|
|
x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 |
o
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934 |
|
Maryland
|
|
68-0329422
|
(State or Other Jurisdiction of
Incorporation or Organization) |
|
(I.R.S. Employer
Identification No.) |
|
Large accelerated filer
|
x
|
|
Accelerated filer
|
o
|
Non-accelerated filer
|
o
|
|
Smaller reporting company
|
o
|
|
|
|
Emerging growth company
|
o
|
Title of each class
|
Trading symbol(s)
|
Name of each exchange on which registered
|
Common stock, par value $0.01 per share
|
RWT
|
New York Stock Exchange
|
Common Stock, $0.01 par value per share
|
|
96,876,974 shares outstanding as of May 6, 2019
|
(In Thousands, except Share Data)
(Unaudited)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
ASSETS
(1)
|
|
|
|
|
||||
Residential loans, held-for-sale, at fair value
|
|
$
|
819,221
|
|
|
$
|
1,048,801
|
|
Residential loans, held-for-investment, at fair value
|
|
6,455,080
|
|
|
6,205,941
|
|
||
Business purpose residential loans, at fair value
|
|
160,612
|
|
|
141,258
|
|
||
Multifamily loans, held-for-investment, at fair value
|
|
2,175,899
|
|
|
2,144,598
|
|
||
Real estate securities, at fair value
|
|
1,543,152
|
|
|
1,452,494
|
|
||
Other investments
|
|
414,198
|
|
|
438,518
|
|
||
Cash and cash equivalents
|
|
200,837
|
|
|
175,764
|
|
||
Restricted cash
|
|
14,614
|
|
|
29,313
|
|
||
Goodwill and intangible assets
|
|
52,895
|
|
|
—
|
|
||
Accrued interest receivable
|
|
48,972
|
|
|
47,105
|
|
||
Derivative assets
|
|
22,283
|
|
|
35,789
|
|
||
Other assets
|
|
285,596
|
|
|
217,825
|
|
||
Total Assets
|
|
$
|
12,193,359
|
|
|
$
|
11,937,406
|
|
|
|
|
|
|
||||
LIABILITIES AND EQUITY
(1)
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
||||
Short-term debt, net
(2)
|
|
$
|
2,163,231
|
|
|
$
|
2,400,279
|
|
Accrued interest payable
|
|
39,526
|
|
|
42,528
|
|
||
Derivative liabilities
|
|
110,942
|
|
|
84,855
|
|
||
Accrued expenses and other liabilities
|
|
119,428
|
|
|
78,719
|
|
||
Asset-backed securities issued, at fair value
|
|
5,637,644
|
|
|
5,410,073
|
|
||
Long-term debt, net
|
|
2,572,661
|
|
|
2,572,158
|
|
||
Total liabilities
|
|
10,643,432
|
|
|
10,588,612
|
|
||
Commitments and Contingencies (see
Note 16)
|
|
|
|
|
|
|
||
Equity
|
|
|
|
|
||||
Common stock, par value $0.01 per share, 180,000,000 shares authorized; 96,866,464 and 84,884,344 issued and outstanding
|
|
969
|
|
|
849
|
|
||
Additional paid-in capital
|
|
1,996,358
|
|
|
1,811,422
|
|
||
Accumulated other comprehensive income
|
|
52,684
|
|
|
61,297
|
|
||
Cumulative earnings
|
|
1,464,405
|
|
|
1,409,941
|
|
||
Cumulative distributions to stockholders
|
|
(1,964,489
|
)
|
|
(1,934,715
|
)
|
||
Total equity
|
|
1,549,927
|
|
|
1,348,794
|
|
||
Total Liabilities and Equity
|
|
$
|
12,193,359
|
|
|
$
|
11,937,406
|
|
(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
March 31, 2019
and
December 31, 2018
, assets of consolidated VIEs totaled
$6,585,881
and
$6,331,191
, respectively. At
March 31, 2019
and
December 31, 2018
, liabilities of consolidated VIEs totaled
$5,925,677
and
$5,709,807
, respectively. See
Note 4
for further discussion.
|
(2)
|
Includes
$201 million
of convertible notes, which were reclassified from Long-term debt, net to Short-term debt as the maturity of the notes was less than one year as of November 15, 2018. See
Note 13
for further discussion.
|
(In Thousands, except Share Data)
|
|
Three Months Ended March 31,
|
||||||
(Unaudited)
|
|
2019
|
|
2018
|
||||
Interest Income
|
|
|
|
|
||||
Residential loans
|
|
$
|
75,950
|
|
|
$
|
50,231
|
|
Business purpose residential loans
|
|
2,789
|
|
|
—
|
|
||
Multifamily loans
|
|
21,388
|
|
|
—
|
|
||
Real estate securities
|
|
24,450
|
|
|
25,695
|
|
||
Other interest income
|
|
6,464
|
|
|
693
|
|
||
Total interest income
|
|
131,041
|
|
|
76,619
|
|
||
Interest Expense
|
|
|
|
|
||||
Short-term debt
|
|
(22,218
|
)
|
|
(13,435
|
)
|
||
Asset-backed securities issued
|
|
(55,295
|
)
|
|
(11,401
|
)
|
||
Long-term debt
|
|
(21,763
|
)
|
|
(16,678
|
)
|
||
Total interest expense
|
|
(99,276
|
)
|
|
(41,514
|
)
|
||
Net Interest Income
|
|
31,765
|
|
|
35,105
|
|
||
Non-interest Income
|
|
|
|
|
||||
Mortgage banking activities, net
|
|
12,309
|
|
|
26,576
|
|
||
Investment fair value changes, net
|
|
20,159
|
|
|
1,609
|
|
||
Other income, net
|
|
3,587
|
|
|
2,118
|
|
||
Realized gains, net
|
|
10,686
|
|
|
9,363
|
|
||
Total non-interest income, net
|
|
46,741
|
|
|
39,666
|
|
||
Operating expenses
|
|
(23,159
|
)
|
|
(23,030
|
)
|
||
Net Income before Provision for Income Taxes
|
|
55,347
|
|
|
51,741
|
|
||
Provision for income taxes
|
|
(883
|
)
|
|
(4,896
|
)
|
||
Net Income
|
|
$
|
54,464
|
|
|
$
|
46,845
|
|
|
|
|
|
|
||||
Basic earnings per common share
|
|
$
|
0.57
|
|
|
$
|
0.60
|
|
Diluted earnings per common share
|
|
$
|
0.49
|
|
|
$
|
0.50
|
|
Regular dividends declared per common share
|
|
$
|
0.30
|
|
|
$
|
0.28
|
|
Basic weighted average shares outstanding
|
|
92,685,350
|
|
|
75,396,649
|
|
||
Diluted weighted average shares outstanding
|
|
126,278,160
|
|
|
108,194,597
|
|
(In Thousands)
|
|
Three Months Ended March 31,
|
||||||
(Unaudited)
|
|
2019
|
|
2018
|
||||
Net Income
|
|
$
|
54,464
|
|
|
$
|
46,845
|
|
Other comprehensive loss:
|
|
|
|
|
||||
Net unrealized gain (loss) on available-for-sale securities
|
|
6,718
|
|
|
(4,237
|
)
|
||
Reclassification of unrealized gain on available-for-sale securities to net income
|
|
(9,493
|
)
|
|
(9,387
|
)
|
||
Net unrealized (loss) gain on interest rate agreements
|
|
(5,838
|
)
|
|
8,431
|
|
||
Total other comprehensive loss
|
|
(8,613
|
)
|
|
(5,193
|
)
|
||
Total Comprehensive Income
|
|
$
|
45,851
|
|
|
$
|
41,652
|
|
(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, 2018
|
|
84,884,344
|
|
|
$
|
849
|
|
|
$
|
1,811,422
|
|
|
$
|
61,297
|
|
|
$
|
1,409,941
|
|
|
$
|
(1,934,715
|
)
|
|
$
|
1,348,794
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
54,464
|
|
|
—
|
|
|
54,464
|
|
||||||
Other comprehensive loss
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(8,613
|
)
|
|
—
|
|
|
—
|
|
|
(8,613
|
)
|
||||||
Issuance of common stock
|
|
11,500,000
|
|
|
115
|
|
|
177,482
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
177,597
|
|
||||||
Direct stock purchase and dividend reinvestment plan
|
|
399,838
|
|
|
4
|
|
|
6,303
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,307
|
|
||||||
Employee stock purchase and incentive plans
|
|
82,282
|
|
|
1
|
|
|
(1,939
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,938
|
)
|
||||||
Non-cash equity award compensation
|
|
—
|
|
|
—
|
|
|
3,090
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,090
|
|
||||||
Common dividends declared
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(29,774
|
)
|
|
(29,774
|
)
|
||||||
March 31, 2019
|
|
96,866,464
|
|
|
$
|
969
|
|
|
$
|
1,996,358
|
|
|
$
|
52,684
|
|
|
$
|
1,464,405
|
|
|
$
|
(1,964,489
|
)
|
|
$
|
1,549,927
|
|
(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, 2017
|
|
76,599,972
|
|
|
$
|
766
|
|
|
$
|
1,673,845
|
|
|
$
|
85,248
|
|
|
$
|
1,290,341
|
|
|
$
|
(1,837,913
|
)
|
|
$
|
1,212,287
|
|
Net income
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
46,845
|
|
|
—
|
|
|
46,845
|
|
||||||
Other comprehensive loss
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5,193
|
)
|
|
—
|
|
|
—
|
|
|
(5,193
|
)
|
||||||
Employee stock purchase and incentive plans
|
|
143,964
|
|
|
1
|
|
|
(284
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(283
|
)
|
||||||
Non-cash equity award compensation
|
|
—
|
|
|
—
|
|
|
3,674
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,674
|
|
||||||
Share repurchases
|
|
(1,040,829
|
)
|
|
(10
|
)
|
|
(15,534
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,544
|
)
|
||||||
Common dividends declared
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(21,803
|
)
|
|
(21,803
|
)
|
||||||
March 31, 2018
|
|
75,703,107
|
|
|
$
|
757
|
|
|
$
|
1,661,701
|
|
|
$
|
80,055
|
|
|
$
|
1,337,186
|
|
|
$
|
(1,859,716
|
)
|
|
$
|
1,219,983
|
|
(In Thousands)
(Unaudited) |
|
Three Months Ended March 31,
|
||||||
|
2019
|
|
2018
|
|||||
Cash Flows From Operating Activities:
|
|
|
|
|
||||
Net income
|
|
$
|
54,464
|
|
|
$
|
46,845
|
|
Adjustments to reconcile net income to net cash used in operating activities:
|
|
|
|
|
||||
Amortization of premiums, discounts, and securities issuance costs, net
|
|
(689
|
)
|
|
(3,939
|
)
|
||
Depreciation and amortization of non-financial assets
|
|
343
|
|
|
299
|
|
||
Originations of held-for-sale loans
|
|
(28,968
|
)
|
|
—
|
|
||
Purchases of held-for-sale loans
|
|
(989,977
|
)
|
|
(1,820,002
|
)
|
||
Proceeds from sales of held-for-sale loans
|
|
851,331
|
|
|
1,581,806
|
|
||
Principal payments on held-for-sale loans
|
|
17,450
|
|
|
16,332
|
|
||
Net settlements of derivatives
|
|
(9,305
|
)
|
|
19,296
|
|
||
Non-cash equity award compensation expense
|
|
3,090
|
|
|
3,674
|
|
||
Market valuation adjustments
|
|
(31,439
|
)
|
|
(25,600
|
)
|
||
Realized gains, net
|
|
(10,686
|
)
|
|
(9,363
|
)
|
||
Net change in:
|
|
|
|
|
||||
Accrued interest receivable and other assets
|
|
(50,006
|
)
|
|
35,824
|
|
||
Accrued interest payable and accrued expenses and other liabilities
|
|
(12,119
|
)
|
|
11,581
|
|
||
Net cash used in operating activities
|
|
(206,511
|
)
|
|
(143,247
|
)
|
||
Cash Flows From Investing Activities:
|
|
|
|
|
||||
Originations of loans held-for-investment
|
|
(7,000
|
)
|
|
—
|
|
||
Purchases of loans held-for-investment
|
|
(49,489
|
)
|
|
—
|
|
||
Principal payments on loans held-for-investment
|
|
246,964
|
|
|
159,889
|
|
||
Purchases of real estate securities
|
|
(154,871
|
)
|
|
(128,069
|
)
|
||
Proceeds from sales of real estate securities
|
|
74,018
|
|
|
241,570
|
|
||
Principal payments on real estate securities
|
|
24,498
|
|
|
16,246
|
|
||
Purchases of servicer advance investments
|
|
(68,976
|
)
|
|
—
|
|
||
Principal repayments from servicer advance investments
|
|
66,532
|
|
|
—
|
|
||
Purchases of excess MSRs
|
|
(2,116
|
)
|
|
—
|
|
||
Acquisition of 5 Arches, net of cash acquired
|
|
(3,714
|
)
|
|
—
|
|
||
Net investment in participation in loan warehouse facility
|
|
38,209
|
|
|
—
|
|
||
Net investment in multifamily loan fund
|
|
(22,316
|
)
|
|
—
|
|
||
Other investing activities, net
|
|
(1,179
|
)
|
|
3,827
|
|
||
Net cash provided by investing activities
|
|
140,560
|
|
|
293,463
|
|
||
Cash Flows From Financing Activities:
|
|
|
|
|
||||
Proceeds from borrowings on short-term debt
|
|
1,217,915
|
|
|
1,318,754
|
|
||
Repayments on short-term debt
|
|
(1,459,648
|
)
|
|
(1,753,090
|
)
|
||
Proceeds from issuance of asset-backed securities
|
|
330,534
|
|
|
441,741
|
|
||
Repayments on asset-backed securities issued
|
|
(163,146
|
)
|
|
(84,974
|
)
|
||
Net settlements of derivatives
|
|
(35
|
)
|
|
(85
|
)
|
||
Net proceeds from issuance of common stock
|
|
182,512
|
|
|
88
|
|
||
Net payments on repurchase of common stock
|
|
—
|
|
|
(16,315
|
)
|
||
Taxes paid on equity award distributions
|
|
(2,033
|
)
|
|
(371
|
)
|
||
Dividends paid
|
|
(29,774
|
)
|
|
(21,803
|
)
|
||
Net cash provided by (used in) financing activities
|
|
76,325
|
|
|
(116,055
|
)
|
||
Net increase in cash, cash equivalents and restricted cash
|
|
10,374
|
|
|
34,161
|
|
||
Cash, cash equivalents and restricted cash at beginning of period
(1)
|
|
205,077
|
|
|
146,807
|
|
||
Cash, cash equivalents and restricted cash at end of period
(1)
|
|
$
|
215,451
|
|
|
$
|
180,968
|
|
(In Thousands)
(Unaudited) |
|
Three Months Ended March 31,
|
||||||
|
2019
|
|
2018
|
|||||
Supplemental Cash Flow Information:
|
|
|
|
|
||||
Cash paid during the period for:
|
|
|
|
|
||||
Interest
|
|
$
|
99,686
|
|
|
$
|
38,285
|
|
Taxes
|
|
77
|
|
|
42
|
|
||
Supplemental Noncash Information:
|
|
|
|
|
||||
Real estate securities retained from loan securitizations
|
|
$
|
2,601
|
|
|
$
|
16,396
|
|
Transfers from loans held-for-sale to loans held-for-investment
|
|
389,486
|
|
|
507,616
|
|
||
Transfers from loans held-for-investment to loans held-for-sale
|
|
22,758
|
|
|
—
|
|
||
Transfers from residential loans to real estate owned
|
|
5,035
|
|
|
1,268
|
|
||
Right-of-use asset obtained in exchange for operating lease liability
|
|
12,661
|
|
|
—
|
|
(1)
|
Cash, cash equivalents, and restricted cash at
March 31, 2019
includes cash and cash equivalents of
$201 million
and restricted cash of
$15 million
, and at December 31, 2018 includes cash and cash equivalents of
$176 million
and restricted cash of
$29 million
.
|
(In Thousands)
|
|
March 1, 2019
|
||
Purchase price:
|
|
|
||
Cash
|
|
$
|
12,575
|
|
Contingent consideration, at fair value
|
|
24,621
|
|
|
Purchase option, at fair value
|
|
5,082
|
|
|
Equity method investment, at fair value
|
|
8,052
|
|
|
Total consideration
|
|
$
|
50,330
|
|
|
|
|
||
Allocated to:
|
|
|
||
Tangible net assets acquired
(1)
|
|
$
|
1,004
|
|
Goodwill
|
|
28,728
|
|
|
Intangible assets
|
|
24,800
|
|
|
Deferred tax liability
|
|
(4,202
|
)
|
|
Total net assets acquired
|
|
$
|
50,330
|
|
(1)
|
5 Arches net assets acquired consisted of assets of
$19 million
and liabilities of
$18 million
as of March 1, 2019.
|
(Dollars in Thousands)
|
|
Carrying Value at December 31, 2018
|
|
Additions
|
|
Amortization Expense
|
|
Carrying Value at March 31, 2019
|
|
Weighted Average Amortization Period (in years)
|
||||||||
Finite-lived intangible assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||
Broker network
|
|
$
|
—
|
|
|
$
|
18,100
|
|
|
$
|
(301
|
)
|
|
$
|
17,799
|
|
|
5
|
Non-compete agreements
|
|
—
|
|
|
2,900
|
|
|
(81
|
)
|
|
2,819
|
|
|
3
|
||||
Management fee on existing assets under management
|
|
—
|
|
|
2,600
|
|
|
(217
|
)
|
|
2,383
|
|
|
1
|
||||
Tradename
|
|
—
|
|
|
1,200
|
|
|
(34
|
)
|
|
1,166
|
|
|
3
|
||||
Total
|
|
$
|
—
|
|
|
$
|
24,800
|
|
|
$
|
(633
|
)
|
|
$
|
24,167
|
|
|
4
|
(In Thousands)
|
|
March 31, 2019
|
||
2019 (9 months)
|
|
$
|
5,690
|
|
2020
|
|
5,420
|
|
|
2021
|
|
4,987
|
|
|
2022
|
|
3,848
|
|
|
2023 and thereafter
|
|
4,222
|
|
|
Total Future Intangible Asset Amortization
|
|
$
|
24,167
|
|
(In Thousands)
|
|
Three Months Ended March 31, 2019
|
||
Beginning balance
|
|
$
|
—
|
|
Goodwill recognized from 5 Arches acquisition
|
|
28,728
|
|
|
Impairment
|
|
—
|
|
|
Ending Balance
|
|
$
|
28,728
|
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Supplementary pro forma information:
|
|
|
|
|
||||
Net interest income
|
|
$
|
32,266
|
|
|
$
|
35,331
|
|
Non-interest income
|
|
43,849
|
|
|
40,968
|
|
||
Net income
|
|
50,311
|
|
|
46,035
|
|
|
|
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
|
||||||||||||||
March 31, 2019
(In Thousands) |
|
|
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
||||||||||||||||
Assets
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
11,490
|
|
|
$
|
—
|
|
|
$
|
11,490
|
|
|
$
|
(11,490
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
TBAs
|
|
5,826
|
|
|
—
|
|
|
5,826
|
|
|
(5,755
|
)
|
|
—
|
|
|
71
|
|
||||||
Total Assets
|
|
$
|
17,316
|
|
|
$
|
—
|
|
|
$
|
17,316
|
|
|
$
|
(17,245
|
)
|
|
$
|
—
|
|
|
$
|
71
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Liabilities
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
(100,561
|
)
|
|
$
|
—
|
|
|
$
|
(100,561
|
)
|
|
$
|
11,490
|
|
|
$
|
89,071
|
|
|
$
|
—
|
|
TBAs
|
|
(9,609
|
)
|
|
—
|
|
|
(9,609
|
)
|
|
5,755
|
|
|
2,166
|
|
|
(1,688
|
)
|
||||||
Loan warehouse debt
|
|
(526,341
|
)
|
|
—
|
|
|
(526,341
|
)
|
|
526,341
|
|
|
—
|
|
|
—
|
|
||||||
Security repurchase agreements
|
|
(1,081,079
|
)
|
|
—
|
|
|
(1,081,079
|
)
|
|
1,081,079
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
|
$
|
(1,717,590
|
)
|
|
$
|
—
|
|
|
$
|
(1,717,590
|
)
|
|
$
|
1,624,665
|
|
|
$
|
91,237
|
|
|
$
|
(1,688
|
)
|
|
|
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, 2018
(In Thousands) |
|
|
|
|
Financial Instruments
|
|
Cash Collateral (Received) Pledged
|
|
||||||||||||||||
Assets
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
28,211
|
|
|
$
|
—
|
|
|
$
|
28,211
|
|
|
$
|
(28,211
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
TBAs
|
|
4,665
|
|
|
—
|
|
|
4,665
|
|
|
(3,391
|
)
|
|
(835
|
)
|
|
439
|
|
||||||
Total Assets
|
|
$
|
32,876
|
|
|
$
|
—
|
|
|
$
|
32,876
|
|
|
$
|
(31,602
|
)
|
|
$
|
(835
|
)
|
|
$
|
439
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Liabilities
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest rate agreements
|
|
$
|
(70,908
|
)
|
|
$
|
—
|
|
|
$
|
(70,908
|
)
|
|
$
|
28,211
|
|
|
$
|
42,697
|
|
|
$
|
—
|
|
TBAs
|
|
(13,215
|
)
|
|
—
|
|
|
(13,215
|
)
|
|
3,391
|
|
|
5,620
|
|
|
(4,204
|
)
|
||||||
Loan warehouse debt
|
|
(860,650
|
)
|
|
—
|
|
|
(860,650
|
)
|
|
860,650
|
|
|
—
|
|
|
—
|
|
||||||
Security repurchase agreements
|
|
(988,890
|
)
|
|
—
|
|
|
(988,890
|
)
|
|
988,890
|
|
|
—
|
|
|
—
|
|
||||||
Total Liabilities
|
|
$
|
(1,933,663
|
)
|
|
$
|
—
|
|
|
$
|
(1,933,663
|
)
|
|
$
|
1,881,142
|
|
|
$
|
48,317
|
|
|
$
|
(4,204
|
)
|
(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 and TBAs 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.
