance
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Costs incurred and expensed
|
|
8,746
|
|
|
1,655
|
|
|
10,401
|
|
|||
Costs paid/settled
|
|
(3,019
|
)
|
|
(1,599
|
)
|
|
(4,618
|
)
|
|||
Other costs
(1)
|
|
(3,486
|
)
|
|
—
|
|
|
(3,486
|
)
|
|||
Ending Balance
|
|
$
|
2,241
|
|
|
$
|
56
|
|
|
$
|
2,297
|
|
(1)
|
Amount represents equity compensation expense recorded during the
year
ended
December 31, 2016
related to equity awards that were accelerated, and have been distributed or will be distributed in future periods.
|
|
|
December 31, 2016
|
||||||||||||||||
(Dollars in Thousands)
|
|
Number of Facilities
|
|
Outstanding Balance
|
|
Limit
|
|
Weighted Average Interest Rate
|
|
Maturity
|
|
Weighted Average Days Until Maturity
|
||||||
Residential loan warehouse
|
|
4
|
|
|
$
|
485,544
|
|
|
$
|
1,325,000
|
|
|
2.40
|
%
|
|
1/2017-12/2017
|
|
206
|
Real estate securities repo
|
|
7
|
|
|
305,995
|
|
|
—
|
|
|
1.91
|
%
|
|
1/2017-3/2017
|
|
24
|
||
Total
|
|
11
|
|
|
$
|
791,539
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2015
|
||||||||||||||||
(Dollars in Thousands)
|
|
Number of Facilities
|
|
Outstanding Balance
|
|
Limit
|
|
Weighted Average Interest Rate
|
|
Maturity
|
|
Weighted Average Days Until Maturity
|
||||||
Residential loan warehouse
|
|
4
|
|
|
$
|
950,022
|
|
|
$
|
1,400,000
|
|
|
1.90
|
%
|
|
2/2016-12/2016
|
|
182
|
FHLBC
(1)
|
|
1
|
|
|
137,622
|
|
|
—
|
|
|
0.21
|
%
|
|
7/2016-11/2016
|
|
204
|
||
Commercial loan warehouse
|
|
2
|
|
|
73,718
|
|
|
300,000
|
|
|
4.13
|
%
|
|
4/2016-10/2016
|
|
265
|
||
Real estate securities repo
|
|
9
|
|
|
693,641
|
|
|
—
|
|
|
1.47
|
%
|
|
1/2016-3/2016
|
|
24
|
||
Total
|
|
16
|
|
|
$
|
1,855,003
|
|
|
|
|
|
|
|
|
|
(1)
|
Amount represents the portion of our borrowings from the FHLBC that were due within 12 months at December 31, 2015. See
Note 14
for additional information on our FHLB-member subsidiary's borrowing agreement with the FHLBC.
|
|
|
December 31, 2016
|
||||||||||||||
(In Thousands)
|
|
Within 30 days
|
|
31 to 90 days
|
|
Over 90 days
|
|
Total
|
||||||||
Collateral Type
|
|
|
|
|
|
|
|
|
||||||||
Held-for sale residential loans
|
|
$
|
109,152
|
|
|
$
|
67,038
|
|
|
$
|
309,354
|
|
|
$
|
485,544
|
|
Real estate securities
|
|
235,945
|
|
|
70,050
|
|
|
—
|
|
|
305,995
|
|
||||
Total Short-Term Debt
|
|
$
|
345,097
|
|
|
$
|
137,088
|
|
|
$
|
309,354
|
|
|
$
|
791,539
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
(Dollars in Thousands)
|
|
Sequoia
|
|
Commercial Securitization
|
|
Total
|
|
Sequoia
|
|
Commercial Securitization
|
|
Total
|
||||||||||||
Certificates with principal balance
|
|
$
|
880,517
|
|
|
$
|
—
|
|
|
$
|
880,517
|
|
|
$
|
1,108,785
|
|
|
$
|
53,137
|
|
|
$
|
1,161,922
|
|
Interest-only certificates
|
|
3,774
|
|
|
—
|
|
|
3,774
|
|
|
4,672
|
|
|
—
|
|
|
4,672
|
|
||||||
Market valuation adjustments
|
|
(110,829
|
)
|
|
—
|
|
|
(110,829
|
)
|
|
(116,637
|
)
|
|
—
|
|
|
(116,637
|
)
|
||||||
Total ABS issued
|
|
773,462
|
|
|
—
|
|
|
773,462
|
|
|
996,820
|
|
|
53,137
|
|
|
1,049,957
|
|
||||||
Deferred debt issuance costs
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(542
|
)
|
|
(542
|
)
|
||||||
ABS Issued, Net
(1)
|
|
$
|
773,462
|
|
|
$
|
—
|
|
|
$
|
773,462
|
|
|
$
|
996,820
|
|
|
$
|
52,595
|
|
|
$
|
1,049,415
|
|
Range of weighted average interest rates, by series
|
|
0.15% to 1.95%
|
|
|
—
|
%
|
|
|
|
0.41% to 2.21%
|
|
|
5.62
|
%
|
|
|
||||||||
Stated maturities
|
|
2024 - 2036
|
|
|
N/A
|
|
|
|
|
2017 - 2037
|
|
|
2018
|
|
|
|
||||||||
Number of series
|
|
20
|
|
|
—
|
|
|
|
|
21
|
|
|
1
|
|
|
|
(1)
|
Upon adoption of ASU 2015-03 on January 1, 2016, we began to present ABS issued, net of deferred debt issuance costs. See
Note 3
for further discussion.
