|
|
x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 |
o
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 |
|
Maryland
|
|
68-0329422
|
(State or Other Jurisdiction of
Incorporation or Organization) |
|
(I.R.S. Employer
Identification No.) |
|
Large accelerated filer
|
x
|
|
Accelerated filer
|
o
|
Non-accelerated filer
|
o
|
(Do not check if a smaller reporting company)
|
Smaller reporting company
|
o
|
|
|
|
Emerging growth company
|
o
|
Common Stock, $0.01 par value per share
|
|
77,116,538 shares outstanding as of August 1, 2017
|
(In Thousands, except Share Data)
(Unaudited)
|
|
June 30, 2017
|
|
December 31, 2016
|
||||
ASSETS
(1)
|
|
|
|
|
||||
Residential loans, held-for-sale, at fair value
|
|
$
|
837,371
|
|
|
$
|
835,399
|
|
Residential loans, held-for-investment, at fair value
|
|
3,067,920
|
|
|
3,052,652
|
|
||
Real estate securities, at fair value
|
|
1,218,503
|
|
|
1,018,439
|
|
||
Mortgage servicing rights, at fair value
|
|
63,770
|
|
|
118,526
|
|
||
Cash and cash equivalents
|
|
217,218
|
|
|
212,844
|
|
||
Total earning assets
|
|
5,404,782
|
|
|
5,237,860
|
|
||
Restricted cash
|
|
2,006
|
|
|
8,623
|
|
||
Accrued interest receivable
|
|
20,101
|
|
|
18,454
|
|
||
Derivative assets
|
|
12,264
|
|
|
36,595
|
|
||
Other assets
|
|
216,329
|
|
|
181,945
|
|
||
Total Assets
|
|
$
|
5,655,482
|
|
|
$
|
5,483,477
|
|
|
|
|
|
|
||||
LIABILITIES AND EQUITY
(1)
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
||||
Short-term debt
(2)
|
|
$
|
1,294,807
|
|
|
$
|
791,539
|
|
Accrued interest payable
|
|
9,939
|
|
|
9,608
|
|
||
Derivative liabilities
|
|
69,175
|
|
|
66,329
|
|
||
Accrued expenses and other liabilities
|
|
73,185
|
|
|
72,428
|
|
||
Asset-backed securities issued, at fair value
|
|
692,606
|
|
|
773,462
|
|
||
Long-term debt, net
|
|
2,336,346
|
|
|
2,620,683
|
|
||
Total liabilities
|
|
4,476,058
|
|
|
4,334,049
|
|
||
Equity
|
|
|
|
|
||||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 77,116,875 and 76,834,663 issued and outstanding
|
|
771
|
|
|
768
|
|
||
Additional paid-in capital
|
|
1,679,475
|
|
|
1,676,486
|
|
||
Accumulated other comprehensive income
|
|
69,676
|
|
|
71,853
|
|
||
Cumulative earnings
|
|
1,223,228
|
|
|
1,149,935
|
|
||
Cumulative distributions to stockholders
|
|
(1,793,726
|
)
|
|
(1,749,614
|
)
|
||
Total equity
|
|
1,179,424
|
|
|
1,149,428
|
|
||
Total Liabilities and Equity
|
|
$
|
5,655,482
|
|
|
$
|
5,483,477
|
|
(1)
|
Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations of these VIEs and liabilities of consolidated VIEs for which creditors do not have recourse to Redwood Trust, Inc. or its affiliates. At
June 30, 2017
and
December 31, 2016
, assets of consolidated VIEs totaled
$713,404
and
$798,317
, respectively. At
June 30, 2017
and
December 31, 2016
, liabilities of consolidated VIEs totaled
$693,137
and
$773,980
, respectively. See
Note 4
for further discussion.
|
(2)
|
During the second quarter of 2017, our convertible notes were reclassified from Long-term debt, net to Short-term debt as the maturity of the notes was less than one year as of April 2017.
|
(In Thousands, except Share Data)
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(Unaudited)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Interest Income
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
36,635
|
|
|
$
|
35,154
|
|
|
$
|
70,997
|
|
|
$
|
66,554
|
|
Commercial loans
|
|
263
|
|
|
12,921
|
|
|
345
|
|
|
22,381
|
|
||||
Real estate securities
|
|
21,826
|
|
|
18,417
|
|
|
41,643
|
|
|
39,512
|
|
||||
Other interest income
|
|
500
|
|
|
295
|
|
|
867
|
|
|
668
|
|
||||
Total interest income
|
|
59,224
|
|
|
66,787
|
|
|
113,852
|
|
|
129,115
|
|
||||
Interest Expense
|
|
|
|
|
|
|
|
|
||||||||
Short-term debt
|
|
(9,350
|
)
|
|
(5,337
|
)
|
|
(13,803
|
)
|
|
(12,034
|
)
|
||||
Asset-backed securities issued
|
|
(3,705
|
)
|
|
(3,982
|
)
|
|
(7,235
|
)
|
|
(8,264
|
)
|
||||
Long-term debt
|
|
(11,179
|
)
|
|
(13,125
|
)
|
|
(24,227
|
)
|
|
(26,096
|
)
|
||||
Total interest expense
|
|
(24,234
|
)
|
|
(22,444
|
)
|
|
(45,265
|
)
|
|
(46,394
|
)
|
||||
Net Interest Income
|
|
34,990
|
|
|
44,343
|
|
|
68,587
|
|
|
82,721
|
|
||||
Reversal of provision for loan losses
|
|
—
|
|
|
6,532
|
|
|
—
|
|
|
6,243
|
|
||||
Net Interest Income after Provision
|
|
34,990
|
|
|
50,875
|
|
|
68,587
|
|
|
88,964
|
|
||||
Non-interest Income
|
|
|
|
|
|
|
|
|
||||||||
Mortgage banking activities, net
|
|
12,046
|
|
|
7,728
|
|
|
29,650
|
|
|
14,946
|
|
||||
Mortgage servicing rights income, net
|
|
2,778
|
|
|
2,783
|
|
|
4,491
|
|
|
9,064
|
|
||||
Investment fair value changes, net
|
|
8,115
|
|
|
(11,066
|
)
|
|
9,666
|
|
|
(30,604
|
)
|
||||
Other income
|
|
986
|
|
|
1,559
|
|
|
2,170
|
|
|
2,514
|
|
||||
Realized gains, net
|
|
1,372
|
|
|
9,884
|
|
|
7,075
|
|
|
19,422
|
|
||||
Total non-interest income, net
|
|
25,297
|
|
|
10,888
|
|
|
53,052
|
|
|
15,342
|
|
||||
Operating expenses
|
|
(18,641
|
)
|
|
(20,155
|
)
|
|
(36,867
|
)
|
|
(50,607
|
)
|
||||
Net Income before Provision for Income Taxes
|
|
41,646
|
|
|
41,608
|
|
|
84,772
|
|
|
53,699
|
|
||||
Provision for income taxes
|
|
(5,322
|
)
|
|
(327
|
)
|
|
(11,479
|
)
|
|
(355
|
)
|
||||
Net Income
|
|
$
|
36,324
|
|
|
$
|
41,281
|
|
|
$
|
73,293
|
|
|
$
|
53,344
|
|
|
|
|
|
|
|
|
|
|
||||||||
Basic earnings per common share
|
|
$
|
0.46
|
|
|
$
|
0.52
|
|
|
$
|
0.93
|
|
|
$
|
0.67
|
|
Diluted earnings per common share
|
|
$
|
0.43
|
|
|
$
|
0.48
|
|
|
$
|
0.85
|
|
|
$
|
0.67
|
|
Regular dividends declared per common share
|
|
$
|
0.28
|
|
|
$
|
0.28
|
|
|
$
|
0.56
|
|
|
$
|
0.56
|
|
Basic weighted average shares outstanding
|
|
76,819,703
|
|
|
76,664,829
|
|
|
76,779,178
|
|
|
76,901,255
|
|
||||
Diluted weighted average shares outstanding
|
|
97,494,144
|
|
|
97,761,936
|
|
|
97,718,550
|
|
|
88,728,380
|
|
(In Thousands)
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(Unaudited)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Net Income
|
|
$
|
36,324
|
|
|
$
|
41,281
|
|
|
$
|
73,293
|
|
|
$
|
53,344
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
||||||||
Net unrealized gain (loss) on available-for-sale securities
(1)
|
|
1,811
|
|
|
6,260
|
|
|
4,741
|
|
|
(3,843
|
)
|
||||
Reclassification of unrealized gain on available-for-sale securities to net income
|
|
(2,322
|
)
|
|
(7,711
|
)
|
|
(6,250
|
)
|
|
(18,664
|
)
|
||||
Net unrealized loss on interest rate agreements
|
|
(2,429
|
)
|
|
(8,949
|
)
|
|
(696
|
)
|
|
(23,192
|
)
|
||||
Reclassification of unrealized loss on interest rate agreements to net income
|
|
14
|
|
|
19
|
|
|
28
|
|
|
37
|
|
||||
Total other comprehensive income (loss)
|
|
(2,926
|
)
|
|
(10,381
|
)
|
|
(2,177
|
)
|
|
(45,662
|
)
|
||||
Total Comprehensive Income
|
|
$
|
33,398
|
|
|
$
|
30,900
|
|
|
$
|
71,116
|
|
|
$
|
7,682
|
|
(1)
|
Amounts are presented net of tax benefit (provision) of
$0.1 million
and
$(0.1) million
fo
r the
three and six
months ended
June 30, 2017
, respectively, and
$0.3 million
and
$0.4 million
for the
three and six
months ended June 30,
2016
, respectively.
|
(In Thousands, except Share Data)
|
|
Common Stock
|
|
Additional
Paid-In
Capital
|
|
Accumulated
Other
Comprehensive
Income
|
|
Cumulative
Earnings
|
|
Cumulative
Distributions
to Stockholders
|
|
Total
|
|||||||||||||||
(Unaudited)
|
|
Shares
|
|
Amount
|
|
|
|
|
|
||||||||||||||||||
December 31, 2016
|
|
76,834,663
|
|
|
$
|
768
|
|
|
$
|
1,676,486
|
|
|
$
|
71,853
|
|
|
$
|
1,149,935
|
|
|
$
|
(1,749,614
|
)
|
|
$
|
1,149,428
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
73,293
|
|
|
—
|
|
|
73,293
|
|
||||||
Other comprehensive loss
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,177
|
)
|
|
—
|
|
|
—
|
|
|
(2,177
|
)
|
||||||
Employee stock purchase and incentive plans
|
|
282,212
|
|
|
3
|
|
|
(2,388
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,385
|
)
|
||||||
Non-cash equity award compensation
|
|
—
|
|
|
—
|
|
|
5,377
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
5,377
|
|
||||||
Common dividends declared
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(44,112
|
)
|
|
(44,112
|
)
|
||||||
June 30, 2017
|
|
77,116,875
|
|
|
$
|
771
|
|
|
$
|
1,679,475
|
|
|
$
|
69,676
|
|
|
$
|
1,223,228
|
|
|
$
|
(1,793,726
|
)
|
|
$
|
1,179,424
|
|
(In Thousands, except Share Data)
|
|
Common Stock
|
|
Additional
Paid-In
Capital
|
|
Accumulated
Other
Comprehensive
Income
|
|
Cumulative
Earnings
|
|
Cumulative
Distributions
to Stockholders
|
|
Total
|
|||||||||||||||
(Unaudited)
|
|
Shares
|
|
Amount
|
|
|
|
|
|
||||||||||||||||||
December 31, 2015
|
|
78,162,765
|
|
|
$
|
782
|
|
|
$
|
1,695,956
|
|
|
$
|
91,993
|
|
|
$
|
1,018,683
|
|
|
$
|
(1,661,149
|
)
|
|
$
|
1,146,265
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
53,344
|
|
|
—
|
|
|
53,344
|
|
||||||
Other comprehensive loss
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(45,662
|
)
|
|
—
|
|
|
—
|
|
|
(45,662
|
)
|
||||||
Employee stock purchase and incentive plans
|
|
431,156
|
|
|
4
|
|
|
(4,249
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4,245
|
)
|
||||||
Non-cash equity award compensation
|
|
—
|
|
|
—
|
|
|
8,488
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,488
|
|
||||||
Share repurchases
|
|
(1,658,868
|
)
|
|
(17
|
)
|
|
(21,267
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(21,284
|
)
|
||||||
Common dividends declared
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(44,303
|
)
|
|
(44,303
|
)
|
||||||
June 30, 2016
|
|
76,935,053
|
|
|
$
|
769
|
|
|
$
|
1,678,928
|
|
|
$
|
46,331
|
|
|
$
|
1,072,027
|
|
|
$
|
(1,705,452
|
)
|
|
$
|
1,092,603
|
|
(In Thousands)
(Unaudited) |
|
Six Months Ended June 30,
|
||||||
|
2017
|
|
2016
|
|||||
Cash Flows From Operating Activities:
|
|
|
|
|
||||
Net income
|
|
$
|
73,293
|
|
|
$
|
53,344
|
|
Adjustments to reconcile net income to net cash used in operating activities:
|
|
|
|
|
||||
Amortization of premiums, discounts, and securities issuance costs, net
|
|
(9,638
|
)
|
|
(13,945
|
)
|
||
Depreciation and amortization of non-financial assets
|
|
605
|
|
|
575
|
|
||
Purchases of held-for-sale loans
|
|
(2,309,856
|
)
|
|
(2,578,592
|
)
|
||
Proceeds from sales of held-for-sale loans
|
|
2,031,326
|
|
|
2,158,601
|
|
||
Principal payments on held-for-sale loans
|
|
22,093
|
|
|
35,649
|
|
||
Net settlements of derivatives
|
|
776
|
|
|
(9,427
|
)
|
||
Provision for loan losses
|
|
—
|
|
|
(6,243
|
)
|
||
Non-cash equity award compensation expense
|
|
5,377
|
|
|
8,488
|
|
||
Market valuation adjustments
|
|
(30,743
|
)
|
|
25,584
|
|
||
Realized gains, net
|
|
(7,075
|
)
|
|
(19,422
|
)
|
||
Net change in:
|
|
|
|
|
||||
Accrued interest receivable and other assets
|
|
(26,226
|
)
|
|
(20,667
|
)
|
||
Accrued interest payable and accrued expenses and other liabilities
|
|
(16,840
|
)
|
|
5,390
|
|
||
Net cash used in operating activities
|
|
(266,908
|
)
|
|
(360,665
|
)
|
||
Cash Flows From Investing Activities:
|
|
|
|
|
||||
Proceeds from sales of loans held-for-investment
|
|
—
|
|
|
11,395
|
|
||
Principal payments on loans held-for-investment
|
|
258,267
|
|
|
354,188
|
|
||
Purchases of real estate securities
|
|
(236,036
|
)
|
|
(138,527
|
)
|
||
Proceeds from sales of real estate securities
|
|
99,121
|
|
|
451,262
|
|
||
Principal payments on real estate securities
|
|
34,752
|
|
|
41,466
|
|
||
Purchase of mortgage servicing rights
|
|
(316
|
)
|
|
(13,766
|
)
|
||
Proceeds from sales of mortgage servicing rights
|
|
43,177
|
|
|
28,268
|
|
||
Net change in restricted cash
|
|
6,617
|
|
|
(2,726
|
)
|
||
Net cash provided by investing activities
|
|
205,582
|
|
|
731,560
|
|
||
Cash Flows From Financing Activities:
|
|
|
|
|
||||
Proceeds from borrowings on short-term debt
|
|
2,070,873
|
|
|
2,184,069
|
|
||
Repayments on short-term debt
|
|
(1,855,233
|
)
|
|
(2,980,027
|
)
|
||
Repayments on asset-backed securities issued
|
|
(103,371
|
)
|
|
(158,519
|
)
|
||
Proceeds from issuance of long-term debt
|
|
—
|
|
|
771,287
|
|
||
Repayments on long-term debt
|
|
—
|
|
|
(118,146
|
)
|
||
Net settlements of derivatives
|
|
(72
|
)
|
|
(82
|
)
|
||
Net proceeds from issuance of common stock
|
|
145
|
|
|
146
|
|
||
Net payments on repurchase of common stock
|
|
—
|
|
|
(24,235
|
)
|
||
Taxes paid on equity award distributions
|
|
(2,530
|
)
|
|
(4,391
|
)
|
||
Dividends paid
|
|
(44,112
|
)
|
|
(44,303
|
)
|
||
Net cash provided by (used in) financing activities
|
|
65,700
|
|
|
(374,201
|
)
|
||
Net increase (decrease) in cash and cash equivalents
|
|
4,374
|
|
|
(3,306
|
)
|
||
Cash and cash equivalents at beginning of period
|
|
212,844
|
|
|
220,229
|
|
||
Cash and cash equivalents at end of period
|
|
$
|
217,218
|
|
|
$
|
216,923
|
|
Supplemental Cash Flow Information:
|
|
|
|
|
||||
Cash paid during the period for:
|
|
|
|
|
||||
Interest
|
|
$
|
44,274
|
|
|
$
|
45,758
|
|
Taxes
|
|
1,040
|
|
|
467
|
|
||
Supplemental Noncash Information:
|
|
|
|
|
||||
Real estate securities retained from loan securitizations
|
|
$
|
38,051
|
|
|
$
|
1,834
|
|
Retention of mortgage servicing rights from loan securitizations and sales
|
|
7,387
|
|
|
5,688
|
|
||
Transfers from loans held-for-sale to loans held-for-investment
|
|
247,377
|
|
|
725,825
|
|
||
Transfers from loans held-for-investment to loans held-for-sale
|
|
459
|
|
|
359,005
|
|
||
Transfers from residential loans to real estate owned
|
|
2,044
|
|
|
5,867
|
|
||
Transfers from long-term debt to short-term debt
|
|
285,900
|
|
|
—
|
|
|
|
Gross Amounts of Recognized Assets (Liabilities)
|
|
Gross Amounts Offset in Consolidated Balance Sheet
|
|
Net Amounts of Assets (Liabilities) Presented in Consolidated Balance Sheet
|
|
Gross Amounts Not Offset in Consolidated
Balance Sheet (1) |
|
Net Amount
|
||||||||||||||
June 30, 2017
(In Thousands) |
|
|
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
||||||||||||||||
Assets
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
4,335
|
|
|
$
|
—
|
|
|
$
|
4,335
|
|
|
$
|
(3,513
|
)
|
|
$
|
(822
|
)
|
|
$
|
—
|
|
TBAs
|
|
3,381
|
|
|
—
|
|
|
3,381
|
|
|
(1,390
|
)
|
|
(690
|
)
|
|
1,301
|
|
||||||
Futures
|
|
9
|
|
|
—
|
|
|
9
|
|
|
—
|
|
|
—
|
|
|
9
|
|
||||||
Total Assets
|
|
$
|
7,725
|
|
|
$
|
—
|
|
|
$
|
7,725
|
|
|
$
|
(4,903
|
)
|
|
$
|
(1,512
|
)
|
|
$
|
1,310
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Liabilities
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
(64,087
|
)
|
|
$
|
—
|
|
|
$
|
(64,087
|
)
|
|
$
|
3,513
|
|
|
$
|
60,574
|
|
|
$
|
—
|
|
TBAs
|
|
(1,506
|
)
|
|
—
|
|
|
(1,506
|
)
|
|
1,391
|
|
|
37
|
|
|
(78
|
)
|
||||||
Futures
|
|
(163
|
)
|
|
—
|
|
|
(163
|
)
|
|
—
|
|
|
163
|
|
|
—
|
|
||||||
Loan warehouse debt
|
|
(575,303
|
)
|
|
—
|
|
|
(575,303
|
)
|
|
575,303
|
|
|
—
|
|
|
—
|
|
||||||
Security repurchase agreements
|
|
(469,491
|
)
|
|
—
|
|
|
(469,491
|
)
|
|
469,491
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
|
$
|
(1,110,550
|
)
|
|
$
|
—
|
|
|
$
|
(1,110,550
|
)
|
|
$
|
1,049,698
|
|
|
$
|
60,774
|
|
|
$
|
(78
|
)
|
|
|
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
|
)
|
(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 balance sheets. Loan warehouse debt, which is secured by residential mortgage loans, and security repurchase agreements are components of Short-term debt on our consolidated balance sheets.