|
March 31, 2019
|
|
Legacy
Sequoia
|
|
Sequoia
Choice
|
|
Freddie Mac SLST
|
|
Freddie Mac
K-Series
|
|
Servicing Investment
|
|
Total
Consolidated
VIEs
|
||||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
||||||||||||||||||
Residential loans, held-for-investment
|
|
$
|
488,645
|
|
|
$
|
2,333,248
|
|
|
$
|
1,228,317
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4,050,210
|
|
Multifamily loans, held-for-investment
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,175,899
|
|
|
—
|
|
|
2,175,899
|
|
||||||
Other investments
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
318,677
|
|
|
318,677
|
|
||||||
Cash and cash equivalents
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11,375
|
|
|
11,375
|
|
||||||
Restricted cash
|
|
146
|
|
|
14
|
|
|
—
|
|
|
—
|
|
|
3,189
|
|
|
3,349
|
|
||||||
Accrued interest receivable
|
|
776
|
|
|
9,616
|
|
|
3,861
|
|
|
6,587
|
|
|
3,251
|
|
|
24,091
|
|
||||||
REO
|
|
2,280
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,280
|
|
||||||
Total Assets
|
|
$
|
491,847
|
|
|
$
|
2,342,878
|
|
|
$
|
1,232,178
|
|
|
$
|
2,182,486
|
|
|
$
|
336,492
|
|
|
$
|
6,585,881
|
|
Short-term debt
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
249,557
|
|
|
$
|
249,557
|
|
Accrued interest payable
|
|
531
|
|
|
7,854
|
|
|
2,846
|
|
|
6,230
|
|
|
403
|
|
|
17,864
|
|
||||||
Accrued expenses and other liabilities
|
|
—
|
|
|
14
|
|
|
—
|
|
|
—
|
|
|
20,598
|
|
|
20,612
|
|
||||||
Asset-backed securities issued
|
|
479,999
|
|
|
2,117,356
|
|
|
993,032
|
|
|
2,047,257
|
|
|
—
|
|
|
5,637,644
|
|
||||||
Total Liabilities
|
|
$
|
480,530
|
|
|
$
|
2,125,224
|
|
|
$
|
995,878
|
|
|
$
|
2,053,487
|
|
|
$
|
270,558
|
|
|
$
|
5,925,677
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Number of VIEs
|
|
20
|
|
|
7
|
|
|
1
|
|
|
3
|
|
|
3
|
|
|
34
|
|
December 31, 2018
|
|
Legacy
Sequoia
|
|
Sequoia
Choice |
|
Freddie Mac SLST
|
|
Freddie Mac
K-Series
|
|
Servicing Investment
|
|
Total
Consolidated
VIEs
|
||||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|
||||||||||||||||||
Residential loans, held-for-investment
|
|
$
|
519,958
|
|
|
$
|
2,079,382
|
|
|
$
|
1,222,669
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,822,009
|
|
Multifamily loans, held-for-investment
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,144,598
|
|
|
—
|
|
|
2,144,598
|
|
||||||
Other investments
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
312,688
|
|
|
312,688
|
|
||||||
Restricted cash
|
|
146
|
|
|
1,022
|
|
|
—
|
|
|
—
|
|
|
25,363
|
|
|
26,531
|
|
||||||
Accrued interest receivable
|
|
822
|
|
|
8,988
|
|
|
3,926
|
|
|
6,595
|
|
|
1,091
|
|
|
21,422
|
|
||||||
REO
|
|
3,943
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,943
|
|
||||||
Total Assets
|
|
$
|
524,869
|
|
|
$
|
2,089,392
|
|
|
$
|
1,226,595
|
|
|
$
|
2,151,193
|
|
|
$
|
339,142
|
|
|
$
|
6,331,191
|
|
Short-term debt
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
262,740
|
|
|
$
|
262,740
|
|
Accrued interest payable
|
|
571
|
|
|
7,180
|
|
|
2,907
|
|
|
6,239
|
|
|
483
|
|
|
17,380
|
|
||||||
Accrued expenses and other liabilities
|
|
—
|
|
|
1,022
|
|
|
—
|
|
|
—
|
|
|
18,592
|
|
|
19,614
|
|
||||||
Asset-backed securities issued
|
|
512,240
|
|
|
1,885,010
|
|
|
993,748
|
|
|
2,019,075
|
|
|
—
|
|
|
5,410,073
|
|
||||||
Total Liabilities
|
|
$
|
512,811
|
|
|
$
|
1,893,212
|
|
|
$
|
996,655
|
|
|
$
|
2,025,314
|
|
|
$
|
281,815
|
|
|
$
|
5,709,807
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Number of VIEs
|
|
20
|
|
|
6
|
|
|
1
|
|
|
3
|
|
|
3
|
|
|
33
|
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Principal balance of loans transferred
|
|
$
|
348,257
|
|
|
$
|
1,280,468
|
|
Trading securities retained, at fair value
|
|
1,716
|
|
|
12,491
|
|
||
AFS securities retained, at fair value
|
|
885
|
|
|
3,905
|
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Proceeds from new transfers
|
|
$
|
352,371
|
|
|
$
|
1,289,687
|
|
MSR fees received
|
|
3,060
|
|
|
3,414
|
|
||
Funding of compensating interest, net
|
|
(90
|
)
|
|
(25
|
)
|
||
Cash flows received on retained securities
|
|
7,546
|
|
|
7,043
|
|
|
|
Three Months Ended March 31, 2019
|
|
Three Months Ended March 31, 2018
|
||||||||
At Date of Securitization
|
|
Senior IO Securities
|
|
Subordinate Securities
|
|
Senior IO Securities
|
|
Subordinate Securities
|
||||
Prepayment rates
|
|
16
|
%
|
|
14
|
%
|
|
8
|
%
|
|
10
|
%
|
Discount rates
|
|
14
|
%
|
|
8
|
%
|
|
14
|
%
|
|
7
|
%
|
Credit loss assumptions
|
|
0.20
|
%
|
|
0.20
|
%
|
|
0.20
|
%
|
|
0.20
|
%
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
On-balance sheet assets, at fair value:
|
|
|
|
|
||||
Interest-only, senior and subordinate securities, classified as trading
|
|
$
|
128,273
|
|
|
$
|
129,111
|
|
Subordinate securities, classified as AFS
|
|
150,630
|
|
|
162,314
|
|
||
Mortgage servicing rights
|
|
53,657
|
|
|
58,572
|
|
||
Maximum loss exposure
(1)
|
|
$
|
332,560
|
|
|
$
|
349,997
|
|
Assets transferred:
|
|
|
|
|
||||
Principal balance of loans outstanding
|
|
$
|
10,632,174
|
|
|
$
|
10,580,216
|
|
Principal balance of loans 30+ days delinquent
|
|
27,229
|
|
|
21,805
|
|
(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.
|
March 31, 2019
|
|
MSRs
|
|
Senior
Securities
(1)
|
|
Subordinate Securities
|
||||||
(Dollars in Thousands)
|
|
|
|
|||||||||
Fair value at March 31, 2019
|
|
$
|
53,657
|
|
|
$
|
57,536
|
|
|
$
|
221,367
|
|
Expected life (in years)
(2)
|
|
8
|
|
|
7
|
|
|
15
|
|
|||
Prepayment speed assumption (annual CPR)
(2)
|
|
8
|
%
|
|
10
|
%
|
|
8
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% adverse change
|
|
$
|
1,749
|
|
|
$
|
1,951
|
|
|
$
|
92
|
|
25% adverse change
|
|
4,199
|
|
|
4,924
|
|
|
927
|
|
|||
Discount rate assumption
(2)
|
|
11
|
%
|
|
12
|
%
|
|
5
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
100 basis point increase
|
|
$
|
2,092
|
|
|
$
|
1,783
|
|
|
$
|
22,094
|
|
200 basis point increase
|
|
4,036
|
|
|
3,629
|
|
|
40,797
|
|
|||
Credit loss assumption
(2)
|
|
N/A
|
|
|
0.20
|
%
|
|
0.20
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% higher losses
|
|
N/A
|
|
|
$
|
—
|
|
|
$
|
1,504
|
|
|
25% higher losses
|
|
N/A
|
|
|
—
|
|
|
3,754
|
|
December 31, 2018
|
|
MSRs
|
|
Senior
Securities
(1)
|
|
Subordinate Securities
|
||||||
(Dollars in Thousands)
|
|
|
|
|||||||||
Fair value at December 31, 2018
|
|
$
|
58,572
|
|
|
$
|
61,178
|
|
|
$
|
230,247
|
|
Expected life (in years)
(2)
|
|
8
|
|
|
7
|
|
|
15
|
|
|||
Prepayment speed assumption (annual CPR)
(2)
|
|
7
|
%
|
|
10
|
%
|
|
9
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% adverse change
|
|
$
|
1,668
|
|
|
$
|
2,151
|
|
|
$
|
201
|
|
25% adverse change
|
|
4,027
|
|
|
5,127
|
|
|
1,372
|
|
|||
Discount rate assumption
(2)
|
|
11
|
%
|
|
12
|
%
|
|
6
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
100 basis point increase
|
|
$
|
2,323
|
|
|
$
|
2,190
|
|
|
$
|
21,982
|
|
200 basis point increase
|
|
4,493
|
|
|
4,226
|
|
|
40,641
|
|
|||
Credit loss assumption
(2)
|
|
N/A
|
|
|
0.20
|
%
|
|
0.20
|
%
|
|||
Decrease in fair value from:
|
|
|
|
|
|
|
||||||
10% higher losses
|
|
N/A
|
|
|
$
|
—
|
|
|
$
|
1,387
|
|
|
25% higher losses
|
|
N/A
|
|
|
—
|
|
|
3,471
|
|
(1)
|
Senior securities included
$58 million
and
$61 million
of interest-only securities at
March 31, 2019
and
December 31, 2018
, respectively.
|
(2)
|
Expected life, prepayment speed assumption, discount rate assumption, and credit loss assumption presented in the tables above represent weighted averages.
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Mortgage-Backed Securities
|
|
|
|
|
||||
Senior
|
|
$
|
173,102
|
|
|
$
|
185,107
|
|
Mezzanine
|
|
664,496
|
|
|
547,249
|
|
||
Subordinate
|
|
426,651
|
|
|
428,713
|
|
||
Total Mortgage-Backed Securities
|
|
1,264,249
|
|
|
1,161,069
|
|
||
Excess MSR
|
|
14,234
|
|
|
15,092
|
|
||
Total Investments in Third-Party Sponsored VIEs
|
|
$
|
1,278,483
|
|
|
$
|
1,176,161
|
|
|
|
March 31, 2019
|
|
December 31, 2018
|
||||||||||||
|
|
Carrying
Value
|
|
Fair
Value
|
|
Carrying
Value
|
|
Fair
Value
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, held-for-sale
|
|
|
|
|
|
|
|
|
||||||||
At fair value
|
|
$
|
819,111
|
|
|
$
|
819,111
|
|
|
$
|
1,048,690
|
|
|
$
|
1,048,690
|
|
At lower of cost or fair value
|
|
110
|
|
|
130
|
|
|
111
|
|
|
131
|
|
||||
Residential loans, held-for-investment
|
|
6,455,080
|
|
|
6,455,080
|
|
|
6,205,941
|
|
|
6,205,941
|
|
||||
Business purpose residential loans
|
|
160,612
|
|
|
160,612
|
|
|
141,258
|
|
|
141,258
|
|
||||
Multifamily loans
|
|
2,175,899
|
|
|
2,175,899
|
|
|
2,144,598
|
|
|
2,144,598
|
|
||||
Trading securities
|
|
1,255,224
|
|
|
1,255,224
|
|
|
1,118,612
|
|
|
1,118,612
|
|
||||
Available-for-sale securities
|
|
287,928
|
|
|
287,928
|
|
|
333,882
|
|
|
333,882
|
|
||||
Servicer advance investments
(1)
|
|
303,920
|
|
|
303,920
|
|
|
300,468
|
|
|
300,468
|
|
||||
MSRs
(1)
|
|
55,284
|
|
|
55,284
|
|
|
60,281
|
|
|
60,281
|
|
||||
Participation in loan warehouse facility
(1)
|
|
—
|
|
|
—
|
|
|
39,703
|
|
|
39,703
|
|
||||
Excess MSRs
(1)
|
|
28,992
|
|
|
28,992
|
|
|
27,312
|
|
|
27,312
|
|
||||
Cash and cash equivalents
|
|
200,837
|
|
|
200,837
|
|
|
175,764
|
|
|
175,764
|
|
||||
Restricted cash
|
|
14,614
|
|
|
14,614
|
|
|
29,313
|
|
|
29,313
|
|
||||
Accrued interest receivable
|
|
48,972
|
|
|
48,972
|
|
|
47,105
|
|
|
47,105
|
|
||||
Derivative assets
|
|
22,283
|
|
|
22,283
|
|
|
35,789
|
|
|
35,789
|
|
||||
REO
(2)
|
|
7,275
|
|
|
7,531
|
|
|
3,943
|
|
|
4,396
|
|
||||
Margin receivable
(2)
|
|
154,549
|
|
|
154,549
|
|
|
100,773
|
|
|
100,773
|
|
||||
FHLBC stock
(2)
|
|
43,393
|
|
|
43,393
|
|
|
43,393
|
|
|
43,393
|
|
||||
Guarantee asset
(2)
|
|
2,342
|
|
|
2,342
|
|
|
2,618
|
|
|
2,618
|
|
||||
Pledged collateral
(2)
|
|
42,631
|
|
|
42,631
|
|
|
42,433
|
|
|
42,433
|
|
||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Short-term debt facilities
|
|
$
|
1,713,749
|
|
|
$
|
1,713,749
|
|
|
$
|
1,937,920
|
|
|
$
|
1,937,920
|
|
Short-term debt - servicer advance financing
|
|
249,557
|
|
|
249,557
|
|
|
262,740
|
|
|
262,740
|
|
||||
Accrued interest payable
|
|
39,526
|
|
|
39,526
|
|
|
42,528
|
|
|
42,528
|
|
||||
Margin payable
(3)
|
|
19
|
|
|
19
|
|
|
835
|
|
|
835
|
|
||||
Guarantee obligation
(3)
|
|
16,359
|
|
|
16,210
|
|
|
16,711
|
|
|
16,774
|
|
||||
Contingent consideration
(3)
|
|
24,621
|
|
|
24,621
|
|
|
—
|
|
|
—
|
|
||||
Derivative liabilities
|
|
110,942
|
|
|
110,942
|
|
|
84,855
|
|
|
84,855
|
|
||||
ABS issued at fair value
|
|
5,637,644
|
|
|
5,637,644
|
|
|
5,410,073
|
|
|
5,410,073
|
|
||||
FHLBC long-term borrowings
|
|
1,999,999
|
|
|
1,999,999
|
|
|
1,999,999
|
|
|
1,999,999
|
|
||||
Convertible notes, net
|
|
633,994
|
|
|
632,470
|
|
|
633,196
|
|
|
618,271
|
|
||||
Trust preferred securities and subordinated notes, net
|
|
138,593
|
|
|
100,440
|
|
|
138,582
|
|
|
102,533
|
|
(1)
|
These investments are included in Other investments on our consolidated balance sheets.
|
(2)
|
These assets are included in Other assets on our consolidated balance sheets.
|
(3)
|
These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets.