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Sequoia
|
|
$
|
518
|
|
|
$
|
555
|
|
Commercial Securitization
|
|
—
|
|
|
249
|
|
||
Total Accrued Interest Payable on ABS Issued
|
|
$
|
518
|
|
|
$
|
804
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
||||||||||||||||||||
(In Thousands)
|
|
Sequoia
|
|
Commercial Securitization
|
|
Total
|
|
Sequoia
|
|
Commercial Securitization
|
|
Total
|
||||||||||||
Residential loans
|
|
$
|
791,636
|
|
|
$
|
—
|
|
|
$
|
791,636
|
|
|
$
|
1,021,870
|
|
|
$
|
—
|
|
|
$
|
1,021,870
|
|
Commercial loans
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
166,016
|
|
|
166,016
|
|
||||||
Restricted cash
|
|
148
|
|
|
—
|
|
|
148
|
|
|
228
|
|
|
137
|
|
|
365
|
|
||||||
Accrued interest receivable
|
|
1,000
|
|
|
—
|
|
|
1,000
|
|
|
1,131
|
|
|
1,297
|
|
|
2,428
|
|
||||||
REO
|
|
5,533
|
|
|
—
|
|
|
5,533
|
|
|
4,895
|
|
|
—
|
|
|
4,895
|
|
||||||
Total Collateral for ABS Issued
|
|
$
|
798,317
|
|
|
$
|
—
|
|
|
$
|
798,317
|
|
|
$
|
1,028,124
|
|
|
$
|
167,450
|
|
|
$
|
1,195,574
|
|
(In Thousands)
|
|
December 31, 2016
|
||
2024
|
|
$
|
470,171
|
|
2025
|
|
887,639
|
|
|
2026
|
|
642,189
|
|
|
Total FHLBC Borrowings
|
|
$
|
1,999,999
|
|
(In Thousands)
|
|
December 31, 2016
|
||
2017
|
|
$
|
2,301
|
|
2018
|
|
1,268
|
|
|
2019
|
|
642
|
|
|
2020
|
|
581
|
|
|
2021
|
|
48
|
|
|
2022 and thereafter
|
|
—
|
|
|
Total Lease Commitments
|
|
$
|
4,840
|
|
|
|
Years Ended December 31,
|
||||||||||||||
|
|
2016
|
|
2015
|
||||||||||||
(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
|
|
$
|
139,356
|
|
|
$
|
(47,363
|
)
|
|
$
|
186,737
|
|
|
$
|
(46,049
|
)
|
Other comprehensive income (loss)
before reclassifications (1) |
|
(2,316
|
)
|
|
3,271
|
|
|
(17,955
|
)
|
|
(1,409
|
)
|
||||
Amounts reclassified from other
accumulated comprehensive income |
|
(21,167
|
)
|
|
72
|
|
|
(29,426
|
)
|
|
95
|
|
||||
Net current-period other comprehensive income (loss)
|
|
(23,483
|
)
|
|
3,343
|
|
|
(47,381
|
)
|
|
(1,314
|
)
|
||||
Balance at End of Period
|
|
$
|
115,873
|
|
|
$
|
(44,020
|
)
|
|
$
|
139,356
|
|
|
$
|
(47,363
|
)
|
(1)
|
Amounts presented for unrealized gains (losses) on available-for-sale securities are net of tax benefit (provision) of
$1 million
and
$(0.4) million
for the years ended
December 31, 2016
and
2015
, respectively.
|
|
|
|
|
Amount Reclassified From Accumulated Other Comprehensive Income
|
||||||
|
|
Affected Line Item in the
|
|
Years Ended December 31,
|
||||||
(In Thousands)
|
|
Income Statement
|
|
2016
|
|
2015
|
||||
Net Realized (Gain) Loss on AFS Securities
|
|
|
|
|
|
|
||||
Other than temporary impairment
(1)
|
|
Investment fair value changes, net
|
|
$
|
368
|
|
|
$
|
246
|
|
Gain on sale of AFS securities
|
|
Realized gains, net
|
|
(21,535
|
)
|
|
(29,672
|
)
|
||
|
|
|
|
$
|
(21,167
|
)
|
|
$
|
(29,426
|
)
|
Net Realized Loss on Interest Rate
Agreements Designated as Cash Flow Hedges |
|
|
|
|
|
|
||||
Amortization of deferred loss
|
|
Interest expense
|
|
$
|
72
|
|
|
$
|
95
|
|
|
|
|
|
$
|
72
|
|
|
$
|
95
|
|
(1)
|
For the year ended
December 31, 2016
, other-than-temporary impairments were
$3 million
, of which
$0.4 million
were recognized through the consolidated statements of income and
$3 million
were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. For the year ended
December 31, 2015
, other-than-temporary impairments were
$0.4 million
, of which
$0.2 million
were recognized through our consolidated statements of income, and
$0.2 million
were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet.
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands, except Share Data)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Basic Earnings per Common Share:
|
|
|
|
|
|
|
||||||
Net income attributable to Redwood
|
|
$
|
131,252
|
|
|
$
|
102,088
|
|
|
$
|
100,569
|
|
Less: Dividends and undistributed earnings allocated to participating securities
|
|
(3,742
|
)
|
|
(2,806
|
)
|
|
(2,612
|
)
|
|||
Net income allocated to common shareholders
|
|
$
|
127,510
|
|
|
$
|
99,282
|
|
|
$
|
97,957
|
|
Basic weighted average common shares outstanding
|
|
76,747,047
|
|
|
82,945,103
|
|
|
82,837,369
|
|
|||
Basic Earnings per Common Share
|
|
$
|
1.66
|
|
|
$
|
1.20
|
|
|
$
|
1.18
|
|
Diluted Earnings per Common Share:
|
|
|
|
|
|
|
||||||
Net income attributable to Redwood
|
|
$
|
131,252
|
|
|
$
|
102,088
|
|
|
$
|
100,569
|
|
Less: Dividends and undistributed earnings allocated to participating securities
|
|
(4,035
|
)
|
|
(2,677
|
)
|
|
(2,524
|
)
|
|||
Add back: Interest expense on convertible notes for the period, net of tax
|
|
23,862
|
|
|
—
|
|
|
—
|
|
|||
Net income allocated to common shareholders
|
|
$
|
151,079
|
|
|
$
|
99,411
|
|
|
$
|
98,045
|
|
Weighted average common shares outstanding
|
|
76,747,047
|
|
|
82,945,103
|
|
|
82,837,369
|
|
|||