|
(Dollars in Thousands)
|
|
June 30, 2017
|
|
December 31, 2016
|
||||
Residential loans, held-for-investment
|
|
$
|
707,686
|
|
|
$
|
791,636
|
|
Restricted cash
|
|
148
|
|
|
148
|
|
||
Accrued interest receivable
|
|
925
|
|
|
1,000
|
|
||
Other assets
|
|
4,645
|
|
|
5,533
|
|
||
Total Assets
|
|
$
|
713,404
|
|
|
$
|
798,317
|
|
Accrued interest payable
|
|
$
|
531
|
|
|
$
|
518
|
|
Asset-backed securities issued
|
|
692,606
|
|
|
773,462
|
|
||
Total Liabilities
|
|
$
|
693,137
|
|
|
$
|
773,980
|
|
|
|
|
|
|
||||
Number of VIEs
|
|
20
|
|
|
20
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Principal balance of loans transferred
|
|
$
|
348,599
|
|
|
$
|
344,890
|
|
|
$
|
1,384,123
|
|
|
$
|
344,890
|
|
Trading securities retained, at fair value
|
|
10,287
|
|
|
—
|
|
|
30,990
|
|
|
—
|
|
||||
AFS securities retained, at fair value
|
|
1,905
|
|
|
1,834
|
|
|
7,060
|
|
|
1,834
|
|
||||
MSRs recognized
|
|
—
|
|
|
2,131
|
|
|
7,123
|
|
|
2,131
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Proceeds from new transfers
|
|
$
|
351,485
|
|
|
$
|
352,042
|
|
|
$
|
1,373,509
|
|
|
$
|
352,042
|
|
MSR fees received
|
|
3,698
|
|
|
3,401
|
|
|
7,173
|
|
|
6,924
|
|
||||
Funding of compensating interest, net
|
|
(41
|
)
|
|
(77
|
)
|
|
(79
|
)
|
|
(156
|
)
|
||||
Cash flows received on retained securities
|
|
6,588
|
|
|
6,739
|
|
|
12,961
|
|
|
17,930
|
|
|
|
Six Months Ended June 30, 2017
|
|
Six Months Ended June 30, 2016
|
|||||||||||
At Date of Securitization
|
|
MSRs
|
|
Senior Securities
|
|
Subordinate Securities
|
|
MSRs
|
|
Subordinate Securities
|
|||||
Prepayment rates
|
|
9
|
%
|
|
10
|
%
|
|
10
|
%
|
|
20
|
%
|
|
15
|
%
|
Discount rates
|
|
11
|
%
|
|
12
|
%
|
|
5
|
%
|
|
11
|
%
|
|
7
|
%
|
Credit loss assumptions
|
|
N/A
|
|
|
0.25
|
%
|
|
0.25
|
%
|
|
N/A
|
|
|
0.25
|
%
|
(In Thousands)
|
|
June 30, 2017
|
|
December 31, 2016
|
||||
On-balance sheet assets, at fair value:
|
|
|
|
|
||||
Interest-only, senior and subordinate securities, classified as trading
|
|
$
|
69,825
|
|
|
$
|
41,909
|
|
Subordinate securities, classified as AFS
|
|
216,269
|
|
|
234,025
|
|
||
Mortgage servicing rights
|
|
61,616
|
|
|
58,800
|
|
||
Maximum loss exposure
(1)
|
|
$
|
347,710
|
|
|
$
|
334,734
|
|
Assets transferred:
|
|
|
|
|
||||
Principal balance of loans outstanding
|
|
$
|
7,760,334
|
|
|
$
|
6,870,398
|
|
Principal balance of loans 30+ days delinquent
|
|
18,144
|
|
|
21,427
|
|
(1)
|
Maximum loss exposure from our involvement with unconsolidated VIEs pertains to the carrying value of our securities and MSRs retained from these VIEs and represents estimated losses that would be incurred under severe, hypothetical circumstances, such as if the value of our interests and any associated collateral declines to zero. This does not include, for example, any potential exposure to representation and warranty claims associated with our initial transfer of loans into a securitization.
|
June 30, 2017
|
|
MSRs
|
|
Senior
Securities
(1)
|
|
Subordinate Securities
|
||||||
(Dollars in Thousands)
|
|
|
|
|||||||||
Fair value at June 30, 2017
|
|
$
|
61,616
|
|
|
$
|
29,040
|
|
|
$
|
257,054
|
|
Expected life (in years)
(2)
|
|
7
|
|
|
6
|
|
|
13
|
|
|||
Prepayment speed assumption (annual CPR)
(2)
|
|
10
|
%
|
|
11
|
%
|
|
11
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% adverse change
|
|
$
|
2,150
|
|
|
$
|
1,224
|
|
|
$
|
794
|
|
25% adverse change
|
|
5,161
|
|
|
2,910
|
|
|
1,976
|
|
|||
Discount rate assumption
(2)
|
|
11
|
%
|
|
9
|
%
|
|
6
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
100 basis point increase
|
|
$
|
2,326
|
|
|
$
|
1,144
|
|
|
$
|
22,023
|
|
200 basis point increase
|
|
4,483
|
|
|
2,205
|
|
|
40,929
|
|
|||
Credit loss assumption
(2)
|
|
N/A
|
|
|
0.25
|
%
|
|
0.25
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% higher losses
|
|
N/A
|
|
|
$
|
4
|
|
|
$
|
1,348
|
|
|
25% higher losses
|
|
N/A
|
|
|
8
|
|
|
3,364
|
|
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
|
|
(1)
|
Senior securities included
$29 million
and
$27 million
of interest only securities at
June 30, 2017
and
December 31, 2016
, 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)
|
|
June 30, 2017
|
||
Mortgage-Backed Securities
|
|
|
||
Senior
|
|
$
|
147,923
|
|
Re-REMIC
|
|
73,337
|
|
|
Subordinate
|
|
711,149
|
|
|
Total Investments in Third-Party Sponsored VIEs
|
|
$
|
932,409
|
|
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||
|
|
Carrying
Value
|
|
Fair
Value
|
|
Carrying
Value
|
|
Fair
Value
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, held-for-sale
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
$
|
836,291
|
|
|
$
|
836,291
|
|
|
$
|
834,193
|
|
|
$
|
834,193
|
|
At lower of cost or fair value
|
|
1,080
|
|
|
1,212
|
|
|
1,206
|
|
|
1,365
|
|
||||
Residential loans, held-for-investment
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
3,067,920
|
|
|
3,067,920
|
|
|
3,052,652
|
|
|
3,052,652
|
|
||||
Trading securities
|
|
668,561
|
|
|
668,561
|
|
|
445,687
|
|
|
445,687
|
|
||||
Available-for-sale securities
|
|
549,942
|
|
|
549,942
|
|
|
572,752
|
|
|
572,752
|
|
||||
MSRs
|
|
63,770
|
|
|
63,770
|
|
|
118,526
|
|
|
118,526
|
|
||||
Cash and cash equivalents
|
|
217,218
|
|
|
217,218
|
|
|
212,844
|
|
|
212,844
|
|
||||
Restricted cash
|
|
2,006
|
|
|
2,006
|
|
|
8,623
|
|
|
8,623
|
|
||||
Accrued interest receivable
|
|
20,101
|
|
|
20,101
|
|
|
18,454
|
|
|
18,454
|
|
||||
Derivative assets
|
|
12,264
|
|
|
12,264
|
|
|
36,595
|
|
|
36,595
|
|
||||
REO
(1)
|
|
4,645
|
|
|
4,802
|
|
|
5,533
|
|
|
5,560
|
|
||||
Margin receivable
(1)
|
|
100,156
|
|
|
100,156
|
|
|
68,038
|
|
|
68,038
|
|
||||
FHLBC stock
(1)
|
|
43,393
|
|
|
43,393
|
|
|
43,393
|
|
|
43,393
|
|
||||
Guarantee asset
(1)
|
|
3,288
|
|
|
3,288
|
|
|
4,092
|
|
|
4,092
|
|
||||
Commercial loans
(1)
|
|
—
|
|
|
—
|
|
|
2,700
|
|
|
2,700
|
|
||||
Pledged collateral
(1)
|
|
42,963
|
|
|
42,963
|
|
|
42,875
|
|
|
42,875
|
|
||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Short-term debt facilities
|
|
$
|
1,044,794
|
|
|
$
|
1,044,794
|
|
|
$
|
791,539
|
|
|
$
|
791,539
|
|
Accrued interest payable
|
|
9,939
|
|
|
9,939
|
|
|
9,608
|
|
|
9,608
|
|
||||
Margin payable
|
|
2,020
|
|
|
2,020
|
|
|
12,783
|
|
|
12,783
|
|
||||
Guarantee obligation
|
|
20,692
|
|
|
20,568
|
|
|
21,668
|
|
|
22,181
|
|
||||
Derivative liabilities
|
|
69,175
|
|
|
69,175
|
|
|
66,329
|
|
|
66,329
|
|
||||
ABS issued at fair value, net
|
|
692,606
|
|
|
692,606
|
|
|
773,462
|
|
|
773,462
|
|
||||
FHLBC long-term borrowings
|
|
1,999,999
|
|
|
1,999,999
|
|
|
1,999,999
|
|
|
1,999,999
|
|
||||
Convertible notes, net
|
|
447,848
|
|
|
464,042
|
|
|
482,195
|
|
|
493,365
|
|
||||
Trust preferred securities and subordinated notes, net
|
|
138,512
|
|
|
100,440
|
|
|
138,489
|
|
|
96,255
|
|
(1)
|
These assets are included in Other assets on our consolidated balance sheets.
|
June 30, 2017
|
|
Carrying
Value
|
|
Fair Value Measurements Using
|
||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
3,904,210
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,904,210
|
|
Trading securities
|
|
668,561
|
|
|
—
|
|
|
—
|
|
|
668,561
|
|
||||
Available-for-sale securities
|
|
549,942
|
|
|
—
|
|
|
—
|
|
|
549,942
|
|
||||
Derivative assets
|
|
12,264
|
|
|
3,390
|
|
|
4,335
|
|
|
4,539
|
|
||||
MSRs
|
|
63,770
|
|
|
—
|
|
|
—
|
|
|
63,770
|
|
||||
Pledged collateral
|
|
42,963
|
|
|
42,963
|
|
|
—
|
|
|
—
|
|
||||
FHLBC stock
|
|
43,393
|
|
|
—
|
|
|
43,393
|
|
|
—
|
|
||||
Guarantee asset
|
|
3,288
|
|
|
—
|
|
|
—
|
|
|
3,288
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|||||||
Derivative liabilities
|
|
$
|
69,175
|
|
|
$
|
1,669
|
|
|
$
|
64,087
|
|
|
$
|
3,419
|
|
ABS issued
|
|
692,606
|
|
|
—
|
|
|
—
|
|
|
692,606
|
|
December 31, 2016
|
|
Carrying
Value
|
|
Fair Value Measurements Using
|
||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
3,886,845
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,886,845
|
|
Trading securities
|
|
445,687
|
|
|
—
|
|
|
—
|
|
|
445,687
|
|
||||
Available-for-sale securities
|
|
572,752
|
|
|
—
|
|
|
—
|
|
|
572,752
|
|
||||
Derivative assets
|
|
36,595
|
|
|
8,300
|
|
|
24,980
|
|
|
3,315
|
|
||||
MSRs
|
|
118,526
|
|
|
—
|
|
|
—
|
|
|
118,526
|
|
||||
Pledged collateral
|
|
42,875
|
|
|
42,875
|
|
|
—
|
|
|
—
|
|
||||
FHLBC stock
|
|
43,393
|
|
|
—
|
|
|
43,393
|
|
|
—
|
|
||||
Guarantee asset
|
|
4,092
|
|
|
—
|
|
|
—
|
|
|
4,092
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
|
$
|
66,329
|
|
|
$
|
5,609
|
|
|
$
|
56,919
|
|
|
$
|
3,801
|
|
ABS issued
|
|
773,462
|
|
|
—
|
|
|
—
|
|
|
773,462
|
|
|
|
Assets
|
|
|
|
Liabilities
|
||||||||||||||||||||||
|
|
Residential Loans
|
|
Trading Securities
|
|
AFS
Securities
|
|
MSRs
|
|
Guarantee Asset
|
|
Derivatives
(1)
|
|
ABS
Issued
|
||||||||||||||
(In Thousands)
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Beginning balance -
December 31, 2016
|
|
$
|
3,886,845
|
|
|
$
|
445,687
|
|
|
$
|
572,752
|
|
|
$
|
118,526
|
|
|
$
|
4,092
|
|
|
$
|
(486
|
)
|
|
$
|
773,462
|
|
Acquisitions
|
|
2,329,355
|
|
|
260,351
|
|
|
27,238
|
|
|
7,701
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Sales
|
|
(2,072,512
|
)
|
|
(61,175
|
)
|
|
(37,908
|
)
|
|
(52,966
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Principal paydowns
|
|
(277,174
|
)
|
|
(6,409
|
)
|
|
(28,343
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(103,372
|
)
|
|||||||
Gains (losses) in net income, net
|
|
39,742
|
|
|
30,107
|
|
|
17,650
|
|
|
(9,491
|
)
|
|
(804
|
)
|
|
20,671
|
|
|
22,516
|
|
|||||||
Unrealized losses in OCI, net
|
|
—
|
|
|
—
|
|
|
(1,447
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||
Other settlements, net
(2)
|
|
(2,046
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(19,065
|
)
|
|
—
|
|
|||||||
Ending Balance -
June 30, 2017
|
|
$
|
3,904,210
|
|
|
$
|
668,561
|
|
|
$
|
549,942
|
|
|
$
|
63,770
|
|
|
$
|
3,288
|
|
|
$
|
1,120
|
|
|
$
|
692,606
|
|
(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.
|
|
|
Included in Net Income
|
||||||||||||||
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans at Redwood
|
|
$
|
16,506
|
|
|
$
|
8,165
|
|
|
$
|
19,738
|
|
|
$
|
32,969
|
|
Residential loans at consolidated Sequoia entities
|
|
11,038
|
|
|
7,592
|
|
|
19,452
|
|
|
(28,064
|
)
|
||||
Commercial loans
|
|
—
|
|
|
198
|
|
|
—
|
|
|
2,369
|
|
||||
Trading securities
|
|
15,880
|
|
|
(230
|
)
|
|
24,529
|
|
|
(8,353
|
)
|
||||
Available-for-sale securities
|
|
(128
|
)
|
|
(305
|
)
|
|
(245
|
)
|
|
(305
|
)
|
||||
MSRs
|
|
(2,038
|
)
|
|
(19,948
|
)
|
|
(1,354
|
)
|
|
(48,692
|
)
|
||||
Loan purchase commitments
|
|
994
|
|
|
6,873
|
|
|
1,111
|
|
|
7,248
|
|
||||
Other assets - Guarantee asset
|
|
(558
|
)
|
|
(952
|
)
|
|
(804
|
)
|
|
(2,377
|
)
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Commercial secured borrowing
|
|
—
|
|
|
(198
|
)
|
|
—
|
|
|
(2,369
|
)
|
||||
ABS issued
|
|
(11,977
|
)
|
|
(8,574
|
)
|
|
(22,516
|
)
|
|
24,941
|
|
|
|
|
|
|
|
|
|
|
|
Gain (Loss) for
|
||||||||||||||
June 30, 2017
|
|
Carrying
Value
|
|
Fair Value Measurements Using
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
June 30, 2017
|
|
June 30, 2017
|
|||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Residential loans, at lower of cost or fair value
|
|
$
|
856
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
856
|
|
|
$
|
2
|
|
|
$
|
3
|
|
REO
|
|
4,118
|
|
|
—
|
|
|
—
|
|
|
4,118
|
|
|
(138
|
)
|
|
(764
|
)
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Mortgage Banking Activities, Net
|
|
|
|
|
|
|
|
|
||||||||
Residential loans held-for-sale, at fair value
|
|
$
|
5,784
|
|
|
$
|
5,859
|
|
|
$
|
14,316
|
|
|
$
|
11,298
|
|
Residential loan purchase commitments
|
|
10,406
|
|
|
10,852
|
|
|
20,671
|
|
|
23,487
|
|
||||
Commercial loans, at fair value
|
|
—
|
|
|
—
|
|
|
—
|
|
|
433
|
|
||||
Sequoia securities
|
|
—
|
|
|
(29
|
)
|
|
—
|
|
|
1,455
|
|
||||
Risk management derivatives, net
|
|
(5,310
|
)
|
|
(9,240
|
)
|
|
(6,710
|
)
|
|
(21,994
|
)
|
||||
Total mortgage banking activities, net
(1)
|
|
$
|
10,880
|
|
|
$
|
7,442
|
|
|
$
|
28,277
|
|
|
$
|
14,679
|
|
Investment Fair Value Changes, Net
|
|
|
|
|
|
|
|
|
||||||||
Residential loans held-for-investment, at Redwood
|
|
$
|
8,354
|
|
|
$
|
(647
|
)
|
|
$
|
6,021
|
|
|
$
|
22,816
|
|
Trading securities
|
|
18,926
|
|
|
431
|
|
|
30,069
|
|
|
(5,170
|
)
|
||||
Valuation adjustments on commercial loans
held-for-sale
|
|
300
|
|
|
—
|
|
|
300
|
|
|
—
|
|
||||
Net investments in consolidated Sequoia entities
|
|
(987
|
)
|
|
(251
|
)
|
|
(2,797
|
)
|
|
(1,831
|
)
|
||||
Risk sharing investments
|
|
(513
|
)
|
|
(694
|
)
|
|
(718
|
)
|
|
(704
|
)
|
||||
Risk management derivatives, net
|
|
(17,838
|
)
|
|
(9,600
|
)
|
|
(22,965
|
)
|
|
(45,410
|
)
|
||||
Impairments on AFS securities
|
|
(127
|
)
|
|
(305
|
)
|
|
(244
|
)
|
|
(305
|
)
|
||||
Total investment fair value changes, net
|
|
$
|
8,115
|
|
|
$
|
(11,066
|
)
|
|
$
|
9,666
|
|
|
$
|
(30,604
|
)
|
MSR Income (Loss), Net
|
|
|
|
|
|
|
|
|
||||||||
MSRs
|
|
$
|
(6,421
|
)
|
|
$
|
(27,265
|
)
|
|
$
|
(9,491
|
)
|
|
$
|
(71,869
|
)
|
Risk management derivatives, net
|
|
3,040
|
|
|
21,153
|
|
|
2,291
|
|
|
62,210
|
|
||||
Total MSR loss, net
(2)
|
|
$
|
(3,381
|
)
|
|
$
|
(6,112
|
)
|
|
$
|
(7,200
|
)
|
|
$
|
(9,659
|
)
|
Total Market Valuation Gains (Losses), Net
|
|
$
|
15,614
|
|
|
$
|
(9,736
|
)
|
|
$
|
30,743
|
|
|
$
|
(25,584
|
)
|
(1)
|
Mortgage banking activities, net presented above does not include fee income or provisions for repurchases that are components of Mortgage banking activities, net presented on our consolidated statements of income, as these amounts do not represent market valuation changes.
|
(2)
|
MSR income (loss), net presented above does not include net fee income or provisions for repurchases that are components of MSR income, net on our consolidated statements of income, as these amounts do not represent market valuation adjustments.
|
June 30, 2017
|
|
Fair
Value
|
|
|
|
Input Values
|
||||||||||||||
(Dollars in Thousands, except Input Values)
|
|
|
Unobservable Input
|
|
Range
|
|
|
Weighted
Average
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Jumbo fixed-rate loans
|
|
$
|
3,027,340
|
|
|
Whole loan spread to TBA price
|
|
$
|
2.59
|
|
-
|
$
|
3.56
|
|
|
|
$
|
3.50
|
|
|
|
|
|
|
Whole loan spread to swap rate
|
|
175
|
|
-
|
280
|
|
bps
|
|
278
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Jumbo hybrid loans
|
|
130,776
|
|
|
Prepayment rate (annual CPR)
|
|
15
|
|
-
|
15
|
|
%
|
|
15
|
|
%
|
||||
|
|
|
|
Whole loan spread to swap rate
|
|
110
|
|
-
|
200
|
|
bps
|
|
163
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Jumbo loans committed to sell
|
|
38,409
|
|
|
Whole loan committed sales price
|
|
$
|
102.63
|
|
-
|
$
|
102.63
|
|
|
|
$
|
102.63
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Loans held by consolidated Sequoia entities
(1)
|
|
707,686
|
|
|
Liability price
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, at lower of cost or fair value
|
|
856
|
|
|
Loss severity
|
|
15
|
|
-
|
30
|
|
%
|
|
20
|
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Trading and AFS securities
|
|
1,218,503
|
|
|
Discount rate
|
|
3
|
|
-
|
13
|
|
%
|
|
5
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
—
|
|
-
|
28
|
|
%
|
|
9
|
|
%
|
|||||
|
|
|
|
Default rate
|
|
—
|
|
-
|
33
|
|
%
|
|
3
|
|
%
|
|||||
|
|
|
|
Loss severity
|
|
—
|
|
-
|
40
|
|
%
|
|
23
|
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
MSRs
|
|
63,770
|
|
|
Discount rate
|
|
10
|
|
-
|
18
|
|
%
|
|
11
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
5
|
|
-
|
31
|
|
%
|
|
10
|
|
%
|
|||||
|
|
|
|
Per loan annual cost to service
|
|
$
|
82
|
|
-
|
$
|
82
|
|
|
|
$
|
82
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Guarantee asset
|
|
3,288
|
|
|
Discount rate
|
|
11
|
|
-
|
11
|
|
%
|
|
11
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
13
|
|
-
|
13
|
|
%
|
|
13
|
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
REO
|
|
4,118
|
|
|
Loss severity
|
|
4
|
|
-
|
100
|
|
%
|
|
30
|
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments, net
(2)
|
|
1,120
|
|
|
MSR multiple
|
|
0.6
|
|
-
|
5.1
|
|
x
|
|
3.6
|
|
x
|
||||
|
|
|
|
Pull-through rate
|
|
10
|
|
-
|
100
|
|
%
|
|
71
|
|
%
|
|||||
|
|
|
|
Whole loan spread to TBA price
|
|
$
|
2.59
|
|
-
|
$
|
3.56
|
|
|
|
$
|
3.53
|
|
|
||
|
|
|
|
Whole loan spread to swap rate - fixed rate
|
|
175
|
|
-
|
280
|
|
bps
|
|
279
|
|
bps
|
|||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
15
|
|
-
|
15
|
|
%
|
|
15
|
|
%
|
|||||
|
|
|
|
Whole loan spread to swap rate - hybrid
|
|
110
|
|
-
|
190
|
|
bps
|
|
143
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
ABS issued
(1)
|
|
692,606
|
|
|
Discount rate
|
|
4
|
|
-
|
8
|
|
%
|
|
5
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
—
|
|
-
|
20
|
|
%
|
|
16
|
|
%
|
|||||
|
|
|
|
Default rate
|
|
1
|
|
-
|
12
|
|
%
|
|
7
|
|
%
|
|||||
|
|
|
|
Loss severity
|
|
20
|
|
-
|
32
|
|
%
|
|
27
|
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
(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.