|
March 31, 2019
|
|
Carrying
Value
|
|
Fair Value Measurements Using
|
||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
7,274,191
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7,274,191
|
|
Business purpose residential loans
|
|
160,612
|
|
|
—
|
|
|
—
|
|
|
160,612
|
|
||||
Multifamily loans
|
|
2,175,899
|
|
|
—
|
|
|
—
|
|
|
2,175,899
|
|
||||
Trading securities
|
|
1,255,224
|
|
|
—
|
|
|
—
|
|
|
1,255,224
|
|
||||
Available-for-sale securities
|
|
287,928
|
|
|
—
|
|
|
—
|
|
|
287,928
|
|
||||
Servicer advance investments
|
|
303,920
|
|
|
—
|
|
|
—
|
|
|
303,920
|
|
||||
MSRs
|
|
55,284
|
|
|
—
|
|
|
—
|
|
|
55,284
|
|
||||
Excess MSRs
|
|
28,992
|
|
|
—
|
|
|
—
|
|
|
28,992
|
|
||||
Derivative assets
|
|
22,283
|
|
|
5,826
|
|
|
11,490
|
|
|
4,967
|
|
||||
Pledged collateral
|
|
42,631
|
|
|
42,631
|
|
|
—
|
|
|
—
|
|
||||
FHLBC stock
|
|
43,393
|
|
|
—
|
|
|
43,393
|
|
|
—
|
|
||||
Guarantee asset
|
|
2,342
|
|
|
—
|
|
|
—
|
|
|
2,342
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|||||||
Contingent consideration
|
|
$
|
24,621
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
24,621
|
|
Derivative liabilities
|
|
110,942
|
|
|
9,609
|
|
|
100,561
|
|
|
772
|
|
||||
ABS issued
|
|
5,637,644
|
|
|
—
|
|
|
—
|
|
|
5,637,644
|
|
December 31, 2018
|
|
Carrying
Value
|
|
Fair Value Measurements Using
|
||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|||||||||
Assets
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
7,254,631
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
7,254,631
|
|
Business purpose residential loans
|
|
141,258
|
|
|
—
|
|
|
—
|
|
|
141,258
|
|
||||
Multifamily loans
|
|
2,144,598
|
|
|
—
|
|
|
—
|
|
|
2,144,598
|
|
||||
Trading securities
|
|
1,118,612
|
|
|
—
|
|
|
—
|
|
|
1,118,612
|
|
||||
Available-for-sale securities
|
|
333,882
|
|
|
—
|
|
|
—
|
|
|
333,882
|
|
||||
Servicer advance investments
|
|
300,468
|
|
|
—
|
|
|
—
|
|
|
300,468
|
|
||||
MSRs
|
|
60,281
|
|
|
—
|
|
|
—
|
|
|
60,281
|
|
||||
Excess MSRs
|
|
27,312
|
|
|
—
|
|
|
—
|
|
|
27,312
|
|
||||
Derivative assets
|
|
35,789
|
|
|
4,665
|
|
|
28,211
|
|
|
2,913
|
|
||||
Pledged collateral
|
|
42,433
|
|
|
42,433
|
|
|
—
|
|
|
—
|
|
||||
FHLBC stock
|
|
43,393
|
|
|
—
|
|
|
43,393
|
|
|
—
|
|
||||
Guarantee asset
|
|
2,618
|
|
|
—
|
|
|
—
|
|
|
2,618
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
||||||||
Derivative liabilities
|
|
$
|
84,855
|
|
|
$
|
13,215
|
|
|
$
|
70,908
|
|
|
$
|
732
|
|
ABS issued
|
|
5,410,073
|
|
|
—
|
|
|
—
|
|
|
5,410,073
|
|
|
|
Assets
|
||||||||||||||||||||||||||||||||||
|
|
Residential Loans
|
|
Business Purpose
Residential Loans
|
|
Multifamily Loans
|
|
Trading Securities
|
|
AFS
Securities
|
|
Servicer Advance Investments
|
|
MSRs
|
|
Excess MSRs
|
|
Guarantee Asset
|
||||||||||||||||||
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Beginning balance -
December 31, 2018
|
|
$
|
7,254,631
|
|
|
$
|
141,258
|
|
|
$
|
2,144,598
|
|
|
$
|
1,118,612
|
|
|
$
|
333,882
|
|
|
$
|
300,468
|
|
|
$
|
60,281
|
|
|
$
|
27,312
|
|
|
$
|
2,618
|
|
Acquisitions
|
|
1,022,198
|
|
|
29,093
|
|
|
—
|
|
|
152,587
|
|
|
4,885
|
|
|
68,976
|
|
|
104
|
|
|
2,117
|
|
|
—
|
|
|||||||||
Originations
|
|
—
|
|
|
35,968
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Sales
|
|
(833,078
|
)
|
|
(20,590
|
)
|
|
—
|
|
|
(32,002
|
)
|
|
(42,016
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Principal paydowns
|
|
(240,406
|
)
|
|
(20,992
|
)
|
|
(3,071
|
)
|
|
(5,832
|
)
|
|
(18,666
|
)
|
|
(66,532
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Gains (losses) in net income, net
|
|
70,833
|
|
|
871
|
|
|
34,372
|
|
|
21,859
|
|
|
12,616
|
|
|
1,008
|
|
|
(5,101
|
)
|
|
(437
|
)
|
|
(276
|
)
|
|||||||||
Unrealized losses in OCI, net
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(2,773
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Other settlements, net
(2)
|
|
13
|
|
|
(4,996
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||||||
Ending Balance -
March 31, 2019
|
|
$
|
7,274,191
|
|
|
$
|
160,612
|
|
|
$
|
2,175,899
|
|
|
$
|
1,255,224
|
|
|
$
|
287,928
|
|
|
$
|
303,920
|
|
|
$
|
55,284
|
|
|
$
|
28,992
|
|
|
$
|
2,342
|
|
|
|
|
|
Liabilities
|
||||||||
|
|
Derivatives
(1)
|
|
Contingent Consideration
|
|
ABS
Issued
|
||||||
(In Thousands)
|
|
|
|
|||||||||
Beginning balance - December 31, 2018
|
|
$
|
2,181
|
|
|
$
|
—
|
|
|
$
|
5,410,073
|
|
Acquisitions
|
|
—
|
|
|
24,621
|
|
|
330,535
|
|
|||
Principal paydowns
|
|
—
|
|
|
—
|
|
|
(163,146
|
)
|
|||
Gains (losses) in net income, net
|
|
11,452
|
|
|
—
|
|
|
60,182
|
|
|||
Other settlements, net
(2)
|
|
(9,438
|
)
|
|
—
|
|
|
—
|
|
|||
Ending Balance - March 31, 2019
|
|
$
|
4,195
|
|
|
$
|
24,621
|
|
|
$
|
5,637,644
|
|
(1)
|
For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase and forward sale commitments, are presented on a net basis.
|
(2)
|
Other settlements, net for residential and business purpose residential loans represents the transfer of loans to REO, and for derivatives, the settlement of forward sale commitments and 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 March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Assets
|
|
|
|
|
||||
Residential loans at Redwood
|
|
$
|
35,801
|
|
|
$
|
(42,195
|
)
|
Residential loans at consolidated Sequoia entities
|
|
14,472
|
|
|
20,548
|
|
||
Residential loans at consolidated Freddie Mac SLST entity
|
|
23,527
|
|
|
—
|
|
||
Business purpose residential loans
|
|
1,050
|
|
|
—
|
|
||
Multifamily loans at consolidated Freddie Mac K-Series entities
|
|
34,372
|
|
|
—
|
|
||
Trading securities
|
|
21,543
|
|
|
(3,951
|
)
|
||
Servicer advance investments
|
|
1,008
|
|
|
—
|
|
||
MSRs
|
|
(4,295
|
)
|
|
3,933
|
|
||
Excess MSRs
|
|
(437
|
)
|
|
—
|
|
||
Loan purchase commitments
|
|
4,962
|
|
|
3,919
|
|
||
Other assets - Guarantee asset
|
|
(277
|
)
|
|
186
|
|
||
|
|
|
|
|
||||
Liabilities
|
|
|
|
|
||||
Loan purchase commitments
|
|
$
|
(753
|
)
|
|
$
|
(2,554
|
)
|
Loan forward sale commitments
|
|
—
|
|
|
(1,269
|
)
|
||
ABS issued
|
|
(60,182
|
)
|
|
(20,735
|
)
|
|
|
|
|
|
|
|
|
|
|
Gain (Loss) for
|
||||||||||
March 31, 2019
|
|
Carrying
Value
|
|
Fair Value Measurements Using
|
|
Three Months Ended
|
||||||||||||||
(In Thousands)
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
March 31, 2019
|
|||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
||||||||||
REO
|
|
$
|
5,821
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,821
|
|
|
$
|
(272
|
)
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Mortgage Banking Activities, Net
|
|
|
|
|
||||
Residential loans held-for-sale, at fair value
|
|
$
|
3,533
|
|
|
$
|
4,774
|
|
Residential loan purchase and forward sale commitments
|
|
11,311
|
|
|
(6,968
|
)
|
||
Single-family rental loans held-for-sale, at fair value
|
|
1,603
|
|
|
—
|
|
||
Single-family rental loan purchase commitments
|
|
141
|
|
|
—
|
|
||
Residential bridge loans
|
|
86
|
|
|
—
|
|
||
Risk management derivatives, net
|
|
(4,984
|
)
|
|
28,432
|
|
||
Total mortgage banking activities, net
(1)
|
|
$
|
11,690
|
|
|
$
|
26,238
|
|
Investment Fair Value Changes, Net
|
|
|
|
|
||||
Residential loans held-for-investment, at Redwood
|
|
$
|
28,108
|
|
|
$
|
(38,985
|
)
|
Residential bridge loans held-for-investment
|
|
(303
|
)
|
|
—
|
|
||
Trading securities
|
|
21,860
|
|
|
(2,955
|
)
|
||
Servicer advance investments
|
|
1,008
|
|
|
—
|
|
||
Excess MSRs
|
|
(437
|
)
|
|
—
|
|
||
Net investments in Legacy Sequoia entities
(2)
|
|
(374
|
)
|
|
(8
|
)
|
||
Net investments in Sequoia Choice entities
(2)
|
|
3,265
|
|
|
(86
|
)
|
||
Net investment in Freddie Mac SLST entity
(2)
|
|
6,365
|
|
|
—
|
|
||
Net investments in Freddie Mac K-Series entities
(2)
|
|
3,119
|
|
|
—
|
|
||
Risk-sharing investments
|
|
(77
|
)
|
|
(139
|
)
|
||
Risk management derivatives, net
|
|
(42,375
|
)
|
|
43,782
|
|
||
Total investment fair value changes, net
|
|
$
|
20,159
|
|
|
$
|
1,609
|
|
Other Income (Expense), Net
|
|
|
|
|
||||
MSRs
|
|
$
|
(5,102
|
)
|
|
$
|
2,892
|
|
Risk management derivatives, net
|
|
2,251
|
|
|
(5,139
|
)
|
||
Gain on re-measurement of 5 Arches investment
|
|
2,441
|
|
|
—
|
|
||
Total other expense, net
(3)
|
|
$
|
(410
|
)
|
|
$
|
(2,247
|
)
|
Total Market Valuation Gains, Net
|
|
$
|
31,439
|
|
|
$
|
25,600
|
|
(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)
|
Includes changes in fair value of the residential loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our retained investments at the consolidated VIEs.
|
(3)
|
Other income, net presented above does not include net MSR fee income or provisions for repurchases for MSRs, as these amounts do not represent market valuation adjustments.
|
March 31, 2019
|
|
Fair
Value
|
|
|
|
Input Values
|
||||||||||||||
(Dollars in Thousands, except Input Values)
|
|
|
Unobservable Input
|
|
Range
|
|
|
Weighted
Average
|
||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential loans, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Jumbo fixed-rate loans
|
|
$
|
2,436,401
|
|
|
Whole loan spread to TBA price
|
|
$
|
2.25
|
|
-
|
$
|
2.25
|
|
|
|
$
|
2.25
|
|
|
|
|
|
|
Whole loan spread to swap rate
|
|
80
|
|
-
|
215
|
|
bps
|
|
158
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Jumbo hybrid loans
|
|
400,412
|
|
|
Prepayment rate (annual CPR)
|
|
15
|
|
-
|
15
|
|
%
|
|
15
|
|
%
|
||||
|
|
|
|
Whole loan spread to swap rate
|
|
40
|
|
-
|
155
|
|
bps
|
|
107
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Jumbo loans committed to sell
|
|
387,168
|
|
|
Whole loan committed sales price
|
|
$
|
101.30
|
|
-
|
$
|
103.13
|
|
|
|
$
|
101.83
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Loans held by Legacy Sequoia
(1)
|
|
488,645
|
|
|
Liability price
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Loans held by Sequoia Choice
(1)
|
|
2,333,248
|
|
|
Liability price
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Loans held by Freddie Mac SLST
|
|
1,228,317
|
|
|
Liability price
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Business purpose residential loans:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Single-family rental loans
|
|
56,696
|
|
|
IO discount rate
|
|
12
|
|
-
|
12
|
|
%
|
|
12
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
2
|
|
-
|
10
|
|
%
|
|
5
|
|
%
|
|||||
|
|
|
|
Senior credit spread
|
|
95
|
|
-
|
95
|
|
bps
|
|
95
|
|
bps
|
|||||
|
|
|
|
Subordinate credit spread
|
|
140
|
|
-
|
1,200
|
|
bps
|
|
296
|
|
bps
|
|||||
|
|
|
|
Senior credit support
|
|
35
|
|
-
|
35
|
|
%
|
|
35
|
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Residential bridge loans
|
|
103,915
|
|
|
Discount rate
|
|
7
|
|
-
|
7
|
|
%
|
|
7
|
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Multifamily loans held by Freddie Mac K-Series
(1)
|
|
2,175,899
|
|
|
Liability price
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Trading and AFS securities
|
|
1,543,152
|
|
|
Discount rate
|
|
2
|
|
-
|
14
|
|
%
|
|
5
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
—
|
|
-
|
60
|
|
%
|
|
9
|
|
%
|
|||||
|
|
|
|
Default rate
|
|
—
|
|
-
|
20
|
|
%
|
|
2
|
|
%
|
|||||
|
|
|
|
Loss severity
|
|
—
|
|
-
|
40
|
|
%
|
|
21
|
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Servicer advance investments
|
|
303,920
|
|
|
Discount rate
|
|
5
|
|
-
|
5
|
|
%
|
|
5
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
8
|
|
-
|
16
|
|
%
|
|
14
|
|
%
|
|||||
|
|
|
|
Expected remaining life
(2)
|
|
2
|
|
-
|
2
|
|
years
|
|
2
|
|
years
|
|||||
|
|
|
|
Mortgage servicing income
|
|
6
|
|
-
|
14
|
|
bps
|
|
10
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
MSRs
|
|
55,284
|
|
|
Discount rate
|
|
11
|
|
-
|
30
|
|
%
|
|
11
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
5
|
|
-
|
64
|
|
%
|
|
9
|
|
%
|
|||||
|
|
|
|
Per loan annual cost to service
|
|
$
|
82
|
|
-
|
$
|
82
|
|
|
|
$
|
82
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Excess MSRs
|
|
28,992
|
|
|
Discount rate
|
|
12
|
|
-
|
18
|
|
%
|
|
15
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
8
|
|
-
|
14
|
|
%
|
|
11
|
|
%
|
|||||
|
|
|
|
Excess mortgage servicing income
|
|
7
|
|
-
|
18
|
|
bps
|
|
12
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Guarantee asset
|
|
2,342
|
|
|
Discount rate
|
|
11
|
|
-
|
11
|
|
%
|
|
11
|
|
%
|
||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
11
|
|
-
|
11
|
|
%
|
|
11
|
|
%
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
REO
|
|
5,821
|
|
|
Loss severity
|
|
7
|
|
-
|
51
|
|
%
|
|
10
|
|
%
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments, net
|
|
4,195
|
|
|
MSR multiple
|
|
0.9
|
|
-
|
4.9
|
|
x
|
|
2.6
|
|
x
|
||||
|
|
|
|
Pull-through rate
|
|
8
|
|
-
|
100
|
|
%
|
|
69
|
|
%
|
|||||
|
|
|
|
Whole loan spread to TBA price
|
|
$
|
2.25
|
|
-
|
$
|
2.25
|
|
|
|
$
|
2.25
|
|
|
||
|
|
|
|
Whole loan spread to swap rate - fixed rate
|
|
95
|
|
-
|
215
|
|
bps
|
|
187
|
|
bps
|
|||||
|
|
|
|
Prepayment rate (annual CPR)
|
|
15
|
|
-
|
15
|
|
%
|
|
15
|
|
%
|
|||||
|
|
|
|
Whole loan spread to swap rate - hybrid
|
|
85
|
|
-
|
155
|
|
bps
|
|
109
|
|
bps
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2019
|
|
Fair
Value
|
|
|
|
Input Values
|
||||||||||
(Dollars in Thousands, except Input Values)
|
|
|
Unobservable Input
|
|
Range
|
|
|
Weighted
Average
|
||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
ABS issued
(1)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
At consolidated Sequoia entities
|
|
2,597,355
|
|
|
Discount rate
|
|
4
|
|
-
|
15
|
|
%
|
|
4
|
|
%
|
|
|
|
|
Prepayment rate (annual CPR)
|
|
8
|
|
-
|
65
|
|
%
|
|
18
|
|
%
|
|
|
|
|
|
Default rate
|
|
—
|
|
-
|
9
|
|
%
|
|
2
|
|
%
|
|
|
|
|
|
Loss severity
|
|
20
|
|
-
|
22
|
|
%
|
|
22
|
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
At consolidated Freddie Mac SLST entity
|
|
993,032
|
|
|
Discount rate
|
|
3
|
|
-
|
3
|
|
%
|
|
3
|
|
%
|
|
|
|
|
Prepayment rate (annual CPR)
|
|
6
|
|
-
|
6
|
|
%
|
|
6
|
|
%
|
|
|
|
|
|
Default rate
|
|
2
|
|
-
|
2
|
|
%
|
|
2
|
|
%
|
|
|
|
|
|
Loss severity
|
|
30
|
|
-
|
30
|
|
%
|
|
30
|
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
At consolidated Freddie Mac K-Series entities
|
|
2,047,257
|
|
|
Discount rate
|
|
3
|
|
-
|
9
|
|
%
|
|
3
|
|
%
|
|
|
|
|
Prepayment rate (annual CPR)
|
|
—
|
|
-
|
—
|
|
%
|
|
—
|
|
%
|
|
|
|
|
|
Default rate
|
|
1
|
|
-
|
1
|
|
%
|
|
1
|
|
%
|
|
|
|
|
|
Loss severity
|
|
20
|
|
-
|
20
|
|
%
|
|
20
|
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Contingent consideration
|
|
24,621
|
|
|
Discount rate
|
|
23
|
|
-
|
23
|
|
%
|
|
23
|
|
%
|
|
|
|
|
Probability of outcomes
(3)
|
|
—
|
|
-
|
100
|
|
%
|
|
90
|
|
%
|
(1)
|
The fair value of the loans held by consolidated 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)
|
Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool).
|
(3)
|
Represents the probability of a full payout of contingent purchase consideration.