Net effect of dilutive equity awards
|
|
28,435
|
|
|
1,573,292
|
|
|
2,261,210
|
|
|||
Net effect of assumed convertible notes conversion to common shares
|
|
21,133,608
|
|
|
—
|
|
|
—
|
|
|||
Diluted weighted average common shares outstanding
|
|
97,909,090
|
|
|
84,518,395
|
|
|
85,098,579
|
|
|||
Diluted Earnings per Common Share
|
|
$
|
1.54
|
|
|
$
|
1.18
|
|
|
$
|
1.15
|
|
|
|
Year Ended December 31, 2016
|
||||||||||||||||||
(In Thousands)
|
|
Restricted Stock
|
|
Deferred Stock Units
|
|
Performance Stock Units
|
|
Employee Stock Purchase Plan
|
|
Total
|
||||||||||
Unrecognized compensation cost at beginning of period
|
|
$
|
2,393
|
|
|
$
|
14,392
|
|
|
$
|
6,823
|
|
|
$
|
—
|
|
|
$
|
23,608
|
|
Equity grants
|
|
1,754
|
|
|
7,416
|
|
|
2,576
|
|
|
124
|
|
|
11,870
|
|
|||||
Equity grant forfeitures
|
|
(1,380
|
)
|
|
(1,167
|
)
|
|
(2,209
|
)
|
|
—
|
|
|
(4,756
|
)
|
|||||
Equity compensation expense
|
|
(676
|
)
|
|
(9,135
|
)
|
|
(2,641
|
)
|
|
(124
|
)
|
|
(12,576
|
)
|
|||||
Unrecognized Compensation Cost at End of Period
|
|
$
|
2,091
|
|
|
$
|
11,506
|
|
|
$
|
4,549
|
|
|
$
|
—
|
|
|
$
|
18,146
|
|
|
Years Ended December 31,
|
|||||||||||||||||||
|
2016
|
|
2015
|
|
2014
|
|||||||||||||||
|
Shares
|
|
Weighted
Average Grant Date Fair Market Value |
|
Shares
|
|
Weighted
Average Grant Date Fair Market Value |
|
Shares
|
|
Weighted
Average Grant Date Fair Market Value |
|||||||||
Outstanding at beginning of period
|
187,180
|
|
|
$
|
18.22
|
|
|
109,464
|
|
|
$
|
15.97
|
|
|
166,941
|
|
|
$
|
15.01
|
|
Granted
|
144,056
|
|
|
11.89
|
|
|
141,069
|
|
|
19.03
|
|
|
2,574
|
|
|
19.42
|
|
|||
Vested
|
(50,107
|
)
|
|
17.28
|
|
|
(42,675
|
)
|
|
14.87
|
|
|
(44,209
|
)
|
|
13.44
|
|
|||
Forfeited
|
(76,614
|
)
|
|
18.01
|
|
|
(20,678
|
)
|
|
18.74
|
|
|
(15,842
|
)
|
|
13.45
|
|
|||
Outstanding at End of Period
|
204,515
|
|
|
$
|
14.27
|
|
|
187,180
|
|
|
$
|
18.22
|
|
|
109,464
|
|
|
$
|
15.97
|
|
|
Years Ended December 31,
|
|||||||||||||||||||
|
2016
|
|
2015
|
|
2014
|
|||||||||||||||
|
Units
|
|
Weighted
Average Grant Date Fair Market Value |
|
Units
|
|
Weighted
Average Grant Date Fair Market Value |
|
Units
|
|
Weighted
Average Grant Date Fair Market Value |
|||||||||
Outstanding at beginning of period
|
2,407,154
|
|
|
$
|
16.45
|
|
|
2,168,824
|
|
|
$
|
16.20
|
|
|
2,266,473
|
|
|
$
|
15.41
|
|
Granted
|
565,061
|
|
|
13.33
|
|
|
583,958
|
|
|
16.11
|
|
|
350,769
|
|
|
19.62
|
|
|||
Distributions
|
(1,060,459
|
)
|
|
14.64
|
|
|
(335,461
|
)
|
|
14.20
|
|
|
(440,548
|
)
|
|
14.82
|
|
|||
Forfeitures
|
(62,894
|
)
|
|
18.66
|
|
|
(10,167
|
)
|
|
16.60
|
|
|
(7,870
|
)
|
|
19.06
|
|
|||
Balance at End of Period
|
1,848,862
|
|
|
$
|
16.46
|
|
|
2,407,154
|
|
|
$
|
16.45
|
|
|
2,168,824
|
|
|
$
|
16.20
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Balance at beginning of period
|
|
$
|
18
|
|
|
$
|
3
|
|
|
$
|
3
|
|
Employee purchases
|
|
290
|
|
|
475
|
|
|
494
|
|
|||
Cost of common stock issued
|
|
(305
|
)
|
|
(460
|
)
|
|
(494
|
)
|
|||
Balance at End of Period
|
|
$
|
3
|
|
|
$
|
18
|
|
|
$
|
3
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Balance at beginning of period
|
|
$
|
2,095
|
|
|
$
|
2,049
|
|
|
$
|
1,882
|
|
New deferrals
|
|
558
|
|
|
600
|
|
|
575
|
|
|||
Accrued interest
|
|
53
|
|
|
61
|
|
|
70
|
|
|||
Withdrawals
|
|
(618
|
)
|
|
(615
|
)
|
|
(478
|
)
|
|||
Balance at End of Period
|
|
$
|
2,088
|
|
|
$
|
2,095
|
|
|
$
|
2,049
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Residential Mortgage Banking Activities, Net:
|
|
|
|
|
|
|
||||||
Changes in fair value of:
|
|
|
|
|
|
|
||||||
Residential loans, at fair value
(1)
|
|
$
|
31,399
|
|
|
$
|
53,946
|
|
|
$
|
65,202
|
|
Sequoia securities
|
|
1,455
|
|
|
(15,261
|
)
|
|
(23,839
|
)
|
|||
Risk management derivatives
(2)
|
|
5,696
|
|
|
(34,457
|
)
|
|
(23,277
|
)
|
|||
Other income (expense), net
(3)
|
|
2,203
|
|
|
4,040
|
|
|
3,468
|
|
|||
Total residential mortgage banking activities, net:
|
|
40,753
|
|
|
8,268
|
|
|
21,554
|
|
|||
|
|
|
|
|
|
|
||||||
Commercial Mortgage Banking Activities, Net:
|
|
|
|
|
|
|
||||||
Changes in fair value of:
|
|
|
|
|
|
|
||||||
Commercial loans, at fair value
|
|
433
|
|
|
10,265
|
|
|
20,789
|
|
|||
Risk management derivatives
(2)
|
|
(2,538
|
)
|
|
(8,011
|
)
|
|
(7,890
|
)
|
|||
Other fee income
|
|
43
|
|
|
450
|
|
|
541
|
|
|||
Total commercial mortgage banking activities, net:
|
|
(2,062
|
)
|
|
2,704
|
|
|
13,440
|
|
|||
Mortgage Banking Activities, Net
|
|
$
|
38,691
|
|
|
$
|
10,972
|
|
|
$
|
34,994
|
|
(1)
|
Includes changes in fair value for associated loan purchase and forward sale commitments.
|
(2)
|
Represents market valuation changes of derivatives that were used to manage risks associated with our accumulation of residential and commercial loans.
|
(3)
|
Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net.