|
June 30, 2017
|
|
|
|
|
|
|
||||||
(In Thousands)
|
|
Redwood
|
|
Sequoia
|
|
Total
|
||||||
Held-for-sale
|
|
|
|
|
|
|
||||||
At fair value
|
|
$
|
836,291
|
|
|
$
|
—
|
|
|
$
|
836,291
|
|
At lower of cost or fair value
|
|
1,080
|
|
|
—
|
|
|
1,080
|
|
|||
Total held-for-sale
|
|
837,371
|
|
|
—
|
|
|
837,371
|
|
|||
Held-for-investment at fair value
|
|
2,360,234
|
|
|
707,686
|
|
|
3,067,920
|
|
|||
Total Residential Loans
|
|
$
|
3,197,605
|
|
|
$
|
707,686
|
|
|
$
|
3,905,291
|
|
December 31, 2016
|
|
|
|
|
|
|
||||||
(In Thousands)
|
|
Redwood
|
|
Sequoia
|
|
Total
|
||||||
Held-for-sale
|
|
|
|
|
|
|
||||||
At fair value
|
|
$
|
834,193
|
|
|
$
|
—
|
|
|
$
|
834,193
|
|
At lower of cost or fair value
|
|
1,206
|
|
|
—
|
|
|
1,206
|
|
|||
Total held-for-sale
|
|
835,399
|
|
|
—
|
|
|
835,399
|
|
|||
Held-for-investment at fair value
|
|
2,261,016
|
|
|
791,636
|
|
|
3,052,652
|
|
|||
Total Residential Loans
|
|
$
|
3,096,415
|
|
|
$
|
791,636
|
|
|
$
|
3,888,051
|
|
(In Thousands)
|
|
June 30, 2017
|
|
December 31, 2016
|
||||
Trading
|
|
$
|
668,561
|
|
|
$
|
445,687
|
|
Available-for-sale
|
|
549,942
|
|
|
572,752
|
|
||
Total Real Estate Securities
|
|
$
|
1,218,503
|
|
|
$
|
1,018,439
|
|
(In Thousands)
|
|
June 30, 2017
|
|
December 31, 2016
|
||||
Senior Securities
|
|
$
|
48,633
|
|
|
$
|
37,067
|
|
Subordinate Securities
|
|
|
|
|
||||
Mezzanine
|
|
377,286
|
|
|
256,226
|
|
||
Subordinate
|
|
242,642
|
|
|
152,394
|
|
||
Total Subordinate Securities
|
|
619,928
|
|
|
408,620
|
|
||
Total Trading Securities
|
|
$
|
668,561
|
|
|
$
|
445,687
|
|
(In Thousands)
|
|
June 30, 2017
|
|
December 31, 2016
|
||||
Senior Securities
|
|
$
|
128,329
|
|
|
$
|
136,546
|
|
Re-REMIC Securities
|
|
73,337
|
|
|
85,479
|
|
||
Subordinate Securities
|
|
|
|
|
||||
Mezzanine
|
|
136,036
|
|
|
163,715
|
|
||
Subordinate
|
|
212,240
|
|
|
187,012
|
|
||
Total Subordinate Securities
|
|
348,276
|
|
|
350,727
|
|
||
Total AFS Securities
|
|
$
|
549,942
|
|
|
$
|
572,752
|
|
June 30, 2017
|
|
|
|
|
|
|
|
|
||||||||
(In Thousands)
|
|
Senior
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||
Principal balance
|
|
$
|
134,042
|
|
|
$
|
81,235
|
|
|
$
|
458,256
|
|
|
$
|
673,533
|
|
Credit reserve
|
|
(3,622
|
)
|
|
(5,913
|
)
|
|
(38,053
|
)
|
|
(47,588
|
)
|
||||
Unamortized discount, net
|
|
(35,257
|
)
|
|
(15,153
|
)
|
|
(141,653
|
)
|
|
(192,063
|
)
|
||||
Amortized cost
|
|
95,163
|
|
|
60,169
|
|
|
278,550
|
|
|
433,882
|
|
||||
Gross unrealized gains
|
|
34,993
|
|
|
13,168
|
|
|
70,365
|
|
|
118,526
|
|
||||
Gross unrealized losses
|
|
(1,827
|
)
|
|
—
|
|
|
(639
|
)
|
|
(2,466
|
)
|
||||
Carrying Value
|
|
$
|
128,329
|
|
|
$
|
73,337
|
|
|
$
|
348,276
|
|
|
$
|
549,942
|
|
December 31, 2016
|
|
|
|
|
|
|
|
|
||||||||
(In Thousands)
|
|
Senior
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||
Principal balance
|
|
$
|
148,862
|
|
|
$
|
95,608
|
|
|
$
|
456,359
|
|
|
$
|
700,829
|
|
Credit reserve
|
|
(4,814
|
)
|
|
(6,857
|
)
|
|
(35,802
|
)
|
|
(47,473
|
)
|
||||
Unamortized discount, net
|
|
(41,877
|
)
|
|
(19,613
|
)
|
|
(136,622
|
)
|
|
(198,112
|
)
|
||||
Amortized cost
|
|
102,171
|
|
|
69,138
|
|
|
283,935
|
|
|
455,244
|
|
||||
Gross unrealized gains
|
|
36,304
|
|
|
16,341
|
|
|
68,032
|
|
|
120,677
|
|
||||
Gross unrealized losses
|
|
(1,929
|
)
|
|
—
|
|
|
(1,240
|
)
|
|
(3,169
|
)
|
||||
Carrying Value
|
|
$
|
136,546
|
|
|
$
|
85,479
|
|
|
$
|
350,727
|
|
|
$
|
572,752
|
|
|
|
Three Months Ended June 30, 2017
|
|
Six Months Ended June 30, 2017
|
||||||||||||
|
|
Credit
Reserve
|
|
Unamortized
Discount, Net
|
|
Credit
Reserve |
|
Unamortized
Discount, Net |
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Beginning balance
|
|
$
|
49,226
|
|
|
$
|
196,931
|
|
|
$
|
47,473
|
|
|
$
|
198,112
|
|
Amortization of net discount
|
|
—
|
|
|
(4,805
|
)
|
|
—
|
|
|
(10,066
|
)
|
||||
Realized credit losses
|
|
(1,521
|
)
|
|
—
|
|
|
(2,437
|
)
|
|
—
|
|
||||
Acquisitions
|
|
872
|
|
|
884
|
|
|
6,591
|
|
|
8,643
|
|
||||
Sales, calls, other
|
|
(1,101
|
)
|
|
(963
|
)
|
|
(3,261
|
)
|
|
(5,649
|
)
|
||||
Impairments
|
|
128
|
|
|
—
|
|
|
245
|
|
|
—
|
|
||||
Transfers to (release of) credit reserves, net
|
|
(16
|
)
|
|
16
|
|
|
(1,023
|
)
|
|
1,023
|
|
||||
Ending Balance
|
|
$
|
47,588
|
|
|
$
|
192,063
|
|
|
$
|
47,588
|
|
|
$
|
192,063
|
|
|
|
Less Than 12 Consecutive Months
|
|
12 Consecutive Months or Longer
|
||||||||||||||||||||
|
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair
Value |
||||||||||||
(In Thousands)
|
|
|
|
|
|
|
||||||||||||||||||
June 30, 2017
|
|
$
|
6,884
|
|
|
$
|
(176
|
)
|
|
$
|
6,708
|
|
|
$
|
56,793
|
|
|
$
|
(2,290
|
)
|
|
$
|
54,503
|
|
December 31, 2016
|
|
15,772
|
|
|
(330
|
)
|
|
15,442
|
|
|
60,035
|
|
|
(2,839
|
)
|
|
57,196
|
|
June 30, 2017
|
|
Range for Securities
|
||
Prepayment rates
|
|
8%
|
-
|
18%
|
Projected losses
|
|
0.25%
|
-
|
8%
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Balance at beginning of period
|
|
$
|
26,390
|
|
|
$
|
27,942
|
|
|
$
|
28,261
|
|
|
$
|
28,277
|
|
Additions
|
|
|
|
|
|
|
|
|
||||||||
Initial credit impairments
|
|
81
|
|
|
291
|
|
|
178
|
|
|
291
|
|
||||
Subsequent credit impairments
|
|
47
|
|
|
—
|
|
|
47
|
|
|
—
|
|
||||
Reductions
|
|
|
|
|
|
|
|
|
||||||||
Securities sold, or expected to sell
|
|
(716
|
)
|
|
(35
|
)
|
|
(2,282
|
)
|
|
(261
|
)
|
||||
Securities with no outstanding principal at period end
|
|
—
|
|
|
—
|
|
|
(402
|
)
|
|
(109
|
)
|
||||
Balance at End of Period
|
|
$
|
25,802
|
|
|
$
|
28,198
|
|
|
$
|
25,802
|
|
|
$
|
28,198
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Gross realized gains - sales
|
|
$
|
2,555
|
|
|
$
|
8,986
|
|
|
$
|
7,647
|
|
|
$
|
20,405
|
|
Gross realized gains - calls
|
|
66
|
|
|
1,210
|
|
|
677
|
|
|
1,210
|
|
||||
Gross realized losses - sales
|
|
—
|
|
|
(120
|
)
|
|
—
|
|
|
(2,293
|
)
|
||||
Gross realized losses - calls
|
|
(497
|
)
|
|
—
|
|
|
(497
|
)
|
|
—
|
|
||||
Total Realized Gains on Sales and Calls of AFS
Securities, net
|
|
$
|
2,124
|
|
|
$
|
10,076
|
|
|
$
|
7,827
|
|
|
$
|
19,322
|
|
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||
(In Thousands)
|
|
MSR Fair Value
|
|
Associated Principal
|
|
MSR Fair Value
|
|
Associated Principal
|
||||||||
Mortgage Servicing Rights
|
|
|
|
|
|
|
|
|
||||||||
Conforming Loans
|
|
$
|
686
|
|
|
$
|
67,291
|
|
|
$
|
58,523
|
|
|
$
|
4,989,720
|
|
Jumbo Loans
|
|
63,084
|
|
|
5,815,172
|
|
|
60,003
|
|
|
5,467,169
|
|
||||
Total Mortgage Servicing Rights
|
|
$
|
63,770
|
|
|
$
|
5,882,463
|
|
|
$
|
118,526
|
|
|
$
|
10,456,889
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Balance at beginning of period
|
|
$
|
111,013
|
|
|
$
|
126,620
|
|
|
$
|
118,526
|
|
|
$
|
191,976
|
|
Additions
|
|
216
|
|
|
10,691
|
|
|
7,701
|
|
|
19,498
|
|
||||
Sales
|
|
(41,038
|
)
|
|
—
|
|
|
(52,966
|
)
|
|
(29,559
|
)
|
||||
Changes in fair value due to:
|
|
|
|
|
|
|
|
|
||||||||
Changes in assumptions
(1)
|
|
(3,356
|
)
|
|
(21,480
|
)
|
|
(4,013
|
)
|
|
(59,808
|
)
|
||||
Other changes
(2)
|
|
(3,065
|
)
|
|
(5,785
|
)
|
|
(5,478
|
)
|
|
(12,061
|
)
|
||||
Balance at End of Period
|
|
$
|
63,770
|
|
|
$
|
110,046
|
|
|
$
|
63,770
|
|
|
$
|
110,046
|
|
(1)
|
Primarily reflects changes in prepayment assumptions due to changes in market interest rates.
|
(2)
|
Represents changes due to receipt of expected cash flows.
|
(In Thousands)
|
|
Three Months Ended June 30, 2017
|
|
Six Months Ended June 30, 2017
|
||||||||||||
|
|
MSR Fair Value
|
|
Associated Principal
|
|
MSR Fair Value
|
|
Associated Principal
|
||||||||
Jumbo MSR additions:
|
|
|
|
|
|
|
|
|
||||||||
From securitization
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7,123
|
|
|
$
|
654,605
|
|
From loan sales
|
|
—
|
|
|
—
|
|
|
263
|
|
|
31,658
|
|
||||
Total jumbo MSR additions
|
|
—
|
|
|
—
|
|
|
7,386
|
|
|
686,263
|
|
||||
Conforming MSR additions:
|
|
|
|
|
|
|
|
|
||||||||
From purchases
|
|
216
|
|
|
35,261
|
|
|
315
|
|
|
54,332
|
|
||||
Total MSR Additions
|
|
$
|
216
|
|
|
$
|
35,261
|
|
|
$
|
7,701
|
|
|
$
|
740,595
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Servicing income
|
|
$
|
6,511
|
|
|
$
|
10,572
|
|
|
$
|
13,418
|
|
|
$
|
22,256
|
|
Cost of sub-servicer
|
|
(659
|
)
|
|
(1,702
|
)
|
|
(2,039
|
)
|
|
(3,740
|
)
|
||||
Net servicing fee income
|
|
5,852
|
|
|
8,870
|
|
|
11,379
|
|
|
18,516
|
|
||||
Market valuation changes of MSRs
|
|
(6,421
|
)
|
|
(27,265
|
)
|
|
(9,491
|
)
|
|
(71,869
|
)
|
||||
Market valuation changes of associated derivatives
|
|
3,040
|
|
|
21,153
|
|
|
2,291
|
|
|
62,210
|
|
||||
MSR provision for repurchases
|
|
307
|
|
|
25
|
|
|
312
|
|
|
207
|
|
||||
MSR Income, Net
|
|
$
|
2,778
|
|
|
$
|
2,783
|
|
|
$
|
4,491
|
|
|
$
|
9,064
|
|
|
|
June 30, 2017
|
|
December 31, 2016
|
||||||||||||
|
|
Fair
Value
|
|
Notional
Amount
|
|
Fair
Value
|
|
Notional
Amount
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Assets - Risk Management Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
3,466
|
|
|
$
|
376,000
|
|
|
$
|
19,859
|
|
|
$
|
1,009,000
|
|
TBAs
|
|
3,381
|
|
|
930,000
|
|
|
8,300
|
|
|
850,000
|
|
||||
Futures
|
|
9
|
|
|
7,500
|
|
|
—
|
|
|
—
|
|
||||
Swaptions
|
|
869
|
|
|
300,000
|
|
|
5,121
|
|
|
345,000
|
|
||||
Assets - Other Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
4,539
|
|
|
534,596
|
|
|
3,315
|
|
|
352,981
|
|
||||
Total Assets
|
|
$
|
12,264
|
|
|
$
|
2,148,096
|
|
|
$
|
36,595
|
|
|
$
|
2,556,981
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities - Cash Flow Hedges
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
(45,454
|
)
|
|
$
|
139,500
|
|
|
$
|
(44,822
|
)
|
|
$
|
139,500
|
|
Liabilities - Risk Management Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
(18,633
|
)
|
|
1,874,500
|
|
|
(12,097
|
)
|
|
1,101,500
|
|
||||
TBAs
|
|
(1,506
|
)
|
|
330,000
|
|
|
(4,681
|
)
|
|
510,000
|
|
||||
Futures
|
|
(163
|
)
|
|
29,000
|
|
|
(928
|
)
|
|
87,500
|
|
||||
Liabilities - Other Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
(3,419
|
)
|
|
719,854
|
|
|
(3,801
|
)
|
|
584,862
|
|
||||
Total Liabilities
|
|
$
|
(69,175
|
)
|
|
$
|
3,092,854
|
|
|
$
|
(66,329
|
)
|
|
$
|
2,423,362
|
|
Total Derivative Financial Instruments, Net
|
|
$
|
(56,911
|
)
|
|
$
|
5,240,950
|
|
|
$
|
(29,734
|
)
|
|
$
|
4,980,343
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Net interest expense on cash flows hedges
|
|
$
|
(1,172
|
)
|
|
$
|
(1,348
|
)
|
|
$
|
(2,397
|
)
|
|
$
|
(2,735
|
)
|
Realized net losses reclassified from other comprehensive income
|
|
(14
|
)
|
|
(19
|
)
|
|
(28
|
)
|
|
(37
|
)
|
||||
Total Interest Expense
|
|
$
|
(1,186
|
)
|
|
$
|
(1,367
|
)
|
|
$
|
(2,425
|
)
|
|
$
|
(2,772
|
)
|
(In Thousands)
|
|
June 30, 2017
|
|
December 31, 2016
|
||||
Margin receivable
|
|
$
|
100,156
|
|
|
$
|
68,038
|
|
FHLBC stock
|
|
43,393
|
|
|
43,393
|
|
||
Pledged collateral
|
|
42,963
|
|
|
42,875
|
|
||
MSR holdback receivable
|
|
13,423
|
|
|
1,862
|
|
||
REO
|
|
4,645
|
|
|
5,533
|
|
||
Guarantee asset
|
|
3,288
|
|
|
4,092
|
|
||
Fixed assets and leasehold improvements
(1)
|
|
3,025
|
|
|
2,750
|
|
||
Commercial loans
|
|
—
|
|
|
2,700
|
|
||
Prepaid expenses
|
|
1,155
|
|
|
1,639
|
|
||
Investment receivable
|
|
1,130
|
|
|
1,068
|
|
||
Other
|
|
3,151
|
|
|
7,995
|
|
||
Total Other Assets
|
|
$
|
216,329
|
|
|
$
|
181,945
|
|
(1)
|
Fixed assets and leasehold improvements had a basis of
$6 million
and accumulated depreciation of
$3 million
at
June 30, 2017
.