|
March 31, 2019
|
|
|
|
Legacy
|
|
Sequoia
|
|
Freddie Mac
|
|
|
||||||||||
(In Thousands)
|
|
Redwood
|
|
Sequoia
|
|
Choice
|
|
SLST
|
|
Total
|
||||||||||
Held-for-sale
|
|
|
|
|
|
|
|
|
|
|
||||||||||
At fair value
|
|
$
|
819,111
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
819,111
|
|
At lower of cost or fair value
|
|
110
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
110
|
|
|||||
Total held-for-sale
|
|
819,221
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
819,221
|
|
|||||
Held-for-investment at fair value
|
|
2,404,870
|
|
|
488,645
|
|
|
2,333,248
|
|
|
1,228,317
|
|
|
6,455,080
|
|
|||||
Total Residential Loans
|
|
$
|
3,224,091
|
|
|
$
|
488,645
|
|
|
$
|
2,333,248
|
|
|
$
|
1,228,317
|
|
|
$
|
7,274,301
|
|
December 31, 2018
|
|
|
|
Legacy
|
|
Sequoia
|
|
Freddie Mac
|
|
|
||||||||||
(In Thousands)
|
|
Redwood
|
|
Sequoia
|
|
Choice
|
|
SLST
|
|
Total
|
||||||||||
Held-for-sale
|
|
|
|
|
|
|
|
|
|
|
||||||||||
At fair value
|
|
$
|
1,048,690
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,048,690
|
|
At lower of cost or fair value
|
|
111
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
111
|
|
|||||
Total held-for-sale
|
|
1,048,801
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,048,801
|
|
|||||
Held-for-investment at fair value
|
|
2,383,932
|
|
|
519,958
|
|
|
2,079,382
|
|
|
1,222,669
|
|
|
6,205,941
|
|
|||||
Total Residential Loans
|
|
$
|
3,432,733
|
|
|
$
|
519,958
|
|
|
$
|
2,079,382
|
|
|
$
|
1,222,669
|
|
|
$
|
7,254,742
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Single-family rental loans, held-for-sale at fair value
|
|
$
|
56,696
|
|
|
$
|
28,460
|
|
Residential bridge loans, held-for-investment at fair value
|
|
103,916
|
|
|
112,798
|
|
||
Total Business Purpose Residential Loans
|
|
$
|
160,612
|
|
|
$
|
141,258
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Trading
|
|
$
|
1,255,224
|
|
|
$
|
1,118,612
|
|
Available-for-sale
|
|
287,928
|
|
|
333,882
|
|
||
Total Real Estate Securities
|
|
$
|
1,543,152
|
|
|
$
|
1,452,494
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Senior
|
|
$
|
182,883
|
|
|
$
|
158,670
|
|
Mezzanine
|
|
730,855
|
|
|
610,819
|
|
||
Subordinate
|
|
341,486
|
|
|
349,123
|
|
||
Total Trading Securities
|
|
$
|
1,255,224
|
|
|
$
|
1,118,612
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Senior
|
|
$
|
47,755
|
|
|
$
|
87,615
|
|
Mezzanine
|
|
31,133
|
|
|
36,407
|
|
||
Subordinate
|
|
209,040
|
|
|
209,860
|
|
||
Total AFS Securities
|
|
$
|
287,928
|
|
|
$
|
333,882
|
|
March 31, 2019
|
|
|
|
|
|
|
||||||||||
(In Thousands)
|
|
Senior
|
|
Mezzanine
|
|
Subordinate
|
|
Total
|
||||||||
Principal balance
|
|
$
|
48,527
|
|
|
$
|
31,002
|
|
|
$
|
292,680
|
|
|
$
|
372,209
|
|
Credit reserve
|
|
(1,382
|
)
|
|
—
|
|
|
(33,452
|
)
|
|
(34,834
|
)
|
||||
Unamortized discount, net
|
|
(15,853
|
)
|
|
(3,280
|
)
|
|
(122,880
|
)
|
|
(142,013
|
)
|
||||
Amortized cost
|
|
31,292
|
|
|
27,722
|
|
|
136,348
|
|
|
195,362
|
|
||||
Gross unrealized gains
|
|
16,495
|
|
|
3,411
|
|
|
72,734
|
|
|
92,640
|
|
||||
Gross unrealized losses
|
|
(32
|
)
|
|
—
|
|
|
(42
|
)
|
|
(74
|
)
|
||||
Carrying Value
|
|
$
|
47,755
|
|
|
$
|
31,133
|
|
|
$
|
209,040
|
|
|
$
|
287,928
|
|
December 31, 2018
|
|
|
|
|
|
|
||||||||||
(In Thousands)
|
|
Senior
|
|
Mezzanine
|
|
Subordinate
|
|
Total
|
||||||||
Principal balance
|
|
$
|
91,736
|
|
|
$
|
36,852
|
|
|
$
|
302,524
|
|
|
$
|
431,112
|
|
Credit reserve
|
|
(7,790
|
)
|
|
—
|
|
|
(33,580
|
)
|
|
(41,370
|
)
|
||||
Unamortized discount, net
|
|
(18,460
|
)
|
|
(3,697
|
)
|
|
(129,043
|
)
|
|
(151,200
|
)
|
||||
Amortized cost
|
|
65,486
|
|
|
33,155
|
|
|
139,901
|
|
|
238,542
|
|
||||
Gross unrealized gains
|
|
22,178
|
|
|
3,252
|
|
|
70,458
|
|
|
95,888
|
|
||||
Gross unrealized losses
|
|
(49
|
)
|
|
—
|
|
|
(499
|
)
|
|
(548
|
)
|
||||
Carrying Value
|
|
$
|
87,615
|
|
|
$
|
36,407
|
|
|
$
|
209,860
|
|
|
$
|
333,882
|
|
|
|
Three Months Ended March 31, 2019
|
||||||
|
|
Credit
Reserve
|
|
Unamortized
Discount, Net
|
||||
(In Thousands)
|
|
|
||||||
Beginning balance
|
|
$
|
41,370
|
|
|
$
|
151,200
|
|
Amortization of net discount
|
|
—
|
|
|
(1,930
|
)
|
||
Realized credit losses
|
|
(166
|
)
|
|
—
|
|
||
Acquisitions
|
|
677
|
|
|
354
|
|
||
Sales, calls, other
|
|
(6,392
|
)
|
|
(8,266
|
)
|
||
(Release of) transfers to credit reserves, net
|
|
(655
|
)
|
|
655
|
|
||
Ending Balance
|
|
$
|
34,834
|
|
|
$
|
142,013
|
|
|
|
Less Than 12 Consecutive Months
|
|
12 Consecutive Months or Longer
|
||||||||||||||||||||
|
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair
Value
|
|
Amortized
Cost
|
|
Unrealized
Losses
|
|
Fair
Value |
||||||||||||
(In Thousands)
|
|
|
|
|
|
|
||||||||||||||||||
March 31, 2019
|
|
$
|
2
|
|
|
$
|
(2
|
)
|
|
$
|
—
|
|
|
$
|
11,360
|
|
|
$
|
(72
|
)
|
|
$
|
11,288
|
|
December 31, 2018
|
|
12,923
|
|
|
(499
|
)
|
|
12,424
|
|
|
7,464
|
|
|
(49
|
)
|
|
7,415
|
|
March 31, 2019
|
|
Range for Securities
|
||
Prepayment rates
|
|
6%
|
-
|
12%
|
Projected losses
|
|
0.20%
|
-
|
7%
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Balance at beginning of period
|
|
$
|
18,652
|
|
|
$
|
21,037
|
|
Reductions
|
|
|
|
|
||||
Securities sold, or expected to sell
|
|
—
|
|
|
(99
|
)
|
||
Securities with no outstanding principal at period end
|
|
—
|
|
|
(14
|
)
|
||
Balance at End of Period
|
|
$
|
18,652
|
|
|
$
|
20,924
|
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Gross realized gains - sales
|
|
$
|
6,660
|
|
|
$
|
9,363
|
|
Gross realized gains - calls
|
|
4,026
|
|
|
—
|
|
||
Total Realized Gains on Sales and Calls of AFS Securities, net
|
|
$
|
10,686
|
|
|
$
|
9,363
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Servicer advance investments
|
|
$
|
303,920
|
|
|
$
|
300,468
|
|
Mortgage servicing rights
|
|
55,284
|
|
|
60,281
|
|
||
Excess MSRs
|
|
28,992
|
|
|
27,312
|
|
||
Investment in multifamily loan fund
|
|
22,416
|
|
|
—
|
|
||
Other notes receivable
|
|
3,586
|
|
|
—
|
|
||
Participation in loan warehouse facility
|
|
—
|
|
|
39,703
|
|
||
Investment in 5 Arches
|
|
—
|
|
|
10,754
|
|
||
Total Other Investments
|
|
$
|
414,198
|
|
|
$
|
438,518
|
|
•
|
Principal and Interest Advances: cash payments made by the servicer to cover scheduled principal and interest payments on a residential mortgage loan that have not been paid on a timely basis by the borrower.
|
•
|
Escrow Advances (Taxes and Insurance Advances): Cash payments made by the servicer to third parties on behalf of the borrower for real estate taxes and insurance premiums on the property that have not been paid on a timely basis by the borrower.
|
•
|
Corporate Advances: Cash payments made by the servicer to third parties for the reimbursable costs and expenses incurred in connection with the foreclosure, preservation and sale of the mortgaged property, including attorneys’ and other professional fees.
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Principal and interest advances
|
|
$
|
122,339
|
|
|
$
|
144,336
|
|
Escrow advances (taxes and insurance advances)
|
|
105,776
|
|
|
94,828
|
|
||
Corporate advances
|
|
53,647
|
|
|
47,614
|
|
||
Total Servicer Advance Receivables
|
|
$
|
281,762
|
|
|
$
|
286,778
|
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Balance at beginning of period
|
|
$
|
60,281
|
|
|
$
|
63,598
|
|
Additions
|
|
104
|
|
|
—
|
|
||
Changes in fair value due to:
|
|
|
|
|
||||
Changes in assumptions
(1)
|
|
(3,586
|
)
|
|
4,346
|
|
||
Other changes
(2)
|
|
(1,515
|
)
|
|
(1,448
|
)
|
||
Balance at End of Period
|
|
$
|
55,284
|
|
|
$
|
66,496
|
|
(1)
|
Primarily reflects changes in prepayment assumptions due to changes in market interest rates.
|
(2)
|
Represents changes due to the realization of expected cash flows.
|
|
|
Three Months Ended March 31,
|
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
||||
Servicing income
|
|
$
|
3,610
|
|
|
$
|
3,796
|
|
|
Cost of sub-servicer
|
|
(503
|
)
|
|
(592
|
)
|
|
||
Net servicing fee income
|
|
3,107
|
|
|
3,204
|
|
|
||
Market valuation changes of MSRs
|
|
(5,101
|
)
|
|
2,892
|
|
|
||
Market valuation changes of associated derivatives
|
|
2,251
|
|
|
(5,139
|
)
|
|
||
MSR Income, Net
(1)
|
|
$
|
257
|
|
|
$
|
957
|
|
|
(1)
|
MSR income, net is included in Other income, net on our consolidated statements of income.
|
|
|
March 31, 2019
|
|
December 31, 2018
|
||||||||||||
|
|
Fair
Value
|
|
Notional
Amount
|
|
Fair
Value
|
|
Notional
Amount
|
||||||||
(In Thousands)
|
|
|
|
|
||||||||||||
Assets - Risk Management Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
11,490
|
|
|
$
|
1,674,000
|
|
|
$
|
28,211
|
|
|
$
|
2,106,500
|
|
TBAs
|
|
5,826
|
|
|
910,000
|
|
|
4,665
|
|
|
520,000
|
|
||||
Assets - Other Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
4,967
|
|
|
586,736
|
|
|
2,913
|
|
|
331,161
|
|
||||
Total Assets
|
|
$
|
22,283
|
|
|
$
|
3,170,736
|
|
|
$
|
35,789
|
|
|
$
|
2,957,661
|
|
|
|
|
|
|
|
|
|
|
||||||||
Liabilities - Cash Flow Hedges
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
$
|
(40,296
|
)
|
|
$
|
139,500
|
|
|
$
|
(34,492
|
)
|
|
$
|
139,500
|
|
Liabilities - Risk Management Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Interest rate swaps
|
|
(60,265
|
)
|
|
2,296,000
|
|
|
(36,416
|
)
|
|
1,742,000
|
|
||||
TBAs
|
|
(9,609
|
)
|
|
1,265,000
|
|
|
(13,215
|
)
|
|
935,000
|
|
||||
Liabilities - Other Derivatives
|
|
|
|
|
|
|
|
|
||||||||
Loan purchase commitments
|
|
(772
|
)
|
|
181,123
|
|
|
(732
|
)
|
|
137,224
|
|
||||
Total Liabilities
|
|
$
|
(110,942
|
)
|
|
$
|
3,881,623
|
|
|
$
|
(84,855
|
)
|
|
$
|
2,953,724
|
|
Total Derivative Financial Instruments, Net
|
|
$
|
(88,659
|
)
|
|
$
|
7,052,359
|
|
|
$
|
(49,066
|
)
|
|
$
|
5,911,385
|
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Net interest expense on cash flows hedges
|
|
$
|
(637
|
)
|
|
$
|
(998
|
)
|
Total Interest Expense
|
|
$
|
(637
|
)
|
|
$
|
(998
|
)
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Margin receivable
|
|
$
|
154,549
|
|
|
$
|
100,773
|
|
FHLBC stock
|
|
43,393
|
|
|
43,393
|
|
||
Pledged collateral
|
|
42,631
|
|
|
42,433
|
|
||
Right-of-use asset
|
|
11,681
|
|
|
—
|
|
||
REO
|
|
7,275
|
|
|
3,943
|
|
||
Investment receivable
|
|
6,494
|
|
|
6,959
|
|
||
Fixed assets and leasehold improvements
(1)
|
|
5,159
|
|
|
5,106
|
|
||
Other
|
|
14,414
|
|
|
15,218
|
|
||
Total Other Assets
|
|
$
|
285,596
|
|
|
$
|
217,825
|
|
(1)
|
Fixed assets and leasehold improvements had a basis of
$11 million
and accumulated depreciation of
$5 million
at
March 31, 2019
.
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Contingent consideration
|
|
$
|
24,621
|
|
|
$
|
—
|
|
Payable to minority partner
|
|
16,696
|
|
|
14,331
|
|
||
Guarantee obligations
|
|
16,359
|
|
|
16,711
|
|
||
Lease liability
|
|
13,188
|
|
|
—
|
|
||
Deferred tax liabilities
|
|
11,986
|
|
|
9,022
|
|
||
Accrued compensation
|
|
10,506
|
|
|
19,769
|
|
||
Residential bridge loan holdbacks
|
|
8,187
|
|
|
—
|
|
||
Residential loan and MSR repurchase reserve
|
|
4,328
|
|
|
4,189
|
|
||
Accrued operating expenses
|
|
4,046
|
|
|
3,122
|
|
||
Accrued income taxes payable
|
|
2,446
|
|
|
423
|
|
||
Legal reserve
|
|
2,000
|
|
|
2,000
|
|
||
Margin payable
|
|
19
|
|
|
835
|
|
||
Other
|
|
5,046
|
|
|
8,317
|
|
||
Total Accrued Expenses and Other Liabilities
|
|
$
|
119,428
|
|
|
$
|
78,719
|
|
|
|
March 31, 2019
|
||||||||||||||||
(Dollars in Thousands)
|
|
Number of Facilities
|
|
Outstanding Balance
|
|
Limit
|
|
Weighted Average Interest Rate
|
|
Maturity
|
|
Weighted Average Days Until Maturity
|
||||||
Facilities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential loan warehouse
(1)
|
|
4
|
|
|
$
|
526,341
|
|
|
$
|
1,425,000
|
|
|
3.96
|
%
|
|
8/2019-03/2020
|
|
253
|
Real estate securities repo
(1)
|
|
9
|
|
|
1,081,079
|
|
|
—
|
|
|
3.53
|
%
|
|
04/2019-06/2019
|
|
23
|
||
Single-family rental loan warehouse
(2)
|
|
2
|
|
|
37,436
|
|
|
400,000
|
|
|
4.75
|
%
|
|
6/2020-6/2021
|
|
505
|
||
Residential bridge loan warehouse
(2)
|
|
2
|
|
|
61,593
|
|
|
80,000
|
|
|
5.21
|
%
|
|
11/2019-04/2021
|
|
529
|
||
Business purpose loan working capital
(2)
|
|
1
|
|
|
7,300
|
|
|
15,000
|
|
|
5.00
|
%
|
|
12/2020
|
|
611
|
||
Total Short-Term Debt Facilities
|
|
18
|
|
|
1,713,749
|
|
|
|
|
|
|
|
|
|
||||
Servicer advance financing
|
|
1
|
|
|
249,557
|
|
|
350,000
|
|
|
4.34
|
%
|
|
11/2019
|
|
243
|
||
Convertible notes, net
|
|
N/A
|
|
|
199,925
|
|
|
—
|
|
|
5.63
|
%
|
|
11/2019
|
|
229
|
||
Total Short-Term Debt
|
|
|
|
$
|
2,163,231
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2018
|
||||||||||||||||
(Dollars in Thousands)
|
|
Number of Facilities
|
|
Outstanding Balance
|
|
Limit
|
|
Weighted Average Interest Rate
|
|
Maturity
|
|
Weighted Average Days Until Maturity
|
||||||
Facilities
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Residential loan warehouse
(1)
|
|
4
|
|
|
$
|
860,650
|
|
|
$
|
1,425,000
|
|
|
4.10
|
%
|
|
2/2019-12/2019
|
|
178
|
Real estate securities repo
(1)
|
|
9
|
|
|
988,890
|
|
|
—
|
|
|
3.47
|
%
|
|
01/2019-03/2019
|
|
26
|
||
Single-family rental loan warehouse
(2)
|
|
2
|
|
|
22,053
|
|
|
400,000
|
|
|
4.77
|
%
|
|
6/2020-6/2021
|
|
560
|
||
Residential bridge loan warehouse
(2)
|
|
2
|
|
|
66,327
|
|
|
80,000
|
|
|
5.20
|
%
|
|
11/2019-04/2021
|
|
629
|
||
Total Short-Term Debt Facilities
|
|
17
|
|
|
1,937,920
|
|
|
|
|
|
|
|
|
|
||||
Servicer advance financing
|
|
1
|
|
|
262,740
|
|
|
350,000
|
|
|
4.32
|
%
|
|
11/2019
|
|
333
|
||
Convertible notes, net
|
|
N/A
|
|
|
199,619
|
|
|
|
|
5.63
|
%
|
|
11/2019
|
|
319
|
|||
Total Short-Term Debt
|
|
|
|
$
|
2,400,279
|
|
|
|
|
|
|
|
|
|
(1)
|
Borrowings under our facilities are generally charged interest based on a specified margin over the one-month LIBOR interest rate. At
March 31, 2019
, all of these borrowings were under uncommitted facilities and were due within 364 days (or less) of the borrowing date.
|
(2)
|
Due to the revolving nature of the borrowings under these facilities, we have classified these facilities as short-term debt at
March 31, 2019
. Borrowings under these facilities will be repaid as the underlying loans mature or are sold to third parties or transferred to securitizations.