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Investment Fair Value Changes, Net
|
|
|
|
|
|
|
||||||
Changes in fair value of:
|
|
|
|
|
|
|
||||||
Residential loans held-for-investment, at Redwood
|
|
$
|
(23,102
|
)
|
|
$
|
(6,337
|
)
|
|
$
|
(697
|
)
|
Trading securities
|
|
9,666
|
|
|
(2,019
|
)
|
|
(358
|
)
|
|||
Net investments in consolidated Sequoia entities
|
|
(4,200
|
)
|
|
(1,192
|
)
|
|
(894
|
)
|
|||
Risk sharing investments
|
|
(1,151
|
)
|
|
(1,886
|
)
|
|
104
|
|
|||
Risk management derivatives
|
|
(9,112
|
)
|
|
(9,677
|
)
|
|
(7,792
|
)
|
|||
Valuation adjustments on commercial loans held-for-sale
|
|
(307
|
)
|
|
—
|
|
|
—
|
|
|||
Impairments on AFS securities
|
|
(368
|
)
|
|
(246
|
)
|
|
(565
|
)
|
|||
Investment Fair Value Changes, Net
|
|
$
|
(28,574
|
)
|
|
$
|
(21,357
|
)
|
|
$
|
(10,202
|
)
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Fixed compensation expense
|
|
$
|
24,332
|
|
|
$
|
35,093
|
|
|
$
|
29,057
|
|
Variable compensation expense
|
|
16,581
|
|
|
12,606
|
|
|
14,863
|
|
|||
Equity compensation expense
|
|
9,093
|
|
|
11,921
|
|
|
9,750
|
|
|||
Total compensation expense
|
|
50,006
|
|
|
59,620
|
|
|
53,670
|
|
|||
Systems and consulting
|
|
9,037
|
|
|
10,212
|
|
|
11,654
|
|
|||
Loan acquisition costs
(1)
|
|
5,744
|
|
|
10,326
|
|
|
8,207
|
|
|||
Office costs
|
|
4,550
|
|
|
5,270
|
|
|
5,011
|
|
|||
Accounting and legal
|
|
3,658
|
|
|
4,837
|
|
|
5,244
|
|
|||
Corporate costs
|
|
2,106
|
|
|
2,049
|
|
|
2,237
|
|
|||
Other operating expenses
|
|
3,284
|
|
|
5,102
|
|
|
4,100
|
|
|||
Operating expenses before restructuring charges
|
|
78,385
|
|
|
97,416
|
|
|
90,123
|
|
|||
Restructuring charges
(2)
|
|
10,401
|
|
|
—
|
|
|
—
|
|
|||
Total Operating Expenses
|
|
$
|
88,786
|
|
|
$
|
97,416
|
|
|
$
|
90,123
|
|
(1)
|
Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value.
|
(2)
|
For the
year
ended
December 31, 2016
, restructuring charges included
$5 million
of fixed compensation expense and
$3 million
of equity compensation expense related to one-time termination benefits, as well as
$2 million
of other contract termination costs, associated with the restructuring of our conforming and commercial mortgage banking operations and related charges associated with the departure of Redwood's President announced in the first quarter of 2016. See
Note 11
for further discussion on restructuring charges.
|
(In Thousands)
|
|
December 31, 2016
|
|
December 31, 2015
|
||||
Deferred Tax Assets
|
|
|
|
|
||||
Net operating loss carryforward – state
|
|
$
|
89,350
|
|
|
$
|
95,972
|
|
Net capital loss carryforward – state
|
|
15,346
|
|
|
22,603
|
|
||
Net operating loss carryforward – federal
|
|
9,537
|
|
|
32,929
|
|
||
Net capital loss carryforward – federal
|
|
2,283
|
|
|
7,971
|
|
||
Real estate assets
|
|
5,601
|
|
|
5,144
|
|
||
Interest rate agreements
|
|
—
|
|
|
1,472
|
|
||
Allowances and accruals
|
|
3,059
|
|
|
3,458
|
|
||
Other
|
|
2,192
|
|
|
513
|
|
||
Total Deferred Tax Assets
|
|
127,368
|
|
|
170,062
|
|
||
Deferred Tax Liabilities
|
|
|
|
|
||||
Mortgage Servicing Rights
|
|
(22,531
|
)
|
|
(50,630
|
)
|
||
Interest rate agreements
|
|
(2,167
|
)
|
|
—
|
|
||
Tax effect of unrealized gains – OCI
|
|
(1,636
|
)
|
|
(2,638
|
)
|
||
Total Deferred Tax Liabilities
|
|
(26,334
|
)
|
|
(53,268
|
)
|
||
Valuation allowance
|
|
(101,932
|
)
|
|
(116,794
|
)
|
||
Total Deferred Tax Asset (Liability), net of Valuation Allowance
|
|
$
|
(898
|
)
|
|
$
|
—
|
|
|
|
Years Ended December 31,
|
||||||||||
(In Thousands)
|
|
2016
|
|
2015
|
|
2014
|
||||||
Current Provision for Income Taxes
|
|
|
|
|
|
|
||||||
Federal
|
|
$
|
1,477
|
|
|
$
|
144
|
|
|
$
|
24
|
|
State
|
|
331
|
|
|
167
|
|
|
17
|
|
|||
Total Current Provision for Income Taxes
|
|
1,808
|
|
|
311
|
|
|
41
|
|
|||
Deferred Provision for Income Taxes
|
|
|
|
|
|
|
||||||
Federal
|
|
1,910
|
|
|
(10,198
|
)
|
|
703
|
|
|||
State
|
|
(10
|
)
|
|
(459
|
)
|
|
—
|
|
|||
Total Deferred Provision for (Benefit from) Income Taxes
|
|
1,900
|
|
|
(10,657
|
)
|
|
703
|
|
|||
Total Provision for Income Taxes
|
|
$
|
3,708
|
|
|
$