|
(In Thousands)
|
|
June 30, 2017
|
|
December 31, 2016
|
||||
Guarantee obligations
|
|
$
|
20,692
|
|
|
$
|
21,668
|
|
Unsettled trades
|
|
13,629
|
|
|
24
|
|
||
Accrued compensation
|
|
12,144
|
|
|
18,830
|
|
||
Accrued taxes payable
|
|
11,019
|
|
|
525
|
|
||
Residential loan and MSR repurchase reserve
|
|
4,558
|
|
|
5,432
|
|
||
Margin payable
|
|
2,020
|
|
|
12,783
|
|
||
Legal reserve
|
|
2,000
|
|
|
2,000
|
|
||
Accrued operating expenses
|
|
1,176
|
|
|
4,493
|
|
||
Deferred tax liability
|
|
898
|
|
|
898
|
|
||
Current accounts payable
|
|
1,234
|
|
|
1,151
|
|
||
Other
|
|
3,815
|
|
|
4,624
|
|
||
Total Other Liabilities
|
|
$
|
73,185
|
|
|
$
|
72,428
|
|
|
|
June 30, 2017
|
||||||||||||||||
(Dollars in Thousands)
|
|
Number of Facilities
|
|
Outstanding Balance
|
|
Limit
|
|
Weighted Average Interest Rate
|
|
Maturity
|
|
Weighted Average Days Until Maturity
|
||||||
Facilities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential loan warehouse
|
|
4
|
|
|
$
|
575,303
|
|
|
$
|
1,325,000
|
|
|
2.80
|
%
|
|
8/2017-3/2018
|
|
243
|
Real estate securities repo
|
|
8
|
|
|
469,491
|
|
|
—
|
|
|
2.35
|
%
|
|
7/2017-9/2017
|
|
22
|
||
Total Short-Term Debt Facilities
|
|
12
|
|
|
1,044,794
|
|
|
|
|
|
|
|
|
|
||||
Convertible notes, net
|
|
N/A
|
|
|
250,013
|
|
|
—
|
|
|
4.63
|
%
|
|
4/2018
|
|
289
|
||
Total Short-Term Debt
|
|
|
|
$
|
1,294,807
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2016
|
||||||||||||||||
(Dollars in Thousands)
|
|
Number of Facilities
|
|
Outstanding Balance
|
|
Limit
|
|
Weighted Average Interest Rate
|
|
Maturity
|
|
Weighted Average Days Until Maturity
|
||||||
Facilities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential loan warehouse
|
|
4
|
|
|
$
|
485,544
|
|
|
$
|
1,325,000
|
|
|
2.40
|
%
|
|
1/2017-12/2017
|
|
206
|
Real estate securities repo
|
|
7
|
|
|
305,995
|
|
|
—
|
|
|
1.91
|
%
|
|
1/2017-3/2017
|
|
24
|
||
Total Short-Term Debt
|
|
11
|
|
|
$
|
791,539
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2017
|
||||||||||||||
(In Thousands)
|
|
Within 30 days
|
|
31 to 90 days
|
|
Over 90 days
|
|
Total
|
||||||||
Collateral Type
|
|
|
|
|
|
|
|
|
||||||||
Held-for-sale residential loans
|
|
$
|
—
|
|
|
$
|
127,644
|
|
|
$
|
447,659
|
|
|
$
|
575,303
|
|
Real estate securities
|
|
386,150
|
|
|
83,341
|
|
|
—
|
|
|
469,491
|
|
||||
Total Secured Short-Term Debt
|
|
386,150
|
|
|
210,985
|
|
|
447,659
|
|
|
1,044,794
|
|
||||
Convertible notes, net
|
|
—
|
|
|
—
|
|
|
250,013
|
|
|
250,013
|
|
||||
Total Short-Term Debt
|
|
$
|
386,150
|
|
|
$
|
210,985
|
|
|
$
|
697,672
|
|
|
$
|
1,294,807
|
|
June 30, 2017
|
|
Consolidated
Sequoia
Entities
|
||
(Dollars in Thousands)
|
|
|||
Certificates with principal balance
|
|
$
|
775,527
|
|
Interest-only certificates
|
|
2,989
|
|
|
Market valuation adjustments
|
|
(85,910
|
)
|
|
ABS Issued, Net
|
|
$
|
692,606
|
|
Range of weighted average interest rates, by series
|
|
0.39% to 2.28%
|
|
|
Stated maturities
|
|
2024 - 2036
|
|
|
Number of series
|
|
20
|
|
December 31, 2016
|
|
Consolidated
Sequoia
Entities
|
||
(Dollars in Thousands)
|
|
|||
Certificates with principal balance
|
|
$
|
880,517
|
|
Interest-only certificates
|
|
3,774
|
|
|
Market valuation adjustments
|
|
(110,829
|
)
|
|
ABS Issued, Net
|
|
$
|
773,462
|
|
Range of weighted average interest rates, by series
|
|
0.15% to 1.95%
|
|
|
Stated maturities
|
|
2024 - 2036
|
|
|
Number of series
|
|
20
|
|
June 30, 2017
|
|
Consolidated
Sequoia
Entities
|
||
(In Thousands)
|
|
|||
Residential loans
|
|
$
|
707,686
|
|
Restricted cash
|
|
148
|
|
|
Accrued interest receivable
|
|
925
|
|
|
REO
|
|
4,645
|
|
|
Total Collateral for ABS Issued
|
|
$
|
713,404
|
|
December 31, 2016
|
|
Consolidated
Sequoia
Entities
|
||
(In Thousands)
|
|
|||
Residential loans
|
|
$
|
791,636
|
|
Restricted cash
|
|
148
|
|
|
Accrued interest receivable
|
|
1,000
|
|
|
REO
|
|
5,533
|
|
|
Total Collateral for ABS Issued
|
|
$
|
798,317
|
|
(In Thousands)
|
|
June 30, 2017
|
||
2024
|
|
$
|
470,171
|
|
2025
|
|
887,639
|
|
|
2026
|
|
642,189
|
|
|
Total FHLBC Borrowings
|
|
$
|
1,999,999
|
|
(In Thousands)
|
|
June 30, 2017
|
||
2017 (6 months)
|
|
$
|
590
|
|
2018
|
|
1,935
|
|
|
2019
|
|
1,986
|
|
|
2020
|
|
1,965
|
|
|
2021 and thereafter
|
|
11,691
|
|
|
Total Lease Commitments
|
|
$
|
18,167
|
|
|
|
Three Months Ended June 30, 2017
|
|
Three Months Ended June 30, 2016
|
||||||||||||
(In Thousands)
|
|
Net Unrealized Gains on Available-for-Sale Securities
|
|
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges
|
|
Net Unrealized Gains on Available-for-Sale Securities
|
|
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges
|
||||||||
Balance at beginning of period
|
|
$
|
114,875
|
|
|
$
|
(42,273
|
)
|
|
$
|
118,300
|
|
|
$
|
(61,588
|
)
|
Other comprehensive income (loss)
before reclassifications
(1)
|
|
1,811
|
|
|
(2,429
|
)
|
|
6,260
|
|
|
(8,949
|
)
|
||||
Amounts reclassified from other
accumulated comprehensive income
|
|
(2,322
|
)
|
|
14
|
|
|
(7,711
|
)
|
|
19
|
|
||||
Net current-period other comprehensive income (loss)
|
|
(511
|
)
|
|
(2,415
|
)
|
|
(1,451
|
)
|
|
(8,930
|
)
|
||||
Balance at End of Period
|
|
$
|
114,364
|
|
|
$
|
(44,688
|
)
|
|
$
|
116,849
|
|
|
$
|
(70,518
|
)
|
|
|
Six Months Ended June 30, 2017
|
|
Six Months Ended June 30, 2016
|
||||||||||||
(In Thousands)
|
|
Net Unrealized Gains on Available-for-Sale Securities
|
|
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges
|
|
Net Unrealized Gains on Available-for-Sale Securities
|
|
Net Unrealized Losses on Interest Rate Agreements Accounted for as Cash Flow Hedges
|
||||||||
Balance at beginning of period
|
|
$
|
115,873
|
|
|
$
|
(44,020
|
)
|
|
$
|
139,356
|
|
|
$
|
(47,363
|
)
|
Other comprehensive income (loss)
before reclassifications (1) |
|
4,741
|
|
|
(696
|
)
|
|
(3,843
|
)
|
|
(23,192
|
)
|
||||
Amounts reclassified from other
accumulated comprehensive income |
|
(6,250
|
)
|
|
28
|
|
|
(18,664
|
)
|
|
37
|
|
||||
Net current-period other comprehensive income (loss)
|
|
(1,509
|
)
|
|
(668
|
)
|
|
(22,507
|
)
|
|
(23,155
|
)
|
||||
Balance at End of Period
|
|
$
|
114,364
|
|
|
$
|
(44,688
|
)
|
|
$
|
116,849
|
|
|
$
|
(70,518
|
)
|
(1)
|
Amounts presented for net unrealized gains on available-for-sale securities are net of tax benefit (provision) of
$0.1 million
and
$(0.1) million
for the
three and six
months ended
June 30, 2017
, respectively, and
$0.3 million
and
$0.4 million
for the
three and six
months ended June 30,
2016
, respectively.
|
|
|
|
|
|
|
|
||||
|
|
|
|
Amount Reclassified From Accumulated Other Comprehensive Income
|
||||||
|
|
Affected Line Item in the
|
|
Three Months Ended June 30,
|
||||||
(In Thousands)
|
|
Income Statement
|
|
2017
|
|
2016
|
||||
Net Realized (Gain) Loss on AFS Securities
|
|
|
|
|
|
|
||||
Other than temporary impairment
(1)
|
|
Investment fair value changes, net
|
|
$
|
128
|
|
|
$
|
305
|
|
Gain on sale of AFS securities
|
|
Realized gains, net
|
|
(2,450
|
)
|
|
(8,016
|
)
|
||
|
|
|
|
$
|
(2,322
|
)
|
|
$
|
(7,711
|
)
|
Net Realized Loss on Interest Rate
Agreements Designated as Cash Flow Hedges |
|
|
|
|
|
|
||||
Amortization of deferred loss
|
|
Interest expense
|
|
$
|
14
|
|
|
$
|
19
|
|
|
|
|
|
$
|
14
|
|
|
$
|
19
|
|
|
|
|
|
Amount Reclassified From Accumulated Other Comprehensive Income
|
||||||
|
|
Affected Line Item in the
|
|
Six Months Ended June 30,
|
||||||
(In Thousands)
|
|
Income Statement
|
|
2017
|
|
2016
|
||||
Net Realized (Gain) Loss on AFS Securities
|
|
|
|
|
|
|
||||
Other than temporary impairment
(1)
|
|
Investment fair value changes, net
|
|
$
|
245
|
|
|
$
|
305
|
|
Gain on sale of AFS securities
|
|
Realized gains, net
|
|
(6,495
|
)
|
|
(18,969
|
)
|
||
|
|
|
|
$
|
(6,250
|
)
|
|
$
|
(18,664
|
)
|
Net Realized Loss on Interest Rate
Agreements Designated as Cash Flow Hedges |
|
|
|
|
|
|
||||
Amortization of deferred loss
|
|
Interest expense
|
|
$
|
28
|
|
|
$
|
37
|
|
|
|
|
|
$
|
28
|
|
|
$
|
37
|
|
(1)
|
For the three months ended
June 30, 2017
, other-than-temporary impairments were
$0.5 million
, of which
$0.1 million
were recognized through the consolidated statements of income and
$0.3 million
were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. For the
six
months ended
June 30, 2017
, other-than-temporary impairments were
$0.6 million
, of which
$0.2 million
were recognized through our consolidated statements of income and
$0.4 million
were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet. For the three and six months ended June 30, 2016, other-than-temporary impairments were
$3 million
, of which
$0.3 million
were recognized through our consolidated statements of income and
$2 million
were recognized in Accumulated other comprehensive income, a component of our consolidated balance sheet.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands, except Share Data)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Basic Earnings per Common Share:
|
|
|
|
|
|
|
|
|
||||||||
Net income attributable to Redwood
|
|
$
|
36,324
|
|
|
$
|
41,281
|
|
|
$
|
73,293
|
|
|
$
|
53,344
|
|
Less: Dividends and undistributed earnings allocated to participating securities
|
|
(884
|
)
|
|
(1,089
|
)
|
|
(1,852
|
)
|
|
(1,494
|
)
|
||||
Net income allocated to common shareholders
|
|
$
|
35,440
|
|
|
$
|
40,192
|
|
|
$
|
71,441
|
|
|
$
|
51,850
|
|
Basic weighted average common shares outstanding
|
|
76,819,703
|
|
|
76,664,829
|
|
|
76,779,178
|
|
|
76,901,255
|
|
||||
Basic Earnings per Common Share
|
|
$
|
0.46
|
|
|
$
|
0.52
|
|
|
$
|
0.93
|
|
|
$
|
0.67
|
|
Diluted Earnings per Common Share:
|
|
|
|
|
|
|
|
|
||||||||
Net income attributable to Redwood
|
|
$
|
36,324
|
|
|
$
|
41,281
|
|
|
$
|
73,293
|
|
|
$
|
53,344
|
|
Less: Dividends and undistributed earnings allocated to participating securities
|
|
(935
|
)
|
|
(1,134
|
)
|
|
(1,940
|
)
|
|
(1,668
|
)
|
||||
Add back: Interest expense on convertible notes for the period, net of tax
|
|
6,205
|
|
|
7,015
|
|
|
12,075
|
|
|
7,637
|
|
||||
Net income allocated to common shareholders
|
|
$
|
41,594
|
|
|
$
|
47,162
|
|
|
$
|
83,428
|
|
|
$
|
59,313
|
|
Weighted average common shares outstanding
|
|
76,819,703
|
|
|
76,664,829
|
|
|
76,779,178
|
|
|
76,901,255
|
|
||||
Net effect of dilutive equity awards
|
|
235,273
|
|
|
369
|
|
|
173,235
|
|
|
1,675
|
|
||||
Net effect of assumed convertible notes conversion to common shares
|
|
20,439,168
|
|
|
21,096,738
|
|
|
20,766,137
|
|
|
11,825,450
|
|
||||
Diluted weighted average common shares outstanding
|
|
97,494,144
|
|
|
97,761,936
|
|
|
97,718,550
|
|
|
88,728,380
|
|
||||
Diluted Earnings per Common Share
|
|
$
|
0.43
|
|
|
$
|
0.48
|
|
|
$
|
0.85
|
|
|
$
|
0.67
|
|
|
|
Six Months Ended June 30, 2017
|
||||||||||||||||||
(In Thousands)
|
|
Restricted Stock
|
|
Deferred Stock Units
|
|
Performance Stock Units
|
|
Employee Stock Purchase Plan
|
|
Total
|
||||||||||
Unrecognized compensation cost at beginning of period
|
|
$
|
2,091
|
|
|
$
|
11,506
|
|
|
$
|
4,549
|
|
|
$
|
—
|
|
|
$
|
18,146
|
|
Equity grants
|
|
2,237
|
|
|
4,547
|
|
|
—
|
|
|
129
|
|
|
6,913
|
|
|||||
Equity grant forfeitures
|
|
(174
|
)
|
|
(472
|
)
|
|
—
|
|
|
—
|
|
|
(646
|
)
|
|||||
Equity compensation expense
|
|
(602
|
)
|
|
(3,472
|
)
|
|
(1,159
|
)
|
|
(64
|
)
|
|
(5,297
|
)
|
|||||
Unrecognized Compensation Cost at End of Period
|
|
$
|
3,552
|
|
|
$
|
12,109
|
|
|
$
|
3,390
|
|
|
$
|
65
|
|
|
$
|
19,116
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Residential Mortgage Banking Activities, Net
|
|
|
|
|
|
|
|
|
||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, at fair value
(1)
|
|
$
|
16,190
|
|
|
$
|
16,711
|
|
|
$
|
34,986
|
|
|
$
|
34,785
|
|
Sequoia securities
|
|
—
|
|
|
(29
|
)
|
|
—
|
|
|
1,455
|
|
||||
Risk management derivatives
(2)
|
|
(5,310
|
)
|
|
(9,240
|
)
|
|
(6,710
|
)
|
|
(19,456
|
)
|
||||
Other income, net
(3)
|
|
1,166
|
|
|
286
|
|
|
1,374
|
|
|
224
|
|
||||
Total residential mortgage banking activities, net
|
|
12,046
|
|
|
7,728
|
|
|
29,650
|
|
|
17,008
|
|
||||
Commercial Mortgage Banking Activities, Net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,062
|
)
|
||||
Mortgage Banking Activities, Net
|
|
$
|
12,046
|
|
|
$
|
7,728
|
|
|
$
|
29,650
|
|
|
$
|
14,946
|
|
(1)
|
Includes changes in fair value for associated loan purchase commitments.
|
(2)
|
Represents market valuation changes of derivatives that were used to manage risks associated with our accumulation of residential loans.
|
(3)
|
Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Investment Fair Value Changes, Net
|
|
|
|
|
|
|
|
|
||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
||||||||
Residential loans held-for-investment, at Redwood
|
|
$
|
8,354
|
|
|
$
|
(647
|
)
|
|
$
|
6,021
|
|
|
$
|
22,816
|
|
Trading securities
|
|
18,926
|
|
|
431
|
|
|
30,069
|
|
|
(5,170
|
)
|
||||
Net investments in consolidated Sequoia entities
|
|
(987
|
)
|
|
(251
|
)
|
|
(2,797
|
)
|
|
(1,831
|
)
|
||||
Risk sharing investments
|
|
(513
|
)
|
|
(694
|
)
|
|
(718
|
)
|
|
(704
|
)
|
||||
Risk management derivatives, net
|
|
(17,838
|
)
|
|
(9,600
|
)
|
|
(22,965
|
)
|
|
(45,410
|
)
|
||||
Valuation adjustments on commercial loans
held-for-sale
|
|
300
|
|
|
—
|
|
|
300
|
|
|
—
|
|
||||
Impairments on AFS securities
|
|
(127
|
)
|
|
(305
|
)
|
|
(244
|
)
|
|
(305
|
)
|
||||
Investment Fair Value Changes, Net
|
|
$
|
8,115
|
|
|
$
|
(11,066
|
)
|
|
$
|
9,666
|
|
|
$
|
(30,604
|
)
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Fixed compensation expense
|
|
$
|
5,321
|
|
|
$
|
5,875
|
|
|
$
|
11,323
|
|
|
$
|
13,769
|
|
Variable compensation expense
|
|
4,313
|
|
|
4,262
|
|
|
8,246
|
|
|
6,022
|
|
||||
Equity compensation expense
|
|
3,121
|
|
|
2,754
|
|
|
5,297
|
|
|
5,086
|
|
||||
Total compensation expense
|
|
12,755
|
|
|
12,891
|
|
|
24,866
|
|
|
24,877
|
|
||||
Systems and consulting
|
|
1,689
|
|
|
1,960
|
|
|
3,327
|
|
|
4,582
|
|
||||
Loan acquisition costs
(1)
|
|
1,005
|
|
|
1,686
|
|
|
2,210
|
|
|
3,287
|
|
||||
Office costs
|
|
1,140
|
|
|
1,065
|
|
|
2,243
|
|
|
2,445
|
|
||||
Accounting and legal
|
|
877
|
|
|
1,337
|
|
|
1,803
|
|
|
2,322
|
|
||||
Corporate costs
|
|
508
|
|
|
645
|
|
|
948
|
|
|
1,111
|
|
||||
Other operating expenses
|
|
667
|
|
|
689
|
|
|
1,470
|
|
|
1,442
|
|
||||
Operating expenses before restructuring charges
|
|
18,641
|
|
|
20,273
|
|
|
36,867
|
|
|
40,066
|
|
||||
Restructuring charges
(2)
|
|
—
|
|
|
(118
|
)
|
|
—
|
|
|
10,541
|
|
||||
Total Operating Expenses
|
|
$
|
18,641
|
|
|
$
|
20,155
|
|
|
$
|
36,867
|
|
|
$
|
50,607
|
|
(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
six
months ended June 30, 2016, restructuring charges included
$5 million
of fixed compensation expense and
$4 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.