|
|
|
March 31, 2019
|
||||||||||||||
(In Thousands)
|
|
Within 30 days
|
|
31 to 90 days
|
|
Over 90 days
|
|
Total
|
||||||||
Collateral Type
|
|
|
|
|
|
|
|
|
||||||||
Held-for-sale residential loans
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
526,341
|
|
|
$
|
526,341
|
|
Real estate securities
|
|
857,877
|
|
|
223,202
|
|
|
—
|
|
|
1,081,079
|
|
||||
Single-family rental loans
|
|
—
|
|
|
—
|
|
|
37,436
|
|
|
37,436
|
|
||||
Residential bridge loans
|
|
—
|
|
|
—
|
|
|
61,593
|
|
|
61,593
|
|
||||
Business purpose loan working capital
|
|
7,300
|
|
|
—
|
|
|
—
|
|
|
7,300
|
|
||||
Total Secured Short-Term Debt
|
|
865,177
|
|
|
223,202
|
|
|
625,370
|
|
|
1,713,749
|
|
||||
Servicer advance financing
|
|
—
|
|
|
—
|
|
|
249,557
|
|
|
249,557
|
|
||||
Convertible notes, net
|
|
—
|
|
|
—
|
|
|
199,925
|
|
|
199,925
|
|
||||
Total Short-Term Debt
|
|
$
|
865,177
|
|
|
$
|
223,202
|
|
|
$
|
1,074,852
|
|
|
$
|
2,163,231
|
|
March 31, 2019
|
|
Legacy
Sequoia
|
|
Sequoia
Choice |
|
Freddie Mac SLST
|
|
Freddie Mac
K-Series
|
|
Total
|
||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|||||||||||||||
Certificates with principal balance
|
|
$
|
501,300
|
|
|
$
|
2,053,345
|
|
|
$
|
975,780
|
|
|
$
|
1,933,620
|
|
|
$
|
5,464,045
|
|
Interest-only certificates
|
|
1,527
|
|
|
23,744
|
|
|
—
|
|
|
125,296
|
|
|
150,567
|
|
|||||
Market valuation adjustments
|
|
(22,828
|
)
|
|
40,267
|
|
|
17,252
|
|
|
(11,659
|
)
|
|
23,032
|
|
|||||
ABS Issued, Net
|
|
$
|
479,999
|
|
|
$
|
2,117,356
|
|
|
$
|
993,032
|
|
|
$
|
2,047,257
|
|
|
$
|
5,637,644
|
|
Range of weighted average interest rates, by series
|
|
2.48% to 3.60%
|
|
|
4.12% to 4.96%
|
|
|
3.50
|
%
|
|
3.39% to 4.08%
|
|
|
|
||||||
Stated maturities
|
|
2024 - 2036
|
|
|
2047 - 2049
|
|
|
2028
|
|
|
2025 - 2049
|
|
|
|
||||||
Number of series
|
|
20
|
|
|
7
|
|
|
1
|
|
|
3
|
|
|
|
December 31, 2018
|
|
Legacy
Sequoia
|
|
Sequoia
Choice |
|
Freddie Mac SLST
|
|
Freddie Mac
K-Series
|
|
Total
|
||||||||||
(Dollars in Thousands)
|
|
|
|
|
|
|||||||||||||||
Certificates with principal balance
|
|
$
|
540,456
|
|
|
$
|
1,838,758
|
|
|
$
|
993,659
|
|
|
$
|
1,936,691
|
|
|
$
|
5,309,564
|
|
Interest-only certificates
|
|
1,537
|
|
|
25,662
|
|
|
—
|
|
|
131,600
|
|
|
158,799
|
|
|||||
Market valuation adjustments
|
|
(29,753
|
)
|
|
20,590
|
|
|
89
|
|
|
(49,216
|
)
|
|
(58,290
|
)
|
|||||
ABS Issued, Net
|
|
$
|
512,240
|
|
|
$
|
1,885,010
|
|
|
$
|
993,748
|
|
|
$
|
2,019,075
|
|
|
$
|
5,410,073
|
|
Range of weighted average interest rates, by series
|
|
1.36% to 3.60%
|
|
|
4.46% to 4.97%
|
|
|
3.51
|
%
|
|
3.39% to 4.08%
|
|
|
|
||||||
Stated maturities
|
|
2024 - 2036
|
|
|
2047 - 2048
|
|
|
2028
|
|
|
2025 - 2049
|
|
|
|
||||||
Number of series
|
|
20
|
|
|
6
|
|
|
1
|
|
|
3
|
|
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Legacy Sequoia
|
|
$
|
531
|
|
|
$
|
571
|
|
Sequoia Choice
|
|
7,854
|
|
|
7,180
|
|
||
Freddie Mac SLST
|
|
2,846
|
|
|
2,907
|
|
||
Freddie Mac K-Series
|
|
6,230
|
|
|
6,239
|
|
||
Total Accrued Interest Payable on ABS Issued
|
|
$
|
17,461
|
|
|
$
|
16,897
|
|
March 31, 2019
|
|
Legacy
Sequoia
|
|
Sequoia
Choice
|
|
Freddie Mac SLST
|
|
Freddie Mac
K-Series
|
|
Total
|
||||||||||
(In Thousands)
|
|
|
|
|
|
|||||||||||||||
Residential loans
|
|
$
|
488,645
|
|
|
$
|
2,333,248
|
|
|
$
|
1,228,317
|
|
|
$
|
—
|
|
|
$
|
4,050,210
|
|
Multifamily loans
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,175,899
|
|
|
2,175,899
|
|
|||||
Restricted cash
|
|
146
|
|
|
14
|
|
|
—
|
|
|
—
|
|
|
160
|
|
|||||
Accrued interest receivable
|
|
776
|
|
|
9,616
|
|
|
3,861
|
|
|
6,587
|
|
|
20,840
|
|
|||||
REO
|
|
2,280
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,280
|
|
|||||
Total Collateral for ABS Issued
|
|
$
|
491,847
|
|
|
$
|
2,342,878
|
|
|
$
|
1,232,178
|
|
|
$
|
2,182,486
|
|
|
$
|
6,249,389
|
|
December 31, 2018
|
|
Legacy
Sequoia
|
|
Sequoia
Choice |
|
Freddie Mac SLST
|
|
Freddie Mac
K-Series
|
|
Total
|
||||||||||
(In Thousands)
|
|
|
|
|
|
|||||||||||||||
Residential loans
|
|
$
|
519,958
|
|
|
$
|
2,079,382
|
|
|
$
|
1,222,669
|
|
|
$
|
—
|
|
|
$
|
3,822,009
|
|
Multifamily loans
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,144,598
|
|
|
2,144,598
|
|
|||||
Restricted cash
|
|
146
|
|
|
1,022
|
|
|
—
|
|
|
—
|
|
|
1,168
|
|
|||||
Accrued interest receivable
|
|
822
|
|
|
8,988
|
|
|
3,926
|
|
|
6,595
|
|
|
20,331
|
|
|||||
REO
|
|
3,943
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,943
|
|
|||||
Total Collateral for ABS Issued
|
|
$
|
524,869
|
|
|
$
|
2,089,392
|
|
|
$
|
1,226,595
|
|
|
$
|
2,151,193
|
|
|
$
|
5,992,049
|
|
(In Thousands)
|
|
March 31, 2019
|
||
2024
|
|
$
|
470,171
|
|
2025
|
|
887,639
|
|
|
2026
|
|
642,189
|
|
|
Total FHLBC Borrowings
|
|
$
|
1,999,999
|
|
(In Thousands)
|
|
March 31, 2019
|
||
2019 (9 months)
|
|
$
|
1,921
|
|
2020
|
|
2,538
|
|
|
2021
|
|
1,770
|
|
|
2022
|
|
1,468
|
|
|
2023 and thereafter
|
|
8,749
|
|
|
Total Lease Commitments
|
|
16,446
|
|
|
Less: Imputed interest
|
|
(3,258
|
)
|
|
Lease Liability
|
|
$
|
13,188
|
|
|
|
Three Months Ended March 31, 2019
|
|
Three Months Ended March 31, 2018
|
||||||||||||
(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
|
|
$
|
95,342
|
|
|
$
|
(34,045
|
)
|
|
$
|
128,201
|
|
|
$
|
(42,953
|
)
|
Other comprehensive income (loss)
before reclassifications
|
|
6,718
|
|
|
(5,838
|
)
|
|
(4,237
|
)
|
|
8,431
|
|
||||
Amounts reclassified from other
accumulated comprehensive income
|
|
(9,493
|
)
|
|
—
|
|
|
(9,387
|
)
|
|
—
|
|
||||
Net current-period other comprehensive (loss) income
|
|
(2,775
|
)
|
|
(5,838
|
)
|
|
(13,624
|
)
|
|
8,431
|
|
||||
Balance at End of Period
|
|
$
|
92,567
|
|
|
$
|
(39,883
|
)
|
|
$
|
114,577
|
|
|
$
|
(34,522
|
)
|
|
|
|
|
|
|
|
||||
|
|
|
|
Amount Reclassified From Accumulated Other Comprehensive Income
|
||||||
|
|
Affected Line Item in the
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
Income Statement
|
|
2019
|
|
2018
|
||||
Net Realized (Gain) Loss on AFS Securities
|
|
|
|
|
|
|
||||
Gain on sale of AFS securities
|
|
Realized gains, net
|
|
$
|
(9,493
|
)
|
|
$
|
(9,387
|
)
|
|
|
|
|
$
|
(9,493
|
)
|
|
$
|
(9,387
|
)
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands, except Share Data)
|
|
2019
|
|
2018
|
||||
Basic Earnings per Common Share:
|
|
|
|
|
||||
Net income attributable to Redwood
|
|
$
|
54,464
|
|
|
$
|
46,845
|
|
Less: Dividends and undistributed earnings allocated to participating securities
|
|
(1,539
|
)
|
|
(1,433
|
)
|
||
Net income allocated to common shareholders
|
|
$
|
52,925
|
|
|
$
|
45,412
|
|
Basic weighted average common shares outstanding
|
|
92,685,350
|
|
|
75,396,649
|
|
||
Basic Earnings per Common Share
|
|
$
|
0.57
|
|
|
$
|
0.60
|
|
Diluted Earnings per Common Share:
|
|
|
|
|
||||
Net income attributable to Redwood
|
|
$
|
54,464
|
|
|
$
|
46,845
|
|
Less: Dividends and undistributed earnings allocated to participating securities
|
|
(1,539
|
)
|
|
(1,394
|
)
|
||
Add back: Interest expense on convertible notes for the period, net of tax
|
|
8,687
|
|
|
8,641
|
|
||
Net income allocated to common shareholders
|
|
$
|
61,612
|
|
|
$
|
54,092
|
|
Weighted average common shares outstanding
|
|
92,685,350
|
|
|
75,396,649
|
|
||
Net effect of dilutive equity awards
|
|
150,170
|
|
|
34,827
|
|
||
Net effect of assumed convertible notes conversion to common shares
|
|
33,442,640
|
|
|
32,763,121
|
|
||
Diluted weighted average common shares outstanding
|
|
126,278,160
|
|
|
108,194,597
|
|
||
Diluted Earnings per Common Share
|
|
$
|
0.49
|
|
|
$
|
0.50
|
|
|
|
Three Months Ended March 31, 2019
|
||||||||||||||||||||||
(In Thousands)
|
|
Restricted Stock Awards
|
|
Restricted Stock Units
|
|
Deferred Stock Units
|
|
Performance Stock Units
|
|
Employee Stock Purchase Plan
|
|
Total
|
||||||||||||
Unrecognized compensation cost at beginning of period
|
|
$
|
3,498
|
|
|
$
|
74
|
|
|
$
|
14,489
|
|
|
$
|
7,061
|
|
|
$
|
—
|
|
|
$
|
25,122
|
|
Equity grants
|
|
—
|
|
|
2,953
|
|
|
3,951
|
|
|
—
|
|
|
160
|
|
|
7,064
|
|
||||||
Equity grant forfeitures
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Equity compensation expense
|
|
(395
|
)
|
|
(66
|
)
|
|
(1,617
|
)
|
|
(835
|
)
|
|
(40
|
)
|
|
(2,953
|
)
|
||||||
Unrecognized Compensation Cost at End of Period
|
|
$
|
3,103
|
|
|
$
|
2,961
|
|
|
$
|
16,823
|
|
|
$
|
6,226
|
|
|
$
|
120
|
|
|
$
|
29,233
|
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Residential Mortgage Banking Activities, Net
|
|
|
|
|
||||
Changes in fair value of:
|
|
|
|
|
||||
Residential loans, at fair value
(1)
|
|
$
|
14,844
|
|
|
$
|
(2,194
|
)
|
Risk management derivatives
(2)
|
|
(4,138
|
)
|
|
28,432
|
|
||
Other income, net
(3)
|
|
121
|
|
|
338
|
|
||
Total residential mortgage banking activities, net
|
|
10,827
|
|
|
26,576
|
|
||
|
|
|
|
|
||||
Business Purpose Mortgage Banking Activities, Net:
|
|
|
|
|
||||
Changes in fair value of:
|
|
|
|
|
||||
Single-family rental loans, at fair value
(1)
|
|
1,744
|
|
|
—
|
|
||
Risk management derivatives
(2)
|
|
(846
|
)
|
|
—
|
|
||
Residential bridge loans, at fair value
|
|
86
|
|
|
—
|
|
||
Other income, net
(4)
|
|
498
|
|
|
—
|
|
||
Total business purpose mortgage banking activities, net
|
|
1,482
|
|
|
—
|
|
||
Mortgage Banking Activities, Net
|
|
$
|
12,309
|
|
|
$
|
26,576
|
|
(1)
|
Includes changes in fair value for associated loan purchase and forward sale commitments.
|
(2)
|
Represents market valuation changes of derivatives that were used to manage risks associated with our accumulation of loans.
|
(3)
|
Amounts in this line item include other fee income from loan acquisitions and the provision for repurchases expense, presented net.
|
(4)
|
Amounts in this line item include other fee income from loan originations.
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Investment Fair Value Changes, Net
|
|
|
|
|
||||
Changes in fair value of:
|
|
|
|
|
||||
Residential loans held-for-investment, at Redwood
|
|
$
|
28,108
|
|
|
$
|
(38,985
|
)
|
Residential bridge loans held-for-investment
|
|
(303
|
)
|
|
—
|
|
||
Trading securities
|
|
21,860
|
|
|
(2,955
|
)
|
||
Servicer advance investments
|
|
1,008
|
|
|
—
|
|
||
Excess MSRs
|
|
(437
|
)
|
|
—
|
|
||
Net investments in Legacy Sequoia entities
(1)
|
|
(374
|
)
|
|
(8
|
)
|
||
Net investments in Sequoia Choice entities
(1)
|
|
3,265
|
|
|
(86
|
)
|
||
Net investment in Freddie Mac SLST entity
(1)
|
|
6,365
|
|
|
—
|
|
||
Net investments in Freddie Mac K-Series entities
(1)
|
|
3,119
|
|
|
—
|
|
||
Risk-sharing investments
|
|
(77
|
)
|
|
(139
|
)
|
||
Risk management derivatives, net
|
|
(42,375
|
)
|
|
43,782
|
|
||
Investment Fair Value Changes, Net
|
|
$
|
20,159
|
|
|
$
|
1,609
|
|
(1)
|
Includes changes in fair value of the loans held-for-investment, REO and the ABS issued at the entities, which netted together represent the change in value of our investments at the consolidated VIEs.
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Fixed compensation expense
|
|
$
|
8,205
|
|
|
$
|
6,439
|
|
Variable compensation expense
|
|
4,402
|
|
|
6,907
|
|
||
Equity compensation expense
|
|
2,953
|
|
|
2,697
|
|
||
Total compensation expense
|
|
15,560
|
|
|
16,043
|
|
||
Systems and consulting
|
|
1,828
|
|
|
1,866
|
|
||
Loan acquisition costs
(1)
|
|
1,477
|
|
|
1,818
|
|
||
Office costs
|
|
1,304
|
|
|
1,140
|
|
||
Accounting and legal
|
|
1,125
|
|
|
834
|
|
||
Corporate costs
|
|
674
|
|
|
504
|
|
||
Other operating expenses
|
|
1,191
|
|
|
825
|
|
||
Total Operating Expenses
|
|
$
|
23,159
|
|
|
$
|
23,030
|
|
(1)
|
Loan acquisition costs primarily includes underwriting and due diligence costs related to the acquisition of residential loans held-for-sale at fair value.
|
|
|
March 31, 2019
|
|
March 31, 2018
|
||
Federal statutory rate
|
|
21.0
|
%
|
|
21.0
|
%
|
State statutory rate, net of Federal tax effect
|
|
8.6
|
%
|
|
8.6
|
%
|
Differences in taxable (loss) income from GAAP income
|
|
(8.5
|
)%
|
|
(4.1
|
)%
|
Change in valuation allowance
|
|
(4.1
|
)%
|
|
(3.9
|
)%
|
Dividends paid deduction
|
|
(15.4
|
)%
|
|
(12.1
|
)%
|
Effective Tax Rate
|
|
1.6
|
%
|
|
9.5
|
%
|
|
|
Three Months Ended March 31, 2019
|
||||||||||||||
(In Thousands)
|
|
Investment Portfolio
|
|
Mortgage Banking
|
|
Corporate/
Other
|
|
Total
|
||||||||
Interest income
|
|
$
|
115,452
|
|
|
$
|
10,377
|
|
|
$
|
5,212
|
|
|
$
|
131,041
|
|
Interest expense
|
|
(77,887
|
)
|
|
(5,564
|
)
|
|
(15,825
|
)
|
|
(99,276
|
)
|
||||
Net interest income (loss)
|
|
37,565
|
|
|
4,813
|
|
|
(10,613
|
)
|
|
31,765
|
|
||||
Non-interest income
|
|
|
|
|
|
|
|
|
||||||||
Mortgage banking activities, net
|
|
—
|
|
|
12,309
|
|
|
—
|
|
|
12,309
|
|
||||
Investment fair value changes, net
|
|
20,556
|
|
|
—
|
|
|
(397
|
)
|
|
20,159
|
|
||||
Other income (expense), net
|
|
1,221
|
|
|
(167
|
)
|
|
2,533
|
|
|
3,587
|
|
||||
Realized gains, net
|
|
10,686
|
|
|
—
|
|
|
—
|
|
|
10,686
|
|
||||
Total non-interest income, net
|
|
32,463
|
|
|
12,142
|
|
|
2,136
|
|
|
46,741
|
|
||||
Direct operating expenses
|
|
(2,661
|
)
|
|
(8,104
|
)
|
|
(12,394
|
)
|
|
(23,159
|
)
|
||||
Provision for income taxes
|
|
(342
|
)
|
|
(541
|
)
|
|
—
|
|
|
(883
|
)
|
||||
Segment Contribution
|
|
$
|
67,025
|
|
|
$
|
8,310
|
|
|
$
|
(20,871
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
$
|
54,464
|
|
||||||
Non-cash amortization income (expense), net
|
|
$
|
2,368
|
|
|
$
|
(723
|
)
|
|
$
|
(1,300
|
)
|
|
$
|
345
|
|
|
|
Three Months Ended March 31, 2018
|
||||||||||||||
(In Thousands)
|
|
Investment Portfolio
|
|
Mortgage Banking
|
|
Corporate/
Other |
|
Total
|
||||||||
Interest income
|
|
$
|
58,757
|
|
|
$
|
12,897
|
|
|
$
|
4,965
|
|
|
$
|
76,619
|
|
Interest expense
|
|
(19,863
|
)
|
|
(6,137
|
)
|
|
(15,514
|
)
|
|
(41,514
|
)
|
||||
Net interest income (loss)
|
|
38,894
|
|
|
6,760
|
|
|
(10,549
|
)
|
|
35,105
|
|
||||
Non-interest income
|
|
|
|
|
|
|
|
|
||||||||
Mortgage banking activities, net
|
|
—
|
|
|
26,576
|
|
|
—
|
|
|
26,576
|
|
||||
Investment fair value changes, net
|
|
1,590
|
|
|
—
|
|
|
19
|
|
|
1,609
|
|
||||
Other income, net
|
|
2,118
|
|
|
—
|
|
|
—
|
|
|
2,118
|
|
||||
Realized gains, net
|
|
9,363
|
|
|
—
|
|
|
—
|
|
|
9,363
|
|
||||
Total non-interest income, net
|
|
13,071
|
|
|
26,576
|
|
|
19
|
|
|
39,666
|
|
||||
Direct operating expenses
|
|
(2,007
|
)
|
|
(8,632
|
)
|
|
(12,391
|
)
|
|
(23,030
|
)
|
||||
Provision for income taxes
|
|
(888
|
)
|
|
(4,008
|
)
|
|
—
|
|
|
(4,896
|
)
|
||||
Segment Contribution
|
|
$
|
49,070
|
|
|
$
|
20,696
|
|
|
$
|
(22,921
|
)
|
|
|
||
Net Income
|
|
|
|
|
|
|
|
$
|
46,845
|
|
||||||
Non-cash amortization income (expense), net
|
|
$
|
4,617
|
|
|
$
|
(22
|
)
|
|
$
|
(954
|
)
|
|
$
|
3,641
|
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||||
|
|
2019
|
|
2018
|
||||||||||||||||||||
(In Thousands)
|
|
Legacy Consolidated VIEs
(1)
|
|
Other
|
|
Total
|
|
Legacy Consolidated VIEs
(1)
|
|
Other
|
|
Total
|
||||||||||||
Interest income
|
|
$
|
4,853
|
|
|
$
|
359
|
|
|
$
|
5,212
|
|
|
$
|
4,812
|
|
|
$
|
153
|
|
|
$
|
4,965
|
|
Interest expense
|
|
(4,115
|
)
|
|
(11,710
|
)
|
|
(15,825
|
)
|
|
(3,852
|
)
|
|
(11,662
|
)
|
|
(15,514
|
)
|
||||||
Net interest income (loss)
|
|
738
|
|
|
(11,351
|
)
|
|
(10,613
|
)
|
|
960
|
|
|
(11,509
|
)
|
|
(10,549
|
)
|
||||||
Non-interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Investment fair value changes, net
|
|
(374
|
)
|
|
(23
|
)
|
|
(397
|
)
|
|
(8
|
)
|
|
27
|
|
|
19
|
|
||||||
Other income
|
|
—
|
|
|
2,533
|
|
|
2,533
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Total non-interest income, net
|
|
(374
|
)
|
|
2,510
|
|
|
2,136
|
|
|
(8
|
)
|
|
27
|
|
|
19
|
|
||||||
Direct operating expenses
|
|
—
|
|
|
(12,394
|
)
|
|
(12,394
|
)
|
|
—
|
|
|
(12,391
|
)
|
|
(12,391
|
)
|
||||||
Total
|
|
$
|
364
|
|
|
$
|
(21,235
|
)
|
|
$
|
(20,871
|
)
|
|
$
|
952
|
|
|
$
|
(23,873
|
)
|
|
$
|
(22,921
|
)
|
(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
|
|
Mortgage Banking
|
|
Corporate/
Other
|
|
Total
|
||||||||
March 31, 2019
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
5,988,583
|
|
|
$
|
797,073
|
|
|
$
|
488,645
|
|
|
$
|
7,274,301
|
|
Business purpose residential loans
|
|
103,916
|
|
|
56,696
|
|
|
—
|
|
|
160,612
|
|
||||
Multifamily loans
|
|
2,175,899
|
|
|
—
|
|
|
—
|
|
|
2,175,899
|
|
||||
Real estate securities
|
|
1,543,152
|
|
|
—
|
|
|
—
|
|
|
1,543,152
|
|
||||
Other investments
|
|
411,853
|
|
|
2,345
|
|
|
—
|
|
|
414,198
|
|
||||
Goodwill and intangible assets
|
|
—
|
|
|
52,895
|
|
|
—
|
|
|
52,895
|
|
||||
Total assets
|
|
10,444,279
|
|
|
942,596
|
|
|
806,484
|
|
|
12,193,359
|
|
||||
|
|
|
|
|
|
|
|
|
||||||||
December 31, 2018
|
|
|
|
|
|
|
|
|
||||||||
Residential loans
|
|
$
|
5,685,983
|
|
|
$
|
1,048,801
|
|
|
$
|
519,958
|
|
|
$
|
7,254,742
|
|
Business purpose residential loans
|
|
112,798
|
|
|
28,460
|
|
|
—
|
|
|
141,258
|
|
||||
Multifamily loans
|
|
2,144,598
|
|
|
—
|
|
|
—
|
|
|
2,144,598
|
|
||||
Real estate securities
|
|
1,452,494
|
|
|
—
|
|
|
—
|
|
|
1,452,494
|
|
||||
Other investments
|
|
427,764
|
|
|
—
|
|
|
10,754
|
|
|
438,518
|
|
||||
Total assets
|
|
10,093,993
|
|
|
1,103,090
|
|
|
740,323
|
|
|
11,937,406
|
|
•
|
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 and initiatives;
|
•
|
our ability to scale our platform and systems, particularly with respect to our new initiatives;
|
•
|
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.