|
(10,346
|
)
|
|
$
|
744
|
|
|
|
December 31, 2016
|
|
December 31, 2015
|
|
December 31, 2014
|
|||
Federal statutory rate
|
|
34.0
|
%
|
|
34.0
|
%
|
|
34.0
|
%
|
State statutory rate, net of Federal tax effect
|
|
7.2
|
%
|
|
7.2
|
%
|
|
7.2
|
%
|
Differences in taxable (loss) income from GAAP income
|
|
(1.0
|
)%
|
|
(20.3
|
)%
|
|
(14.5
|
)%
|
Change in valuation allowance
|
|
(11.2
|
)%
|
|
6.1
|
%
|
|
(0.1
|
)%
|
Dividends paid deduction
|
|
(26.3
|
)%
|
|
(38.3
|
)%
|
|
(25.9
|
)%
|
Effective Tax Rate
|
|
2.7
|
%
|
|
(11.3
|
)%
|
|
0.7
|
%
|
|
|
Year Ended December 31, 2016
|
||||||||||||||||||
(In Thousands)
|
|
Residential Mortgage Banking
|
|
Residential Investments
|
|
Commercial
|
|
Corporate/
Other
|
|
Total
|
||||||||||
Interest income
|
|
$
|
33,661
|
|
|
$
|
160,174
|
|
|
$
|
32,780
|
|
|
$
|
19,740
|
|
|
$
|
246,355
|
|
Interest expense
|
|
(14,191
|
)
|
|
(18,394
|
)
|
|
(5,001
|
)
|
|
(50,942
|
)
|
|
(88,528
|
)
|
|||||
Net interest income (loss)
|
|
19,470
|
|
|
141,780
|
|
|
27,779
|
|
|
(31,202
|
)
|
|
157,827
|
|
|||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
7,102
|
|
|
—
|
|
|
7,102
|
|
|||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking activities, net
|
|
40,753
|
|
|
—
|
|
|
(2,062
|
)
|
|
—
|
|
|
38,691
|
|
|||||
MSR income (loss), net
|
|
—
|
|
|
14,353
|
|
|
—
|
|
|
—
|
|
|
14,353
|
|
|||||
Investment fair value changes, net
|
|
—
|
|
|
(26,945
|
)
|
|
2,578
|
|
|
(4,207
|
)
|
|
(28,574
|
)
|
|||||
Other income
|
|
—
|
|
|
6,070
|
|
|
268
|
|
|
—
|
|
|
6,338
|
|
|||||
Realized gains, net
|
|
—
|
|
|
22,516
|
|
|
5,201
|
|
|
292
|
|
|
28,009
|
|
|||||
Total non-interest income, net
|
|
40,753
|
|
|
15,994
|
|
|
5,985
|
|
|
(3,915
|
)
|
|
58,817
|
|
|||||
Direct operating expenses
(1)
|
|
(23,252
|
)
|
|
(9,042
|
)
|
|
(2,731
|
)
|
|
(53,761
|
)
|
|
(88,786
|
)
|
|||||
Provision for income taxes
|
|
(1,860
|
)
|
|
(1,848
|
)
|
|
—
|
|
|
—
|
|
|
(3,708
|
)
|
|||||
Segment Contribution
|
|
$
|
35,111
|
|
|
$
|
146,884
|
|
|
$
|
38,135
|
|
|
$
|
(88,878
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
|
|
$
|
131,252
|
|
||||||||
Non-cash amortization income (expense)
|
|
$
|
(130
|
)
|
|
$
|
29,830
|
|
|
$
|
(24
|
)
|
|
$
|
(3,972
|
)
|
|
$
|
25,704
|
|
|
|
Year Ended December 31, 2015
|
||||||||||||||||||
(In Thousands)
|
|
Residential Mortgage Banking
|
|
Residential Investments
|
|
Commercial
|
|
Corporate/
Other |
|
Total
|
||||||||||
Interest income
|
|
$
|
52,260
|
|
|
$
|
135,395
|
|
|
$
|
46,933
|
|
|
$
|
24,844
|
|
|
$
|
259,432
|
|
Interest expense
|
|
(17,207
|
)
|
|
(11,204
|
)
|
|
(13,809
|
)
|
|
(53,663
|
)
|
|
(95,883
|
)
|
|||||
Net interest income (loss)
|
|
35,053
|
|
|
124,191
|
|
|
33,124
|
|
|
(28,819
|
)
|
|
163,549
|
|
|||||
Reversal of provision for loan losses
|
|
—
|
|
|
—
|
|
|
355
|
|
|
—
|
|
|
355
|
|
|||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking activities, net
|
|
8,268
|
|
|
—
|
|
|
2,704
|
|
|
—
|
|
|
10,972
|
|
|||||
MSR income (loss), net
|
|
—
|
|
|
(3,922
|
)
|
|
—
|
|
|
—
|
|
|
(3,922
|
)
|
|||||
Investment fair value changes, net
|
|
—
|
|
|
(20,089
|
)
|
|
—
|
|
|
(1,268
|
)
|
|
(21,357
|
)
|
|||||
Other income
|
|
—
|
|
|
3,192
|
|
|
—
|
|
|
—
|
|
|
3,192
|
|
|||||
Realized gains, net
|
|
—
|
|
|
36,369
|
|
|
—
|
|
|
—
|
|
|
36,369
|
|
|||||
Total non-interest income, net
|
|
8,268
|
|
|
15,550
|
|
|
2,704
|
|
|
(1,268
|
)
|
|
25,254
|
|
|||||
Direct operating expenses
|
|
(43,182
|
)
|
|
(4,346
|
)
|
|
(11,331
|
)
|
|
(38,557
|
)
|
|
(97,416
|
)
|
|||||
Benefit from income taxes
|
|
4,169
|
|
|
847
|
|
|
1,452
|
|
|
3,878
|
|
|
10,346
|
|
|||||
Segment Contribution
|
|
$
|
4,308
|
|
|
$
|
136,242
|
|
|
$
|
26,304
|
|
|
$
|
(64,766
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
|
|
$
|
102,088
|
|
||||||||
Non-cash amortization income (expense)
|
|
$
|
(186
|
)
|
|
$
|
36,850
|
|
|
$
|
(267
|
)
|
|
$
|
(3,994
|
)
|
|
$
|
32,403
|
|
Hedging allocations
|
|
1,120
|
|
|
(1,070
|
)
|
|
—
|
|
|
(50
|
)
|
|
—
|
|
|
|
Year Ended December 31, 2014
|
||||||||||||||||||
(In Thousands)
|
|
Residential Mortgage Banking
|
|
Residential Investments