|
|
|
June 30, 2017
|
|
June 30, 2016
|
||
Federal statutory rate
|
|
34.0
|
%
|
|
34.0
|
%
|
State statutory rate, net of Federal tax effect
|
|
7.2
|
%
|
|
7.2
|
%
|
Differences in taxable (loss) income from GAAP income
|
|
(7.2
|
)%
|
|
(32.8
|
)%
|
Change in valuation allowance
|
|
(2.9
|
)%
|
|
25.5
|
%
|
Dividends paid deduction
|
|
(17.6
|
)%
|
|
(33.2
|
)%
|
Effective Tax Rate
|
|
13.5
|
%
|
|
0.7
|
%
|
|
|
Three Months Ended June 30, 2017
|
||||||||||||||
(In Thousands)
|
|
Investment Portfolio
|
|
Residential Mortgage Banking
|
|
Corporate/
Other
|
|
Total
|
||||||||
Interest income
|
|
$
|
45,833
|
|
|
$
|
8,415
|
|
|
$
|
4,976
|
|
|
$
|
59,224
|
|
Interest expense
|
|
(7,231
|
)
|
|
(4,403
|
)
|
|
(12,600
|
)
|
|
(24,234
|
)
|
||||
Net interest income (loss)
|
|
38,602
|
|
|
4,012
|
|
|
(7,624
|
)
|
|
34,990
|
|
||||
Non-interest income
|
|
|
|
|
|
|
|
|
||||||||
Mortgage banking activities, net
|
|
—
|
|
|
12,046
|
|
|
—
|
|
|
12,046
|
|
||||
MSR income, net
|
|
2,778
|
|
|
—
|
|
|
—
|
|
|
2,778
|
|
||||
Investment fair value changes, net
|
|
9,115
|
|
|
—
|
|
|
(1,000
|
)
|
|
8,115
|
|
||||
Other income
|
|
986
|
|
|
—
|
|
|
—
|
|
|
986
|
|
||||
Realized gains, net
|
|
2,124
|
|
|
—
|
|
|
(752
|
)
|
|
1,372
|
|
||||
Total non-interest income, net
|
|
15,003
|
|
|
12,046
|
|
|
(1,752
|
)
|
|
25,297
|
|
||||
Direct operating expenses
|
|
(1,454
|
)
|
|
(6,021
|
)
|
|
(11,166
|
)
|
|
(18,641
|
)
|
||||
Provision for income taxes
|
|
(2,320
|
)
|
|
(3,002
|
)
|
|
—
|
|
|
(5,322
|
)
|
||||
Segment Contribution
|
|
$
|
49,831
|
|
|
$
|
7,035
|
|
|
$
|
(20,542
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
$
|
36,324
|
|
||||||
Non-cash amortization income (expense)
|
|
$
|
5,194
|
|
|
$
|
(27
|
)
|
|
$
|
(744
|
)
|
|
$
|
4,423
|
|
|
|
Three Months Ended June 30, 2016
|
||||||||||||||
(In Thousands)
|
|
Investment Portfolio
|
|
Residential Mortgage Banking
|
|
Corporate/
Other |
|
Total
|
||||||||
Interest income
|
|
$
|
54,046
|
|
|
$
|
7,910
|
|
|
$
|
4,831
|
|
|
$
|
66,787
|
|
Interest expense
|
|
(6,159
|
)
|
|
(3,604
|
)
|
|
(12,681
|
)
|
|
(22,444
|
)
|
||||
Net interest income (loss)
|
|
47,887
|
|
|
4,306
|
|
|
(7,850
|
)
|
|
44,343
|
|
||||
Reversal of provision for loan losses
|
|
6,532
|
|
|
—
|
|
|
—
|
|
|
6,532
|
|
||||
Non-interest income
|
|
|
|
|
|
|
|
|
||||||||
Mortgage banking activities, net
|
|
—
|
|
|
7,728
|
|
|
—
|
|
|
7,728
|
|
||||
MSR income, net
|
|
2,783
|
|
|
—
|
|
|
—
|
|
|
2,783
|
|
||||
Investment fair value changes, net
|
|
(10,779
|
)
|
|
—
|
|
|
(287
|
)
|
|
(11,066
|
)
|
||||
Other income
|
|
1,559
|
|
|
—
|
|
|
—
|
|
|
1,559
|
|
||||
Realized gains, net
|
|
9,884
|
|
|
—
|
|
|
—
|
|
|
9,884
|
|
||||
Total non-interest income, net
|
|
3,447
|
|
|
7,728
|
|
|
(287
|
)
|
|
10,888
|
|
||||
Direct operating expenses
|
|
(2,827
|
)
|
|
(6,047
|
)
|
|
(11,281
|
)
|
|
(20,155
|
)
|
||||
Provision for income taxes
|
|
(327
|
)
|
|
—
|
|
|
—
|
|
|
(327
|
)
|
||||
Segment Contribution
|
|
$
|
54,712
|
|
|
$
|
5,987
|
|
|
$
|
(19,418
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
$
|
41,281
|
|
||||||
Non-cash amortization income (expense)
|
|
$
|
6,332
|
|
|
$
|
(31
|
)
|
|
$
|
(1,005
|
)
|
|
$
|
5,296
|
|
|
|
Six Months Ended June 30, 2017
|
||||||||||||||
(In Thousands)
|
|
Investment Portfolio
|
|
Residential Mortgage Banking
|
|
Corporate/
Other |
|
Total
|
||||||||
Interest income
|
|
$
|
88,083
|
|
|
$
|
15,889
|
|
|
$
|
9,880
|
|
|
$
|
113,852
|
|
Interest expense
|
|
(12,495
|
)
|
|
(7,327
|
)
|
|
(25,443
|
)
|
|
(45,265
|
)
|
||||
Net interest income (loss)
|
|
75,588
|
|
|
8,562
|
|
|
(15,563
|
)
|
|
68,587
|
|
||||
Non-interest income
|
|
|
|
|
|
|
|
|
||||||||
Mortgage banking activities, net
|
|
—
|
|
|
29,650
|
|
|
—
|
|
|
29,650
|
|
||||
MSR income, net
|
|
4,491
|
|
|
—
|
|
|
—
|
|
|
4,491
|
|
||||
Investment fair value changes, net
|
|
12,474
|
|
|
—
|
|
|
(2,808
|
)
|
|
9,666
|
|
||||
Other income
|
|
2,170
|
|
|
—
|
|
|
—
|
|
|
2,170
|
|
||||
Realized gains, net
|
|
7,827
|
|
|
—
|
|
|
(752
|
)
|
|
7,075
|
|
||||
Total non-interest income, net
|
|
26,962
|
|
|
29,650
|
|
|
(3,560
|
)
|
|
53,052
|
|
||||
Direct operating expenses
|
|
(3,047
|
)
|
|
(11,902
|
)
|
|
(21,918
|
)
|
|
(36,867
|
)
|
||||
Provision for income taxes
|
|
(4,057
|
)
|
|
(7,422
|
)
|
|
—
|
|
|
(11,479
|
)
|
||||
Segment Contribution
|
|
$
|
95,446
|
|
|
$
|
18,888
|
|
|
$
|
(41,041
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
$
|
73,293
|
|
||||||
Non-cash amortization income (expense)
|
|
$
|
11,041
|
|
|
$
|
(54
|
)
|
|
$
|
(1,741
|
)
|
|
$
|
9,246
|
|
|
|
Six Months Ended June 30, 2016
|
||||||||||||||
(In Thousands)
|
|
Investment Portfolio
|
|
Residential Mortgage Banking
|
|
Corporate/
Other |
|
Total
|
||||||||
Interest income
|
|
$
|
102,809
|
|
|
$
|
15,779
|
|
|
$
|
10,527
|
|
|
$
|
129,115
|
|
Interest expense
|
|
(13,666
|
)
|
|
(6,893
|
)
|
|
(25,835
|
)
|
|
(46,394
|
)
|
||||
Net interest income (loss)
|
|
89,143
|
|
|
8,886
|
|
|
(15,308
|
)
|
|
82,721
|
|
||||
Reversal of provision for loan losses
|
|
6,243
|
|
|
—
|
|
|
—
|
|
|
6,243
|
|
||||
Non-interest income
|
|
|
|
|
|
|
|
|
||||||||
Mortgage banking activities, net
|
|
—
|
|
|
17,008
|
|
|
(2,062
|
)
|
|
14,946
|
|
||||
MSR income, net
|
|
9,064
|
|
|
—
|
|
|
—
|
|
|
9,064
|
|
||||
Investment fair value changes, net
|
|
(28,681
|
)
|
|
—
|
|
|
(1,923
|
)
|
|
(30,604
|
)
|
||||
Other income
|
|
2,514
|
|
|
—
|
|
|
—
|
|
|
2,514
|
|
||||
Realized gains, net
|
|
19,130
|
|
|
—
|
|
|
292
|
|
|
19,422
|
|
||||
Total non-interest income, net
|
|
2,027
|
|
|
17,008
|
|
|
(3,693
|
)
|
|
15,342
|
|
||||
Direct operating expenses
(1)
|
|
(4,938
|
)
|
|
(11,368
|
)
|
|
(34,301
|
)
|
|
(50,607
|
)
|
||||
Provision for income taxes
|
|
(355
|
)
|
|
—
|
|
|
—
|
|
|
(355
|
)
|
||||
Segment Contribution
|
|
$
|
92,120
|
|
|
$
|
14,526
|
|
|
$
|
(53,302
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
$
|
53,344
|
|
||||||
Non-cash amortization income (expense)
|
|
$
|
14,384
|
|
|
$
|
(74
|
)
|
|
$
|
(1,995
|
)
|
|
$
|
12,315
|
|
(1)
|
For the six months ended June 30, 2016,
$11 million
of costs 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.
|
|
|
Three Months Ended June 30,
|
||||||||||||||||||||||
|
|
2017
|
|
2016
|
||||||||||||||||||||
(In Thousands)
|
|
Legacy Consolidated VIEs
(1)
|
|
Other
|
|
Total
|
|
Legacy Consolidated VIEs
(1)
|
|
Other
|
|
Total
|
||||||||||||
Interest income
|
|
$
|
4,863
|
|
|
$
|
113
|
|
|
$
|
4,976
|
|
|
$
|
4,911
|
|
|
$
|
(80
|
)
|
|
$
|
4,831
|
|
Interest expense
|
|
(3,692
|
)
|
|
(8,908
|
)
|
|
(12,600
|
)
|
|
(3,271
|
)
|
|
(9,410
|
)
|
|
(12,681
|
)
|
||||||
Net interest income (loss)
|
|
1,171
|
|
|
(8,795
|
)
|
|
(7,624
|
)
|
|
1,640
|
|
|
(9,490
|
)
|
|
(7,850
|
)
|
||||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment fair value changes, net
|
|
(987
|
)
|
|
(13
|
)
|
|
(1,000
|
)
|
|
(251
|
)
|
|
(36
|
)
|
|
(287
|
)
|
||||||
Realized gains, net
|
|
—
|
|
|
(752
|
)
|
|
(752
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Total non-interest income, net
|
|
(987
|
)
|
|
(765
|
)
|
|
(1,752
|
)
|
|
(251
|
)
|
|
(36
|
)
|
|
(287
|
)
|
||||||
Direct operating expenses
|
|
—
|
|
|
(11,166
|
)
|
|
(11,166
|
)
|
|
—
|
|
|
(11,281
|
)
|
|
(11,281
|
)
|
||||||
Total
|
|
$
|
184
|
|
|
$
|
(20,726
|
)
|
|
$
|
(20,542
|
)
|
|
$
|
1,389
|
|
|
$
|
(20,807
|
)
|
|
$
|
(19,418
|
)
|
|
|
Six Months Ended June 30,
|
||||||||||||||||||||||
|
|
2017
|
|
2016
|
||||||||||||||||||||
(In Thousands)
|
|
Legacy Consolidated
VIEs
(1)
|
|
Other
|
|
Total
|
|
Legacy Consolidated
VIEs
(1)
|
|
Other
|
|
Total
|
||||||||||||
Interest income
|
|
$
|
9,701
|
|
|
$
|
179
|
|
|
$
|
9,880
|
|
|
$
|
9,688
|
|
|
$
|
839
|
|
|
$
|
10,527
|
|
Interest expense
|
|
(7,208
|
)
|
|
(18,235
|
)
|
|
(25,443
|
)
|
|
(6,568
|
)
|
|
(19,267
|
)
|
|
(25,835
|
)
|
||||||
Net interest income (loss)
|
|
2,493
|
|
|
(18,056
|
)
|
|
(15,563
|
)
|
|
3,120
|
|
|
(18,428
|
)
|
|
(15,308
|
)
|
||||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage banking activities, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,062
|
)
|
|
(2,062
|
)
|
||||||
Investment fair value changes, net
|
|
(2,797
|
)
|
|
(11
|
)
|
|
(2,808
|
)
|
|
(1,831
|
)
|
|
(92
|
)
|
|
(1,923
|
)
|
||||||
Realized gains, net
|
|
—
|
|
|
(752
|
)
|
|
(752
|
)
|
|
—
|
|
|
292
|
|
|
292
|
|
||||||
Total non-interest income, net
|
|
(2,797
|
)
|
|
(763
|
)
|
|
(3,560
|
)
|
|
(1,831
|
)
|
|
(1,862
|
)
|
|
(3,693
|
)
|
||||||
Direct operating expenses
|
|
—
|
|
|
(21,918
|
)
|
|
(21,918
|
)
|
|
—
|
|
|
(34,301
|
)
|
|
(34,301
|
)
|
||||||
Total
|
|
$
|
(304
|
)
|
|
$
|
(40,737
|
)
|
|
$
|
(41,041
|
)
|
|
$
|
1,289
|
|
|
$
|
(54,591
|
)
|
|
$
|
(53,302
|
)
|
(1)
|
Legacy consolidated VIEs represent legacy Sequoia entities that are consolidated for GAAP financial reporting purposes. See
Note 4
for further discussion on VIEs.
|
(In Thousands)
|
|
Investment Portfolio
|
|
Residential Mortgage Banking
|
|
Corporate/
Other
|
|
Total
|
||||||||
June 30, 2017
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
2,360,234
|
|
|
$
|
837,371
|
|
|
$
|
707,686
|
|
|
$
|
3,905,291
|
|
Real estate securities
|
|
1,218,503
|
|
|
—
|
|
|
—
|
|
|
1,218,503
|
|
||||
Mortgage servicing rights
|
|
63,770
|
|
|
—
|
|
|
—
|
|
|
63,770
|
|
||||
Total assets
|
|
3,809,618
|
|
|
859,706
|
|
|
986,158
|
|
|
5,655,482
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2016
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
2,261,016
|
|
|
$
|
835,399
|
|
|
$
|
791,636
|
|
|
$
|
3,888,051
|
|
Real estate securities
|
|
1,018,439
|
|
|
—
|
|
|
—
|
|
|
1,018,439
|
|
||||
Mortgage servicing rights
|
|
118,526
|
|
|
—
|
|
|
—
|
|
|
118,526
|
|
||||
Total assets
|
|
3,615,535
|
|
|
866,356
|
|
|
1,001,586
|
|
|
5,483,477
|
|
•
|
Overview
|
•
|
Results of Operations
|
•
|
Liquidity and Capital Resources
|
•
|
Off Balance Sheet Arrangements and Contractual Obligations
|
•
|
Critical Accounting Policies and Estimates
|
•
|
New Accounting Standards
|
•
|
the pace at which we redeploy our available capital into new investments;
|
•
|
interest rate volatility, changes in credit spreads, and changes in liquidity in the market for real estate securities and loans;
|
•
|
changes in the demand from investors for residential mortgages and investments, and our ability to distribute residential mortgages through our whole-loan distribution channel;
|
•
|
our ability to finance our investments in securities and our acquisition of residential mortgages with short-term debt;
|
•
|
changes in the values of assets we own;
|
•
|
general economic trends, the performance of the housing, real estate, mortgage, credit, and broader financial markets, and their effects on the prices of earning assets and the credit status of borrowers;
|
•
|
federal and state legislative and regulatory developments, and the actions of governmental authorities, including the new U.S. presidential administration, and in particular those affecting the mortgage industry or our business (including, but not limited to, the Federal Housing Finance Agency’s rules relating to FHLB membership requirements and the implications for our captive insurance subsidiary’s membership in the FHLB);
|
•
|
strategic business and capital deployment decisions we make;
|
•
|
developments related to the fixed income and mortgage finance markets and the Federal Reserve’s statements regarding its future open market activity and monetary policy;
|
•
|
our exposure to credit risk and the timing of credit losses within our portfolio;
|
•
|
the concentration of the credit risks we are exposed to, including due to the structure of assets we hold and the geographical concentration of real estate underlying assets we own;
|
•
|
our exposure to adjustable-rate mortgage loans;
|
•
|
the efficacy and expense of our efforts to manage or hedge credit risk, interest rate risk, and other financial and operational risks;
|
•
|
changes in credit ratings on assets we own and changes in the rating agencies’ credit rating methodologies;
|
•
|
changes in interest rates; changes in mortgage prepayment rates;
|
•
|
changes in liquidity in the market for real estate securities and loans;
|
•
|
our ability to finance the acquisition of real estate-related assets with short-term debt;
|
•
|
the ability of counterparties to satisfy their obligations to us;
|
•
|
our involvement in securitization transactions, the profitability of those transactions, and the risks we are exposed to in engaging in securitization transactions;
|
•
|
exposure to claims and litigation, including litigation arising from our involvement in securitization transactions;
|
•
|
ongoing litigation against various trustees of RMBS transactions;
|
•
|
whether we have sufficient liquid assets to meet short-term needs;
|
•
|
our ability to successfully compete and retain or attract key personnel;
|
•
|
our ability to adapt our business model and strategies to changing circumstances;
|
•
|
changes in our investment, financing, and hedging strategies and new risks we may be exposed to if we expand our business activities;
|
•
|
our exposure to a disruption or breach of the security of our technology infrastructure and systems;
|
•
|
exposure to environmental liabilities;
|
•
|
our failure to comply with applicable laws and regulations;
|
•
|
our failure to maintain appropriate internal controls over financial reporting and disclosure controls and procedures;
|
•
|
the impact on our reputation that could result from our actions or omissions or from those of others; changes in accounting principles and tax rules;
|
•
|
our ability to maintain our status as a REIT for tax purposes;
|
•
|
limitations imposed on our business due to our REIT status and our status as exempt from registration under the Investment Company Act of 1940;
|
•
|
decisions about raising, managing, and distributing capital; and
|
•
|
other factors not presently identified.
|
•
|
Our GAAP earnings were
$0.43
per share for the
second
quarter of
2017
, consistent with
$0.43
per share for the
first
quarter of
2017
. GAAP earnings during the second quarter benefited from higher net interest income due to capital deployment and positive fair value adjustments on securities in our investment portfolio due to continued spread tightening.
|
•
|
Our GAAP book value was
$15.29
per share at
June 30, 2017
, as compared with
$15.13
per share at
March 31, 2017
. This increase was primarily driven by our quarterly earnings exceeding our dividend.
|
•
|
We deployed
$78 million
of capital in the
second
quarter of
2017
toward new investments, including
$36 million
in Sequoia and third-party RMBS,
$35 million
in Agency residential CRT securities, and
$7 million
in Agency multifamily securities. Additionally, we repurchased $37 million of our convertible debt during the
second
quarter.
|
•
|
During the second quarter of 2017, we sold
$72 million
of securities and
$41 million
of MSRs, representing substantially all of our remaining conforming MSRs. These sales freed up
$79 million
of capital for reinvestment after the repayment of associated debt.
|
•
|
We purchased
$1.22 billion
of residential jumbo loans during the
second
quarter of
2017
. At
June 30, 2017
, our pipeline of jumbo residential loans identified for purchase was
$1.25 billion
.
|
•
|
Residential loan sales totaled
$695 million
during the
second
quarter of
2017
and included $333 million of whole loan sales to third parties and $362 million of loans that were securitized.
|
|
|
Three Months Ended
|
|
Six Months Ended
|
||||
(In Thousands, except per Share Data)
|
|
June 30, 2017
|
|
June 30, 2017
|
||||
Net income
|
|
$
|
36,324
|
|
|
$
|
73,293
|
|
Net income per diluted common share
|
|
$
|
0.43
|
|
|
$
|
0.85
|
|
Annualized GAAP return on equity
|
|
12
|
%
|
|
13
|
%
|
||
REIT taxable income per share
|
|
$
|
0.25
|
|
|
$
|
0.47
|
|
Dividends per share
|
|
$
|
0.28
|
|
|
$
|
0.56
|
|
|
|
Three Months Ended
|
|
Six Months Ended
|
||||
(In Dollars, per share basis)
|
|
June 30, 2017
|
|
June 30, 2017
|
||||
Beginning book value per share
|
|
$
|
15.13
|
|
|
$
|
14.96
|
|
Net income
|
|
0.43
|
|
|
0.85
|
|
||
Changes in unrealized gains on securities, net from:
|
|
|
|
|
||||
Realized gains recognized in net income
|
|
(0.02
|
)
|
|
(0.06
|
)
|
||
Amortization income recognized in net income
|
|
(0.05
|
)
|
|
(0.10
|
)
|
||
Mark-to-market adjustments, net
|
|
0.09
|
|
|
0.20
|
|
||
Total change in unrealized gains on securities, net
|
|
0.02
|
|
|
0.04
|
|
||
Dividends
|
|
(0.28
|
)
|
|
(0.56
|
)
|
||
Equity compensation, net
|
|
—
|
|
|
(0.01
|
)
|
||
Changes in unrealized losses on derivatives hedging long-term debt
|
|
(0.03
|
)
|
|
0.02
|
|
||
Other, net
|
|
0.02
|
|
|
(0.01
|
)
|
||
Ending Book Value per Share
|
|
$
|
15.29
|
|
|
$
|
15.29
|
|
At June 30, 2017
|
|
|
|
|
|
|
|
|
|||||||
(Dollars in Thousands)
|
|
Fair Value
|
|
Collateralized Debt
|
|
Allocated Capital
|
|
% of Total Capital
|
|||||||
Investment portfolio
|
|
|
|
|
|
|
|
|
|||||||
Residential loans/FHLB stock
|
|
$
|
2,403,627
|
|
|
$
|
(1,999,999
|
)
|
|
$
|
403,628
|
|
|
23
|
%
|
Residential securities
|
|
1,048,194
|
|
|
(348,813
|
)
|
|
699,381
|
|
|
39
|
%
|
|||
Commercial/Multifamily securities
(1)
|
|
170,309
|
|
|
(120,678
|
)
|
|
49,631
|
|
|
3
|
%
|
|||
Mortgage servicing rights
|
|
63,770
|
|
|
—
|
|
|
63,770
|
|
|
4
|
%
|
|||
Other assets/(other liabilities)
|
|
123,718
|
|
|
(59,108
|
)
|
|
64,610
|
|
|
4
|
%
|
|||
Cash and liquidity capital
|
|
|
|
|
|
314,764
|
|
|
17
|
%
|
|||||
Total investment portfolio
|
|
$
|
3,809,618
|
|
|
$
|
(2,528,598
|
)
|
|
1,595,784
|
|
|
90
|
%
|
|
Residential mortgage banking
|
|
|
|
|
|
170,000
|
|
|
10
|
%
|
|||||
Total
|
|
|
|
|
|
$
|
1,765,784
|
|
|
100
|
%
|
(1)
|
Includes
$150 million
of multifamily securities and
$20 million
of investment grade CMBS.