|
|
|
Three Months Ended
|
||
(In Thousands, except per Share Data)
|
|
March 31, 2019
|
||
Net income
|
|
$
|
54,464
|
|
Net income per diluted common share
|
|
$
|
0.49
|
|
Annualized GAAP return on equity
|
|
15
|
%
|
|
Book value per share
|
|
$
|
16.00
|
|
Economic return on book value
(1)
|
|
2.6
|
%
|
|
REIT taxable income per share
|
|
$
|
0.30
|
|
Dividends per share
|
|
$
|
0.30
|
|
(1)
|
Economic return on book value is based on the periodic change in GAAP book value per common share plus dividends declared per common share during the period.
|
•
|
GAAP earnings per share increased in the first quarter, as spreads tightened and asset prices improved, recovering a significant portion of the market valuation losses we incurred in the fourth quarter from spread widening. Mortgage banking produced solid results in the first quarter, as consistent lock volume was supported by strong gross margins.
|
•
|
In January, we raised $177 million of equity capital in a follow-on offering.
|
•
|
We deployed $163 million of capital into new investments in the first quarter of 2019, a majority of which were proprietary.
|
•
|
Residential jumbo loan purchase commitments were
$1.20 billion
, and we purchased $1.02 billion of jumbo loans during the first quarter of 2019.
|
•
|
During the
first
quarter of
2019
, we completed
$1.18 billion
of jumbo residential loan sales, including one Select securitization of
$353 million
and one Choice securitization of
$350 million
. Additionally, we sold
$0.5 billion
of whole loans to third parties.
|
•
|
On March 1, 2019, we completed our purchase of the remaining 80% interest in 5 Arches. The impact to GAAP net income in the first quarter from the acquisition and one month of operations was approximately $0.02 per share. Our balance sheet at March 31, 2019 reflected the impact of this acquisition and included $29 million of goodwill, $24 million of intangible assets, $25 million of contingent consideration liabilities, and $4 million of deferred tax liabilities.
|
|
|
Three Months Ended
|
||
(In Dollars, per share basis)
|
|
March 31, 2019
|
||
Beginning book value per share
|
|
$
|
15.89
|
|
Net income
|
|
0.49
|
|
|
Changes in unrealized gains on securities, net, from:
|
|
|
||
Realized gains recognized in net income
|
|
(0.08
|
)
|
|
Amortization income recognized in net income
|
|
(0.02
|
)
|
|
Mark-to-market adjustments, net
|
|
0.10
|
|
|
Total change in unrealized gains on securities, net
|
|
—
|
|
|
Dividends
|
|
(0.30
|
)
|
|
Issuance of common stock
|
|
(0.05
|
)
|
|
Equity compensation, net
|
|
(0.02
|
)
|
|
Changes in unrealized losses on derivatives hedging long-term debt
|
|
(0.06
|
)
|
|
Other, net
|
|
0.05
|
|
|
Ending Book Value per Share
|
|
$
|
16.00
|
|
At March 31, 2019
|
|
|
|
|
|
|
|
|
|||||||
(Dollars in Thousands)
|
|
Fair Value
|
|
Collateralized Debt
|
|
Allocated Capital
|
|
% of Total Capital
|
|||||||
Investment portfolio
|
|
|
|
|
|
|
|
|
|||||||
Residential loans
(1)
|
|
$
|
2,447,507
|
|
|
$
|
(1,999,999
|
)
|
|
$
|
447,508
|
|
|
19
|
%
|
|
|
|
|
|
|
|
|
|
|||||||
Securities portfolio
|
|
|
|
|
|
|
|
|
|||||||
Sequoia residential securities
(2)
|
|
494,795
|
|
|
(205,643
|
)
|
|
289,152
|
|
|
12
|
%
|
|||
Agency CRT securities
|
|
258,709
|
|
|
(34,905
|
)
|
|
223,804
|
|
|
10
|
%
|
|||
Multifamily securities
(3)
|
|
640,888
|
|
|
(417,599
|
)
|
|
223,289
|
|
|
10
|
%
|
|||
Re-performing residential loan securities
(4)
|
|
355,701
|
|
|
(171,758
|
)
|
|
183,943
|
|
|
8
|
%
|
|||
Third-party residential securities
|
|
372,878
|
|
|
(251,174
|
)
|
|
121,704
|
|
|
5
|
%
|
|||
Total securities portfolio
|
|
2,122,971
|
|
|
(1,081,079
|
)
|
|
1,041,892
|
|
|
45
|
%
|
|||
|
|
|
|
|
|
|
|
|
|||||||
Business purpose residential loans
|
|
103,916
|
|
|
(61,719
|
)
|
|
42,197
|
|
|
2
|
%
|
|||
Other investments
|
|
442,476
|
|
|
(270,557
|
)
|
|
171,919
|
|
|
7
|
%
|
|||
Other assets/(other liabilities)
|
|
169,765
|
|
|
(106,095
|
)
|
|
63,670
|
|
|
3
|
%
|
|||
Cash and liquidity capital
|
|
|
|
|
|
359,971
|
|
|
N/A
|
|
|||||
Total investment portfolio
|
|
$
|
5,286,635
|
|
|
$
|
(3,519,449
|
)
|
|
2,127,157
|
|
|
92
|
%
|
|
Residential
|
|
|
|
|
|
130,000
|
|
|
6
|
%
|
|||||
Business purpose
|
|
|
|
|
|
65,358
|
|
|
3
|
%
|
|||||
Total mortgage banking
|
|
|
|
|
|
195,358
|
|
|
8
|
%
|
|||||
Total
|
|
|
|
|
|
$
|
2,322,515
|
|
|
100
|
%
|
(1)
|
Includes
$43 million
of FHLB stock.
|
(2)
|
Sequoia residential securities presented above includes
$216 million
of securities retained from our consolidated Sequoia Choice securitizations. For GAAP purposes we consolidated
$2.33 billion
of residential loans and
$2.12 billion
of non-recourse ABS debt associated with these retained securities.
|
(3)
|
Multifamily securities presented above includes
$129 million
of subordinate investments in the Freddie Mac K-Series securitizations. For GAAP purposes we consolidated
$2.18 billion
of multifamily loans and
$2.05 billion
of non-recourse ABS debt associated with these securities.
|
(4)
|
Re-performing residential loan securities presented above represent third-party securities collateralized by seasoned re-performing, and to a lesser extent, non-performing residential loans and includes $235 million of subordinate and mezzanine investments in the Freddie Mac SLST securitization. For GAAP purposes we consolidated
$1.23 billion
of residential loans and
$993 million
of non-recourse ABS debt associated with these securities.
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands, except per Share Data)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Net Interest Income
|
|
$
|
31,765
|
|
|
$
|
35,105
|
|
|
$
|
(3,340
|
)
|
Non-interest Income
|
|
|
|
|
|
|
|
|||||
Mortgage banking activities, net
|
|
12,309
|
|
|
26,576
|
|
|
(14,267
|
)
|
|||
Investment fair value changes, net
|
|
20,159
|
|
|
1,609
|
|
|
18,550
|
|
|||
Other income, net
|
|
3,587
|
|
|
2,118
|
|
|
1,469
|
|
|||
Realized gains, net
|
|
10,686
|
|
|
9,363
|
|
|
1,323
|
|
|||
Total non-interest income, net
|
|
46,741
|
|
|
39,666
|
|
|
7,075
|
|
|||
Operating expenses
|
|
(23,159
|
)
|
|
(23,030
|
)
|
|
(129
|
)
|
|||
Net income before income taxes
|
|
55,347
|
|
|
51,741
|
|
|
3,606
|
|
|||
Provision for income taxes
|
|
(883
|
)
|
|
(4,896
|
)
|
|
4,013
|
|
|||
Net Income
|
|
$
|
54,464
|
|
|
$
|
46,845
|
|
|
$
|
7,619
|
|
Diluted earnings per common share
|
|
$
|
0.49
|
|
|
$
|
0.50
|
|
|
$
|
(0.01
|
)
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||
|
|
2019
|
|
2018
|
||||||||||||||||||
(Dollars in Thousands)
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
|
Interest Income/ (Expense)
|
|
Average
Balance
(1)
|
|
Yield
|
||||||||||
Interest Income
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Residential loans, held-for-sale
|
|
$
|
9,458
|
|
|
$
|
786,678
|
|
|
4.8
|
%
|
|
$
|
12,686
|
|
|
$
|
1,201,028
|
|
|
4.2
|
%
|
Residential loans - HFI at Redwood
(2)
|
|
24,191
|
|
|
2,380,655
|
|
|
4.1
|
%
|
|
23,799
|
|
|
2,395,596
|
|
|
4.0
|
%
|
||||
Residential loans - HFI at Legacy Sequoia
(2)
|
|
4,850
|
|
|
495,355
|
|
|
3.9
|
%
|
|
4,811
|
|
|
616,499
|
|
|
3.1
|
%
|
||||
Residential loans - HFI at Sequoia Choice
(2)
|
|
25,657
|
|
|
2,141,331
|
|
|
4.8
|
%
|
|
8,935
|
|
|
747,875
|
|
|
4.8
|
%
|
||||
Residential loans - HFI at Freddie Mac SLST
(2)
|
|
11,794
|
|
|
1,214,925
|
|
|
3.9
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
Business purpose residential loans
|
|
2,789
|
|
|
152,501
|
|
|
7.3
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
Multifamily loans - HFI at Freddie Mac K-Series
|
|
21,388
|
|
|
2,142,892
|
|
|
4.0
|
%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
Trading securities
|
|
18,713
|
|
|
1,160,680
|
|
|
6.4
|
%
|
|
16,166
|
|
|
918,197
|
|
|
7.0
|
%
|
||||
Available-for-sale securities
|
|
5,737
|
|
|
214,298
|
|
|
10.7
|
%
|
|
9,529
|
|
|
363,266
|
|
|
10.5
|
%
|
||||
Other interest income
|
|
6,464
|
|
|
579,958
|
|
|
4.5
|
%
|
|
693
|
|
|
239,439
|
|
|
1.2
|
%
|
||||
Total interest income
|
|
131,041
|
|
|
11,269,273
|
|
|
4.7
|
%
|
|
76,619
|
|
|
6,481,900
|
|
|
4.7
|
%
|
||||
Interest Expense
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Short-term debt facilities
|
|
(15,477
|
)
|
|
1,607,598
|
|
|
(3.9
|
)%
|
|
(10,424
|
)
|
|
1,369,437
|
|
|
(3.0
|
)%
|
||||
Short-term debt - servicer advance financing
|
|
(3,613
|
)
|
|
266,585
|
|
|
(5.4
|
)%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
Short-term debt - convertible notes, net
|
|
(3,128
|
)
|
|
199,823
|
|
|
(6.3
|
)%
|
|
(3,011
|
)
|
|
250,346
|
|
|
(4.8
|
)%
|
||||
ABS issued - Legacy Sequoia
(2)
|
|
(4,115
|
)
|
|
487,768
|
|
|
(3.4
|
)%
|
|
(3,852
|
)
|
|
606,551
|
|
|
(2.5
|
)%
|
||||
ABS issued - Sequoia Choice
(2)
|
|
(22,113
|
)
|
|
1,965,726
|
|
|
(4.5
|
)%
|
|
(7,549
|
)
|
|
671,881
|
|
|
(4.5
|
)%
|
||||
ABS issued - Freddie Mac SLST
(2)
|
|
(8,747
|
)
|
|
984,763
|
|
|
(3.6
|
)%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
ABS issued - Freddie Mac K-Series
|
|
(20,320
|
)
|
|
2,016,711
|
|
|
(4.0
|
)%
|
|
—
|
|
|
—
|
|
|
—
|
%
|
||||
Long-term debt - FHLBC
|
|
(13,182
|
)
|
|
1,999,999
|
|
|
(2.6
|
)%
|
|
(8,027
|
)
|
|
1,999,999
|
|
|
(1.6
|
)%
|
||||
Long-term debt - other
|
|
(8,581
|
)
|
|
572,494
|
|
|
(6.0
|
)%
|
|
(8,651
|
)
|
|
575,400
|
|
|
(6.0
|
)%
|
||||
Total interest expense
|
|
(99,276
|
)
|
|
10,101,467
|
|
|
(3.9
|
)%
|
|
(41,514
|
)
|
|
5,473,614
|
|
|
(3.0
|
)%
|
||||
Net Interest Income
|
|
$
|
31,765
|
|
|
|
|
|
|
$
|
35,105
|
|
|
|
|
|
(1)
|
Average balances for residential loans held-for-sale, residential loans held-for-investment, business purpose residential loans, multifamily 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, which is based upon fair value.
|
(2)
|
Interest income from residential loans held-for-investment ("HFI") at Redwood exclude loans HFI at consolidated Sequoia or Freddie Mac SLST entities. Interest income from residential loans - HFI at Legacy Sequoia and the interest expense from ABS issued - Legacy Sequoia represent activity from our consolidated Legacy Sequoia entities. Interest income from residential loans - HFI at Sequoia Choice and the interest expense from ABS issued - Sequoia Choice represent activity from our consolidated Sequoia Choice entities. Interest income from residential loans - HFI at Freddie Mac SLST and the interest expense from ABS issued - Freddie Mac SLST represent activity from our consolidated Freddie Mac SLST entity.
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Net Interest Income by Segment
|
|
|
|
|
|
|
||||||
Investment Portfolio
|
|
$
|
37,565
|
|
|
$
|
38,894
|
|
|
$
|
(1,329
|
)
|
Mortgage Banking
|
|
4,813
|
|
|
6,760
|
|
|
(1,947
|
)
|
|||
Corporate/Other
|
|
(10,613
|
)
|
|
(10,549
|
)
|
|
(64
|
)
|
|||
Net Interest Income
|
|
$
|
31,765
|
|
|
$
|
35,105
|
|
|
$
|
(3,340
|
)
|
March 31, 2019
|
|
Residential Loans Held-for-Sale
|
|
Single-Family Rental Loans
|
|
Residential Bridge Loans
|
|
Residential
Securities
|
||||
Asset yield
|
|
4.75
|
%
|
|
5.72
|
%
|
|
9.12
|
%
|
|
4.71
|
%
|
Short-term debt yield
|
|
3.96
|
%
|
|
4.75
|
%
|
|
5.21
|
%
|
|
3.53
|
%
|
Net Spread
|
|
0.79
|
%
|
|
0.97
|
%
|
|
3.91
|
%
|
|
1.18
|
%
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Segment Contribution from:
|
|
|
|
|
|
|
||||||
Investment Portfolio
|
|
$
|
67,025
|
|
|
$
|
49,070
|
|
|
$
|
17,955
|
|
Mortgage Banking
|
|
8,310
|
|
|
20,696
|
|
|
(12,386
|
)
|
|||
Corporate/Other
|
|
(20,871
|
)
|
|
(22,921
|
)
|
|
2,050
|
|
|||
Net Income
|
|
$
|
54,464
|
|
|
$
|
46,845
|
|
|
$
|
7,619
|
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Interest income
|
|
$
|
115,452
|
|
|
$
|
58,757
|
|
|
$
|
56,695
|
|
Interest expense
|
|
(77,887
|
)
|
|
(19,863
|
)
|
|
(58,024
|
)
|
|||
Net interest income
|
|
37,565
|
|
|
38,894
|
|
|
(1,329
|
)
|
|||
Non-interest income
|
|
|
|
|
|
|
||||||
Investment fair value changes, net
|
|
20,556
|
|
|
1,590
|
|
|
18,966
|
|
|||
Other income, net
|
|
1,221
|
|
|
2,118
|
|
|
(897
|
)
|
|||
Realized gains, net
|
|
10,686
|
|
|
9,363
|
|
|
1,323
|
|
|||
Total non-interest income, net
|
|
32,463
|
|
|
13,071
|
|
|
19,392
|
|
|||
Direct operating expenses
|
|
(2,661
|
)
|
|
(2,007
|
)
|
|
(654
|
)
|
|||
Segment contribution before income taxes
|
|
67,367
|
|
|
49,958
|
|
|
17,409
|
|
|||
Provision for income taxes
|
|
(342
|
)
|
|
(888
|
)
|
|
546
|
|
|||
Total Segment Contribution
|
|
$
|
67,025
|
|
|
$
|
49,070
|
|
|
$
|
17,955
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
|
Change
|
||||||
Residential loans held-for-investment at Redwood
|
|
$
|
2,404,870
|
|
|
$
|
2,383,932
|
|
|
$
|
20,938
|
|
Residential loans held-for-investment at Sequoia Choice
(1)
|
|
2,333,248
|
|
|
2,079,382
|
|
|
253,866
|
|
|||
Residential loans held-for-investment at Freddie Mac SLST
(1)
|
|
1,228,317
|
|
|
1,222,669
|
|
|
5,648
|
|
|||
Residential bridge loans held-for-investment
|
|
103,916
|
|
|
112,798
|
|
|
(8,882
|
)
|
|||
Multifamily loans held-for-investment at Freddie Mac K-Series
(1)
|
|
2,175,899
|
|
|
2,144,598
|
|
|
31,301
|
|
|||
Residential securities
|
|
1,030,906
|
|
|
1,023,415
|
|
|
7,491
|
|
|||
Multifamily securities
|
|
512,246
|
|
|
429,079
|
|
|
83,167
|
|
|||
Other investments
|
|
411,853
|
|
|
427,764
|
|
|
(15,911
|
)
|
|||
Other assets
|
|
243,024
|
|
|
270,356
|
|
|
(27,332
|
)
|
|||
Total Assets at Investment Portfolio
|
|
$
|
10,444,279
|
|
|
$
|
10,093,993
|
|
|
$
|
350,286
|
|
(1)
|
Our economic investment in the consolidated Sequoia Choice entities at
March 31, 2019
and
December 31, 2018
was
$218 million
and
$196 million
, respectively. Our economic investment in the consolidated Freddie Mac SLST entity at
March 31, 2019
and
December 31, 2018
was
$236 million
and
$230 million
, respectively. Our economic investment in the consolidated Freddie Mac K-Series entities at
March 31, 2019
and
December 31, 2018
was
$129 million
and
$126 million
, respectively. For additional details on our Choice, Freddie Mac SLST and multifamily loans, see the subsections titled "
Residential Loans Held-for-Investment at Sequoia Choice Portfolio," "Residential Loans Held-for-Investment at Freddie Mac SLST Portfolio,"
and
"Multifamily Loans Held-for-Investment at Freddie Mac K-Series Portfolio"
that follow.