|
|
Commercial
|
|
Corporate/
Other |
|
Total
|
||||||||||
Interest income
|
|
$
|
58,272
|
|
|
$
|
110,433
|
|
|
$
|
47,567
|
|
|
$
|
25,798
|
|
|
$
|
242,070
|
|
Interest expense
|
|
(12,776
|
)
|
|
(11,848
|
)
|
|
(15,836
|
)
|
|
(47,003
|
)
|
|
(87,463
|
)
|
|||||
Net interest income (loss)
|
|
45,496
|
|
|
98,585
|
|
|
31,731
|
|
|
(21,205
|
)
|
|
154,607
|
|
|||||
Provision for loan losses
|
|
—
|
|
|
—
|
|
|
(84
|
)
|
|
(877
|
)
|
|
(961
|
)
|
|||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking activities, net
|
|
21,554
|
|
|
—
|
|
|
13,440
|
|
|
—
|
|
|
34,994
|
|
|||||
MSR income (loss), net
|
|
—
|
|
|
(4,261
|
)
|
|
—
|
|
|
—
|
|
|
(4,261
|
)
|
|||||
Investment fair value changes, net
|
|
—
|
|
|
(9,178
|
)
|
|
—
|
|
|
(1,024
|
)
|
|
(10,202
|
)
|
|||||
Other income
|
|
—
|
|
|
181
|
|
|
—
|
|
|
1,600
|
|
|
1,781
|
|
|||||
Realized gains, net
|
|
—
|
|
|
13,777
|
|
|
—
|
|
|
1,701
|
|
|
15,478
|
|
|||||
Total non-interest income, net
|
|
21,554
|
|
|
519
|
|
|
13,440
|
|
|
2,277
|
|
|
37,790
|
|
|||||
Direct operating expenses
|
|
(37,664
|
)
|
|
(3,681
|
)
|
|
(11,324
|
)
|
|
(37,454
|
)
|
|
(90,123
|
)
|
|||||
(Provision for) benefit from income taxes
|
|
(1,774
|
)
|
|
1,340
|
|
|
(234
|
)
|
|
(76
|
)
|
|
(744
|
)
|
|||||
Segment Contribution
|
|
$
|
27,612
|
|
|
$
|
96,763
|
|
|
$
|
33,529
|
|
|
$
|
(57,335
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
|
|
$
|
100,569
|
|
||||||||
Non-cash amortization income (expense)
|
|
$
|
(181
|
)
|
|
$
|
42,784
|
|
|
$
|
(673
|
)
|
|
$
|
(8,232
|
)
|
|
$
|
33,698
|
|
(1)
|
For the
year
ended
December 31, 2016
, charges associated with the restructuring of our conforming residential mortgage loan operations and commercial operations, included in the direct operating expense line item, are presented under the Corporate/Other column. See
Note 11
for further discussion of these restructuring charges.
|
|
|
Years Ended December 31,
|
||||||||||||||||||||||||||||||||||
|
|
2016
|
|
2015
|
|
2014
|
||||||||||||||||||||||||||||||
(In Thousands)
|
|
Legacy Consolidated VIEs
(1)
|
|
Other
|
|
Total
|
|
Legacy Consolidated VIEs
(1)
|
|
Other
|
|
Total
|
|
Legacy Consolidated VIEs
(1)
|
|
Other
|
|
Total
|
||||||||||||||||||
Interest income
|
|
$
|
19,537
|
|
|
$
|
203
|
|
|
$
|
19,740
|
|
|
$
|
24,814
|
|
|
$
|
30
|
|
|
$
|
24,844
|
|
|
$
|
25,786
|
|
|
$
|
12
|
|
|
$
|
25,798
|
|
Interest expense
|
|
(13,103
|
)
|
|
(37,839
|
)
|
|
(50,942
|
)
|
|
(15,646
|
)
|
|
(38,017
|
)
|
|
(53,663
|
)
|
|
(20,844
|
)
|
|
(26,159
|
)
|
|
(47,003
|
)
|
|||||||||
Net interest income (loss)
|
|
6,434
|
|
|
(37,636
|
)
|
|
(31,202
|
)
|
|
9,168
|
|
|
(37,987
|
)
|
|
(28,819
|
)
|
|
4,942
|
|
|
(26,147
|
)
|
|
(21,205
|
)
|
|||||||||
Provision for loan losses
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(877
|
)
|
|
—
|
|
|
(877
|
)
|
|||||||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
Investment fair value changes, net
|
|
(4,200
|
)
|
|
(7
|
)
|
|
(4,207
|
)
|
|
(1,192
|
)
|
|
(76
|
)
|
|
(1,268
|
)
|
|
(894
|
)
|
|
(130
|
)
|
|
(1,024
|
)
|
|||||||||
Other income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,600
|
|
|
1,600
|
|
|||||||||
Realized gains, net
|
|
—
|
|
|
292
|
|
|
292
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,701
|
|
|
—
|
|
|
1,701
|
|
|||||||||
Total non-interest income (loss), net
|
|
(4,200
|
)
|
|
285
|
|
|
(3,915
|
)
|
|
(1,192
|
)
|
|
(76
|
)
|
|
(1,268
|
)
|
|
807
|
|
|
1,470
|
|
|
2,277
|
|
|||||||||
Direct operating expenses
|
|
—
|
|
|
(53,761
|
)
|
|
(53,761
|
)
|
|
—
|
|
|
(38,557
|
)
|
|
(38,557
|
)
|
|
(165
|
)
|
|
(37,289
|
)
|
|
(37,454
|
)
|
|||||||||
(Provision for) benefit from income taxes
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,878
|
|
|
3,878
|
|
|
—
|
|
|
(76
|
)
|
|
(76
|
)
|
|||||||||
Total
|
|
$
|
2,234
|
|
|
$
|
(91,112
|
)
|
|
$
|
(88,878
|
)
|
|
$
|
7,976
|
|
|
$
|
(72,742
|
)
|
|
$
|
(64,766
|
)
|
|
$
|
4,707
|
|
|
$
|
(62,042
|
)
|
|
$
|
(57,335
|
)
|
(1)
|
Legacy consolidated VIEs represent legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See
Note 4
for further discussion on VIEs.