|
|
|
Three Months Ended June 30,
|
|
|
|
|
Six Months Ended June 30,
|
|
|
||||||||||||||||
(In Thousands, except per Share Data)
|
|
2017
|
|
2016
|
|
Change
|
|
|
2017
|
|
2016
|
|
Change
|
||||||||||||
Net Interest Income
|
|
$
|
34,990
|
|
|
$
|
44,343
|
|
|
$
|
(9,353
|
)
|
|
|
$
|
68,587
|
|
|
$
|
82,721
|
|
|
$
|
(14,134
|
)
|
Reversal of provision for loan losses
|
|
—
|
|
|
6,532
|
|
|
(6,532
|
)
|
|
|
—
|
|
|
6,243
|
|
|
(6,243
|
)
|
||||||
Net Interest Income After Provision
|
|
34,990
|
|
|
50,875
|
|
|
(15,885
|
)
|
|
|
68,587
|
|
|
88,964
|
|
|
(20,377
|
)
|
||||||
Non-interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Mortgage banking activities, net
|
|
12,046
|
|
|
7,728
|
|
|
4,318
|
|
|
|
29,650
|
|
|
14,946
|
|
|
14,704
|
|
||||||
MSR income, net
|
|
2,778
|
|
|
2,783
|
|
|
(5
|
)
|
|
|
4,491
|
|
|
9,064
|
|
|
(4,573
|
)
|
||||||
Investment fair value changes, net
|
|
8,115
|
|
|
(11,066
|
)
|
|
19,181
|
|
|
|
9,666
|
|
|
(30,604
|
)
|
|
40,270
|
|
||||||
Other income
|
|
986
|
|
|
1,559
|
|
|
(573
|
)
|
|
|
2,170
|
|
|
2,514
|
|
|
(344
|
)
|
||||||
Realized gains, net
|
|
1,372
|
|
|
9,884
|
|
|
(8,512
|
)
|
|
|
7,075
|
|
|
19,422
|
|
|
(12,347
|
)
|
||||||
Total non-interest income, net
|
|
25,297
|
|
|
10,888
|
|
|
14,409
|
|
|
|
53,052
|
|
|
15,342
|
|
|
37,710
|
|
||||||
Operating expenses
|
|
(18,641
|
)
|
|
(20,155
|
)
|
|
1,514
|
|
|
|
(36,867
|
)
|
|
(50,607
|
)
|
|
13,740
|
|
||||||
Net income before income taxes
|
|
41,646
|
|
|
41,608
|
|
|
38
|
|
|
|
84,772
|
|
|
53,699
|
|
|
31,073
|
|
||||||
Provision for income taxes
|
|
(5,322
|
)
|
|
(327
|
)
|
|
(4,995
|
)
|
|
|
(11,479
|
)
|
|
(355
|
)
|
|
(11,124
|
)
|
||||||
Net Income
|
|
$
|
36,324
|
|
|
$
|
41,281
|
|
|
$
|
(4,957
|
)
|
|
|
$
|
73,293
|
|
|
$
|
53,344
|
|
|
$
|
19,949
|
|
Diluted earnings per common share
|
|
$
|
0.43
|
|
|
$
|
0.48
|
|
|
$
|
(0.05
|
)
|
|
|
$
|
0.85
|
|
|
$
|
0.67
|
|
|
$
|
0.18
|
|
|
|
Three Months Ended June 30,
|
||||||||||||||||||||
|
|
2017
|
|
2016
|
||||||||||||||||||
(Dollars in Thousands)
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
||||||||||
Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans, held-for-sale
|
|
$
|
8,364
|
|
|
$
|
809,231
|
|
|
4.1
|
%
|
|
$
|
7,911
|
|
|
$
|
892,695
|
|
|
3.5
|
%
|
Residential loans - HFI at Redwood
(2)
|
|
23,408
|
|
|
2,358,355
|
|
|
4.0
|
%
|
|
22,333
|
|
|
2,288,560
|
|
|
3.9
|
%
|
||||
Residential loans - HFI at Sequoia
(2)
|
|
4,863
|
|
|
716,778
|
|
|
2.7
|
%
|
|
4,910
|
|
|
895,359
|
|
|
2.2
|
%
|
||||
Commercial loans
|
|
263
|
|
|
1,602
|
|
|
N/A
|
|
|
12,921
|
|
|
332,387
|
|
|
15.5
|
%
|
||||
Trading securities
|
|
10,713
|
|
|
666,009
|
|
|
6.4
|
%
|
|
5,082
|
|
|
245,880
|
|
|
8.3
|
%
|
||||
Available-for-sale securities
|
|
11,113
|
|
|
444,179
|
|
|
10.0
|
%
|
|
13,335
|
|
|
515,596
|
|
|
10.3
|
%
|
||||
Other interest income
|
|
500
|
|
|
191,722
|
|
|
1.0
|
%
|
|
295
|
|
|
268,706
|
|
|
0.4
|
%
|
||||
Total interest income
|
|
59,224
|
|
|
5,187,876
|
|
|
4.6
|
%
|
|
66,787
|
|
|
5,439,183
|
|
|
4.9
|
%
|
||||
Interest Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt facilities
|
|
(6,563
|
)
|
|
1,039,741
|
|
|
(2.5
|
)%
|
|
(5,337
|
)
|
|
1,103,082
|
|
|
(1.9
|
)%
|
||||
Short-term debt - convertible notes, net
|
|
(2,787
|
)
|
|
226,385
|
|
|
(4.9
|
)%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
ABS issued - Redwood
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
(711
|
)
|
|
32,906
|
|
|
(8.6
|
)%
|
||||
ABS issued - Sequoia
(2)
|
|
(3,705
|
)
|
|
700,549
|
|
|
(2.1
|
)%
|
|
(3,271
|
)
|
|
874,075
|
|
|
(1.5
|
)%
|
||||
Long-term debt - FHLBC
|
|
(5,071
|
)
|
|
1,999,999
|
|
|
(1.0
|
)%
|
|
(2,973
|
)
|
|
1,999,999
|
|
|
(0.6
|
)%
|
||||
Long-term debt - other
|
|
(6,108
|
)
|
|
379,972
|
|
|
(6.4
|
)%
|
|
(10,152
|
)
|
|
683,882
|
|
|
(5.9
|
)%
|
||||
Total interest expense
|
|
(24,234
|
)
|
|
4,346,646
|
|
|
(2.2
|
)%
|
|
(22,444
|
)
|
|
4,693,944
|
|
|
(1.9
|
)%
|
||||
Net Interest Income
|
|
$
|
34,990
|
|
|
|
|
|
|
$
|
44,343
|
|
|
|
|
|
|
|
Six Months Ended June 30,
|
||||||||||||||||||||
|
|
2017
|
|
2016
|
||||||||||||||||||
(Dollars in Thousands)
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
||||||||||
Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans, held-for-sale
|
|
$
|
15,850
|
|
|
$
|
778,361
|
|
|
4.1
|
%
|
|
$
|
15,228
|
|
|
$
|
832,002
|
|
|
3.7
|
%
|
Residential loans - HFI at Redwood
(2)
|
|
45,446
|
|
|
2,304,664
|
|
|
3.9
|
%
|
|
41,639
|
|
|
2,137,598
|
|
|
3.9
|
%
|
||||
Residential loans - HFI at Sequoia
(2)
|
|
9,701
|
|
|
736,948
|
|
|
2.6
|
%
|
|
9,687
|
|
|
937,128
|
|
|
2.1
|
%
|
||||
Commercial loans
|
|
345
|
|
|
2,148
|
|
|
N/A
|
|
|
22,381
|
|
|
376,131
|
|
|
11.9
|
%
|
||||
Trading securities
|
|
18,930
|
|
|
596,236
|
|
|
6.3
|
%
|
|
9,808
|
|
|
256,921
|
|
|
7.6
|
%
|
||||
Available-for-sale securities
|
|
22,713
|
|
|
451,275
|
|
|
10.1
|
%
|
|
29,704
|
|
|
585,850
|
|
|
10.1
|
%
|
||||
Other interest income
|
|
867
|
|
|
215,211
|
|
|
0.8
|
%
|
|
668
|
|
|
364,344
|
|
|
0.4
|
%
|
||||
Total interest income
|
|
113,852
|
|
|
5,084,843
|
|
|
4.5
|
%
|
|
129,115
|
|
|
5,489,974
|
|
|
4.7
|
%
|
||||
Interest Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Short-term debt facilities
|
|
(11,016
|
)
|
|
917,585
|
|
|
(2.4
|
)%
|
|
(12,034
|
)
|
|
1,189,863
|
|
|
(2.0
|
)%
|
||||
Short-term debt - convertible notes, net
|
|
(2,787
|
)
|
|
113,818
|
|
|
(4.9
|
)%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
ABS issued - Redwood
|
|
—
|
|
|
—
|
|
|
—
|
%
|
|
(1,695
|
)
|
|
42,551
|
|
|
(8.0
|
)%
|
||||
ABS issued - Sequoia
(2)
|
|
(7,235
|
)
|
|
719,882
|
|
|
(2.0
|
)%
|
|
(6,569
|
)
|
|
914,737
|
|
|
(1.4
|
)%
|
||||
Long-term debt - FHLBC
|
|
(8,806
|
)
|
|
1,999,999
|
|
|
(0.9
|
)%
|
|
(5,742
|
)
|
|
1,961,734
|
|
|
(0.6
|
)%
|
||||
Long-term debt - other
|
|
(15,421
|
)
|
|
499,932
|
|
|
(6.2
|
)%
|
|
(20,354
|
)
|
|
683,833
|
|
|
(6.0
|
)%
|
||||
Total interest expense
|
|
(45,265
|
)
|
|
4,251,216
|
|
|
(2.1
|
)%
|
|
(46,394
|
)
|
|
4,792,718
|
|
|
(1.9
|
)%
|
||||
Net Interest Income
|
|
$
|
68,587
|
|
|
|
|
|
|
$
|
82,721
|
|
|
|
|
|
(1)
|
Average balances for residential 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.
|
|
|
Three Months Ended June 30,
|
|
|
|
|
Six Months Ended June 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
Change
|
|
|
2017
|
|
2016
|
|
Change
|
||||||||||||
Net Interest Income by Segment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment Portfolio
|
|
$
|
38,602
|
|
|
$
|
47,887
|
|
|
$
|
(9,285
|
)
|
|
|
$
|
75,588
|
|
|
$
|
89,143
|
|
|
$
|
(13,555
|
)
|
Residential Mortgage Banking
|
|
4,012
|
|
|
4,306
|
|
|
(294
|
)
|
|
|
8,562
|
|
|
8,886
|
|
|
(324
|
)
|
||||||
Corporate/Other
|
|
(7,624
|
)
|
|
(7,850
|
)
|
|
226
|
|
|
|
(15,563
|
)
|
|
(15,308
|
)
|
|
(255
|
)
|
||||||
Net Interest Income
|
|
$
|
34,990
|
|
|
$
|
44,343
|
|
|
$
|
(9,353
|
)
|
|
|
$
|
68,587
|
|
|
$
|
82,721
|
|
|
$
|
(14,134
|
)
|
June 30, 2017
|
|
Residential Loans Held-for-Sale
|
|
Residential
Securities
|
||
Asset yield
|
|
4.34
|
%
|
|
5.17
|
%
|
Short-term debt yield
|
|
2.80
|
%
|
|
2.35
|
%
|
Net Spread
|
|
1.54
|
%
|
|
2.82
|
%
|
|
|
Three Months Ended June 30,
|
|
|
|
|
Six Months Ended June 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
Change
|
|
|
2017
|
|
2016
|
|
Change
|
||||||||||||
Segment Contribution from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment Portfolio
|
|
$
|
49,831
|
|
|
$
|
54,712
|
|
|
$
|
(4,881
|
)
|
|
|
$
|
95,446
|
|
|
$
|
92,120
|
|
|
$
|
3,326
|
|
Residential Mortgage Banking
|
|
7,035
|
|
|
5,987
|
|
|
1,048
|
|
|
|
18,888
|
|
|
14,526
|
|
|
4,362
|
|
||||||
Corporate/Other
|
|
(20,542
|
)
|
|
(19,418
|
)
|
|
(1,124
|
)
|
|
|
(41,041
|
)
|
|
(53,302
|
)
|
|
12,261
|
|
||||||
Net Income
|
|
$
|
36,324
|
|
|
$
|
41,281
|
|
|
$
|
(4,957
|
)
|
|
|
$
|
73,293
|
|
|
$
|
53,344
|
|
|
$
|
19,949
|
|
|
|
Three Months Ended June 30,
|
|
|
|
|
Six Months Ended June 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
Change
|
|
|
2017
|
|
2016
|
|
Change
|
||||||||||||
Interest income
|
|
$
|
45,833
|
|
|
$
|
54,046
|
|
|
$
|
(8,213
|
)
|
|
|
$
|
88,083
|
|
|
$
|
102,809
|
|
|
$
|
(14,726
|
)
|
Interest expense
|
|
(7,231
|
)
|
|
(6,159
|
)
|
|
(1,072
|
)
|
|
|
(12,495
|
)
|
|
(13,666
|
)
|
|
1,171
|
|
||||||
Net interest income
|
|
38,602
|
|
|
47,887
|
|
|
(9,285
|
)
|
|
|
75,588
|
|
|
89,143
|
|
|
(13,555
|
)
|
||||||
Reversal of provision for loan losses
|
|
—
|
|
|
6,532
|
|
|
(6,532
|
)
|
|
|
—
|
|
|
6,243
|
|
|
(6,243
|
)
|
||||||
Net Interest Income after Provision
|
|
38,602
|
|
|
54,419
|
|
|
(15,817
|
)
|
|
|
75,588
|
|
|
95,386
|
|
|
(19,798
|
)
|
||||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
MSR income, net
|
|
2,778
|
|
|
2,783
|
|
|
(5
|
)
|
|
|
4,491
|
|
|
9,064
|
|
|
(4,573
|
)
|
||||||
Investment fair value changes, net
|
|
9,115
|
|
|
(10,779
|
)
|
|
19,894
|
|
|
|
12,474
|
|
|
(28,681
|
)
|
|
41,155
|
|
||||||
Other income
|
|
986
|
|
|
1,559
|
|
|
(573
|
)
|
|
|
2,170
|
|
|
2,514
|
|
|
(344
|
)
|
||||||
Realized gains, net
|
|
2,124
|
|
|
9,884
|
|
|
(7,760
|
)
|
|
|
7,827
|
|
|
19,130
|
|
|
(11,303
|
)
|
||||||
Total non-interest income, net
|
|
15,003
|
|
|
3,447
|
|
|
11,556
|
|
|
|
26,962
|
|
|
2,027
|
|
|
24,935
|
|
||||||
Direct operating expenses
|
|
(1,454
|
)
|
|
(2,827
|
)
|
|
1,373
|
|
|
|
(3,047
|
)
|
|
(4,938
|
)
|
|
1,891
|
|
||||||
Segment contribution before income taxes
|
|
52,151
|
|
|
55,039
|
|
|
(2,888
|
)
|
|
|
99,503
|
|
|
92,475
|
|
|
7,028
|
|
||||||
Provision for income taxes
|
|
(2,320
|
)
|
|
(327
|
)
|
|
(1,993
|
)
|
|
|
(4,057
|
)
|
|
(355
|
)
|
|
(3,702
|
)
|
||||||
Total Segment Contribution
|
|
$
|
49,831
|
|
|
$
|
54,712
|
|
|
$
|
(4,881
|
)
|
|
|
$
|
95,446
|
|
|
$
|
92,120
|
|
|
$
|
3,326
|
|
(In Thousands)
|
|
June 30, 2017
|
|
December 31, 2016
|
|
Change
|
||||||
Residential loans
held-for-investment
|
|
$
|
2,360,234
|
|
|
$
|
2,261,016
|
|
|
$
|
99,218
|
|
Residential securities
|
|
1,048,194
|
|
|
926,669
|
|
|
121,525
|
|
|||
Commercial/Multifamily securities
|
|
170,309
|
|
|
91,770
|
|
|
78,539
|
|
|||
Mortgage servicing rights
|
|
63,770
|
|
|
118,526
|
|
|
(54,756
|
)
|
|||
Other assets
|
|
167,111
|
|
|
217,554
|
|
|
(50,443
|
)
|
|||
Total Assets at Investment Portfolio
|
|
$
|
3,809,618
|
|
|
$
|
3,615,535
|
|
|
$
|
194,083
|
|
|
|
Three Months Ended June 30,
|
|
|
|
|
Six Months Ended June 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
Change
|
|
|
2017
|
|
2016
|
|
Change
|
||||||||||||
Net interest income from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
HFI residential loans
|
|
$
|
18,337
|
|
|
$
|
19,360
|
|
|
$
|
(1,023
|
)
|
|
|
$
|
36,640
|
|
|
$
|
35,889
|
|
|
$
|
751
|
|
Residential securities
|
|
17,950
|
|
|
16,500
|
|
|
1,450
|
|
|
|
34,864
|
|
|
34,734
|
|
|
130
|
|
||||||
Commercial/Multifamily securities
|
|
1,716
|
|
|
200
|
|
|
1,516
|
|
|
|
3,090
|
|
|
351
|
|
|
2,739
|
|
||||||
Commercial mezzanine loans
|
|
263
|
|
|
11,444
|
|
|
(11,181
|
)
|
|
|
345
|
|
|
17,566
|
|
|
(17,221
|
)
|
||||||
Other interest income
|
|
336
|
|
|
383
|
|
|
(47
|
)
|
|
|
649
|
|
|
603
|
|
|
46
|
|
||||||
NII from Investment Portfolio
|
|
$
|
38,602
|
|
|
$
|
47,887
|
|
|
$
|
(9,285
|
)
|
|
|
$
|
75,588
|
|
|
$
|
89,143
|
|
|
$
|
(13,555
|
)
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Investment Fair Value Changes, Net
|
|
|
|
|
|
|
|
|
||||||||
Market valuation changes:
|
|
|
|
|
|
|
|
|
||||||||
Residential loans held-for-investment
(1)
|
|
$
|
8,354
|
|
|
$
|
(647
|
)
|
|
$
|
6,021
|
|
|
$
|
22,816
|
|
Residential trading securities
|
|
12,212
|
|
|
(451
|
)
|
|
17,128
|
|
|
(5,916
|
)
|
||||
Commercial/Multifamily trading securities
|
|
6,714
|
|
|
882
|
|
|
12,941
|
|
|
745
|
|
||||
Risk sharing investments
|
|
(513
|
)
|
|
(694
|
)
|
|
(718
|
)
|
|
(704
|
)
|
||||
Risk management derivatives
|
|
(17,825
|
)
|
|
(9,564
|
)
|
|
(22,954
|
)
|
|
(45,317
|
)
|
||||
Valuation adjustments on commercial loans
|
|
300
|
|
|
—
|
|
|
300
|
|
|
—
|
|
||||
Impairments on AFS securities
|
|
(127
|
)
|
|
(305
|
)
|
|
(244
|
)
|
|
(305
|
)
|
||||
Investment Fair Value Changes, Net
|
|
$
|
9,115
|
|
|
$
|
(10,779
|
)
|
|
$
|
12,474
|
|
|
$
|
(28,681
|
)
|
(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.
|
|
|
Three Months Ended June 30,
|
|
|
|
|
Six Months Ended June 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
Change
|
|
|
2017
|
|
2016
|
|
Change
|
||||||||||||
Market valuation changes:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Residential loans held-for-investment
|
|
$
|
(6,078
|
)
|
|
$
|
(12,137
|
)
|
|
$
|
6,059
|
|
|
|
$
|
(12,477
|
)
|
|
$
|
(22,405
|
)
|
|
$
|
9,928
|
|
Residential trading securities
|
|
9,835
|
|
|
1,944
|
|
|
7,891
|
|
|
|
13,795
|
|
|
(5,543
|
)
|
|
19,338
|
|
||||||
Commercial/Multifamily trading securities
|
|
5,997
|
|
|
342
|
|
|
5,655
|
|
|
|
12,117
|
|
|
205
|
|
|
11,912
|
|
||||||
Other valuation changes
|
|
(639
|
)
|
|
(928
|
)
|
|
289
|
|
|
|
(961
|
)
|
|
(938
|
)
|
|
(23
|
)
|
||||||
Investment Portfolio Fair Value Changes, Net
|
|
$
|
9,115
|
|
|
$
|
(10,779
|
)
|
|
$
|
19,894
|
|
|
|
$
|
12,474
|
|
|
$
|
(28,681
|
)
|
|
$
|
41,155
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Net servicing fee income
|
|
$
|
5,852
|
|
|
$
|
8,870
|
|
|
$
|
11,379
|
|
|
$
|
18,516
|
|
Changes in fair value of MSR from the receipt of expected cash flows
|
|
(3,065
|
)
|
|
(5,785
|
)
|
|
(5,478
|
)
|
|
(12,061
|
)
|
||||
MSR reversal of provision for repurchases
|
|
307
|
|
|
25
|
|
|
312
|
|
|
207
|
|
||||
MSR income before the effect of changes in interest rates and other assumptions
|
|
3,094
|
|
|
3,110
|
|
|
6,213
|
|
|
6,662
|
|
||||
Changes in fair value of MSRs from interest rates and other assumptions
(1)
|
|
(3,356
|
)
|
|
(21,480
|
)
|
|
(4,013
|
)
|
|
(59,808
|
)
|
||||
Changes in fair value of associated derivatives
|
|
3,040
|
|
|
21,153
|
|
|
2,291
|
|
|
62,210
|
|
||||
Total net effect of changes in assumptions and rates
|
|
(316
|
)
|
|
(327
|
)
|
|
(1,722
|
)
|
|
2,402
|
|
||||
MSR Income, Net
|
|
$
|
2,778
|
|
|
$
|
2,783
|
|
|
$
|
4,491
|
|
|
$
|
9,064
|
|
(1)
|
Primarily reflects changes in prepayment assumptions on our MSRs due to changes in benchmark interest rates.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Fair value at beginning of period
|
|
$
|
2,350,013
|
|
|
$
|
2,343,953
|
|
|
$
|
2,261,016
|
|
|
$
|
1,791,195
|
|
Transfers between portfolios
(1)
|
|
61,922
|
|
|
63,328
|
|
|
246,918
|
|
|
669,354
|
|
||||
Principal repayments
|
|
(60,055
|
)
|
|
(129,073
|
)
|
|
(153,721
|
)
|
|
(205,804
|
)
|
||||
Changes in fair value, net
|
|
8,354
|
|
|
(647
|
)
|
|
6,021
|
|
|
22,816
|
|
||||
Fair Value at End of Period
|
|
$
|
2,360,234
|
|
|
$
|
2,277,561
|
|
|
$
|
2,360,234
|
|
|
$
|
2,277,561
|
|
(1)
|
Represents the net transfers of loans into our Investment Portfolio segment from our Residential Mortgage Banking segment and their reclassification from held-for-sale to held-for-investment.