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Net interest income from:
|
|
|
|
|
|
|
||||||
Residential securities
|
|
$
|
13,660
|
|
|
$
|
19,520
|
|
|
$
|
(5,860
|
)
|
Multifamily securities
|
|
1,703
|
|
|
1,888
|
|
|
(185
|
)
|
|||
HFI residential loans at Redwood
|
|
11,008
|
|
|
15,772
|
|
|
(4,764
|
)
|
|||
HFI residential loans at Sequoia Choice
|
|
3,544
|
|
|
1,386
|
|
|
2,158
|
|
|||
HFI residential bridge loans
|
|
1,374
|
|
|
—
|
|
|
1,374
|
|
|||
HFI residential loans at Freddie Mac SLST
|
|
3,047
|
|
|
—
|
|
|
3,047
|
|
|||
HFI multifamily loans at Freddie Mac K-Series
|
|
1,068
|
|
|
—
|
|
|
1,068
|
|
|||
Other interest income
|
|
2,161
|
|
|
328
|
|
|
1,833
|
|
|||
NII from Investment Portfolio
|
|
$
|
37,565
|
|
|
$
|
38,894
|
|
|
$
|
(1,329
|
)
|
|
|
|
|
|
|
|
||||||
Supplemental information:
|
|
|
|
|
|
|
||||||
Hedge interest income (expense), net
|
|
$
|
2,718
|
|
|
$
|
(2,884
|
)
|
|
$
|
5,602
|
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Market valuation changes:
|
|
|
|
|
|
|
||||||
Residential loans held-for-investment at Redwood
|
|
$
|
(1,816
|
)
|
|
$
|
(451
|
)
|
|
$
|
(1,365
|
)
|
Residential bridge loans held-for-investment
|
|
(303
|
)
|
|
—
|
|
|
(303
|
)
|
|||
Net investments in Sequoia Choice entities
(1)
|
|
3,265
|
|
|
(86
|
)
|
|
3,351
|
|
|||
Net investment in Freddie Mac SLST entity
(1)
|
|
6,365
|
|
|
—
|
|
|
6,365
|
|
|||
Net investments in Freddie Mac K-Series entities
(1)
|
|
3,119
|
|
|
—
|
|
|
3,119
|
|
|||
Residential trading securities
|
|
508
|
|
|
1,202
|
|
|
(694
|
)
|
|||
Multifamily trading securities
|
|
6,206
|
|
|
3,948
|
|
|
2,258
|
|
|||
Servicer advance investments
|
|
1,008
|
|
|
—
|
|
|
1,008
|
|
|||
Excess MSRs
|
|
(437
|
)
|
|
—
|
|
|
(437
|
)
|
|||
Hedge interest expense, net
|
|
2,718
|
|
|
(2,884
|
)
|
|
5,602
|
|
|||
Other valuation changes
|
|
(77
|
)
|
|
(139
|
)
|
|
62
|
|
|||
Investment Fair Value Changes, Net
|
|
$
|
20,556
|
|
|
$
|
1,590
|
|
|
$
|
18,966
|
|
(1)
|
Includes changes in fair value of the loans held-for-investment and the ABS issued at the entities, which netted together represent the change in value of our investments (senior and subordinate securities) at the consolidated VIEs.
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
MSR income, net
|
|
$
|
257
|
|
|
$
|
957
|
|
Risk share income
|
|
646
|
|
|
778
|
|
||
FHLBC capital stock dividend
|
|
547
|
|
|
383
|
|
||
Other
|
|
(229
|
)
|
|
—
|
|
||
Other Income, Net from Investment Portfolio
|
|
$
|
1,221
|
|
|
$
|
2,118
|
|
|
|
Three Months Ended
|
||
(In Thousands)
|
|
March 31, 2019
|
||
Fair value at beginning of period
|
|
$
|
2,383,932
|
|
Acquisitions
|
|
39,269
|
|
|
Transfers between portfolios
(1)
|
|
17,144
|
|
|
Principal repayments
|
|
(63,583
|
)
|
|
Changes in fair value, net
|
|
28,108
|
|
|
Fair Value at End of Period
|
|
$
|
2,404,870
|
|
(1)
|
Represents the net transfers of loans into our Investment Portfolio segment from our Mortgage Banking segment and their reclassification from held-for-sale to held-for-investment.
|
March 31, 2019
|
|
|
|
|
|||
(Dollars in Thousands)
|
|
Principal Balance
|
|
Weighted Average Coupon
|
|||
Fixed - 30 year
|
|
$
|
2,033,428
|
|
|
4.16
|
%
|
Fixed - 15, 20, & 25 year
|
|
59,352
|
|
|
3.65
|
%
|
|
Hybrid
|
|
284,561
|
|
|
4.21
|
%
|
|
Total Outstanding Principal
|
|
$
|
2,377,341
|
|
|
|
Three Months Ended March 31, 2019
|
|
Residential
|
|
Multifamily
|
|
Total
|
||||||||||||||
(In Thousands)
|
|
Senior
|
|
Mezzanine
|
|
Subordinate
|
|
Mezzanine
|
|
|||||||||||
Beginning fair value
|
|
$
|
246,285
|
|
|
$
|
218,147
|
|
|
$
|
558,983
|
|
|
$
|
429,079
|
|
|
$
|
1,452,494
|
|
Acquisitions
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Sequoia securities
|
|
1,716
|
|
|
—
|
|
|
885
|
|
|
—
|
|
|
2,601
|
|
|||||
Third-party securities
|
|
30,691
|
|
|
31,794
|
|
|
13,000
|
|
|
79,386
|
|
|
154,871
|
|
|||||
Sales
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Sequoia securities
|
|
—
|
|
|
—
|
|
|
(4,727
|
)
|
|
—
|
|
|
(4,727
|
)
|
|||||
Third-party securities
|
|
(38,780
|
)
|
|
—
|
|
|
(22,579
|
)
|
|
(7,932
|
)
|
|
(69,291
|
)
|
|||||
Gains on sales and calls, net
|
|
5,749
|
|
|
268
|
|
|
4,669
|
|
|
—
|
|
|
10,686
|
|
|||||
Effect of principal payments
(1)
|
|
(4,746
|
)
|
|
(6,978
|
)
|
|
(9,103
|
)
|
|
(2,555
|
)
|
|
(23,382
|
)
|
|||||
Change in fair value, net
|
|
(10,277
|
)
|
|
6,511
|
|
|
9,398
|
|
|
14,268
|
|
|
19,900
|
|
|||||
Ending Fair Value
(2)
|
|
$
|
230,638
|
|
|
$
|
249,742
|
|
|
$
|
550,526
|
|
|
$
|
512,246
|
|
|
$
|
1,543,152
|
|
(1)
|
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.
|
(2)
|
At
March 31, 2019
, excludes
$216 million
of securities retained from our consolidated Sequoia Choice securitizations as well as
$235 million
and
$129 million
of securities we owned that were issued by consolidated Freddie Mac SLST and Freddie Mac K-Series securitizations, respectively. For additional details on our Choice, Freddie Mac SLST, and multifamily loans, see the subsections titled "
Residential Loans Held-for-Investment at Sequoia Choice Portfolio," "Residential Loans Held-for-Investment at Freddie Mac SLST Portfolio,"
and "
Multifamily Loans Held-for-Investment at Freddie Mac K-Series Portfolio"
that follow.
|
March 31, 2019
|
|
Real Estate Securities
(1)
|
|
Repurchase Debt
|
|
Allocated Capital
|
|
Weighted Average
Price
(2)
|
|
Financing Haircut
(3)
|
|||||||||
(Dollars in Thousands, except Weighted Average Price)
|
|
|
|
|
|
||||||||||||||
Residential Securities
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Senior
|
|
$
|
149,528
|
|
|
$
|
(133,826
|
)
|
|
$
|
15,702
|
|
|
$
|
100
|
|
|
11
|
%
|
Mezzanine
(4)
|
|
580,814
|
|
|
(472,178
|
)
|
|
108,636
|
|
|
95
|
|
|
19
|
%
|
||||
Subordinate
|
|
70,339
|
|
|
(57,476
|
)
|
|
12,863
|
|
|
97
|
|
|
18
|
%
|
||||
Total Residential Securities
|
|
800,681
|
|
|
(663,480
|
)
|
|
137,201
|
|
|
96
|
|
|
17
|
%
|
||||
Multifamily Securities
(5)
|
|
525,717
|
|
|
(417,599
|
)
|
|
108,118
|
|
|
97
|
|
|
21
|
%
|
||||
Total
|
|
$
|
1,326,398
|
|
|
$
|
(1,081,079
|
)
|
|
$
|
245,319
|
|
|
|
|
|
(1)
|
Amounts represent carrying value of securities, which are held at GAAP fair value.
|
(2)
|
GAAP fair value per $100 of principal.
|
(3)
|
Allocated capital divided by GAAP fair value.
|
(4)
|
Includes
$146 million
and
$196 million
of securities retained from our consolidated Sequoia Choice and Freddie Mac SLST securitizations, respectively.
|
(5)
|
Includes
$18 million
of securities we owned that were issued by consolidated Freddie Mac K-Series securitizations.
|
March 31, 2019
|
|
Sequoia 2012-2019
|
|
Third Party 2013-2019
|
|
Agency CRT 2013-2019
|
|
Third Party <=2008
|
|
Total Residential Securities
|
|
Multifamily 2016-2019
|
|
Total Real Estate Securities
|
||||||||||||||
(In Thousands)
|
|
|
|
|
|
|||||||||||||||||||||||
Senior
(1)
|
|
$
|
57,536
|
|
|
$
|
125,342
|
|
|
$
|
—
|
|
|
$
|
47,760
|
|
|
$
|
230,638
|
|
|
$
|
—
|
|
|
$
|
230,638
|
|
Mezzanine
(2)
|
|
97,491
|
|
|
152,251
|
|
|
—
|
|
|
—
|
|
|
249,742
|
|
|
512,246
|
|
|
761,988
|
|
|||||||
Subordinate
(1)
|
|
123,875
|
|
|
177,387
|
|
|
234,101
|
|
|
15,163
|
|
|
550,526
|
|
|
—
|
|
|
550,526
|
|
|||||||
Total Securities
(3)
|
|
$
|
278,902
|
|
|
$
|
454,980
|
|
|
$
|
234,101
|
|
|
$
|
62,923
|
|
|
$
|
1,030,906
|
|
|
$
|
512,246
|
|
|
$
|
1,543,152
|
|
December 31, 2018
|
|
Sequoia 2012-2018
|
|
Third Party 2013-2018
|
|
Agency CRT 2013-2018
|
|
Third Party <=2008
|
|
Total Residential Securities
|
|
Multifamily 2015-2018
|
|
Total Real Estate Securities
|
||||||||||||||
(In Thousands)
|
|
|
|
|
|
|||||||||||||||||||||||
Senior
(1)
|
|
$
|
61,179
|
|
|
$
|
96,069
|
|
|
$
|
—
|
|
|
$
|
89,037
|
|
|
$
|
246,285
|
|
|
$
|
—
|
|
|
$
|
246,285
|
|
Mezzanine
(2)
|
|
99,977
|
|
|
118,170
|
|
|
—
|
|
|
—
|
|
|
218,147
|
|
|
429,079
|
|
|
647,226
|
|
|||||||
Subordinate
(1)
|
|
130,271
|
|
|
174,879
|
|
|
237,841
|
|
|
15,992
|
|
|
558,983
|
|
|
—
|
|
|
558,983
|
|
|||||||
Total Securities
(3)
|
|
$
|
291,427
|
|
|
$
|
389,118
|
|
|
$
|
237,841
|
|
|
$
|
105,029
|
|
|
$
|
1,023,415
|
|
|
$
|
429,079
|
|
|
$
|
1,452,494
|
|
(1)
|
At
March 31, 2019
and
December 31, 2018
, senior Sequoia and third-party securities included
$76 million
and
$82 million
of IO securities, respectively. At both
March 31, 2019
and
December 31, 2018
, subordinate third-party securities included
$12 million
of IO securities. Our interest-only securities included
$41 million
and
$43 million
of A-IO-S securities at
March 31, 2019
and
December 31, 2018
, respectively, that we retained from certain of our Sequoia securitizations. These securities represent certificated servicing strips and therefore may be negatively impacted by the operating and funding costs related to servicing the associated securitized mortgage loans.
|
(2)
|
Mezzanine includes securities initially rated AA through BBB- and issued in 2012 or later.
|
(3)
|
At
March 31, 2019
, excluded
$216 million
,
$235 million
, and
$129 million
of securities we owned that were issued by consolidated Sequoia Choice, Freddie Mac SLST, and Freddie Mac K-Series securitizations, respectively. At
December 31, 2018
, excluded
$194 million
,
$229 million
, and
$126 million
of securities we owned that were issued by consolidated Sequoia Choice, Freddie Mac SLST, and Freddie Mac K-Series securitizations, respectively. For GAAP purposes we consolidated
$5.74 billion
of residential loans and
$5.16 billion
of non-recourse ABS debt associated with these retained securities.
|
Three Months Ended March 31, 2019
|
|
|
|
|
|
|
|
|
|
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
|
|
$
|
822
|
|
|
$
|
990
|
|
|
$
|
1,812
|
|
|
$
|
46,158
|
|
|
7.12
|
%
|
|
8.58
|
%
|
|
15.70
|
%
|
Mezzanine
|
|
304
|
|
|
150
|
|
|
454
|
|
|
30,992
|
|
|
3.92
|
%
|
|
1.94
|
%
|
|
5.86
|
%
|
||||
Subordinate
|
|
2,681
|
|
|
790
|
|
|
3,471
|
|
|
137,148
|
|
|
7.82
|
%
|
|
2.30
|
%
|
|
10.12
|
%
|
||||
Total AFS Securities
|
|
$
|
3,807
|
|
|
$
|
1,930
|
|
|
$
|
5,737
|
|
|
$
|
214,298
|
|
|
7.11
|
%
|
|
3.60
|
%
|
|
10.71
|
%
|
Three Months Ended March 31, 2018
|
|
|
|
|
|
|
|
|
|
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
|
|
$
|
1,826
|
|
|
$
|
2,486
|
|
|
$
|
4,312
|
|
|
$
|
131,064
|
|
|
5.57
|
%
|
|
7.59
|
%
|
|
13.16
|
%
|
Mezzanine
|
|
766
|
|
|
316
|
|
|
1,082
|
|
|
73,112
|
|
|
4.19
|
%
|
|
1.73
|
%
|
|
5.92
|
%
|
||||
Subordinate
|
|
2,877
|
|
|
1,258
|
|
|
4,135
|
|
|
159,090
|
|
|
7.23
|
%
|
|
3.16
|
%
|
|
10.39
|
%
|
||||
Total AFS Securities
|
|
$
|
5,469
|
|
|
$
|
4,060
|
|
|
$
|
9,529
|
|
|
$
|
363,266
|
|
|
6.02
|
%
|
|
4.47
|
%
|
|
10.49
|
%
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Interest income
|
|
$
|
25,662
|
|
|
$
|
8,935
|
|
|
$
|
16,727
|
|
Interest expense
|
|
(22,113
|
)
|
|
(7,549
|
)
|
|
(14,564
|
)
|
|||
Net interest income
|
|
3,549
|
|
|
1,386
|
|
|
2,163
|
|
|||
Investment fair value changes, net
|
|
3,265
|
|
|
(86
|
)
|
|
3,351
|
|
|||
Net Income from Consolidated Sequoia Choice Entities
|
|
$
|
6,814
|
|
|
$
|
1,300
|
|
|
$
|
5,514
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Residential loans, held-for-investment, at fair value
|
|
$
|
2,333,248
|
|
|
$
|
2,079,382
|
|
Other assets
|
|
9,630
|
|
|
10,010
|
|
||
Total Assets
|
|
$
|
2,342,878
|
|
|
$
|
2,089,392
|
|
Other liabilities
|
|
$
|
7,868
|
|
|
$
|
8,202
|
|
Asset-backed securities issued, at fair value
|
|
2,117,356
|
|
|
1,885,010
|
|
||
Total liabilities
|
|
2,125,224
|
|
|
1,893,212
|
|
||
Equity (fair value of Redwood's retained investments in entities)
|
|
217,654
|
|
|
196,180
|
|
||
Total Liabilities and Equity
|
|
$
|
2,342,878
|
|
|
$
|
2,089,392
|
|
|
|
Three Months Ended
|
||
(In Thousands)
|
|
March 31, 2019
|
||
Balance at beginning of period
|
|
$
|
2,079,382
|
|
New securitization issuance
|
|
349,583
|
|
|
Principal repayments
|
|
(105,682
|
)
|
|
Changes in fair value, net
|
|
9,965
|
|
|
Balance at End of Period
|
|
$
|
2,333,248
|
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Interest income
|
|
$
|
11,794
|
|
|
$
|
—
|
|
|
$
|
11,794
|
|
Interest expense
|
|
(8,747
|
)
|
|
—
|
|
|
(8,747
|
)
|
|||
Net interest income
|
|
3,047
|
|
|
—
|
|
|
3,047
|
|
|||
Investment fair value changes, net
|
|
6,365
|
|
|
—
|
|
|
6,365
|
|
|||
Net Income from Consolidated Freddie Mac SLST Entity
|
|
$
|
9,412
|
|
|
$
|
—
|
|
|
$
|
9,412
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Residential loans, held-for-investment, at fair value
|
|
$
|
1,228,317
|
|
|
$
|
1,222,669
|
|
Other assets
|
|
3,861
|
|
|
3,926
|
|
||
Total Assets
|
|
$
|
1,232,178
|
|
|
$
|
1,226,595
|
|
Other liabilities
|
|
$
|
2,846
|
|
|
$
|
2,907
|
|
Asset-backed securities issued, at fair value
|
|
993,032
|
|
|
993,748
|
|
||
Total liabilities
|
|
995,878
|
|
|
996,655
|
|
||
Equity (fair value of Redwood's investments in entity)
|
|
236,300
|
|
|
229,940
|
|
||
Total Liabilities and Equity
|
|
$
|
1,232,178
|
|
|
$
|
1,226,595
|
|
|
|
Three Months Ended
|
||
(In Thousands)
|
|
March 31, 2019
|
||
Balance at beginning of period
|
|
$
|
1,222,669
|
|
Principal repayments
|
|
(17,879
|
)
|
|
Changes in fair value, net
|
|
23,527
|
|
|
Balance at End of Period
|
|
$
|
1,228,317
|
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Interest income
|
|
$
|
21,388
|
|
|
$
|
—
|
|
|
$
|
21,388
|
|
Interest expense
|
|
(20,320
|
)
|
|
—
|
|
|
(20,320
|
)
|
|||
Net interest income
|
|
1,068
|
|
|
—
|
|
|
1,068
|
|
|||
Investment fair value changes, net
|
|
3,119
|
|
|
—
|
|
|
3,119
|
|
|||
Net Income from Consolidated Freddie Mac K-Series Entities
|
|
$
|
4,187
|
|
|
$
|
—
|
|
|
$
|
4,187
|
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Multifamily loans, held-for-investment, at fair value
|
|
$
|
2,175,899
|
|
|
$
|
2,144,598
|
|
Other assets
|
|
6,587
|
|
|
6,595
|
|
||
Total Assets
|
|
$
|
2,182,486
|
|
|
$
|
2,151,193
|
|
Other liabilities
|
|
$
|
6,230
|
|
|
$
|
6,239
|
|
Asset-backed securities issued, at fair value
|
|
2,047,257
|
|
|
2,019,075
|
|
||
Total liabilities
|
|
2,053,487
|
|
|
2,025,314
|
|
||
Equity (fair value of Redwood's retained investments in entities)
|
|
128,999
|
|
|
125,879
|
|
||
Total Liabilities and Equity
|
|
$
|
2,182,486
|
|
|
$
|
2,151,193
|
|
|
|
Three Months Ended
|
||
(In Thousands)
|
|
March 31, 2019
|
||
Balance at beginning of period
|
|
$
|
2,144,598
|
|
Principal repayments
|
|
(3,071
|
)
|
|
Changes in fair value, net
|
|
34,372
|
|
|
Balance at End of Period
|
|
$
|
2,175,899
|
|
(In Thousands)
|
|
Three Months Ended March 31, 2019
|
||
Balance at beginning of period
|
|
$
|
60,281
|
|
Additions
|
|
|
||
MSRs retained from third-party loan sales
|
|
104
|
|
|
Market valuation adjustments
|
|
(5,101
|
)
|
|
Balance at End of Period
|
|
$
|
55,284
|
|
(Dollars in Thousands)
|
|
March 31, 2019
|
||
Unpaid principal balance
|
|
$
|
4,856,491
|
|
Fair value of MSRs
|
|
$
|
55,284
|
|
MSR values as percent of unpaid principal balance
|
|
1.14
|
%
|
|
Gross cash yield
(1)
|
|
0.26
|
%
|
|
Number of loans
|
|
7,476
|
|
|
Average loan size
|
|
$
|
650
|
|
Average coupon
|
|
3.97
|
%
|
|
Average loan age (months)
|
|
55
|
|
|
Average original loan-to-value
|
|
67
|
%
|
|
Average original FICO score
|
|
771
|
|
|
60+ day delinquencies
|
|
0.10
|
%
|
(1)
|
Gross cash yield is calculated by dividing the annualized quarterly gross servicing fees we received for the three months ended
March 31, 2019
, by the weighted average notional balance of loans associated with MSRs we owned during that period.
|
(Dollars in Thousands)
|
|
March 31, 2019
|
||
Unpaid principal balance
|
|
$
|
8,793,928
|
|
Number of loans
|
|
43,516
|
|
|
Average loan size
|
|
$
|
202
|
|
Average coupon
|
|
5.06
|
%
|
|
Average loan age (months)
|
|
163
|
|
|
Average original loan-to-value
|
|
76
|
%
|
|
Average original FICO score
|
|
699
|
|
|
60+ day delinquencies
(1)
|
|
10.69
|
%
|
(1)
|
Includes unpaid principal balance of $555 million, or 6% of total portfolio, of loans in foreclosure or transferred to REO.