|
(In Thousands)
|
|
Residential Mortgage Banking
|
|
Residential Investments
|
|
Commercial
|
|
Corporate/
Other
|
|
Total
|
||||||||||
December 31, 2016
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans
|
|
$
|
835,399
|
|
|
$
|
2,261,016
|
|
|
$
|
—
|
|
|
$
|
791,636
|
|
|
$
|
3,888,051
|
|
Commercial loans
|
|
—
|
|
|
—
|
|
|
2,700
|
|
|
—
|
|
|
2,700
|
|
|||||
Real estate securities
|
|
—
|
|
|
926,669
|
|
|
91,770
|
|
|
—
|
|
|
1,018,439
|
|
|||||
Mortgage servicing rights
|
|
—
|
|
|
118,526
|
|
|
—
|
|
|
—
|
|
|
118,526
|
|
|||||
Total assets
|
|
866,356
|
|
|
3,518,518
|
|
|
97,017
|
|
|
1,001,586
|
|
|
5,483,477
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
December 31, 2015
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans
|
|
$
|
1,115,738
|
|
|
$
|
1,791,195
|
|
|
$
|
—
|
|
|
$
|
1,021,870
|
|
|
$
|
3,928,803
|
|
Commercial loans
|
|
—
|
|
|
—
|
|
|
402,647
|
|
|
—
|
|
|
402,647
|
|
|||||
Real estate securities
|
|
197,007
|
|
|
1,028,171
|
|
|
8,078
|
|
|
—
|
|
|
1,233,256
|
|
|||||
Mortgage servicing rights
|
|
—
|
|
|
191,976
|
|
|
—
|
|
|
—
|
|
|
191,976
|
|
|||||
Total assets
|
|
1,347,492
|
|
|
3,140,604
|
|
|
415,716
|
|
|
1,316,235
|
|
|
6,220,047
|
|
|
Three Months Ended
|
||||||||||||||
(In Thousands, except Share Data)
|
December 31,
|
|
September 30,
|
|
June 30,
|
|
March 31,
|
||||||||
2016
|
|
|
|
|
|
|
|
||||||||
Operating results:
|
|
|
|
|
|
|
|
||||||||
Interest income
(1)
|
$
|
56,334
|
|
|
$
|
60,906
|
|
|
$
|
66,787
|
|
|
$
|
62,328
|
|
Interest expense
|
(20,537
|
)
|
|
(21,597
|
)
|
|
(22,444
|
)
|
|
(23,950
|
)
|
||||
Net interest income
|
35,797
|
|
|
39,309
|
|
|
44,343
|
|
|
38,378
|
|
||||
Reversal of (provision for) loan losses
(2)
|
—
|
|
|
859
|
|
|
6,532
|
|
|
(289
|
)
|
||||
Non-interest income
(3)
|
9,763
|
|
|
33,712
|
|
|
10,888
|
|
|
4,454
|
|
||||
Operating expenses
(4)
|
(17,824
|
)
|
|
(20,355
|
)
|
|
(20,155
|
)
|
|
(30,452
|
)
|
||||
Net income
|
25,355
|
|
|
52,553
|
|
|
41,281
|
|
|
12,063
|
|
||||
Per share data:
|
|
|
|
|
|
|
|
||||||||
Net income – basic
|
$
|
0.32
|
|
|
$
|
0.67
|
|
|
$
|
0.52
|
|
|
$
|
0.15
|
|
Net income – diluted
|
0.31
|
|
|
0.58
|
|
|
0.48
|
|
|
0.15
|
|
||||
Regular dividends declared per common share
|
0.28
|
|
|
0.28
|
|
|
0.28
|
|
|
0.28
|
|
||||
2015
|
|
|
|
|
|
|
|
||||||||
Operating results:
|
|
|
|
|
|
|
|
||||||||
Interest income
(5)
|
$
|
68,829
|
|
|
$
|
63,484
|
|
|
$
|
63,373
|
|
|
$
|
63,746
|
|
Interest expense
|
(25,039
|
)
|
|
(23,875
|
)
|
|
(23,008
|
)
|
|
(23,961
|
)
|
||||
Net interest income
|
43,790
|
|
|
39,609
|
|
|
40,365
|
|
|
39,785
|
|
||||
Non-interest income
|
19,593
|
|
|
(3,412
|
)
|
|
14,104
|
|
|
(5,031
|
)
|
||||
Operating expenses
|
(22,638
|
)
|
|
(24,497
|
)
|
|
(25,218
|
)
|
|
(25,063
|
)
|
||||
Net income
|
41,059
|
|
|
19,164
|
|
|
27,064
|
|
|
14,801
|
|
||||
Per share data:
|
|
|
|
|
|
|
|
||||||||
Net income – basic
|
$
|
0.49
|
|
|
$
|
0.22
|
|
|
$
|
0.31
|
|
|
$
|
0.17
|
|
Net income – diluted
|
0.46
|
|
|
0.22
|
|
|
0.31
|
|
|
0.16
|
|
||||
Regular dividends declared per common share
|
0.28
|
|
|
0.28
|
|
|
0.28
|
|
|
0.28
|
|
(1)
|
Interest income for the three-month periods ended December 31, 2016, September 30, 2016, and June 30, 2016, included
$1 million
,
$1 million
, and
$5 million
, respectively, of yield maintenance fees from commercial loans that prepaid during the quarters.
|
(2)
|
During the second quarter of 2016, we recorded a reversal of provision for loan losses of
$7 million
as a result of the transfer of most of our commercial mezzanine loans from held-for-investment to held-for sale.
|
(3)
|
Non-interest income for the three-month periods ended December 31, 2016 and September 30, 2016 included
$1 million
and
$5 million
, respectively, of realized gains from the sale of the majority of our commercial mezzanine loan portfolio.
|
(4)
|
During the first quarter of 2016, we recorded restructuring charges totaling
$10 million
associated with the restructuring of our conforming and commercial mortgage banking operations.
|
(5)
|
Interest income for both three-month periods ended December 31, 2015 and June 30, 2015 included
$2 million
of yield maintenance fees from commercial loans that prepaid during the quarters.