|
June 30, 2017
|
|
|
|
|
|||
(Dollars in Thousands)
|
|
Principal Balance
|
|
Weighted Average Coupon
|
|||
Fixed - 30 year
|
|
$
|
2,179,786
|
|
|
4.15
|
%
|
Fixed - 15, 20, & 25 year
|
|
67,346
|
|
|
3.64
|
%
|
|
Hybrid
|
|
76,744
|
|
|
4.04
|
%
|
|
Total Outstanding Principal
|
|
$
|
2,323,876
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Three Months Ended June 30, 2017
|
|
Senior
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||||||
(In Thousands)
|
|
Residential
|
|
Residential
(1)
|
|
Residential
|
|
Commercial
|
|
|||||||||||
Beginning fair value
|
|
$
|
176,099
|
|
|
$
|
73,730
|
|
|
$
|
777,430
|
|
|
$
|
138,681
|
|
|
$
|
1,165,940
|
|
Acquisitions
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Sequoia securities
|
|
2,416
|
|
|
—
|
|
|
9,777
|
|
|
—
|
|
|
12,193
|
|
|||||
Third-party securities
|
|
10,426
|
|
|
—
|
|
|
57,147
|
|
|
37,094
|
|
|
104,667
|
|
|||||
Sales
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Sequoia securities
|
|
—
|
|
|
—
|
|
|
(17,704
|
)
|
|
—
|
|
|
(17,704
|
)
|
|||||
Third-party securities
|
|
(1,631
|
)
|
|
—
|
|
|
(41,187
|
)
|
|
(11,709
|
)
|
|
(54,527
|
)
|
|||||
Gains on sales and calls, net
|
|
1,003
|
|
|
—
|
|
|
1,121
|
|
|
—
|
|
|
2,124
|
|
|||||
Effect of principal payments
(2)
|
|
(7,828
|
)
|
|
(488
|
)
|
|
(7,050
|
)
|
|
(488
|
)
|
|
(15,854
|
)
|
|||||
Change in fair value, net
|
|
(3,523
|
)
|
|
95
|
|
|
18,361
|
|
|
6,731
|
|
|
21,664
|
|
|||||
Ending Fair Value
|
|
$
|
176,962
|
|
|
$
|
73,337
|
|
|
$
|
797,895
|
|
|
$
|
170,309
|
|
|
$
|
1,218,503
|
|
Six Months Ended June 30, 2017
|
|
Senior
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||||||
(In Thousands)
|
|
Residential
|
|
Residential
(1)
|
|
Residential
|
|
Commercial
|
|
|||||||||||
Beginning fair value
|
|
$
|
173,613
|
|
|
$
|
85,479
|
|
|
$
|
667,577
|
|
|
$
|
91,770
|
|
|
$
|
1,018,439
|
|
Transfers
|
|
12,229
|
|
|
(12,229
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Acquisitions
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Sequoia securities
|
|
5,647
|
|
|
—
|
|
|
32,404
|
|
|
—
|
|
|
38,051
|
|
|||||
Third-party securities
|
|
10,426
|
|
|
—
|
|
|
156,987
|
|
|
82,125
|
|
|
249,538
|
|
|||||
Sales
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Sequoia securities
|
|
—
|
|
|
—
|
|
|
(26,601
|
)
|
|
—
|
|
|
(26,601
|
)
|
|||||
Third-party securities
|
|
(10,075
|
)
|
|
—
|
|
|
(46,549
|
)
|
|
(15,858
|
)
|
|
(72,482
|
)
|
|||||
Gains on sales and calls, net
|
|
4,503
|
|
|
—
|
|
|
3,324
|
|
|
—
|
|
|
7,827
|
|
|||||
Effect of principal payments
(2)
|
|
(14,075
|
)
|
|
(1,354
|
)
|
|
(14,648
|
)
|
|
(688
|
)
|
|
(30,765
|
)
|
|||||
Change in fair value, net
|
|
(5,306
|
)
|
|
1,441
|
|
|
25,401
|
|
|
12,960
|
|
|
34,496
|
|
|||||
Ending Fair Value
|
|
$
|
176,962
|
|
|
$
|
73,337
|
|
|
$
|
797,895
|
|
|
$
|
170,309
|
|
|
$
|
1,218,503
|
|
(1)
|
Re-REMIC securities, as presented herein, were created by third parties through the resecuritization of certain senior RMBS.
|
(2)
|
The effect of principal payments reflects the change in fair value due to principal payments, which is calculated as the cash principal received on a given security during the period multiplied by the prior quarter ending price or acquisition price for that security.
|
June 30, 2017
|
|
Real Estate Securities
|
|
Repurchase Debt
|
|
Allocated Capital
|
|
Weighted Average
Price
(1)
|
|
Financing Haircut
(2)
|
|||||||||
(Dollars in Thousands, except Weighted Average Price)
|
|
|
|
|
|
||||||||||||||
Residential Securities
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Senior
|
|
$
|
73,151
|
|
|
$
|
(64,495
|
)
|
|
$
|
8,656
|
|
|
$
|
96
|
|
|
12
|
%
|
Subordinate - Mezzanine
|
|
339,120
|
|
|
(284,318
|
)
|
|
54,802
|
|
|
97
|
|
|
16
|
%
|
||||
Total Residential Securities
|
|
412,271
|
|
|
(348,813
|
)
|
|
63,458
|
|
|
97
|
|
|
15
|
%
|
||||
Commercial/Multifamily Securities
|
|
150,677
|
|
|
(120,678
|
)
|
|
29,999
|
|
|
95
|
|
|
20
|
%
|
||||
Total
|
|
$
|
562,948
|
|
|
$
|
(469,491
|
)
|
|
$
|
93,457
|
|
|
|
|
|
(1)
|
GAAP fair value per $100 of principal.
|
(2)
|
Allocated capital divided by GAAP fair value.
|
June 30, 2017
|
|
Sequoia 2012-2017
|
|
Third Party 2013-2017
|
|
Agency CRT 2013-2017
|
|
Third Party <=2008
|
|
Total Residential Securities
|
|
% of Total Residential Securities
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
||||||||||||||||||
Senior
|
|
$
|
29,040
|
|
|
$
|
15,513
|
|
|
$
|
—
|
|
|
$
|
132,409
|
|
|
$
|
176,962
|
|
|
17
|
%
|
Re-REMIC
|
|
—
|
|
|
—
|
|
|
—
|
|
|
73,337
|
|
|
73,337
|
|
|
7
|
%
|
|||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
(1)
|
|
137,296
|
|
|
205,717
|
|
|
—
|
|
|
—
|
|
|
343,013
|
|
|
33
|
%
|
|||||
Subordinate
|
|
119,758
|
|
|
75,281
|
|
|
229,510
|
|
|
30,333
|
|
|
454,882
|
|
|
43
|
%
|
|||||
Total Subordinate
|
|
257,054
|
|
|
280,998
|
|
|
229,510
|
|
|
30,333
|
|
|
797,895
|
|
|
76
|
%
|
|||||
Total Securities
|
|
$
|
286,094
|
|
|
$
|
296,511
|
|
|
$
|
229,510
|
|
|
$
|
236,079
|
|
|
$
|
1,048,194
|
|
|
100
|
%
|
December 31, 2016
|
|
Sequoia 2012-2016
|
|
Third Party 2013-2016
|
|
Agency CRT 2013-2016
|
|
Third Party <=2008
|
|
Total Residential Securities
|
|
% of Total Residential Securities
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
||||||||||||||||||
Senior
|
|
$
|
26,618
|
|
|
$
|
5,611
|
|
|
$
|
—
|
|
|
$
|
141,384
|
|
|
$
|
173,613
|
|
|
19
|
%
|
Re-REMIC
|
|
—
|
|
|
—
|
|
|
—
|
|
|
85,479
|
|
|
85,479
|
|
|
9
|
%
|
|||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
(1)
|
|
136,007
|
|
|
179,390
|
|
|
—
|
|
|
—
|
|
|
315,397
|
|
|
34
|
%
|
|||||
Subordinate
|
|
113,310
|
|
|
64,450
|
|
|
152,126
|
|
|
22,294
|
|
|
352,180
|
|
|
38
|
%
|
|||||
Total Subordinate
|
|
249,317
|
|
|
243,840
|
|
|
152,126
|
|
|
22,294
|
|
|
667,577
|
|
|
72
|
%
|
|||||
Total Securities
|
|
$
|
275,935
|
|
|
$
|
249,451
|
|
|
$
|
152,126
|
|
|
$
|
249,157
|
|
|
$
|
926,669
|
|
|
100
|
%
|
(1)
|
Mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later.
|
Three Months Ended June 30, 2017
|
|
|
|
|
|
|
|
|
|
Yield as a Result of
|
|||||||||||||||
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|
Average Amortized Cost
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||
Residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Senior
|
|
$
|
1,299
|
|
|
$
|
1,960
|
|
|
$
|
3,259
|
|
|
$
|
98,665
|
|
|
5.27
|
%
|
|
7.95
|
%
|
|
13.22
|
%
|
Re-REMIC
|
|
874
|
|
|
852
|
|
|
1,726
|
|
|
59,994
|
|
|
5.83
|
%
|
|
5.68
|
%
|
|
11.51
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
1,263
|
|
|
614
|
|
|
1,877
|
|
|
131,574
|
|
|
3.84
|
%
|
|
1.87
|
%
|
|
5.71
|
%
|
||||
Subordinate
|
|
2,872
|
|
|
1,379
|
|
|
4,251
|
|
|
153,946
|
|
|
7.46
|
%
|
|
3.58
|
%
|
|
11.04
|
%
|
||||
Total AFS Securities
|
|
$
|
6,308
|
|
|
$
|
4,805
|
|
|
$
|
11,113
|
|
|
$
|
444,179
|
|
|
5.68
|
%
|
|
4.33
|
%
|
|
10.01
|
%
|
Three Months Ended June 30, 2016
|
|
|
|
|
|
|
|
|
|
Yield as a Result of
|
|||||||||||||||
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|
Average Amortized Cost
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||
Residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Senior
|
|
$
|
845
|
|
|
$
|
803
|
|
|
$
|
1,648
|
|
|
$
|
87,474
|
|
|
3.86
|
%
|
|
3.67
|
%
|
|
7.54
|
%
|
Re-REMIC
|
|
1,840
|
|
|
3,282
|
|
|
5,122
|
|
|
112,930
|
|
|
6.52
|
%
|
|
11.62
|
%
|
|
18.14
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
1,908
|
|
|
672
|
|
|
2,580
|
|
|
191,404
|
|
|
3.99
|
%
|
|
1.40
|
%
|
|
5.39
|
%
|
||||
Subordinate
|
|
2,403
|
|
|
1,582
|
|
|
3,985
|
|
|
123,788
|
|
|
7.76
|
%
|
|
5.11
|
%
|
|
12.88
|
%
|
||||
Total AFS Securities
|
|
$
|
6,996
|
|
|
$
|
6,339
|
|
|
$
|
13,335
|
|
|
$
|
515,596
|
|
|
5.43
|
%
|
|
4.92
|
%
|
|
10.35
|
%
|
Six Months Ended June 30, 2017
|
|
|
|
|
|
|
|
|
|
Yield as a Result of
|
|||||||||||||||
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|
Average Amortized Cost
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||
Residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Senior
|
|
$
|
2,602
|
|
|
$
|
4,043
|
|
|
$
|
6,645
|
|
|
$
|
99,297
|
|
|
5.24
|
%
|
|
8.14
|
%
|
|
13.38
|
%
|
Re-REMIC
|
|
1,780
|
|
|
1,885
|
|
|
3,665
|
|
|
62,690
|
|
|
5.68
|
%
|
|
6.01
|
%
|
|
11.69
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
2,682
|
|
|
1,268
|
|
|
3,950
|
|
|
139,538
|
|
|
3.84
|
%
|
|
1.82
|
%
|
|
5.66
|
%
|
||||
Subordinate
|
|
5,583
|
|
|
2,870
|
|
|
8,453
|
|
|
149,750
|
|
|
7.46
|
%
|
|
3.83
|
%
|
|
11.29
|
%
|
||||
Total AFS Securities
|
|
$
|
12,647
|
|
|
$
|
10,066
|
|
|
$
|
22,713
|
|
|
$
|
451,275
|
|
|
5.61
|
%
|
|
4.46
|
%
|
|
10.07
|
%
|
Six Months Ended June 30, 2016
|
|
|
|
|
|
|
|
|
|
Yield as a Result of
|
|||||||||||||||
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|
Average Amortized Cost
|
|
Interest Income
|
|
Discount (Premium) Amortization
|
|
Total Interest Income
|
|||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
|
||||||||||||||||||
Residential
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Senior
|
|
$
|
2,985
|
|
|
$
|
3,303
|
|
|
$
|
6,288
|
|
|
$
|
156,099
|
|
|
3.82
|
%
|
|
4.23
|
%
|
|
8.06
|
%
|
Re-REMIC
|
|
3,685
|
|
|
6,804
|
|
|
10,489
|
|
|
111,216
|
|
|
6.63
|
%
|
|
12.24
|
%
|
|
18.86
|
%
|
||||
Subordinate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Mezzanine
|
|
3,981
|
|
|
1,373
|
|
|
5,354
|
|
|
200,484
|
|
|
3.97
|
%
|
|
1.37
|
%
|
|
5.34
|
%
|
||||
Subordinate
|
|
4,646
|
|
|
2,927
|
|
|
7,573
|
|
|
118,051
|
|
|
7.87
|
%
|
|
4.96
|
%
|
|
12.83
|
%
|
||||
Total AFS Securities
|
|
$
|
15,297
|
|
|
$
|
14,407
|
|
|
$
|
29,704
|
|
|
$
|
585,850
|
|
|
5.22
|
%
|
|
4.92
|
%
|
|
10.14
|
%
|
June 30, 2017
|
|
Senior
|
|
Re-REMIC
|
|
Subordinate
|
|
Total
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Principal balance
|
|
$
|
134,042
|
|
|
$
|
81,235
|
|
|
$
|
458,256
|
|
|
$
|
673,533
|
|
Credit reserve
|
|
(3,622
|
)
|
|
(5,913
|
)
|
|
(38,053
|
)
|
|
(47,588
|
)
|
||||
Unamortized discount, net
|
|
(35,257
|
)
|
|
(15,153
|
)
|
|
(141,653
|
)
|
|
(192,063
|
)
|
||||
Amortized cost
|
|
95,163
|
|
|
60,169
|
|
|
278,550
|
|
|
433,882
|
|
||||
Gross unrealized gains
|
|
34,993
|
|
|
13,168
|
|
|
70,365
|
|
|
118,526
|
|
||||
Gross unrealized losses
|
|
(1,827
|
)
|
|
—
|
|
|
(639
|
)
|
|
(2,466
|
)
|
||||
Carrying Value
|
|
$
|
128,329
|
|
|
$
|
73,337
|
|
|
$
|
348,276
|
|
|
$
|
549,942
|
|
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
|
|
|
|
Three Months Ended June 30, 2017
|
|
Six Months Ended June 30, 2017
|
||||||||||||||||||||
(In Thousands)
|
|
Jumbo
|
|
Conforming
|
|
Total MSRs
|
|
Jumbo
|
|
Conforming
|
|
Total MSRs
|
||||||||||||
Balance at beginning of period
|
|
$
|
66,599
|
|
|
$
|
44,414
|
|
|
$
|
111,013
|
|
|
$
|
60,003
|
|
|
$
|
58,523
|
|
|
$
|
118,526
|
|
Additions
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
MSRs retained from Sequoia securitizations
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,123
|
|
|
—
|
|
|
7,123
|
|
||||||
MSRs retained from third-party loan sales
|
|
—
|
|
|
—
|
|
|
—
|
|
|
263
|
|
|
—
|
|
|
263
|
|
||||||
Purchased MSRs
|
|
—
|
|
|
216
|
|
|
216
|
|
|
—
|
|
|
315
|
|
|
315
|
|
||||||
Sold MSRs
|
|
—
|
|
|
(41,038
|
)
|
|
(41,038
|
)
|
|
—
|
|
|
(52,966
|
)
|
|
(52,966
|
)
|
||||||
Market valuation adjustments
|
|
(3,515
|
)
|
|
(2,906
|
)
|
|
(6,421
|
)
|
|
(4,305
|
)
|
|
(5,186
|
)
|
|
(9,491
|
)
|
||||||
Balance at End of Period
|
|
$
|
63,084
|
|
|
$
|
686
|
|
|
$
|
63,770
|
|
|
$
|
63,084
|
|
|
$
|
686
|
|
|
$
|
63,770
|
|
|
|
June 30, 2017
|
||||||||||
(Dollars In Thousands)
|
|
Jumbo
|
|
Conforming
|
|
Total
|
||||||
Unpaid principal balance
|
|
$
|
5,815,172
|
|
|
$
|
67,291
|
|
|
$
|
5,882,463
|
|
Fair value of MSRs
|
|
$
|
63,084
|
|
|
$
|
686
|
|
|
$
|
63,770
|
|
MSR values as percent of unpaid principal balance
|
|
1.08
|
%
|
|
1.02
|
%
|
|
1.08
|
%
|
|||
Gross cash yield
(1)
|
|
0.26
|
%
|
|
0.29
|
%
|
|
0.27
|
%
|
|||
Number of loans
|
|
8,535
|
|
|
358
|
|
|
8,893
|
|
|||
Average loan size
|
|
$
|
681
|
|
|
$
|
188
|
|
|
$
|
661
|
|
Average coupon
|
|
3.96
|
%
|
|
4.05
|
%
|
|
3.97
|
%
|
|||
Average loan age (months)
|
|
36
|
|
|
6
|
|
|
36
|
|
|||
Average original loan-to-value
|
|
67
|
%
|
|
77
|
%
|
|
67
|
%
|
|||
Average original FICO score
|
|
771
|
|
|
741
|
|
|
770
|
|
|||
60+ day delinquencies
|
|
0.12
|
%
|
|
2.29
|
%
|
|
0.14
|
%
|
(1)
|
Gross cash yield is calculated by dividing the annualized quarterly gross servicing fees we received for the three months ended
June 30, 2017
, by the weighted average notional balance of loans associated with MSRs we owned during that period.
|
|
|
Three Months Ended June 30,
|
|
|
|
|
Six Months Ended June 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
Change
|
|
|
2017
|
|
2016
|
|
Change
|
||||||||||||
Interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Loans
|
|
$
|
8,415
|
|
|
$
|
7,902
|
|
|
$
|
513
|
|
|
|
$
|
15,889
|
|
|
$
|
15,207
|
|
|
$
|
682
|
|
Sequoia securities
|
|
—
|
|
|
8
|
|
|
(8
|
)
|
|
|
—
|
|
|
572
|
|
|
(572
|
)
|
||||||
Total interest income
|
|
8,415
|
|
|
7,910
|
|
|
505
|
|
|
|
15,889
|
|
|
15,779
|
|
|
110
|
|
||||||
Interest expense
|
|
(4,403
|
)
|
|
(3,604
|
)
|
|
(799
|
)
|
|
|
(7,327
|
)
|
|
(6,893
|
)
|
|
(434
|
)
|
||||||
Net interest income
|
|
4,012
|
|
|
4,306
|
|
|
(294
|
)
|
|
|
8,562
|
|
|
8,886
|
|
|
(324
|
)
|
||||||
Mortgage banking activities, net
|
|
12,046
|
|
|
7,728
|
|
|
4,318
|
|
|
|
29,650
|
|
|
17,008
|
|
|
12,642
|
|
||||||
Direct operating expenses
|
|
(6,021
|
)
|
|
(6,047
|
)
|
|
26
|
|
|
|
(11,902
|
)
|
|
(11,368
|
)
|
|
(534
|
)
|
||||||
Segment contribution before income taxes
|
|
10,037
|
|
|
5,987
|
|
|
4,050
|
|
|
|
26,310
|
|
|
14,526
|
|
|
11,784
|
|
||||||
Provision for income taxes
|
|
(3,002
|
)
|
|
—
|
|
|
(3,002
|
)
|
|
|
(7,422
|
)
|
|
—
|
|
|
(7,422
|
)
|
||||||
Segment Contribution
|
|
$
|
7,035
|
|
|
$
|
5,987
|
|
|
$
|
1,048
|
|
|
|
$
|
18,888
|
|
|
$
|
14,526
|
|
|
$
|
4,362
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Balance at beginning of period
|
|
$
|
376,607
|
|
|
$
|
441,076
|
|
|
$
|
835,399
|
|
|
$
|
1,115,738
|
|
Acquisitions
|
|
1,221,051
|
|
|
1,342,079
|
|
|
2,329,355
|
|
|
2,560,728
|
|
||||
Sales
|
|
(694,875
|
)
|
|
(830,974
|
)
|
|
(2,072,512
|
)
|
|
(2,100,109
|
)
|
||||
Transfers between portfolios
(1)
|
|
(61,922
|
)
|
|
(63,328
|
)
|
|
(246,918
|
)
|
|
(669,354
|
)
|
||||
Principal repayments
|
|
(9,273
|
)
|
|
(12,332
|
)
|
|
(22,268
|
)
|
|
(35,921
|
)
|
||||
Changes in fair value, net
|
|
5,783
|
|
|
5,859
|
|
|
14,315
|
|
|
11,298
|
|
||||
Balance at End of Period
|
|
$
|
837,371
|
|
|
$
|
882,380
|
|
|
$
|
837,371
|
|
|
$
|
882,380
|
|
(1)
|
Represents the net transfers of loans out of our Residential Mortgage Banking segment into our Investment Portfolio segment and their reclassification from held-for-sale to held-for-investment.