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Interest income
|
|
$
|
10,377
|
|
|
$
|
12,897
|
|
|
$
|
(2,520
|
)
|
Interest expense
|
|
(5,564
|
)
|
|
(6,137
|
)
|
|
573
|
|
|||
Net interest income
|
|
4,813
|
|
|
6,760
|
|
|
(1,947
|
)
|
|||
Mortgage banking activities, net
|
|
12,309
|
|
|
26,576
|
|
|
(14,267
|
)
|
|||
Other income (expense), net
|
|
(167
|
)
|
|
—
|
|
|
(167
|
)
|
|||
Direct operating expenses
|
|
(8,104
|
)
|
|
(8,632
|
)
|
|
528
|
|
|||
Segment contribution before income taxes
|
|
8,851
|
|
|
24,704
|
|
|
(15,853
|
)
|
|||
Provision for income taxes
|
|
(541
|
)
|
|
(4,008
|
)
|
|
3,467
|
|
|||
Segment Contribution
|
|
$
|
8,310
|
|
|
$
|
20,696
|
|
|
$
|
(12,386
|
)
|
|
|
Three Months Ended March 31,
|
||||||||||||||||||||||
|
|
2019
|
|
2018
|
||||||||||||||||||||
(In Thousands)
|
|
Select
|
|
Choice
|
|
Total
|
|
Select
|
|
Choice
|
|
Total
|
||||||||||||
Balance at beginning of period
|
|
$
|
716,193
|
|
|
$
|
332,608
|
|
|
$
|
1,048,801
|
|
|
$
|
1,101,356
|
|
|
$
|
326,589
|
|
|
$
|
1,427,945
|
|
Acquisitions
|
|
549,548
|
|
|
433,381
|
|
|
982,929
|
|
|
1,267,930
|
|
|
547,364
|
|
|
1,815,294
|
|
||||||
Sales
|
|
(797,230
|
)
|
|
(35,848
|
)
|
|
(833,078
|
)
|
|
(1,590,741
|
)
|
|
(3,790
|
)
|
|
(1,594,531
|
)
|
||||||
Transfers between portfolios
(1)
|
|
22,083
|
|
|
(388,755
|
)
|
|
(366,672
|
)
|
|
—
|
|
|
(507,616
|
)
|
|
(507,616
|
)
|
||||||
Principal repayments
|
|
(8,133
|
)
|
|
(9,292
|
)
|
|
(17,425
|
)
|
|
(13,234
|
)
|
|
(3,783
|
)
|
|
(17,017
|
)
|
||||||
Changes in fair value, net
|
|
1,728
|
|
|
2,938
|
|
|
4,666
|
|
|
794
|
|
|
5,316
|
|
|
6,110
|
|
||||||
Balance at End of Period
|
|
$
|
484,189
|
|
|
$
|
335,032
|
|
|
$
|
819,221
|
|
|
$
|
766,105
|
|
|
$
|
364,080
|
|
|
$
|
1,130,185
|
|
(1)
|
Represents the net transfers of loans out of our Mortgage Banking segment into our Investment Portfolio segment and their reclassification from held-for-sale to held-for-investment. Includes
$350 million
of Choice loans securitized during the three months ended March 31, 2019, respectively, which were not treated as sales for GAAP purposes and continue to be reported on our consolidated balance sheets within our Investment Portfolio segment.
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Residential Mortgage Banking Activities, Net
|
|
|
|
|
|
|
||||||
Changes in fair value of:
|
|
|
|
|
|
|
||||||
Residential loans, at fair value
(1)
|
|
$
|
14,844
|
|
|
$
|
(2,194
|
)
|
|
$
|
17,038
|
|
Risk management derivatives
(2)
|
|
(4,138
|
)
|
|
28,432
|
|
|
(32,570
|
)
|
|||
Other income, net
(3)
|
|
121
|
|
|
338
|
|
|
(217
|
)
|
|||
Total residential mortgage banking activities, net
|
|
10,827
|
|
|
26,576
|
|
|
(15,749
|
)
|
|||
|
|
|
|
|
|
|
||||||
Business Purpose Mortgage Banking Activities, Net
|
|
|
|
|
|
|
||||||
Changes in fair value of:
|
|
|
|
|
|
|
||||||
Single-family rental loans, at fair value
(1)
|
|
1,744
|
|
|
—
|
|
|
1,744
|
|
|||
Risk management derivatives
(2)
|
|
(846
|
)
|
|
—
|
|
|
(846
|
)
|
|||
Residential bridge loans, at fair value
|
|
86
|
|
|
—
|
|
|
86
|
|
|||
Other income, net
(3)
|
|
498
|
|
|
—
|
|
|
498
|
|
|||
Total business purpose mortgage banking activities, net
|
|
1,482
|
|
|
—
|
|
|
1,482
|
|
|||
Mortgage Banking Activities, Net
|
|
$
|
12,309
|
|
|
$
|
26,576
|
|
|
$
|
(14,267
|
)
|
(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 loans.
|
(3)
|
Includes other fee income from loan originations and acquisitions as well as the provision for repurchase expense, presented net.
|
March 31, 2019
|
|
Principal Value
|
|
Weighted Average Coupon
|
|||
(Dollars in Thousands)
|
|
|
|||||
First Lien Prime
|
|
|
|
|
|||
Fixed - 30 year
|
|
$
|
563,871
|
|
|
4.86
|
%
|
Fixed - 10, 15, & 20 year
|
|
49,338
|
|
|
4.04
|
%
|
|
Hybrid
|
|
189,010
|
|
|
4.36
|
%
|
|
ARM
|
|
147
|
|
|
4.45
|
%
|
|
Total Outstanding Principal
|
|
$
|
802,366
|
|
|
|
|
|
|
Three Months Ended March 31,
|
|
|
||||||||
(In Thousands)
|
|
2019
|
|
2018
|
|
Change
|
||||||
Interest income
|
|
$
|
4,853
|
|
|
$
|
4,812
|
|
|
$
|
41
|
|
Interest expense
|
|
(4,115
|
)
|
|
(3,852
|
)
|
|
(263
|
)
|
|||
Net interest income
|
|
738
|
|
|
960
|
|
|
(222
|
)
|
|||
Investment fair value changes, net
|
|
(374
|
)
|
|
(8
|
)
|
|
(366
|
)
|
|||
Net Income from Consolidated Legacy Sequoia Entities
|
|
$
|
364
|
|
|
$
|
952
|
|
|
$
|
(588
|
)
|
(In Thousands)
|
|
March 31, 2019
|
|
December 31, 2018
|
||||
Residential loans, held-for-investment, at fair value
|
|
$
|
488,645
|
|
|
$
|
519,958
|
|
Other assets
|
|
3,202
|
|
|
4,911
|
|
||
Total Assets
|
|
$
|
491,847
|
|
|
$
|
524,869
|
|
Other liabilities
|
|
$
|
531
|
|
|
$
|
571
|
|
Asset-backed securities issued, at fair value
|
|
479,999
|
|
|
512,240
|
|
||
Total liabilities
|
|
480,530
|
|
|
512,811
|
|
||
Equity (fair value of Redwood's retained investments in entities)
|
|
11,317
|
|
|
12,058
|
|
||
Total Liabilities and Equity
|
|
$
|
491,847
|
|
|
$
|
524,869
|
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands)
|
|
2019
|
|
2018
|
||||
Balance at beginning of period
|
|
$
|
519,958
|
|
|
$
|
632,817
|
|
Principal repayments
|
|
(35,780
|
)
|
|
(34,222
|
)
|
||
Transfers to REO
|
|
(39
|
)
|
|
(1,268
|
)
|
||
Changes in fair value, net
|
|
4,506
|
|
|
28,824
|
|
||
Balance at End of Period
|
|
$
|
488,645
|
|
|
$
|
626,151
|
|
|
|
Three Months Ended March 31,
|
||||||
(In Thousands, except per Share Data)
|
|
2019 est.
(1)
|
|
2018 est.
(1)
|
||||
REIT taxable income
|
|
$
|
28,761
|
|
|
$
|
33,474
|
|
Taxable REIT subsidiary income
|
|
6,697
|
|
|
24,081
|
|
||
Total Taxable Income
|
|
$
|
35,458
|
|
|
$
|
57,555
|
|
|
|
|
|
|
||||
REIT taxable income per share
|
|
$
|
0.30
|
|
|
$
|
0.44
|
|
Total taxable income per share
|
|
$
|
0.37
|
|
|
$
|
0.76
|
|
|
|
|
|
|
||||
Distributions to shareholders
|
|
$
|
28,998
|
|
|
$
|
21,195
|
|
Distributions to shareholders per share
|
|
$
|
0.30
|
|
|
$
|
0.28
|
|
(1)
|
Our tax results for the
three
months ended
March 31, 2019
and 2018 are estimates until we file tax returns for these years.
|
|
|
Three Months Ended March 31, 2019
|
|||||||||||||||||||
(In Thousands, except per Share Data)
|
|
REIT (Est.)
|
|
TRS (Est.)
|
|
|
Total Tax (Est.)
|
|
GAAP
|
|
Differences
|
||||||||||
Interest income
|
|
$
|
61,361
|
|
|
$
|
13,245
|
|
|
|
$
|
74,606
|
|
|
$
|
131,041
|
|
|
$
|
(56,435
|
)
|
Interest expense
|
|
(30,987
|
)
|
|
(13,042
|
)
|
|
|
(44,029
|
)
|
|
(99,276
|
)
|
|
55,247
|
|
|||||
Net interest income
|
|
30,374
|
|
|
203
|
|
|
|
30,577
|
|
|
31,765
|
|
|
(1,188
|
)
|
|||||
Realized credit losses
|
|
(9
|
)
|
|
—
|
|
|
|
(9
|
)
|
|
—
|
|
|
(9
|
)
|
|||||
Mortgage banking activities, net
|
|
—
|
|
|
12,025
|
|
|
|
12,025
|
|
|
12,309
|
|
|
(284
|
)
|
|||||
Investment fair value changes, net
|
|
149
|
|
|
125
|
|
|
|
274
|
|
|
20,159
|
|
|
(19,885
|
)
|
|||||
Operating expenses
|
|
(12,667
|
)
|
|
(9,550
|
)
|
|
|
(22,217
|
)
|
|
(23,159
|
)
|
|
942
|
|
|||||
Other income, net
|
|
311
|
|
|
3,603
|
|
|
|
3,914
|
|
|
3,587
|
|
|
327
|
|
|||||
Realized gains, net
|
|
10,678
|
|
|
350
|
|
|
|
11,028
|
|
|
10,686
|
|
|
342
|
|
|||||
Provision for income taxes
|
|
(75
|
)
|
|
(59
|
)
|
|
|
(134
|
)
|
|
(883
|
)
|
|
749
|
|
|||||
Net Income
|
|
$
|
28,761
|
|
|
$
|
6,697
|
|
|
|
$
|
35,458
|
|
|
$
|
54,464
|
|
|
$
|
(19,006
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Income per basic common share
|
|
$
|
0.30
|
|
|
$
|
0.07
|
|
|
|
$
|
0.37
|
|
|
$
|
0.57
|
|
|
$
|
(0.20
|
)
|
|
|
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)
|
|
|
|
|
||||||||||
January 1, 2019 - January 31, 2019
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
February 1, 2019 - February 28, 2019
|
|
5
|
|
|
$
|
15.44
|
|
|
—
|
|
|
$
|
—
|
|
March 1, 2019 - March 31, 2019
|
|
32
|
|
|
$
|
15.30
|
|
|
—
|
|
|
$
|
100,000
|
|
Total
|
|
37
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
100,000
|
|
Exhibit
Number |
|
Exhibit
|
3.1
|
|
|
3.1.1
|
|
|
3.1.2
|
|
|
3.1.3
|
|
|
3.1.4
|
|
|
3.1.5
|
|
|
3.1.6
|
|
|
3.1.7
|
|
|
3.1.8
|
|
|
3.1.9
|
|
|
3.1.10
|
|
|
3.2.1
|
|
|
3.2.2
|
|
|
3.2.3
|
|
|
10.1*
|
|
|
10.2*
|
|
|
10.3*
|
|
|
31.1
|
|
|
31.2
|
|
|
32.1
|
|
|
32.2
|
|
|
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 March 31, 2019, is filed in XBRL-formatted interactive data files:
(i) Consolidated Balance Sheets at March 31, 2019 and December 31, 2018;
(ii) Consolidated Statements of Income for the three months ended March 31, 2019 and 2018;
(iii) Statements of Consolidated Comprehensive Income for the three months ended March 31, 2019 and 2018;
(iv) Consolidated Statements of Changes in Stockholders' Equity for the three months ended March 31, 2019 and 2018;
(v) Consolidated Statements of Cash Flows for the three months ended March 31, 2019 and 2018; and
(vi) Notes to Consolidated Financial Statements.
|
|
|
REDWOOD TRUST, INC.
|
|
|
|
|
|
Date:
|
May 9, 2019
|
By:
|
/s/ Christopher J. Abate
|
|
|
|
Christopher J. Abate
|
|
|
|
Chief Executive Officer
|
|
|
|
(Principal Executive Officer)
|
|
|
|
|
Date:
|
May 9, 2019
|
By:
|
/s/ Collin L. Cochrane
|
|
|
|
Collin L. Cochrane
|
|
|
|
Chief Financial Officer
|
|
|
|
(Principal Financial Officer)
|
|
|
|
|
Date:
|
May 9, 2019
|
By:
|
/s/ Lola Bondar
|
|
|
|
Lola Bondar
|
|
|
|
Managing Director, Chief Accounting Officer
|
|
|
|
(Principal Accounting Officer)
|
|
||||
|
|
|
|
|
REDWOOD TRUST, INC.
|
||||
|
|
|
|
|
|
|
|
|
|
By:
|
|
/s/ Andrew P. Stone
|
||
|
|
Andrew P. Stone
|
||
|
|
Executive Vice President & General Counsel
|
||
|
|
|
|
|
|
|
|
|
|
EXECUTIVE
|
|
|||
|
|
|
|
|
|
|
/s/ Christopher J. Abate
|
||
|
|
Christopher J. Abate
|
||
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
EXECUTIVE
|
||
|
|
|
Name:
|
|
|
|
|
Christopher J. Abate
|
|
|
|
Date:
|
|
|
|
|
|
|
|
|
COMPANY
|
||
|
|
|
Name:
|
|
|
|
|
|
Date:
|
|
|
|
||
|
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EXECUTIVE
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Name:
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Christopher J. Abate
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Date:
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COMPANY
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Name:
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Date:
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1.
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Relate at the time of conception or reduction to practice of the invention to the employer’s business, or actual or demonstrably anticipated research or development of the employer; or
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2.
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Result from any work performed by the employee for the employer.
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REDWOOD TRUST, INC.
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By:
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/s/ Christopher J. Abate
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Christopher J. Abate
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Chief Executive Officer
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EXECUTIVE
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/s/ Andrew P. Stone
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Andrew P. Stone
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EXECUTIVE
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Name:
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Andrew P. Stone
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Date:
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COMPANY
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Name:
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Date:
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EXECUTIVE
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Name:
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Andrew P. Stone
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Date:
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COMPANY
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Name:
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Date:
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1.
|
Relate at the time of conception or reduction to practice of the invention to the employer’s business, or actual or demonstrably anticipated research or development of the employer; or
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2.
|
Result from any work performed by the employee for the employer.
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If to the Company:
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Redwood Trust, Inc.
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Attn: Chief Executive Officer
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One Belvedere Place, Suite 300
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Mill Valley, CA 94941
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Phone: (415) 389-7373
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Fax: (415) 381-1773
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If to the Executive:
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Dashiell I. Robinson
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c/o Redwood Trust, Inc.
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One Belvedere Place, Suite 300
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Mill Valley, CA 94941
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Phone: (415) 389-7373
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Fax: (415) 381-1773
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||||
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REDWOOD TRUST, INC.
|
||||
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By:
|
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/s/ Christopher J. Abate
|
||
|
|
Christopher J. Abate
|
||
|
|
Chief Executive Officer
|
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|
|
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EXECUTIVE
|
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|||
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/s/ Dashiell I. Robinson
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Dashiell I. Robinson
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EXECUTIVE
|
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|
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Name:
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|
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Dashiell I. Robinson
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Date:
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COMPANY
|
||
|
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Name:
|
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Date:
|
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|
||
|
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EXECUTIVE
|
||
|
|
|
Name:
|
|
|
|
|
Dashiell I. Robinson
|
|
|
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Date:
|
|
|
|
||
|
|
|
COMPANY
|
||
|
|
|
Name:
|
|
|
|
|
|
Date:
|
|
|
1.
|
Relate at the time of conception or reduction to practice of the invention to the employer’s business, or actual or demonstrably anticipated research or development of the employer; or
|
2.
|
Result from any work performed by the employee for the employer.
|
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: May 9, 2019
|
|
/s/ Christopher J. Abate
|
|
|
Christopher J. Abate
|
|
|
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: May 9, 2019
|
|
/s/ Collin L. Cochrane
|
|
|
Collin L. Cochrane
|
|
|
Chief Financial Officer
|
Date: May 9, 2019
|
|
/s/ Christopher J. Abate
|
|
|
Christopher J. Abate
|
|
|
Chief Executive Officer
|
Date: May 9, 2019
|
|
/s/ Collin L. Cochrane
|
|
|
Collin L. Cochrane
|
|
|
Chief Financial Officer
|