|
By:
|
|
/s/ ANDREW P. STONE
|
|
|
Andrew P. Stone
|
|
|
Executive Vice President, General Counsel, & Secretary
|
|
|
/s/ MARTIN S. HUGHES
|
|
|
Martin S. Hughes
|
Name:
|
|
|
|
|
Martin S. Hughes
|
|
|
|
Date:
|
|
|
Name:
|
|
|
|
|
|
Date:
|
|
|
Name:
|
|
|
|
|
Martin S. Hughes
|
|
|
|
Date:
|
|
|
Name:
|
|
|
|
|
|
Date:
|
|
|
By:
|
|
/s/ MARTIN S. HUGHES
|
|
|
Martin S. Hughes
|
|
|
Chief Executive Officer
|
|
|
/s/ CHRISTOPHER J. ABATE
|
|
|
Christopher J. Abate
|
Name:
|
|
|
|
|
Christopher J. Abate
|
|
|
|
Date:
|
|
|
Name:
|
|
|
|
|
|
Date:
|
|
|
Name:
|
|
|
|
|
Christopher J. Abate
|
|
|
|
Date:
|
|
|
Name:
|
|
|
|
|
|
Date:
|
|
|
By:
|
|
/s/ MARTIN S. HUGHES
|
|
|
Martin S. Hughes
|
|
|
Chief Executive Officer
|
|
|
/s/ ANDREW P. STONE
|
|
|
Andrew P. Stone
|
Name:
|
|
|
|
|
Andrew P. Stone
|
|
|
|
Date:
|
|
|
Name:
|
|
|
|
|
|
Date:
|
|
|
Name:
|
|
|
|
|
Andrew P. Stone
|
|
|
|
Date:
|
|
|
Name:
|
|
|
|
|
|
Date:
|
|
|
|
|
Years Ended December 31,
|
||||||||||||||||||
(In Thousands, Except Ratios)
|
|
2016
|
|
2015
|
|
2014
|
|
2013
|
|
2012
|
||||||||||
Net income before provision for income taxes
|
|
$
|
134,960
|
|
|
$
|
91,742
|
|
|
$
|
101,313
|
|
|
$
|
184,194
|
|
|
$
|
133,060
|
|
Interest expense on asset-backed securities
|
|
14,735
|
|
|
21,469
|
|
|
31,227
|
|
|
39,716
|
|
|
101,732
|
|
|||||
Interest expense on long-term debt
|
|
51,506
|
|
|
43,842
|
|
|
30,246
|
|
|
23,819
|
|
|
9,583
|
|
|||||
Earnings available to cover fixed charges
|
|
$
|
201,201
|
|
|
$
|
157,053
|
|
|
$
|
162,786
|
|
|
$
|
247,729
|
|
|
$
|
244,375
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Fixed charges:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest expense on asset-backed securities
|
|
$
|
14,735
|
|
|
$
|
21,469
|
|
|
$
|
31,227
|
|
|
$
|
39,716
|
|
|
$
|
101,732
|
|
Interest expense on long-term debt
|
|
51,506
|
|
|
43,842
|
|
|
30,246
|
|
|
23,819
|
|
|
9,583
|
|
|||||
Total fixed charges
|
|
$
|
66,241
|
|
|
$
|
65,311
|
|
|
$
|
61,473
|
|
|
$
|
63,535
|
|
|
$
|
111,315
|
|
Ratio of Earnings to Fixed Charges
|
|
3.04
|
|
|
2.40
|
|
|
2.65
|
|
|
3.90
|
|
|
2.20
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The ratio of earnings to fixed charges represents the number of times “fixed charges” are covered by “earnings.” “Fixed charges” consist of interest on outstanding long-term debt and asset-backed securities issued, as well as associated amortization of debt discount and deferred issuance costs. The proportion deemed representative of the interest factor of operating lease expense has not been deducted as the total operating lease expense in itself was de minimis and did not affect the ratios in a material way. “Earnings” consist of consolidated income before income taxes and fixed charges.
|
|
|
|
Subsidiaries*
|
|
Jurisdiction of
Incorporation or
Organization
|
|
|
|
Redwood Asset Management, Inc.**
|
|
Delaware
|
|
|
|
Redwood Capital Trust I
|
|
Delaware
|
|
|
|
Redwood Commercial Mortgage Corporation***
|
|
Delaware
|
|
|
|
Redwood Residential Acquisition Corporation
|
|
Delaware
|
|
|
|
Redwood Subsidiary Holdings, LLC
|
|
Delaware
|
|
|
|
RWT Holdings, Inc.****
|
|
Delaware
|
|
|
|
RWT Securities, LLC
|
|
Delaware
|
|
|
|
Sequoia Mortgage Funding Corporation*****
|
|
Delaware
|
|
|
|
Sequoia Residential Funding, Inc.******
|
|
Delaware
|
|
|
|
RWT Financial, LLC
|
|
Delaware
|
|
|
|
*
|
In accordance with Item 601(b)(21)(ii) of Regulation S-K the names of certain subsidiaries have been omitted.
|
**
|
Redwood Asset Management, Inc. is the collateral manager of the following Acacia securitization entities: Acacia CDO 5, Ltd., Acacia CDO 7, Ltd., Acacia CDO 8, Ltd., Acacia CDO CRE 1, Ltd., Acacia CDO 9, Ltd., Acacia CDO 10, Ltd., Acacia CDO 11, Ltd., and Acacia CDO 12, Ltd. These Acacia CDO entities were organized in the Cayman Islands.
|
***
|
Certain commercial real estate related investments are financed by transferring (by sale) those investments to the following special purpose entity, which was organized in Delaware: RCMC 2012-CREL1, LLC. The equity interests in RCMC 2012-CREL1, LLC are held by Redwood Trust, Inc.
|
****
|
The following special purpose entities, each of which is organized in Delaware, are associated with residential risk sharing arrangements with Fannie Mae and Freddie Mac: RRAC SPV-FN Trust; RRAC SPV-FN2 Trust; and RRAC SPV-FRE Trust. The equity interests in each such entity are held by RWT Holdings, Inc.
|
*****
|
Sequoia Mortgage Funding Corporation is the depositor with respect to four Sequoia securitization trusts that are not listed in this exhibit, but we are required to consolidate the assets and liabilities of two of these trusts under GAAP for financial reporting purposes.
|
******
|
Sequoia Residential Funding, Inc. is the depositor with respect to more than 30 Sequoia securitization trusts that are not listed in this exhibit, but we are required to consolidate the assets and liabilities of certain of these trusts under GAAP for financial reporting purposes.
|
1.
|
I have reviewed this Annual Report on Form 10-K 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: February 24, 2017
|
|
/s/ MARTIN S. HUGHES
|
|
|
Martin S. Hughes
|
|
|
Chief Executive Officer
|
1.
|
I have reviewed this Annual Report on Form 10-K 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: February 24, 2017
|
|
/s/ CHRISTOPHER J. ABATE
|
|
|
Christopher J. Abate
|
|
|
President and Chief Financial Officer
|
Date: February 24, 2017
|
|
/s/ MARTIN S. HUGHES
|
|
|
Martin S. Hughes
|
|
|
Chief Executive Officer
|
Date: February 24, 2017
|
|
/s/ CHRISTOPHER J. ABATE
|
|
|
Christopher J. Abate
|
|
|
President and Chief Financial Officer
|