|
|
|
Three Months Ended June 30,
|
|
|
|
|
Six Months Ended June 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
Change
|
|
|
2017
|
|
2016
|
|
Change
|
||||||||||||
Changes in fair value of:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Residential loans, at fair value
(1)
|
|
$
|
16,190
|
|
|
$
|
16,711
|
|
|
$
|
(521
|
)
|
|
|
$
|
34,986
|
|
|
$
|
34,785
|
|
|
$
|
201
|
|
Sequoia securities
|
|
—
|
|
|
(29
|
)
|
|
29
|
|
|
|
—
|
|
|
1,455
|
|
|
(1,455
|
)
|
||||||
Risk management derivatives
(2)
|
|
(5,310
|
)
|
|
(9,240
|
)
|
|
3,930
|
|
|
|
(6,710
|
)
|
|
(19,456
|
)
|
|
12,746
|
|
||||||
Other income (expense), net
(3)
|
|
1,166
|
|
|
286
|
|
|
880
|
|
|
|
1,374
|
|
|
224
|
|
|
1,150
|
|
||||||
Total Residential Mortgage Banking Activities, Net
|
|
$
|
12,046
|
|
|
$
|
7,728
|
|
|
$
|
4,318
|
|
|
|
$
|
29,650
|
|
|
$
|
17,008
|
|
|
$
|
12,642
|
|
(1)
|
Includes changes in fair value for loan purchase commitments.
|
(2)
|
Represents market valuation changes of derivatives that are used to manage risks associated with our accumulation of residential loans.
|
(3)
|
Amounts in this line include other fee income from loan acquisitions and the provision for repurchase expense, presented net.
|
June 30, 2017
|
|
Principal Value
|
|
Weighted Average Coupon
|
|||
(Dollars in Thousands)
|
|
|
|||||
First Lien Prime
|
|
|
|
|
|||
Fixed - 30 year
|
|
$
|
704,010
|
|
|
4.37
|
%
|
Fixed - 10, 15, 20, & 25 year
|
|
39,934
|
|
|
3.73
|
%
|
|
Hybrid
|
|
77,329
|
|
|
3.76
|
%
|
|
ARM
|
|
711
|
|
|
2.59
|
%
|
|
Total Outstanding Principal
|
|
$
|
821,984
|
|
|
|
|
|
|
Three Months Ended June 30,
|
|
|
|
|
Six Months Ended June 30,
|
|
|
||||||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
Change
|
|
|
2017
|
|
2016
|
|
Change
|
||||||||||||
Interest income
|
|
$
|
4,863
|
|
|
$
|
4,911
|
|
|
$
|
(48
|
)
|
|
|
$
|
9,701
|
|
|
$
|
9,688
|
|
|
$
|
13
|
|
Interest expense
|
|
(3,692
|
)
|
|
(3,271
|
)
|
|
(421
|
)
|
|
|
(7,208
|
)
|
|
(6,568
|
)
|
|
(640
|
)
|
||||||
Net interest income
|
|
1,171
|
|
|
1,640
|
|
|
(469
|
)
|
|
|
2,493
|
|
|
3,120
|
|
|
(627
|
)
|
||||||
Investment fair value changes, net
|
|
(987
|
)
|
|
(251
|
)
|
|
(736
|
)
|
|
|
(2,797
|
)
|
|
(1,831
|
)
|
|
(966
|
)
|
||||||
Net Income from Consolidated Sequoia Entities
|
|
$
|
184
|
|
|
$
|
1,389
|
|
|
$
|
(1,205
|
)
|
|
|
$
|
(304
|
)
|
|
$
|
1,289
|
|
|
$
|
(1,593
|
)
|
(In Thousands)
|
|
June 30, 2017
|
|
December 31, 2016
|
||||
Residential loans, held-for-investment, at fair value
|
|
$
|
707,686
|
|
|
$
|
791,636
|
|
Other assets
|
|
5,718
|
|
|
6,681
|
|
||
Total Assets
|
|
$
|
713,404
|
|
|
$
|
798,317
|
|
Other liabilities
|
|
$
|
531
|
|
|
$
|
518
|
|
Asset-backed securities issued, at fair value
|
|
692,606
|
|
|
773,462
|
|
||
Total liabilities
|
|
693,137
|
|
|
773,980
|
|
||
Equity (fair value of Redwood's retained investments in entities)
|
|
20,267
|
|
|
24,337
|
|
||
Total Liabilities and Equity
|
|
$
|
713,404
|
|
|
$
|
798,317
|
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands)
|
|
2017
|
|
2016
|
|
2017
|
|
2016
|
||||||||
Balance at beginning of period
|
|
$
|
745,621
|
|
|
$
|
930,027
|
|
|
$
|
791,636
|
|
|
$
|
1,021,870
|
|
Principal repayments
|
|
(47,896
|
)
|
|
(53,597
|
)
|
|
(101,357
|
)
|
|
(100,938
|
)
|
||||
Transfers to REO
|
|
(1,076
|
)
|
|
(3,825
|
)
|
|
(2,044
|
)
|
|
(5,800
|
)
|
||||
Deconsolidation adjustments
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(6,871
|
)
|
||||
Changes in fair value, net
|
|
11,037
|
|
|
7,592
|
|
|
19,451
|
|
|
(28,064
|
)
|
||||
Balance at End of Period
|
|
$
|
707,686
|
|
|
$
|
880,197
|
|
|
$
|
707,686
|
|
|
$
|
880,197
|
|
June 30, 2017
|
|
|
|
|
|||
(Dollars in Thousands)
|
|
Principal Balance
|
|
Weighted Average Coupon
|
|||
First Lien
|
|
|
|
|
|||
Hybrid
(1)
|
|
$
|
15,898
|
|
|
3.09
|
%
|
ARM
|
|
764,699
|
|
|
2.48
|
%
|
|
Total Outstanding Principal
|
|
$
|
780,597
|
|
|
|
(1)
|
All of these loans have reached the initial interest rate reset date and are currently adjustable rate mortgages.
|
|
|
Three Months Ended June 30,
|
|
Six Months Ended June 30,
|
||||||||||||
(In Thousands, except per Share Data)
|
|
2017 est.
(1)
|
|
2016 est.
(1)
|
|
2017 est.
(1)
|
|
2016 est.
(1)
|
||||||||
REIT taxable income
|
|
$
|
19,440
|
|
|
$
|
27,846
|
|
|
$
|
36,119
|
|
|
$
|
45,168
|
|
Taxable REIT subsidiary income
|
|
13,532
|
|
|
2,596
|
|
|
18,747
|
|
|
30,114
|
|
||||
Total Taxable Income
|
|
$
|
32,972
|
|
|
$
|
30,442
|
|
|
$
|
54,866
|
|
|
$
|
75,282
|
|
|
|
|
|
|
|
|
|
|
||||||||
REIT taxable income per share
|
|
$
|
0.25
|
|
|
$
|
0.36
|
|
|
$
|
0.47
|
|
|
$
|
0.59
|
|
Total taxable income per share
|
|
$
|
0.43
|
|
|
$
|
0.39
|
|
|
$
|
0.72
|
|
|
$
|
0.98
|
|
|
|
|
|
|
|
|
|
|
||||||||
Distributions to shareholders
|
|
$
|
21,591
|
|
|
$
|
21,554
|
|
|
$
|
43,160
|
|
|
$
|
43,223
|
|
Distributions to shareholders per share
|
|
$
|
0.28
|
|
|
$
|
0.28
|
|
|
$
|
0.56
|
|
|
$
|
0.56
|
|
(1)
|
Our tax results for the
three and six
months ended
June 30, 2017
and
2016
are estimates until we file tax returns for these years.
|
|
|
Six Months Ended June 30, 2017
|
|||||||||||||||||||
(In Thousands, except per Share Data)
|
|
REIT (Est.)
|
|
TRS (Est.)
|
|
|
Total Tax (Est.)
|
|
GAAP
|
|
Differences
|
||||||||||
Interest income
|
|
$
|
85,523
|
|
|
$
|
17,585
|
|
|
|
$
|
103,108
|
|
|
$
|
113,852
|
|
|
$
|
(10,744
|
)
|
Interest expense
|
|
(24,820
|
)
|
|
(13,709
|
)
|
|
|
(38,529
|
)
|
|
(45,265
|
)
|
|
6,736
|
|
|||||
Net interest income
|
|
60,703
|
|
|
3,876
|
|
|
|
64,579
|
|
|
68,587
|
|
|
(4,008
|
)
|
|||||
Realized credit losses
|
|
(2,165
|
)
|
|
—
|
|
|
|
(2,165
|
)
|
|
—
|
|
|
(2,165
|
)
|
|||||
Mortgage banking activities, net
|
|
—
|
|
|
20,725
|
|
|
|
20,725
|
|
|
29,650
|
|
|
(8,925
|
)
|
|||||
MSR income, net
|
|
—
|
|
|
2,917
|
|
|
|
2,917
|
|
|
4,491
|
|
|
(1,574
|
)
|
|||||
Investment fair value changes, net
|
|
(10,574
|
)
|
|
5,133
|
|
|
|
(5,441
|
)
|
|
9,666
|
|
|
(15,107
|
)
|
|||||
Operating expenses
|
|
(21,759
|
)
|
|
(14,372
|
)
|
|
|
(36,131
|
)
|
|
(36,867
|
)
|
|
736
|
|
|||||
Other income
|
|
10,664
|
|
|
531
|
|
|
|
11,195
|
|
|
2,170
|
|
|
9,025
|
|
|||||
Realized gains, net
|
|
(735
|
)
|
|
—
|
|
|
|
(735
|
)
|
|
7,075
|
|
|
(7,810
|
)
|
|||||
Provision for income taxes
|
|
(15
|
)
|
|
(63
|
)
|
|
|
(78
|
)
|
|
(11,479
|
)
|
|
11,401
|
|
|||||
Net Income
|
|
$
|
36,119
|
|
|
$
|
18,747
|
|
|
|
$
|
54,866
|
|
|
$
|
73,293
|
|
|
$
|
(18,427
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Income per basic common share
|
|
$
|
0.47
|
|
|
$
|
0.25
|
|
|
|
$
|
0.72
|
|
|
$
|
0.93
|
|
|
$
|
(0.21
|
)
|
June 30, 2017
|
|
Payments Due or Commitment Expiration by Period
|
||||||||||||||||||
(In Millions)
|
|
Less Than
1 Year
|
|
1 to 3
Years
|
|
3 to 5
Years
|
|
After 5
Years
|
|
Total
|
||||||||||
Obligations of Redwood
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt
|
|
$
|
1,045
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,045
|
|
Convertible notes
|
|
250
|
|
|
201
|
|
|
—
|
|
|
—
|
|
|
451
|
|
|||||
Anticipated interest payments on convertible notes
|
|
23
|
|
|
17
|
|
|
—
|
|
|
—
|
|
|
40
|
|
|||||
FHLBC borrowings
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,000
|
|
|
2,000
|
|
|||||
Anticipated interest payments on FHLBC borrowings
|
|
30
|
|
|
77
|
|
|
92
|
|
|
161
|
|
|
360
|
|
|||||
Other long-term debt
|
|
—
|
|
|
—
|
|
|
—
|
|
|
140
|
|
|
140
|
|
|||||
Anticipated interest payments on other long-term debt
(1)
|
|
9
|
|
|
19
|
|
|
19
|
|
|
138
|
|
|
185
|
|
|||||
Accrued interest payable
|
|
9
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
9
|
|
|||||
Operating leases
|
|
2
|
|
|
4
|
|
|
3
|
|
|
9
|
|
|
18
|
|
|||||
Total Redwood Obligations and Commitments
|
|
$
|
1,368
|
|
|
$
|
318
|
|
|
$
|
114
|
|
|
$
|
2,448
|
|
|
$
|
4,248
|
|
Obligations of Consolidated Entities for Financial Reporting Purposes
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Consolidated ABS
(2)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
776
|
|
|
$
|
776
|
|
Anticipated interest payments on ABS
(3)
|
|
16
|
|
|
35
|
|
|
34
|
|
|
90
|
|
|
175
|
|
|||||
Accrued interest payable
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|||||
Total Obligations of Entities Consolidated for Financial Reporting Purposes
|
|
17
|
|
|
35
|
|
|
34
|
|
|
866
|
|
|
952
|
|
|||||
Total Consolidated Obligations and Commitments
|
|
$
|
1,385
|
|
|
$
|
353
|
|
|
$
|
148
|
|
|
$
|
3,314
|
|
|
$
|
5,200
|
|
(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
June 30, 2017
.
|
|
|
Total Number of Shares Purchased or Acquired
|
|
Average
Price per
Share Paid
|
|
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs
|
|
Maximum Number (or approximate dollar value) of Shares that May Yet be Purchased under the Plans or Programs
|
||||||
(In Thousands, except per Share Data)
|
|
|
|
|
||||||||||
April 1, 2017 - April 30, 2017
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
May 1, 2017 - May 31, 2017
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
June 1, 2017 - June 30, 2017
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
86,109
|
|
Total
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
86,109
|
|
Exhibit
Number |
|
Exhibit
|
3.1
|
|
Articles of Amendment and Restatement of the Registrant, effective July 6, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1, filed on August 6, 2008)
|
3.1.1
|
|
Articles Supplementary of the Registrant, effective August 10, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.1, filed on August 6, 2008)
|
3.1.2
|
|
Articles Supplementary of the Registrant, effective August 11, 1995 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.2, filed on August 6, 2008)
|
3.1.3
|
|
Articles Supplementary of the Registrant, effective August 9, 1996 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.3, filed on August 6, 2008)
|
3.1.4
|
|
Certificate of Amendment of the Registrant, effective June 30, 1998 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.4, filed on August 6, 2008)
|
3.1.5
|
|
Articles Supplementary of the Registrant, effective April 7, 2003 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.5, filed on August 6, 2008)
|
3.1.6
|
|
Articles of Amendment of the Registrant, effective June 12, 2008 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.6, filed on August 6, 2008)
|
3.1.7
|
|
Articles of Amendment of the Registrant, effective May 19, 2009 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2009)
|
3.1.8
|
|
Articles of Amendment of the Registrant, effective May 24, 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 20, 2011)
|
3.1.9
|
|
Articles of Amendment of the Registrant, effective May 18, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2012)
|
3.1.10
|
|
Articles of Amendment of the Registrant, effective May 16, 2013 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2013)
|
3.2.1
|
|
Amended and Restated Bylaws of the Registrant, as adopted on March 5, 2008 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on March 11, 2008)
|
3.2.2
|
|
First Amendment to Amended and Restated Bylaws of the Registrant, as adopted on May 17, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.2, filed on May 21, 2012)
|
10.1
|
|
First Amendment to Lease, effective as of May 25, 2017, between AG-SKB Belvedere Owner, L.P. and the Registrant
|
31.1
|
|
Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
31.2
|
|
Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
32.1
|
|
Certification of the Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
32.2
|
|
Certification of the Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
101
|
|
Pursuant to Rule 405 of Regulation S-T, the following financial information from the Company’s Quarterly Report on Form 10-Q for the period ended June 30, 2017, is filed in XBRL-formatted interactive data files:
(i) Consolidated Balance Sheets at June 30, 2017 and December 31, 2016;
(ii) Consolidated Statements of Income for the three and six months ended June 30, 2017 and 2016;
(iii) Statements of Consolidated Comprehensive Income for the three and six months ended June 30, 2017 and 2016;
(iv) Consolidated Statements of Changes in Stockholders' Equity for the six months ended June 30, 2017 and 2016;
(v) Consolidated Statements of Cash Flows for the six months ended June 30, 2017 and 2016; and
(vi) Notes to Consolidated Financial Statements.
|
|
|
REDWOOD TRUST, INC.
|
|
|
|
|
|
Date:
|
August 4, 2017
|
By:
|
/s/ Martin S. Hughes
|
|
|
|
Martin S. Hughes
|
|
|
|
Chief Executive Officer
|
|
|
|
(Principal Executive Officer)
|
|
|
|
|
Date:
|
August 4, 2017
|
By:
|
/s/ Christopher J. Abate
|
|
|
|
Christopher J. Abate
|
|
|
|
President and Chief Financial Officer
|
|
|
|
(Principal Financial Officer)
|
|
|
|
|
Date:
|
August 4, 2017
|
By:
|
/s/ Collin L. Cochrane
|
|
|
|
Collin L. Cochrane
|
|
|
|
Controller and Managing Director
|
|
|
|
(Principal Accounting Officer)
|
Exhibit
Number |
|
Exhibit
|
3.1
|
|
Articles of Amendment and Restatement of the Registrant, effective July 6, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1, filed on August 6, 2008)
|
3.1.1
|
|
Articles Supplementary of the Registrant, effective August 10, 1994 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.1, filed on August 6, 2008)
|
3.1.2
|
|
Articles Supplementary of the Registrant, effective August 11, 1995 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.2, filed on August 6, 2008)
|
3.1.3
|
|
Articles Supplementary of the Registrant, effective August 9, 1996 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.3, filed on August 6, 2008)
|
3.1.4
|
|
Certificate of Amendment of the Registrant, effective June 30, 1998 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.4, filed on August 6, 2008)
|
3.1.5
|
|
Articles Supplementary of the Registrant, effective April 7, 2003 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.5, filed on August 6, 2008)
|
3.1.6
|
|
Articles of Amendment of the Registrant, effective June 12, 2008 (incorporated by reference to the Registrant’s Quarterly Report on Form 10-Q, Exhibit 3.1.6, filed on August 6, 2008)
|
3.1.7
|
|
Articles of Amendment of the Registrant, effective May 19, 2009 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2009)
|
3.1.8
|
|
Articles of Amendment of the Registrant, effective May 24, 2011 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 20, 2011)
|
3.1.9
|
|
Articles of Amendment of the Registrant, effective May 18, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2012)
|
3.1.10
|
|
Articles of Amendment of the Registrant, effective May 16, 2013 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on May 21, 2013)
|
3.2.1
|
|
Amended and Restated Bylaws of the Registrant, as adopted on March 5, 2008 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.1, filed on March 11, 2008)
|
3.2.2
|
|
First Amendment to Amended and Restated Bylaws of the Registrant, as adopted on May 17, 2012 (incorporated by reference to the Registrant’s Current Report on Form 8-K, Exhibit 3.2, filed on May 21, 2012)
|
10.1
|
|
First Amendment to Lease, effective as of May 25, 2017, between AG-SKB Belvedere Owner, L.P. and the Registrant
|
31.1
|
|
Certification of the Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
31.2
|
|
Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
|
32.1
|
|
Certification of the Chief Executive Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
32.2
|
|
Certification of the Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
|
101
|
|
Pursuant to Rule 405 of Regulation S-T, the following financial information from the Company’s Quarterly Report on Form 10-Q for the period ended June 30, 2017, is filed in XBRL-formatted interactive data files:
(i) Consolidated Balance Sheets at June 30, 2017 and December 31, 2016;
(ii) Consolidated Statements of Income for the three and six months ended June 30, 2017 and 2016;
(iii) Statements of Consolidated Comprehensive Income for the three and six months ended June 30, 2017 and 2016;
(iv) Consolidated Statements of Changes in Stockholders' Equity for the six months ended June 30, 2017 and 2016;
(v) Consolidated Statements of Cash Flows for the six months ended June 30, 2017 and 2016; and
(vi) Notes to Consolidated Financial Statements.
|
Period
|
Monthly Rate/RSF
|
Monthly Amount
|
6/1/17 - 10/31/17
|
$0.00
|
$0.00
|
11/1/17 - 5/31/18
|
$5.00
|
$106,855.00
|
6/1/18 - 5/31/19
|
$5.15
|
$110,060.65
|
6/1/19 - 5/31/20
|
$5.30
|
$113,362.47
|
6/1/20 - 5/31/21
|
$5.46
|
$116,763.34
|
6/1/21 - 5/31/22
|
$5.63
|
$120,266.24
|
6/1/22 - 5/31/23
|
$5.79
|
$123,874.23
|
6/1/23 - 5/31/24
|
$5.97
|
$127,590.46
|
6/1/24 - 5/31/25
|
$6.15
|
$131,418.17
|
6/1/25 - 5/31/26
|
$6.33
|
$135,360.72
|
6/1/26 - 5/31/27
|
$6.52
|
$139,421.54
|
6/1/27 - 5/31/28
|
$6.72
|
$143,604.18
|
LANDLORD:
|
TENANT:
|
|||
AG-SKB Belvedere Owner, L.P.,
a Delaware limited partnership
|
Redwood Trust, Inc.,
a Maryland corporation
|
|||
|
|
|
|
|
By:
|
AG-SKB Belvedere GP, L.L.C.,
|
|
|
|
|
a Delaware limited liability company
|
By:
|
/s/ ANDREW P. STONE
|
|
Its:
|
General Partner
|
Name:
|
Andrew P. Stone
|
|
|
|
|
Title:
|
Executive Vice President, General
|
|
|
|
|
Counsel, and Secretary
|
|
By:
|
/s/ ALLAN STERNBERG
|
|
|
|
Name:
|
Allan Sternberg
|
|
|
|
Title:
|
Vice President
|
|
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Redwood Trust, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over the financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: August 4, 2017
|
|
/s/ Martin S. Hughes
|
|
|
Martin S. Hughes
|
|
|
Chief Executive Officer
|
1.
|
I have reviewed this Quarterly Report on Form 10-Q of Redwood Trust, Inc.;
|
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over the financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: August 4, 2017
|
|
/s/ Christopher J. Abate
|
|
|
Christopher J. Abate
|
|
|
President and Chief Financial Officer
|
Date: August 4, 2017
|
|
/s/ Martin S. Hughes
|
|
|
Martin S. Hughes
|
|
|
Chief Executive Officer
|
Date: August 4, 2017
|
|
/s/ Christopher J. Abate
|
|
|
Christopher J. Abate
|
|
|
President and Chief Financial Officer
|